public void SimulateTradingReturnsExpectedSimulationResult(List <Company> testCompanies)
{
// Arrange
var tested = Tested;
var flattenedQuotes = testCompanies.SelectMany(x => x.Quotes).OrderBy(x => x.DateParsed).ToList();
var simulationConfig = new TradingSimulationConfig
{
FromDate = new DateTime(2020, 01, 01),
ToDate = new DateTime(2021, 01, 01),
StartingCash = 1000,
TopN = 10
};
var allQuotesPrefiltered = flattenedQuotes.Where(z =>
!new Regex(@".*\d{3,}|WIG.*|RC.*|INTL.*|INTS.*|WIG.*|.*PP\d.*|.*BAHOLDING.*|CFI.*").IsMatch(z.Ticker) &&
z.DateParsed.InOpenRange(simulationConfig.FromDate.AddDays(-30),
simulationConfig.ToDate))
.ToList();
// Act
var result = tested.Simulate(allQuotesPrefiltered, simulationConfig);
// Assert
Assert.Equal(102.65, result.FinalBalance, 2);
Assert.Equal(-89.73, result.ReturnOnInvestment, 2);
Assert.Equal(0.33, result.ROC.Accuracy, 2);
Assert.Equal(2394, result.ROC.All);
Assert.True(result.TransactionsLedger.All(x => x.Date.InOpenRange(simulationConfig.FromDate, simulationConfig.ToDate)));
Assert.Equal(result.ROC.All * 2, result.TransactionsLedger.Count);
Assert.Equal(result.ROC.All, result.TransactionsLedger.Count(x => x.TransactionType == StockTransactionType.Sell));
Assert.Equal(result.ROC.All, result.TransactionsLedger.Count(x => x.TransactionType == StockTransactionType.Buy));
}
protected override List <StockQuote> GetTopN(TradingSimulationConfig tradingSimulationConfig, List <StockQuote> allQuotesPrefilterd, DateTime date)
{
var allQuotesBeforeTradeDay = allQuotesPrefilterd.Where(x => x.DateParsed.Date < date.Date).ToList();
var nMinusOneDay = allQuotesBeforeTradeDay.Select(x => x.DateParsed).Max();
var allQuotesFromMinusOneDay = allQuotesPrefilterd.Where(x => x.DateParsed.Date.Equals(nMinusOneDay.Date)).ToList();
var topN = allQuotesFromMinusOneDay
.Where(x => (!tradingSimulationConfig.ExcludePennyStocks || x.AveragePrice > tradingSimulationConfig.ExcludePennyStocksThreshold) &&
(!ProjectSettings.ExcludeBlacklisted || !ProjectSettings.BlackListPattern.IsMatch(x.Ticker)))
.OrderByDescending(x => x.AveragePriceChange)
.Take(tradingSimulationConfig.TopN)
.ToList();
return(topN);
}
public async Task Execute(params string[] args)
{
_projectSettings.EnsureAllDirectoriesExist();
var command = args[0];
var fromDate = default(DateTime?);
var toDate = default(DateTime?);
var tradingSimulationConfig = TradingSimulationConfig.CreateFrom(_configuration);
switch (command)
{
case "h":
case "help":
_logger.LogInfo(HelpMessage);
break;
case "getDir":
_logger.LogInfo($"Working directory: {_projectSettings.WorkingDirectory.FullName}");
break;
case "openDir":
ProcessStartInfo startInfo = new ProcessStartInfo("explorer.exe", _projectSettings.WorkingDirectory.FullName);
startInfo.Verb = "runas";
Process.Start(startInfo);
break;
case "printUnzipped":
_logger.LogInfo(string.Join(Environment.NewLine, _projectSettings.GetFilesListInDirectory(_projectSettings.UnzippedFilesDirectory)));
break;
case "cleanDir":
_projectSettings.CleanOutputDirectory();
_logger.LogInfo($"Cleaned directory {_projectSettings.UnzippedFilesDirectory.FullName}");
break;
case "cleanLogs":
_projectSettings.CleanLogs();
_logger.LogInfo($"Cleaned logs in {_projectSettings.LogDirectory.FullName}");
break;
case "dropDb":
await _databaseManagementService.EnsureDbDoesNotExist(_projectSettings);
break;
case "download":
await _stockQuotesDownloadService.Download(_projectSettings);
break;
case "unzip":
await _stockQuotesMigrationFromCsv.Unzip(_projectSettings);
break;
case "migrate":
await _stockQuotesMigrationFromCsv.Migrate(_projectSettings, TargetLocation.Directory);
_logger.LogInfo("Successfully migrated data to database.");
break;
case "dbVersion":
var latestDateInDb = await _stockQuoteRepository.GetLatestSessionInDbDateAsync();
_logger.LogInfo(latestDateInDb.ToShortDateString());
break;
case "update":
await _stockUpdateService.PerformUpdateTillToday();
break;
case "print":
if (args.Length >= 2)
{
var found = _companyRepository.GetById(args[1]);
if (found == null)
{
_logger.LogWarning($"{args[1]} not found.");
}
else
{
_logger.LogInfo(string.Join(Environment.NewLine, found.Quotes.Select(x => x.Summary())));
}
}
else
{
var summary = _companyRepository.Summary();
_logger.LogInfo($"{Environment.NewLine}{summary.Count} companies.{string.Join(Environment.NewLine, summary)}");
}
break;
case "simulate":
if (args.Length >= 3)
{
fromDate = TryParseDateTime(args[1]);
toDate = TryParseDateTime(args[2]);
if (fromDate.HasValue && toDate.HasValue)
{
tradingSimulationConfig.FromDate = fromDate.Value;
tradingSimulationConfig.ToDate = toDate.Value;
}
}
var allQuotesPrefilterd = _stockQuoteRepository
.GetAll(x => !_projectSettings.BlackListPattern.IsMatch(x.Ticker) &&
x.DateParsed.InOpenRange(tradingSimulationConfig.FromDate.AddDays(-30), tradingSimulationConfig.ToDate))
.ToList();
var simulationResult = _tradingSimulator.Simulate(allQuotesPrefilterd, tradingSimulationConfig, _progressReporter);
_logger.LogInfo(simulationResult.ToString());
break;
case "predict":
if (args.Length >= 2)
{
var date = TryParseDateTime(args[1]);
if (date.HasValue)
{
var prediction = _tradingSimulator.GetSignals(tradingSimulationConfig, date.Value);
_logger.LogInfo($"Stonks to buy: {string.Join(", ", prediction.Select(x => x.Ticker).OrderBy(x => x))}. Used prediction made with data from session {prediction.Select(x => x.DateParsed).First()} and config = {tradingSimulationConfig}");
}
else
{
_logger.LogError($"{args[1]} is not a valid date. Enter date in format YYYY-MM-DD");
}
}
else
{
_logger.LogError($"Enter date in format YYYY-MM-DD as second argument after empty space. Example: predict 2020-01-01");
}
break;
default:
_logger.LogWarning(@$ "{command} not recognized as valid command. {HelpMessage}");
break;
}
}
public virtual SimulationResult Simulate(List <StockQuote> allQuotesPrefilterd,
TradingSimulationConfig tradingSimulationConfig,
IProgressReportable progress = null)
{
var ledger = new TransactionsLedger(tradingSimulationConfig.StartingCash);
var result = new SimulationResult {
TradingSimulationConfig = tradingSimulationConfig
};
var filteredQuotes = allQuotesPrefilterd.Where(x =>
x.DateParsed.InOpenRange(tradingSimulationConfig.FromDate, tradingSimulationConfig.ToDate)).ToList();
var tradingStartingDate = filteredQuotes.Min(x => x.DateParsed);
var tradingEndDate = filteredQuotes.Max(x => x.DateParsed);
var datesToTrade = filteredQuotes
.Where(x => x.DateParsed.InOpenRange(tradingStartingDate, tradingEndDate))
.Select(x => x.DateParsed)
.Distinct()
.OrderBy(x => x)
.ToList();
progress?.Restart(datesToTrade.Count);
foreach (var date in datesToTrade)
{
var topN = GetTopN(tradingSimulationConfig, allQuotesPrefilterd, date);
var topNTickers = Enumerable.ToHashSet(topN.Select(quote => quote.Ticker));
var tradingDayQuotesForMostRising = allQuotesPrefilterd
.Where(x => x.DateParsed.Date.Equals(date.Date) && topNTickers.Contains(x.Ticker) && x.IsValid());
foreach (var stockQuoteForToday in tradingDayQuotesForMostRising)
{
var volume = (ledger.Balance / tradingSimulationConfig.TopN) / (stockQuoteForToday.Open);
var buyOrderStatus = ledger.PlaceBuyOrder(stockQuoteForToday, stockQuoteForToday.Open, volume);
switch (buyOrderStatus)
{
case OrderStatusType.Accepted:
var sellOrderStatus = ledger.ClosePosition(stockQuoteForToday, stockQuoteForToday.Close);
if (sellOrderStatus != OrderStatusType.Accepted)
{
Logger.LogWarning($"Could not perform closing sell on {stockQuoteForToday.Ticker} {stockQuoteForToday.DateParsed}. Selling the trade for buy price...");
ledger.ClosePosition(stockQuoteForToday, stockQuoteForToday.Open);
}
switch (sellOrderStatus)
{
case OrderStatusType.DeniedNoOpenPosition:
Logger.LogError($"Sell order of {volume} stocks denied due to lack of open position on {stockQuoteForToday.Ticker}.");
break;
case OrderStatusType.DeniedOutOfRange:
Logger.LogWarning($"Sell order for of {volume} stocks denied due to price being out of range of today's {stockQuoteForToday.Ticker} prices ({stockQuoteForToday.Low} - {stockQuoteForToday.High})." +
"Selling the trade for buy price...");
ledger.ClosePosition(stockQuoteForToday, stockQuoteForToday.Open);
break;
}
break;
case OrderStatusType.DeniedInsufficientFunds:
Logger.LogWarning($"Buy order for {stockQuoteForToday.Ticker} price = {stockQuoteForToday.Open} vol = {volume} denied due to insufficient funds ({ledger.Balance}).");
break;
case OrderStatusType.DeniedOutOfRange:
Logger.LogWarning($"Buy order for {stockQuoteForToday.Open * volume} denied due to price being out of range of today's {stockQuoteForToday.Ticker} prices ({stockQuoteForToday.Low} - {stockQuoteForToday.High}.");
break;
}
result.ROC.Activate(true, stockQuoteForToday.Close > stockQuoteForToday.Open);
}
progress?.ReportProgress();
}
result.TransactionsLedger = ledger.TheLedger;
result.FinalBalance = ledger.Balance;
result.CompaniesUsedInSimulation = filteredQuotes.DistinctBy(x => x.Ticker).Count();
result.SimulatorName = this.GetType().Name;
return(result);
}
protected abstract List <StockQuote> GetTopN(TradingSimulationConfig tradingSimulationConfig, List <StockQuote> allQuotesPrefilterd, DateTime date);
public virtual List <StockQuote> GetSignals(TradingSimulationConfig tradingSimulationConfig, DateTime date)
{
var allQuotesFromLastSession = StockQuoteRepository.GetAllQuotesFromPreviousSession(date);
return(GetTopN(tradingSimulationConfig, allQuotesFromLastSession, date));
}
public override SimulationResult Simulate(List <StockQuote> allQuotesPrefilterd, TradingSimulationConfig tradingSimulationConfig,
IProgressReportable progress = null)
{
var result = base.Simulate(allQuotesPrefilterd, tradingSimulationConfig, progress);
return(result);
}
protected override List <StockQuote> GetTopN(TradingSimulationConfig tradingSimulationConfig, List <StockQuote> allQuotesPrefilterd, DateTime date)
{
throw new NotImplementedException();
}
