/// <summary>
/// Create a trading rule from AST to the model
/// </summary>
/// <param name="tradingStrategyAstNode"></param>
/// <param name="tradingStrategyModel"></param>
private void AddTradingRuleToModel(TradingStrategyAstNode tradingStrategyAstNode, TradingStrategy tradingStrategyModel)
{
foreach (var tradingRuleAst in tradingStrategyAstNode.TradingRules)
{
if (tradingRuleAst is ConditionalRuleAstNode)
{
var stopLossAstRule = tradingRuleAst as ConditionalRuleAstNode;
tradingStrategyModel.TradingRules.Add(new StopLossRule(
stopLossAstRule.Name,
ConvertExecutionFrequency(stopLossAstRule.ExecuteFrequency),
new Variable("position"),
ConvertStatementAst(stopLossAstRule.Statements),
(BooleanExpression)ConvertExpressionAst(stopLossAstRule.Condition),
CreateVariable(stopLossAstRule.PositionSet.PositionSetName)));
}
else if (tradingRuleAst is GeneralRuleAstNode)
{
tradingStrategyModel.TradingRules.Add(new TradingRule(
tradingRuleAst.Name,
ConvertExecutionFrequency(tradingRuleAst.ExecuteFrequency),
ConvertStatementAst(tradingRuleAst.Statements))
);
}
}
}
/// <summary>
/// Handles global identifier
/// </summary>
/// <param name="tradingStrategyAstNode"></param>
/// <param name="tradingStrategyModel"></param>
private void AddGlobalIdentifierToModel(TradingStrategyAstNode tradingStrategyAstNode, TradingStrategy tradingStrategyModel)
{
foreach (var globalVariable in tradingStrategyAstNode.GlobalIdentifierDef)
{
var exprAst = globalVariable.ExpressionAstNode;
tradingStrategyModel.ConstantVariableDefinitions.Add(
new GlobalIdentifier()
{
Variable = CreateVariable(globalVariable.VariableName, exprAst.GetType()),
Constant = ConvertExpressionAst(exprAst)
}
);
}
}
/// <summary>
/// Start transform an abstract syntax tree into the model
/// </summary>
/// <param name="tradingStrategyAstNode">the node on abstract syntax represents trading strategy</param>
/// <returns>model of a trading strategy</returns>
public TradingStrategy Transform(TradingStrategyAstNode tradingStrategyAstNode)
{
if (tradingStrategyAstNode == null)
throw new ArgumentException("tradingStrategyAstNode cannot be null.");
TradingStrategy tradingStrategyModel = new TradingStrategy();
AddGlobalIdentifierToModel(tradingStrategyAstNode, tradingStrategyModel);
AddPositionSetDefToModel(tradingStrategyAstNode, tradingStrategyModel);
AddPortfolioParamToModel(tradingStrategyAstNode, tradingStrategyModel);
AddTradingRuleToModel(tradingStrategyAstNode, tradingStrategyModel);
return tradingStrategyModel;
}
/// <summary>
/// Handles parameters in the trading strategy AST node
/// </summary>
/// <param name="tradingStrategyAstNode"></param>
/// <param name="tradingStrategyModel"></param>
private void AddPortfolioParamToModel(TradingStrategyAstNode tradingStrategyAstNode, TradingStrategy tradingStrategyModel)
{
foreach (var parameter in tradingStrategyAstNode.StrategyParameters)
{
Type type = null;
object value = null;
string parameterName = null;
if (parameter.Value is StringAstNode)
{
var strAst = parameter.Value as StringAstNode;
type = typeof(string);
value = strAst.Value;
parameterName = parameter.Name;
}
if (parameterName != null)
{
if (parameterName.ToLower() == "homecurrency")
tradingStrategyModel.Portfolio.HomeCurrency = (string)value;
else
{
throw new Exception("Unknown strategy parameter: " + parameterName);
}
}
}
}
/// <summary>
/// Handles transformation of position set
/// </summary>
/// <param name="tradingStrategyAstNode"></param>
/// <param name="tradingStrategyModel"></param>
private void AddPositionSetDefToModel(TradingStrategyAstNode tradingStrategyAstNode, TradingStrategy tradingStrategyModel)
{
foreach (var positionSetDef in tradingStrategyAstNode.PositionSets)
{
CreateVariable(positionSetDef.Name, typeof(PositionSet));
tradingStrategyModel.Portfolio.PositionSets.Add(new PositionSet()
{
Name = positionSetDef.Name,
Number = ConvertExpressionAst(positionSetDef.Number),
PositionType = ConvertPositionTypeAst(positionSetDef.PositionType)
});
}
}