public void SaveQuotes_Multiple_Success()
{
IQuotesSource source = CreateSource();
IQuotesDal dal = PrepareQuotesDal();
IQuotesDalSaveTimeseriesValuesParams saveParams = dal.CreateSaveTimeseriesValuesParams();
string[] tickers =
{
ConfigurationManager.AppSettings["TickerSPY"],
ConfigurationManager.AppSettings["TickerQQQ"]
};
IQuotesSourceGetQuotesParams getQuotesParams = source.CreateGetQuotesParams();
foreach (var t in tickers)
{
getQuotesParams.Tickers.Add(t);
}
getQuotesParams.Country = ConfigurationManager.AppSettings["CountryUS"];
getQuotesParams.PeriodStart = DateTime.Parse("2009/1/1");
getQuotesParams.PeriodEnd = DateTime.Parse("2019/1/1");
getQuotesParams.TimeFrame = ETimeFrame.Daily;
IQuotesSourceGetQuotesResult getQuotesResult = source.GetQuotes(getQuotesParams);
saveParams.Quotes.AddRange(getQuotesResult.QuotesData);
IQuotesDalSaveTimeseriesValuesResult saveResult = dal.SaveTimeseriesValues(saveParams);
Assert.IsTrue(saveResult.Success);
Assert.IsTrue(!saveResult.HasWarnings, "Unexpected warnings while performing save");
Assert.IsTrue(!saveResult.HasErrors, "Unexpected errors while performing save");
}
public void BuildPortfolio_5Tickers_MaxReturn_Success()
{
IQuotesDal dal = PrepareQuotesDal();
IPortfolioBuilder builder = PreparePortfolioBuilder(dal);
// preparing list of instruments
IPortfolioBuilderBuildParams buildParams = builder.CreatePortfolioBuilderBuildParams();
buildParams.Goal = EOptimizationGoal.Max; // maximizing portfolio return
buildParams.OptimizationTarget = EProtfolioProperty.Return;
buildParams.Instruments.Add(ConfigurationManager.AppSettings["TickerSPY"]);
buildParams.Instruments.Add(ConfigurationManager.AppSettings["TickerQQQ"]);
buildParams.Instruments.Add(ConfigurationManager.AppSettings["TickerGLD"]);
buildParams.Instruments.Add(ConfigurationManager.AppSettings["TickerSLV"]);
buildParams.Instruments.Add(ConfigurationManager.AppSettings["TickerTLT"]);
buildParams.TimeFrame = PortfolioInterfaces.ETimeFrame.Monthly;
buildParams.PeriodStart = DateTime.Parse(ConfigurationManager.AppSettings["PeriodStart"]);
buildParams.PeriodEnd = DateTime.Parse(ConfigurationManager.AppSettings["PeriodEnd"]);
// setting constraints
foreach (var i in buildParams.Instruments)
{
IPortfolioBuilderConstraint cl = builder.CreateConstraint();
cl.Operation = EConstraintOp.GreaterOrEqual;
cl.Property = EProtfolioProperty.Instrument;
cl.Ticker = i;
cl.Value = 0;
IPortfolioBuilderConstraint cu = builder.CreateConstraint();
cu.Operation = EConstraintOp.LessOrEqual;
cu.Property = EProtfolioProperty.Instrument;
cu.Ticker = i;
cu.Value = 1;
buildParams.Constraints.Add(cl);
buildParams.Constraints.Add(cu);
}
IPortfolioBuilderConstraint cstdev = builder.CreateConstraint();
cstdev.Operation = EConstraintOp.LessOrEqual;
cstdev.Property = EProtfolioProperty.StDev;
cstdev.Value = (decimal)0.1; // limiting stdev to 10%
buildParams.Constraints.Add(cstdev);
IPortfolioBuilderBuildResult result = builder.Build(buildParams);
Assert.IsTrue(result.Success);
Assert.IsNotNull(result.Portfolio);
Assert.IsNotNull(result.Portfolio.Instruments);
Assert.AreEqual(result.Portfolio.Instruments.Count, 5);
Assert.AreEqual(result.Portfolio.Instruments.Values.ElementAt(0) + result.Portfolio.Instruments.Values.ElementAt(1) + result.Portfolio.Instruments.Values.ElementAt(2) + result.Portfolio.Instruments.Values.ElementAt(3) + result.Portfolio.Instruments.Values.ElementAt(4), (decimal)1, "Sum of weights is not 100%");
}
private IPortfolioBuilder PreparePortfolioBuilder(IQuotesDal dal)
{
IPortfolioBuilder builder = new PortfolioBuilder();
// initializing
IPortfolioBuilderInitParams initParams = builder.CreateInitParams();
initParams.QuotesDal = dal;
builder.Init(initParams);
return(builder);
}
private void InitDAL()
{
string dalType = ConfigurationManager.AppSettings["QuotesDalType"];
_dal = _compContainer.GetExport <IQuotesDal>(dalType).Value;
IQuotesDalInitParams initParams = _dal.CreateInitParams();
initParams.Parameters["RootFolder"] = Path.Combine(_compContainer.GetExportedValue <string>("ServiceRootFolder"), ConfigurationManager.AppSettings["CSVDalRootFolder"]);
initParams.Parameters["ConnectionStringTimeSeries"] = ConfigurationManager.AppSettings["ConnectionStringTimeSeries"];
_dal.Init(initParams);
}
private void InitDAL()
{
_logger.Log(EErrorType.Info, string.Format("InitDAL: Connecting to '{0}'", ConfigurationManager.AppSettings["ConnectionStringTimeSeries"]));
Lazy <IQuotesDal> dal = _compContainer.GetExport <IQuotesDal>(ConfigurationManager.AppSettings["DALType"]);
IQuotesDalInitParams dalParams = dal.Value.CreateInitParams();
dalParams.Parameters.Add("ConnectionStringTimeSeries", ConfigurationManager.AppSettings["ConnectionStringTimeSeries"]);
dal.Value.Init(dalParams);
_dal = dal.Value;
}
public void GetQuotes_Single_Failed()
{
IQuotesDal dal = PrepareQuotesDal();
IQuotesDalGetTimeSeriesValuesParams getParams = dal.CreateGetQuotesParams();
getParams.Country = ConfigurationManager.AppSettings["CountryUS"];
getParams.Tickers.Add(ConfigurationManager.AppSettings["InvalidTicker"]);
getParams.TimeFrame = ETimeFrame.Monthly;
IQuotesDalGetTimeseriesValuesResult result = dal.GetTimseriesValues(getParams);
Assert.IsFalse(result.Success);
Assert.IsNotNull(result.Quotes);
Assert.AreEqual(result.Quotes.Count, 0);
}
public void GetQuotes_Single_Success()
{
IQuotesDal dal = PrepareQuotesDal();
IQuotesDalGetTimeSeriesValuesParams getParams = dal.CreateGetQuotesParams();
getParams.Country = ConfigurationManager.AppSettings["CountryUS"];
getParams.Tickers.Add(ConfigurationManager.AppSettings["TickerSPY"]);
getParams.TimeFrame = ETimeFrame.Monthly;
IQuotesDalGetTimeseriesValuesResult result = dal.GetTimseriesValues(getParams);
Assert.IsTrue(result.Success);
Assert.IsNotNull(result.Quotes);
Assert.AreEqual(result.Quotes.Count, 1);
Assert.AreEqual(result.Quotes[0].Ticker, ConfigurationManager.AppSettings["TickerSPY"]);
Assert.AreEqual(result.Quotes[0].Country, ConfigurationManager.AppSettings["CountryUS"]);
Assert.AreNotEqual(result.Quotes[0].Quotes.Count(), 0);
}
public void Init(IPortfolioBuilderInitParams initParams)
{
_logger = initParams.Logger;
_quotesDal = initParams.QuotesDal;
}