public List <Signal> GenerateOnClose(DateTime ts, int leadingIndex, SystemState systemState)
{
List <Signal> res = new List <Signal>();
if (leadingIndex <= _statSMA.BackBufferLength)
{
return(res);
}
StockPricesData data = _dataLoader.Get(_stock.FullName, _dataRange, 0, ts, ts);
if ((data.C[leadingIndex - 1] <= _statSMA.Data(StatSMAData.SMA)[leadingIndex - 1 - _statSMA.BackBufferLength]) &&
(data.C[leadingIndex] > _statSMA.Data(StatSMAData.SMA)[leadingIndex - _statSMA.BackBufferLength]))
{
res.Add(CreateSignal(PositionDir.Long, systemState, data.C[leadingIndex]));
}
if ((data.C[leadingIndex - 1] >= _statSMA.Data(StatSMAData.SMA)[leadingIndex - 1 - _statSMA.BackBufferLength]) &&
(data.C[leadingIndex] < _statSMA.Data(StatSMAData.SMA)[leadingIndex - _statSMA.BackBufferLength]))
{
res.Add(CreateSignal(PositionDir.Short, systemState, data.C[leadingIndex]));
}
return(res);
}
/// <summary>
/// Gets stockpricesdata and index of specified ts. Returns true if index found.
/// </summary>
/// <param name="dataLoader"></param>
/// <param name="stockName"></param>
/// <param name="dataRange"></param>
/// <param name="ts"></param>
/// <param name="spData"></param>
/// <param name="dataIndex"></param>
/// <returns></returns>
public static bool GetWithIndex(this ISystemDataLoader dataLoader, string stockName, StockDataRange dataRange, DateTime ts,
out StockPricesData spData, out int dataIndex)
{
spData = dataLoader.Get(stockName, dataRange, 0, ts, ts);
dataIndex = spData.FindByTS(ts);
return(dataIndex >= 0);
}
public List <Signal> GenerateOnClose(DateTime ts, int leadingIndex, SystemState systemState)
{
List <Signal> res = new List <Signal>();
if (leadingIndex <= _statBB.BackBufferLength)
{
return(res);
}
StockPricesData data = _dataLoader.Get(_stock.FullName, _dataRange, 0, ts, ts);
_currentTrend = BBTrendRecognizer.BBTrendRecognizer.RecognizeTrend(data, (StatBB)_statBB, leadingIndex, _currentTrend, out _);
BBTrendExpectation expectation = BBTrendRecognizer.BBTrendRecognizer.GetExpectation(data, (StatBB)_statBB, leadingIndex, _currentTrend);
if (systemState.PositionsActive.Count > 0)
{
if (systemState.PositionsActive.Count > 1)
{
throw new Exception("More than 1 active position");
}
if ((expectation == BBTrendExpectation.DownAndFalling) || (expectation == BBTrendExpectation.DownButPossibleChange))
{
systemState.PositionsActive[0].CloseMode = PositionCloseMode.OnOpen;
}
}
else
{
if ((expectation == BBTrendExpectation.UpAndRaising) || (expectation == BBTrendExpectation.UpButPossibleChange))
{
res.Add(CreateSignal(PositionDir.Long, systemState, data.C[leadingIndex]));
}
}
return(res);
}
private float CalcActive(SystemState system, DateTime ts, ISystemDataLoader dataLoader)
{
return(system.PositionsActive.Sum(p =>
{
StockPricesData prices = dataLoader.Get(p.Stock.FullName, p.DataRange, p.IntradayInterval, ts, ts);
int ix = prices.FindByTS(ts);
return p.DirectionMultiplier() * prices.C[ix] * p.Volume;
}));
}
private StockPricesData GetLeadingData(SystemConfiguration systemConfiguration)
{
StockPricesData res = _dataLoader.Get(systemConfiguration.dataDefinition.stocks[0].stock.FullName, systemConfiguration.dataDefinition.stocks[0].dataRange, 0, systemConfiguration.tsFrom, systemConfiguration.tsTo);
if (res.Length == 0)
{
throw new Exception("Leading prices data is empty.");
}
return(res);
}
private bool LastDataTSNotBeforeSimulationEnds(string fundName, DateTime ts)
{
if (!_dataLoader.GetWithIndex(fundName, _dataRange, ts, out StockPricesData spData, out int dataIndex))
{
return(false);
}
if (dataIndex < spData.Length - 2)
{
return(true);
}
StockPricesData spFirstData = _dataLoader.Get(_fundsData.Stocks[0].FullName, _dataRange, 0, ts, ts);
return(spData.TS[spData.Length - 1] == spFirstData.TS[spFirstData.Length - 1]);
}
public void SetUp()
{
_dataLoader = Substitute.For <ISystemDataLoader>();
_testSys = new SystemState()
{
Cash = CashValue
};
_stockPrices = new StockPricesData(1);
_testObj = new SystemValueCalculator();
_stockPrices.TS[0] = CurrentTS;
_stockPrices.C[0] = PriceL;
_dataLoader
.Get(Arg.Compat.Any <string>(), Arg.Compat.Any <StockDataRange>(), Arg.Compat.Any <int>(), Arg.Compat.Any <DateTime>(), Arg.Compat.Any <DateTime>())
.Returns(_stockPrices);
}
public static (StockPricesData pricesData, int pricesDataIndex) GetPricesDataAndIndex(this ISystemDataLoader dataLoader, string stockName, StockDataRange dataRange, int intradayInterval, DateTime ts)
{
StockPricesData data = dataLoader.Get(stockName, dataRange, intradayInterval, ts, ts);
return(data, data.FindByTS(ts));
}
private StockPricesData GetPricesData(Position position, DateTime ts)
{
return _dataLoader.Get(position.Stock.FullName, position.DataRange, position.IntradayInterval, ts, ts);
}