public void ChangeTradePolicy(TradeStrategyMode?strategyMode)
{
switch (strategyMode)
{
case TradeStrategyMode.Normal:
this.TradePolicy = new NormalTrade();
break;
case TradeStrategyMode.FillToEmpty:
this.TradePolicy = new FillToEmpty();
break;
case TradeStrategyMode.LitteOfMuch:
this.TradePolicy = new LittleOfMuch();
break;
default:
this.TradePolicy = new NormalTrade();
break;
}
}
public StockHoldingDecesionResult MakeStockHoldingDecision(string azureTableStockCode, bool realTime, ITradePolicy policy, bool savePlannedDecesionBuyPrice = false, double checkBestBuyChanceDelta = 0.02)
{
CloudTable table = GetAzureTable();
TableOperation retrieveStockEntityStatus = TableOperation.Retrieve<StockEntityStatus>("status-" + azureTableStockCode, "status");
var stockEntityStatus = (StockEntityStatus)table.Execute(retrieveStockEntityStatus).Result;
if (stockEntityStatus == null)
{
throw new InvalidOperationException("Please upload data and do initial processing first.");
}
DateTime stockHistoryFetchStartTime = DateTime.Now.Subtract(TimeSpan.FromDays(60));
if (stockEntityStatus.LastBoughtDate < stockHistoryFetchStartTime) stockHistoryFetchStartTime = stockEntityStatus.LastBoughtDate;
if (stockEntityStatus.LastSoldDate < stockHistoryFetchStartTime) stockHistoryFetchStartTime = stockEntityStatus.LastSoldDate;
string pkFilter = TableQuery.GenerateFilterCondition("PartitionKey", QueryComparisons.Equal, azureTableStockCode);
string rkFilter = TableQuery.GenerateFilterCondition("RowKey", QueryComparisons.GreaterThanOrEqual, stockHistoryFetchStartTime.ToString("yyyy-MM-dd"));
string combinedFilter = TableQuery.CombineFilters(pkFilter, TableOperators.And, rkFilter);
TableQuery<StockEntity> query = new TableQuery<StockEntity>().Where(combinedFilter);
var sortedStockEntities = table.ExecuteQuery<StockEntity>(query).OrderBy(entity => entity.Date).ToList();
// TODO: check data completeness
StockEntity stockEntity;
if (!realTime)
{
stockEntity = sortedStockEntities.Last<StockEntity>();
}
else
{
stockEntity = dataSourceClient.GetRealtimeStockData(azureTableStockCode);
sortedStockEntities.Add(stockEntity);
}
var lastBoughtStockEntity = sortedStockEntities.FindLast(entity => entity.RowKey == stockEntityStatus.LastBoughtDate.ToString("yyyy-MM-dd"));
var lastSoldStockEntity = sortedStockEntities.FindLast(entity => entity.RowKey == stockEntityStatus.LastSoldDate.ToString("yyyy-MM-dd"));
StockHoldingDecesionResult result = null;
bool buyStock = policy.BuyPolicy(stockEntity, lastBoughtStockEntity, lastSoldStockEntity, sortedStockEntities);
bool sellStock = policy.SellPolicy(stockEntity, lastBoughtStockEntity, lastSoldStockEntity, sortedStockEntities);
if (stockEntityStatus.StockHoldingStatus)
{
if (sellStock)
{
result = new StockHoldingDecesionResult
{
Price = stockEntity.Close,
Decesion = StockHoldingDecesion.Sell,
LastRawDataDate = stockEntityStatus.LastestRawDataDate
};
}
else
{
result = new StockHoldingDecesionResult
{
Price = stockEntity.Close,
Decesion = StockHoldingDecesion.Hold,
LastRawDataDate = stockEntityStatus.LastestRawDataDate
};
}
}
else
{
if (buyStock)
{
if (stockEntityStatus.PlannedDecesionBuyPrice <= 0
|| stockEntity.Close < stockEntityStatus.PlannedDecesionBuyPrice * (1 + checkBestBuyChanceDelta))
{
result = new StockHoldingDecesionResult
{
Price = stockEntity.Close,
Decesion = StockHoldingDecesion.Buy,
LastRawDataDate = stockEntityStatus.LastestRawDataDate
};
}
else
{
result = new StockHoldingDecesionResult
{
Price = stockEntity.Close,
Decesion = StockHoldingDecesion.MissBestBuyChance,
LastRawDataDate = stockEntityStatus.LastestRawDataDate
};
}
}
else
{
result = new StockHoldingDecesionResult
{
Price = stockEntity.Close,
Decesion = StockHoldingDecesion.Empty,
LastRawDataDate = stockEntityStatus.LastestRawDataDate
};
}
}
if (savePlannedDecesionBuyPrice)
{
if (buyStock && stockEntityStatus.PlannedDecesionBuyPrice <= 0 && stockEntity.Close > 0)
{
Console.WriteLine("Set {0} planned decesion buy price to {1}", azureTableStockCode, stockEntity.Close);
stockEntityStatus.PlannedDecesionBuyPrice = stockEntity.Close;
table.Execute(TableOperation.InsertOrMerge(stockEntityStatus));
}
else if (sellStock && stockEntityStatus.PlannedDecesionBuyPrice >= 0)
{
Console.WriteLine("Set {0} planned decesion buy price to -1", azureTableStockCode);
stockEntityStatus.PlannedDecesionBuyPrice = -1;
table.Execute(TableOperation.InsertOrMerge(stockEntityStatus));
}
}
return result;
}
public double CheckWinRate(string azureTableStockCode, ITradePolicy policy, string dateTimeSince = "1990-01-01", bool noDividend = false, bool saveResult = false)
{
CloudTable table = GetAzureTable();
string pkFilter = TableQuery.GenerateFilterCondition("PartitionKey", QueryComparisons.Equal, azureTableStockCode);
string rkFilter = TableQuery.GenerateFilterCondition("RowKey", QueryComparisons.GreaterThanOrEqual, dateTimeSince);
string combinedFilter = TableQuery.CombineFilters(pkFilter, TableOperators.And, rkFilter);
TableQuery<StockEntity> query = new TableQuery<StockEntity>().Where(combinedFilter);
var sortedStockEntities = table.ExecuteQuery<StockEntity>(query).OrderBy(entity => entity.Date).ToList();
double money = 1000;
double quantity = -1;
StockEntity lastBoughtStockEntity = new StockEntity();
StockEntity lastSoldStockEntity = new StockEntity();
StockEntity yesterdayStockEntity = null;
long winCount = 0;
long hugeWinCount = 0;
long loseCount = 0;
long hugeLoseCount = 0;
foreach (var stockEntity in sortedStockEntities)
{
if (quantity < 0)
{
if (policy.BuyPolicy(stockEntity, lastBoughtStockEntity, lastSoldStockEntity, sortedStockEntities))
{
lastBoughtStockEntity = BuyStock(stockEntity, ref money, ref quantity);
}
}
else if (quantity > 0)
{
bool bonusDividend = false;
double devidendRate = 1;
if (!noDividend)
{
if (yesterdayStockEntity != null && stockEntity.Open > 0 && stockEntity.Open < yesterdayStockEntity.Close * 0.9)
{
Console.WriteLine("It's impossible that much lose happened, bonus dividend must have happened!");
bonusDividend = true;
devidendRate = yesterdayStockEntity.Close / stockEntity.Open;
quantity *= devidendRate;
}
}
if (policy.SellPolicy(stockEntity, lastBoughtStockEntity, lastSoldStockEntity, sortedStockEntities))
{
lastSoldStockEntity = SellStock(stockEntity, ref money, ref quantity);
if (stockEntity.Close * devidendRate > lastBoughtStockEntity.Close)
{
Console.WriteLine("{0}: Win {1}%", stockEntity.Date.ToString("yyyy-MM-dd"), (stockEntity.Close * devidendRate - lastBoughtStockEntity.Close) / lastBoughtStockEntity.Close * 100);
winCount++;
if (stockEntity.Close * devidendRate > lastBoughtStockEntity.Close * 1.1)
{
hugeWinCount++;
}
}
else
{
Console.WriteLine("{0}: Lose {1}%", stockEntity.Date.ToString("yyyy-MM-dd"), (lastBoughtStockEntity.Close - stockEntity.Close * devidendRate) / lastBoughtStockEntity.Close * 100);
loseCount++;
if (!bonusDividend && stockEntity.Close < lastBoughtStockEntity.Close * 0.9)
{
hugeLoseCount++;
}
}
}
}
yesterdayStockEntity = stockEntity;
}
if (quantity > 0 && sortedStockEntities.LongCount() > 0)
{
money = sortedStockEntities.Last().Close * quantity;
}
Console.WriteLine("{4}: Money at the end is {0}, win count = {1}, huge win count = {5}, lose count = {2}, huge lose count = {6}, win rate = {3}%", money, winCount, loseCount, (double)winCount * 100 / (winCount + loseCount), azureTableStockCode, hugeWinCount, hugeLoseCount);
if (saveResult)
{
TableOperation retrieveStockEntityStatus = TableOperation.Retrieve<StockEntityStatus>("status-" + azureTableStockCode, "status");
var stockEntityStatus = (StockEntityStatus)table.Execute(retrieveStockEntityStatus).Result;
if (stockEntityStatus == null)
{
throw new InvalidOperationException("Please upload data and do initial processing first.");
}
if (dateTimeSince == "1990-01-01")
{
stockEntityStatus.OverallWinRate = (double)winCount * 100 / (winCount + loseCount);
stockEntityStatus.OverallProfitRate = (money - 1000) * 100 / 1000;
}
else
{
stockEntityStatus.RecentWinRate = (double)winCount * 100 / (winCount + loseCount);
stockEntityStatus.RecentProfitRate = (money - 1000) * 100 / 1000;
}
table.Execute(TableOperation.InsertOrMerge(stockEntityStatus));
}
return (double)winCount * 100 / (winCount + loseCount);
}