public void PlaceBuyOrderDoesNotPlaceOrderWhenBalanceIsTooLow()
{
// Arrange
const int volume = 10;
const int buyPrice = 11;
var tested = new TransactionsLedger(0);
// Act
var result = tested.PlaceBuyOrder(quote1, buyPrice, volume);
// Assert
Assert.Multiple(() =>
{
Assert.AreEqual(OrderStatusType.DeniedInsufficientFunds, result);
Assert.False(tested.TheLedger.Any());
Assert.False(tested.OpenedPositions.Any());
});
}
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);
}
