internal void CloseOpenTrade(PortfolioHistoricalTradeVM trade, int openTradesIndex)
{
if (Options.AssetExposureBars)
{
var longAssetBar = GetAssetExposureBar(trade.LongAsset, openTime);
var shortAssetBar = GetAssetExposureBar(trade.ShortAsset, openTime);
if (Options.JournalLevel >= 1)
{
Console.WriteLine($"{trade.Trade.EntryTime} CLOSE LONG {trade.LongAsset} x {trade.LongVolumeAtEntry} | SHORT {trade.ShortAsset} x {trade.ShortVolumeAtEntry}");
}
longAssetBar.Close -= trade.LongVolumeAtEntry;
shortAssetBar.Close += trade.ShortVolumeAtEntry;
}
OpenTrades.RemoveAt(openTradesIndex);
CurrentBalance += trade.Trade.NetProfit / trade.Component.BacktestResult.InitialBalance;
if (Options.ComponentExposureBars)
{
trade.Component.CloseTrade(trade.Trade);
}
}
internal void EnterOpenTrade(PortfolioHistoricalTradeVM trade)
{
#if DEBUG
if (Options.Verbosity >= 4)
{
Console.WriteLine(trade.Trade.DumpProperties());
}
#endif
//var symbol1 = trade.Component.BacktestResult.Symbol;
var symbol = trade.Trade.SymbolCode;
string longAsset, shortAsset;
if (Options.AssetExposureBars)
{
if (trade.Component.IsMultiSymbol)
{
(longAsset, shortAsset) = AssetNameResolver.ResolvePair(symbol);
if (trade.LongAsset == null || trade.ShortAsset == null)
{
throw new AnalysisException($"Could not resolve long and short components of symbol {symbol}");
}
}
else
{
if (trade.Component.LongAsset == null)
{
throw new AnalysisException($"Could not resolve long and short components of symbol {symbol}");
}
longAsset = trade.LongAsset = trade.Component.LongAsset;
shortAsset = trade.ShortAsset = trade.Component.ShortAsset;
}
//Console.WriteLine($"EnterOpenTrade | {symbol} | {trade.LongAsset} | {trade.ShortAsset}");
var longAssetBar = GetAssetExposureBar(longAsset, openTime);
var shortAssetBar = GetAssetExposureBar(shortAsset, openTime);
trade.PopulateEntryVolumes();
if (Options.JournalLevel >= 1)
{
Console.WriteLine($"{trade.Trade.EntryTime} OPEN LONG {longAsset} x {trade.LongVolumeAtEntry} | SHORT {shortAsset} x {trade.ShortVolumeAtEntry}");
}
longAssetBar.Close += trade.LongVolumeAtEntry;
shortAssetBar.Close -= trade.ShortVolumeAtEntry;
}
OpenTrades.Add(trade);
if (Options.ComponentExposureBars)
{
trade.Component.OpenTrade(trade.Trade);
}
}
/// <param name="trade"></param>
/// <param name="sim"></param>
/// <returns>Returns negative numbers for Sell trades.</returns>
public static double NormalizeVolume(PortfolioHistoricalTradeVM trade, PortfolioSimulation sim, VolumeNormalizationOptions normalizationOptions = null)
{
// Note: Volume is used here instead of NetVolume, to have positive volumes for both buy and sell trades
var normalizedTradeVolume = NormalizeVolumeSource(sim, trade.Component, trade.Trade.Volume);
#if DEBUG
if (sim.Options.Verbosity >= 5)
{
Console.WriteLine($"[normalize] {trade.Trade.SymbolCode} normalized volume source from ({trade.Trade.TradeType.ToString()}) {trade.Trade.Volume} to {normalizedTradeVolume}");
}
#endif
if ((normalizationOptions?.MaxMode ?? sim.Options.VolumeNormalization.MaxMode).Value != VolumeNormalizationTargetMode.None)
{
double max = normalizationOptions?.Max ?? sim.Options.VolumeNormalization.Max ?? trade.Component.MaxAbsoluteVolume;
//switch (mode ?? sim.Options.VolumeNormalization.VolumeNormalizationTargetMax)
//{
// case PortfolioNormalizationTargetMaxMode.None:
// //var componentMaxNormalizedVolume = NormalizeVolumeSource(sim, trade.Component, trade.Component.MaxAbsoluteVolume);
// //max = componentMaxNormalizedVolume;
// //max =
// break;
// case PortfolioNormalizationTargetMaxMode.ToConstant:
// max = ;
// break;
// //case PortfolioNormalizationTargetMaxMode.
// //case PortfolioNormalizationTargetMaxMode.ScaleToMinTradeVolume:
// // max =
// // value =
// // if (trade.Trade.TradeType == TradeType.Sell) value *= -1;
// // break;
// //case PortfolioNormalizationTargetMaxMode.ToBacktestMaxTradeSize:
// // value = trade.Trade.Volume / trade.Component.MaxAbsoluteVolume;
// // if (trade.Trade.TradeType == TradeType.Sell) value *= -1;
// // break;
// ////case PortfolioNormalizationMode.ToBacktestConfiguredMaxTradeSize:
// //// throw new NotImplementedException();
// //// break;
// default:
// //case PortfolioNormalizationMode.Unspecified:
// throw new ArgumentException(nameof(sim.Options.VolumeNormalization.VolumeNormalizationTargetMax));
//}
switch (sim.Options.VolumeNormalization.Curve)
{
case PortfolioNormalizationCurveType.Linear:
normalizedTradeVolume = trade.Trade.TradeType == TradeType.Buy ? trade.Trade.Volume : -trade.Trade.Volume;
break;
case PortfolioNormalizationCurveType.Step:
normalizedTradeVolume = normalizedTradeVolume >= sim.Options.VolumeNormalization.StepThreshold ? max : 0;
break;
case PortfolioNormalizationCurveType.EaseIn:
{
double normalizedTo1 = normalizedTradeVolume / max;
normalizedTradeVolume = max * Math.Pow(normalizedTo1, sim.Options.VolumeNormalization.EasingExponent ?? VolumeNormalizationOptions.DefaultEasingExponent);
break;
}
case PortfolioNormalizationCurveType.EaseOut:
{
double normalizedTo1 = normalizedTradeVolume / max;
normalizedTradeVolume = max * Math.Pow(1 - (1 - normalizedTo1), sim.Options.VolumeNormalization.EasingExponent ?? VolumeNormalizationOptions.DefaultEasingExponent);
break;
}
//case PortfolioNormalizationCurveType.Unspecified:
default:
break;
}
}
if (trade.Trade.TradeType == TradeType.Sell)
{
normalizedTradeVolume *= -1;
}
#if DEBUG
if (sim.Options.Verbosity >= 0)
{
if (trade.Trade.Volume != 1)
{
Console.WriteLine($"[NORMALIZE] {trade.Trade.SymbolCode} normalized volume from ({trade.Trade.TradeType.ToString()}) {trade.Trade.Volume} to {normalizedTradeVolume} (final)");
}
}
#endif
return(normalizedTradeVolume);
}
