static void Main(string[] args)
{
List<ProjectToRun> projects = new List<ProjectToRun>();
projects.Add(ProjectToRun.NewInstance.WithProjectTemplate(CloseOrderTemplate.AtCloseOrder).WithProjectIndex(1));
projects.Add(ProjectToRun.NewInstance.WithProjectTemplate(OpenLongTemplate.AtCloseOrder).WithProjectIndex(2));
projects.Add(ProjectToRun.NewInstance.WithProjectTemplate(OpenShortTemplate.AtCloseOrder).WithProjectIndex(3));
RiskCalculator calculator = new RiskCalculator();
RiskCalculationOutput output = calculator.Calculate(
new RiskCalculationInput()
{
TotalPortfolioAmount = 15000,
PortfolioAllocationPercentage = 100,
NumberOfPositions = 3,
MaxPortfolioRisk = 10,
MaxPositionRisk = 2
});
var answer = output.MaximumAllocatedPositionAmount;
}
private static void SetCalculatedPositionSizeValue(BaseOpeningStrategy strategy)
{
RiskCalculator calculator = new RiskCalculator();
RiskCalculationOutput output = calculator.Calculate(
new RiskCalculationInput()
{
TotalPortfolioAmount = strategy.GrandTotalPortfolioAmount,
PortfolioAllocationPercentage = strategy.PortfolioAllocationPercentage,
NumberOfPositions = strategy.NumberOfPortfolioPositions,
MaxPortfolioRisk = strategy.MaxPortfolioRisk,
MaxPositionRisk = strategy.MaxPositionRisk
});
strategy.EffectiveAmountToInvest = output.MaximumAllocatedPositionAmount;
}
private static void SetCalculatedRiskAmountValue(BaseOpeningStrategy strategy)
{
if (strategy.RiskAmountCalculationStrategy == RiskAmountCalculationStrategy.FixedAmount)
{
strategy.EffectiveAmountToRisk = strategy.FixedAmountToRiskPerPosition;
}
else if (strategy.RiskAmountCalculationStrategy == RiskAmountCalculationStrategy.CalculatedBasedOnPortfolioAmount)
{
RiskCalculator calculator = new RiskCalculator();
RiskCalculationOutput output = calculator.Calculate(
new RiskCalculationInput()
{
TotalPortfolioAmount = strategy.GrandTotalPortfolioAmount,
PortfolioAllocationPercentage = strategy.PortfolioAllocationPercentage,
NumberOfPositions = strategy.NumberOfPortfolioPositions,
MaxPortfolioRisk = strategy.MaxPortfolioRisk,
MaxPositionRisk = strategy.MaxPositionRisk
});
strategy.EffectiveAmountToInvest = output.MaximumAllocatedPositionAmount;
if (strategy.RiskAppetiteStrategy == RiskAppetiteStrategy.MinRisk)
strategy.EffectiveAmountToRisk = new double[]
{
output.MaximumAllocatedPositionRiskAmountByPortfolioRisk,
output.MaximumAllocatedPositionRiskAmountByPositionRisk
}.Min();
else
strategy.EffectiveAmountToRisk = new double[]
{
output.MaximumAllocatedPositionRiskAmountByPortfolioRisk,
output.MaximumAllocatedPositionRiskAmountByPositionRisk
}.Max();
}
else
{
throw new NotImplementedException("RiskAmountCalculationStrategy not implemented");
}
}
