public async Task <List <string> > GetSymbols(dynamic config)
{
var highestPredictionConfig = config as HighestPredictionConfig;
var symbolDifferences = new List <(string, double)>();
foreach (var symbol in highestPredictionConfig.pool.symbols)
{
var req = new PredictionRequest {
Symbol = symbol,
TrendLength = highestPredictionConfig.trend_length
};
try {
var res = _predictorService.Predict(req);
var quote = await _datasourceService.GetQuote(symbol);
Console.WriteLine($"{symbol}: {res.ValDenorm} vs {quote.latestPrice}");
symbolDifferences.Add((symbol, (res.ValDenorm - quote.latestPrice) / quote.latestPrice));
} catch (Exception e) {
Console.WriteLine($"Error getting symbol data: {e}");
}
}
symbolDifferences.Sort((r1, r2) => r1.Item2.CompareTo(r2.Item2));
// Best performing at start
return(symbolDifferences
.Where(
diff =>
diff.Item2 >= highestPredictionConfig.filters.percent_change_floor &&
diff.Item2 <= highestPredictionConfig.filters.percent_change_ceiling
)
.Select((r) => r.Item1)
.Reverse()
.ToList());
}
public async Task ReconcilePool(dynamic config)
{
if (!(await _broker.IsMarketOpen()))
{
Console.WriteLine("Market is not open, not trading");
return;
}
var equalDistributorConfig = config as EqualDistributorConfig;
var buyingPower = await _broker.GetCash();
var combinedSymbols = new HashSet <string>();
var currentPositions = new Dictionary <string, Position>();
combinedSymbols.UnionWith(equalDistributorConfig.pool.symbols);
var positons = await _broker.GetPositions();
// buyingpower: cash + total long positions
// buyingpower (in short): cash + total short positions
positons
.Where(p => p.side == equalDistributorConfig.side)
.ToList()
.ForEach(p => {
buyingPower += Math.Abs(p.market_value);
combinedSymbols.Add(p.symbol);
currentPositions.Add(p.symbol, p);
});
var targetSymbolValue = buyingPower / equalDistributorConfig.pool.symbols.Count;
Console.WriteLine($"buying power: {buyingPower}");
foreach (var symbol in combinedSymbols)
{
Console.WriteLine($"combined symbol: {symbol}");
}
foreach (var symbol in equalDistributorConfig.pool.symbols)
{
Console.WriteLine($"pool symbol: {symbol}");
}
// TODO: just return symbols and shares?
// Make portfolio match pool
foreach (var symbol in combinedSymbols)
{
if (equalDistributorConfig.pool.symbols.Contains(symbol))
{
var quote = await _datasource.GetQuote(symbol);
var shares = Math.Floor(targetSymbolValue / quote.latestPrice);
if (currentPositions.ContainsKey(symbol) && equalDistributorConfig.pool.symbols.Contains(symbol))
{
// Has symbol but may need to adjust
var diff = shares - currentPositions[symbol].qty;
if (diff != 0)
{
await _broker.PlaceOrder(symbol, Convert.ToInt32(diff));
}
}
else
{
// Does not have symbol already, buy or sell shares
await _broker.PlaceOrder(symbol, Convert.ToInt32(shares));
}
}
else
{
// Has symbol but not in target pool, get to zero shares
var shares = -(currentPositions[symbol].qty);
await _broker.PlaceOrder(symbol, Convert.ToInt32(shares));
}
}
}