public IOrder AdjustRisk(IPortfolio portfolio)
{
var p = portfolio.PositionList.FirstOrDefault(v => v.InstrumentTicker == TargetInstrumentTicker);
if (p == null)
{
return(null);
}
if (p.DataTime < StartTime || p.DataTime > EndTime)
{
return(null);
}
if (p.IsProfit && ((p.MaxPrice - p.CurrentPrice) / p.MaxPrice > StopProfitPercent))
{
var o = portfolio.GenerateOrder(TargetInstrumentTicker, p.CurrentPrice, (int)p.Shares, OrderType.Sell);
return(o);
}
if (p.IsLoss && (p.Cost - p.CurrentPrice) / p.Cost > StopLossPercent)
{
var o = portfolio.GenerateOrder(TargetInstrumentTicker, p.CurrentPrice, (int)p.Shares, OrderType.Sell);
return(o);
}
if (p.KeepTime > MaxPositionTime)
{
var o = portfolio.GenerateOrder(TargetInstrumentTicker, p.CurrentPrice, (int)p.Shares, OrderType.Sell);
return(o);
}
var w = portfolio.GetWeight(TargetInstrumentTicker);
if (w > MaxWeightPercent && p.KeepTime >= MinPositionTime)
{
var capital = (w - MaxWeightPercent) * portfolio.PositionCapital.Number;
var o = portfolio.GenerateOrderByCapital(TargetInstrumentTicker, p.CurrentPrice, capital, OrderType.Sell);
return(o);
}
if (w < MinWeightPercent)
{
var capital = (MinWeightPercent - w) * portfolio.PositionCapital.Number;
var o = portfolio.GenerateOrderByCapital(TargetInstrumentTicker, p.CurrentPrice, capital, OrderType.Buy);
return(o);
}
return(null);
}
