コード例 #1
0
        public void FillOutputs(EachDynamicPropSim parent, DateTime cur, Boolean bFirstRow)
        {
            Trace.Assert(parent.Incs.ContainsKey(cur));

            double curInc = parent.Incs[cur];
            DateTime prev = cur.AddDays(-1);

            double pnl = 0;
            double prevCumPnl = 0;
            if (!bFirstRow)
            {
                Trace.Assert(parent.Investments.ContainsKey(prev));
                Trace.Assert(parent.CumPnls.ContainsKey(prev));

                double prevInvestment = parent.Investments[prev];
                prevCumPnl = parent.CumPnls[prev];
                pnl = prevInvestment * curInc;
            }

            double curCumPnl = prevCumPnl + pnl;
            double investment = _investment;

            parent.Pnls.Add(cur, pnl);
            parent.CumPnls.Add(cur, curCumPnl);
            parent.Investments.Add(cur, investment);
        }
コード例 #2
0
        public void Execute(SortedList<DateTime, double> marketData)
        {
            List<Tuple<DateTime, DateTime>> simDateList = GetSimDateList(this._from, this._until, _startGapMonth, _durationMonth);

            _marketData = marketData;
            //_marketData = MarketDataManager.Ins().Get_PX_LAST_Data(
            //    this._ticker, this._currency);

            if (_marketData.Count == 0)
            {
                logger.Error("Fatal error");
                return;
            }

            foreach (Tuple<DateTime, DateTime> eachSimDate in simDateList)
            {
                // each simulation을 진행할 클래스를 만들어서 진행하고 결과를 받도록 한다.
                EachDynamicPropSim eachSim = new EachDynamicPropSim(
                    this.Key, this._ticker, eachSimDate, _marketData, this._lossCutEach,
                    this._leverageEach, this._maxInvestmentEach, _policy);
                eachSim.ExecuteSim();
                EachSims.Add(eachSim);
            }

            SetStatisticData();
        }
コード例 #3
0
ファイル: PropSimPolicy.cs プロジェクト: HongSeokHwan/legacy
 double GetInvestment(double cumPnl, EachDynamicPropSim parent)
 {
     return Math.Min((cumPnl - parent.LossCut) * parent.Leverage, parent.MaxInvestment);
 }