public static List <StrategyParams> ReadConfig()
{
using (StreamReader r = new StreamReader(ConfigPath))
{
string json = r.ReadToEnd();
CommonParams commonParams = JsonConvert.DeserializeObject <CommonParams>(json);
ExcelReader.ExcelPositionFileName = commonParams.ExcelPositionFileName;
ExcelReader.ExcelPositionSheetName = commonParams.ExcelPositionSheetName;
ExcelReader.ExcelOrdersSheetName = commonParams.ExcelOrdersSheetName;
ExcelReader.PositionTickerColumn = commonParams.PositionTickerColumn;
ExcelReader.QtyColumn = commonParams.QtyColumn;
ExcelReader.PlannedColumn = commonParams.PlannedColumn;
ExcelReader.PositionSideColumn = commonParams.PositionSideColumn;
ExcelReader.AvgPriceColumn = commonParams.AvgPriceColumn;
ExcelReader.OrderTickerColumn = commonParams.OrderTickerColumn;
ExcelReader.StatusColumn = commonParams.StatusColumn;
ExcelReader.OrderSideColumn = commonParams.OrderSideColumn;
ExcelReader.OrderIdColumn = commonParams.OrderIdColumn;
ExcelReader.PriceColumn = commonParams.PriceColumn;
ExcelReader.StopPriceColumn = commonParams.StopPriceColumn;
ExcelReader.VolumeColumn = commonParams.VolumeColumn;
ExcelReader.BalanceColumn = commonParams.BalanceColumn;
PortfolioManager.GetInstance().SumToTrade = commonParams.SumToTrade;
return(commonParams.Strategies);
}
}
public static PortfolioManager GetInstance()
{
if (Instance == null)
{
Instance = new PortfolioManager();
}
return(Instance);
}
private void getBarsButton_Click(object sender, EventArgs e)
{
DBInputOutput.DBReader dbReader = new DBInputOutput.DBReader();
Server server = Server.GetInstance();
PortfolioManager portManager = PortfolioManager.GetInstance();
List <StrategyParams> pars = ConfigReader.ReadConfig();
double[] ws = pars.Select(par => par.ContractsToTrade > 0 ? par.StrategicWeight : -1).Where(w => w >= 0).ToArray();
double[] mults = pars.Select(par => par.ContractsToTrade > 0 ? par.Mult : -1).Where(m => m != -1).ToArray();
List <string> stratNames = pars.Select(par => par.ContractsToTrade > 0 ? par.Name : "").Where(s => !s.Equals("")).ToList();
double[] gos = stratNames.Select(name => server.GetStrategies().Find(strat => strat.Name.Equals(name)).GO).ToArray();
double[] ps = stratNames.Select(name => dbReader.SelectLastPrice(server.GetStrategies().Find(strat => strat.Name.Equals(name)).Symbol).Close).ToArray();
double[] steps = pars.Select(par => par.ContractsToTrade > 0 ? par.Step : -1).Where(s => s != -1).ToArray();
for (int i = 0; i < ws.Length; i++)
{
ws[i] = ws[i] / (ps[i] * mults[i] / gos[i]);
}
double sm = ws.Sum();
portManager.TargetWs = ws.Select(w => w / sm).ToArray();
//portManager.TargetWs = pars.Select(par => par.ContractsToTrade > 0 ? par.StrategicWeight : -1).Where(w => w >= 0).ToArray();
if (Math.Abs(portManager.TargetWs.Sum() - 1.0) >= 0.001)
{
WriteToError("Sum of TargetWs != 1. Cannot optimize");
return;
}
int[] contractsToTrade = portManager.CalcContractsToTrade(gos);
string message = "Nearest Weights:\r\n";
double sumToTrade = 0.0;
double goToTrade = 0.0;
for (int i = 0; i < stratNames.Count; i++)
{
sumToTrade += contractsToTrade[i] * ps[i] * mults[i];
goToTrade += contractsToTrade[i] * gos[i];
}
for (int i = 0; i < stratNames.Count; i++)
{
double pct = Math.Round(contractsToTrade[i] * ps[i] * mults[i] / sumToTrade, 4) * 100;
message += stratNames[i] + ": " + contractsToTrade[i] + " * " + ps[i] * mults[i] + " = " + contractsToTrade[i] * ps[i] * mults[i] +
" ₽ (" + pct + "%)\r\n";
}
message += "Total Sum: " + sumToTrade + " ₽ \r\n";
message += "Total Money Used: " + goToTrade + " ₽ \r\n";
WriteToError(message);
}
