public static void Initialize(SimplexFundsData data, string[] fundsNames, IStockDataProvider dataProvider)
{
for (int i = 0; i < fundsNames.Length; i++)
{
data.Stocks[i] = dataProvider.GetStockDefinition(fundsNames[i]);
}
}
/// <summary>
/// Gets stocks by their symbols
/// </summary>
/// <param name="stockDataProvider"></param>
/// <param name="symbols"></param>
/// <returns></returns>
public IEnumerable<Stock> GetStocks(IStockDataProvider stockDataProvider, IEnumerable<string> symbols)
{
if (stockDataProvider == null) throw new ArgumentNullException("stockDataProvider");
// check that symbols were provided
if (symbols == null) return new List<Stock>();
// enumerate symbols, if necessary
var symbolList = symbols as string[] ?? symbols.ToArray();
// get stocks by symbols
var stocks = _marketDataRepository.StocksQuery.Where(s => symbolList.Contains(s.Symbol)).ToList();
// get list of symbols for stocks that were not found
var missingStocks = symbolList.Except(stocks.Select(s => s.Symbol)).ToList();
// get data for stocks that are missing
if (missingStocks.Count > 0)
{
var newStocks = stockDataProvider.GetStockData(missingStocks).Select(CreateStock);
// get data for missing stocks and insert it to the repository
foreach (var newStock in newStocks)
_marketDataRepository.Stocks.Add(newStock);
// save changes
_marketDataRepository.SaveChanges();
// add new stocks
stocks.AddRange(newStocks);
}
return stocks;
}
/// <summary>
/// Instantiates a <see cref="PennyPicksEmailStockProvider"/>
/// </summary>
/// <param name="emailAlertsAppSettings"></param>
/// <param name="emailFeedFactory"></param>
/// <param name="stockParser"></param>
/// <param name="stockDataProviderFactory"></param>
/// <param name="stockRetriever"></param>
public PennyPicksEmailStockProvider(IEmailAlertsAppSettings emailAlertsAppSettings,
IEmailFeedFactory emailFeedFactory,
[Dependency(ParserName)] IEmailStockParser stockParser,
IStockDataProviderFactory stockDataProviderFactory,
IStockRetriever stockRetriever)
{
// check nulls
if (emailAlertsAppSettings == null) throw new ArgumentNullException("emailAlertsAppSettings");
if (emailFeedFactory == null) throw new ArgumentNullException("emailFeedFactory");
if (stockParser == null) throw new ArgumentNullException("stockParser");
if (stockRetriever == null) throw new ArgumentNullException("stockRetriever");
// create feed
_feed = emailFeedFactory.CreateFeed(emailAlertsAppSettings.PennyPicksFeedName);
_feed.NewEmailsFound += FeedOnNewEmailsFound;
// get the stock data provider
_stockDataProvider = stockDataProviderFactory.GetStockDataProvider(emailAlertsAppSettings.PennyPicksStockDataProviderName);
// set stock parser and retriever
_stockParser = stockParser;
_stockRetriever = stockRetriever;
// start feed
_feed.Start();
}
public SystemDefinitionFactory(IStockDataProvider dataProvider, ISystemDataLoader dataLoader, ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
}
public void SetUp()
{
_dataProvider = StockDataProviderUtils.CreateSubstitute(DateTime.MinValue);
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(2 * BackBufRange, BackBufRange, DateTime.Now.Date);
TestObj = new StocksDataPreloader(_dataProvider, _dataLoader);
_stat = new StockStatMock("", BackBufRange);
}
public SignalsBBTrendFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger)
{
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new BBTrendFundsData(_fundsNames.Length);
BBTrendFundsDataCalculator.Initialize(_fundsData, _fundsNames, BBPeriod, BBSigmaWidth, HLPeriod, dataProvider);
_rebalanceSignal = new ModNCounter(RebalanceInterval);
}
public PriceUpdate(IStockDataProvider stockDataProvider,
IAutomationProvider automationProvider,
IRepository repository)
{
Condition.Requires(stockDataProvider).IsNotNull();
Condition.Requires(automationProvider).IsNotNull();
Condition.Requires(repository).IsNotNull();
this._stockDataProvider = stockDataProvider;
this._automationProvider = automationProvider;
this._repository = repository;
}
public PriceCrossingSMA(IStockDataProvider dataProvider, ISystemDataLoader dataLoader,
ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
SystemParams.Set(PriceCrossingSMAParams.StockName, "");
SystemParams.Set(PriceCrossingSMAParams.SMAPeriod, 20);
}
public BBTrendFunds(IStockDataProvider dataProvider, ISystemDataLoader dataLoader,
ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
//SystemParams.Set(BBTrendParams.StockName, "");
//SystemParams.Set(BBTrendParams.BBPeriod, 20);
//SystemParams.Set(BBTrendParams.BBSigmaWidth, 2f);
}
public void SetUp()
{
_dataProvider = Substitute.For <IStockDataProvider>();
_dataProvider.GetStockDefinition(Arg.Compat.Any <string>())
.Returns((x) =>
{
_getStockDefinitionCalls++;
return(new StockDefinition());
});
_testObj = new BufferedDataLoader(_dataProvider);
_getStockDefinitionCalls = 0;
_getPricesDataCalls = 0;
}
/// <summary>
/// Initializes a new instance of the <see cref="GatherPriceData"/> class.
/// </summary>
/// <param name="stockPriceProvider">The stock price provider.</param>
public GatherPriceData(IStockPriceProvider stockPriceProvider,
IStockDataProvider stockDataProvider)
{
Condition.Requires(stockPriceProvider).IsNotNull();
Condition.Requires(stockDataProvider).IsNotNull();
this._priceProvider = stockPriceProvider;
this._stockDataProvider = stockDataProvider;
// TODO - inject this
this._scheduler = new Scheduler.Scheduler();
// Schedule the scrape every minute
this._scheduler.AddScheduledAction(() => GetStockPrices(), new TimeSpan(0, 1, 0));
}
public SignalsPriceCrossingSMA(string stockName, StockDataRange dataRange, int smaPeriod, ISystemDataLoader dataLoader, IStockDataProvider dataProvider, IMMSignalVolume signalVolumeCalculator)
{
_dataRange = dataRange;
_smaPeriod = smaPeriod;
_dataLoader = dataLoader;
_dataProvider = dataProvider;
_signalVolumeCalculator = signalVolumeCalculator;
_stock = _dataProvider.GetStockDefinition(stockName);
_statSMA = new StatSMA("")
.SetParam(StatSMAParams.Period, new MOParamInt()
{
Value = _smaPeriod
});
}
//private readonly ModNCounter _rebalanceSignal;
public SignalsBBTrendMultiFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger)
{
_aggressiveFunds = _fundsNames.Select((_, i) => i > 0).ToArray();
if (_fundsNames.Length != _aggressiveFunds.Length)
{
throw new Exception("_fundsNames != _aggressiveFunds");
}
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new BBTrendFundsData(_fundsNames.Length);
BBTrendFundsDataCalculator.Initialize(_fundsData, _fundsNames, BBPeriod, BBSigmaWidth, HLPeriod, dataProvider);
//_rebalanceSignal = new ModNCounter(RebalanceInterval);
}
public void SetUp()
{
_dataProvider = StockDataProviderUtils.CreateSubstitute(DateTime.MinValue);
_dataLoader = SystemDataLoaderUtils.CreateSubstituteWithConstantPriceInRange(PricesCount, StartingPrice, PriceRange, LastDate);
_dataDefinitionProvider = Substitute.For <ISystemDataDefinitionProvider>();
_signalGeneratorOnOpen = Substitute.For <ISignalGeneratorOnOpen>();
_signalGeneratorOnClose = Substitute.For <ISignalGeneratorOnClose>();
_commission = CommissionUtils.CreateSubstitute();
_slippage = SlippageUtils.CreateSusbstitute();
_mmPositionCloseCalculator = Substitute.For <IMMPositionCloseCalculator>();
_systemState = new SystemState()
{
Cash = InitialCash
};
_slippage.CalculateOpen(default, default, default, default).ReturnsForAnyArgs(args => args.ArgAt <float>(3));
public BetCommandHandler(
IPortfolioDataProvider portfolioDataProvider,
IAccountDataProvider accountDataProvider,
IStockDataProvider stockDataProvider,
IBetController betController)
{
Condition.Requires(portfolioDataProvider).IsNotNull();
Condition.Requires(accountDataProvider).IsNotNull();
Condition.Requires(stockDataProvider).IsNotNull();
Condition.Requires(betController).IsNotNull();
this._accountDataProvider = accountDataProvider;
this._portfolioDataProvider = portfolioDataProvider;
this._stockDataProvider = stockDataProvider;
this._betController = betController;
}
public SimplexMultiFunds(IStockDataProvider dataProvider, ISystemDataLoader dataLoader,
ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
SystemParams.Set(SimplexMultiFundsParams.AvgProfitRange, 3);
SystemParams.Set(SimplexMultiFundsParams.AvgChangeRange, 6);
SystemParams.Set(SimplexMultiFundsParams.AcceptableSingleDD, 0.1);
SystemParams.Set(SimplexMultiFundsParams.RiskSigmaMultiplier, 2.0);
SystemParams.Set(SimplexMultiFundsParams.MaxSinglePositionSize, 0.8);
SystemParams.Set(SimplexMultiFundsParams.MaxPortfolioRisk, 0.8);
SystemParams.Set(SimplexMultiFundsParams.TruncateBalanceToNthPlace, 3);
}
public GetBetDecisions(
IStockDataProvider stockDataProvider,
IStockFilter stockFilter,
IInvestDecider investDecider,
ICommandBus commandBus,
IUpdate priceUpdate)
{
Condition.Requires(stockDataProvider).IsNotNull();
Condition.Requires(stockFilter).IsNotNull();
Condition.Requires(investDecider).IsNotNull();
Condition.Requires(commandBus).IsNotNull();
Condition.Requires(priceUpdate).IsNotNull();
this._stockDataProvider = stockDataProvider;
this._stockFilter = stockFilter;
this._investDecider = investDecider;
this._commandBus = commandBus;
this._priceUpdate = priceUpdate;
}
public FormMain()
{
InitializeComponent();
_msgDisplay = new MsgDisplay(this, "MarketOps");
_dataProvider = DataProvidersFactory.GetStockDataProvider();
_systemDataLoader = SystemDataLoaderFactory.Get(_dataProvider);
_systemExecutionLogger = new SystemExecutionLoggerToTextBox(edtSimDataLog);
_configSystemDefinitions = ConfigSystemDefsLoader.Load();
_systemDefinitionFactory = new SystemDefinitionFactory(_dataProvider, _systemDataLoader, new SlippageNone(), new CommissionNone(), _systemExecutionLogger);
StatsFactories.Initialize();
dbgPositions.OnPositionClick += dbgPositions_OnPositionClick;
this.Icon = Icon.ExtractAssociatedIcon(Application.ExecutablePath);
tcCharts.TabPages.Clear();
PrepareStockDataRangeSource();
InitializeSim();
LoadConfig();
}
/// <summary>
/// Gets stocks by their symbols
/// </summary>
/// <param name="stockDataProvider"></param>
/// <param name="symbols"></param>
/// <returns></returns>
public IEnumerable <Stock> GetStocks(IStockDataProvider stockDataProvider, IEnumerable <string> symbols)
{
if (stockDataProvider == null)
{
throw new ArgumentNullException("stockDataProvider");
}
// check that symbols were provided
if (symbols == null)
{
return(new List <Stock>());
}
// enumerate symbols, if necessary
var symbolList = symbols as string[] ?? symbols.ToArray();
// get stocks by symbols
var stocks = _marketDataRepository.StocksQuery.Where(s => symbolList.Contains(s.Symbol)).ToList();
// get list of symbols for stocks that were not found
var missingStocks = symbolList.Except(stocks.Select(s => s.Symbol)).ToList();
// get data for stocks that are missing
if (missingStocks.Count > 0)
{
var newStocks = stockDataProvider.GetStockData(missingStocks).Select(CreateStock);
// get data for missing stocks and insert it to the repository
foreach (var newStock in newStocks)
{
_marketDataRepository.Stocks.Add(newStock);
}
// save changes
_marketDataRepository.SaveChanges();
// add new stocks
stocks.AddRange(newStocks);
}
return(stocks);
}
public SignalsBBTrend(string stockName, StockDataRange dataRange, int bbPeriod, float bbSigmaWidth, ISystemDataLoader dataLoader, IStockDataProvider dataProvider, IMMSignalVolume signalVolumeCalculator)
{
_dataRange = dataRange;
_bbPeriod = bbPeriod;
_bbSigmaWidth = bbSigmaWidth;
_dataLoader = dataLoader;
_dataProvider = dataProvider;
_signalVolumeCalculator = signalVolumeCalculator;
_stock = _dataProvider.GetStockDefinition(stockName);
_statBB = new StatBB("")
.SetParam(StatBBParams.Period, new MOParamInt()
{
Value = _bbPeriod
})
.SetParam(StatBBParams.SigmaWidth, new MOParamFloat()
{
Value = bbSigmaWidth
});
}
public SystemProcessor(
IStockDataProvider dataProvider,
ISystemDataLoader dataLoader,
ISystemDataDefinitionProvider dataDefinitionProvider,
ISignalGeneratorOnOpen signalGeneratorOnOpen,
ISignalGeneratorOnClose signalGeneratorOnClose,
ICommission commission,
ISlippage slippage,
IMMPositionCloseCalculator mmPositionCloseCalculator)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_dataDefinitionProvider = dataDefinitionProvider;
_signalGeneratorOnOpen = signalGeneratorOnOpen;
_signalGeneratorOnClose = signalGeneratorOnClose;
_commission = commission;
_slippage = slippage;
_mmPositionCloseCalculator = mmPositionCloseCalculator;
_signalsProcessor = new SignalsProcessor(_dataLoader, _commission, _slippage);
_positionCloser = new PositionsCloser(_dataLoader, _commission, _slippage);
}
public SignalsSimplexMultiFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger, MOParams systemParams)
{
_avgProfitRange = systemParams.Get(SimplexMultiFundsParams.AvgProfitRange).As <int>();
_avgChangeRange = systemParams.Get(SimplexMultiFundsParams.AvgChangeRange).As <int>();
_acceptableSingleDD = systemParams.Get(SimplexMultiFundsParams.AcceptableSingleDD).As <double>();
_riskSigmaMultiplier = systemParams.Get(SimplexMultiFundsParams.RiskSigmaMultiplier).As <double>();
_maxSinglePositionSize = systemParams.Get(SimplexMultiFundsParams.MaxSinglePositionSize).As <double>();
_maxPortfolioRisk = systemParams.Get(SimplexMultiFundsParams.MaxPortfolioRisk).As <double>();
_truncateBalanceToNthPlace = systemParams.Get(SimplexMultiFundsParams.TruncateBalanceToNthPlace).As <int>();
_aggressiveFunds = _fundsNames.Select((_, i) => i > 0).ToArray();
if (_fundsNames.Length != _aggressiveFunds.Length)
{
throw new Exception("_fundsNames != _aggressiveFunds");
}
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new SimplexFundsData(_fundsNames.Length);
SimplexFundsDataCalculator.Initialize(_fundsData, _fundsNames, dataProvider);
}
/// <summary>
/// Instantiates a <see cref="PennyPicksEmailStockProvider"/>
/// </summary>
/// <param name="emailAlertsAppSettings"></param>
/// <param name="emailFeedFactory"></param>
/// <param name="stockParser"></param>
/// <param name="stockDataProviderFactory"></param>
/// <param name="stockRetriever"></param>
public PennyPicksEmailStockProvider(IEmailAlertsAppSettings emailAlertsAppSettings,
IEmailFeedFactory emailFeedFactory,
[Dependency(ParserName)] IEmailStockParser stockParser,
IStockDataProviderFactory stockDataProviderFactory,
IStockRetriever stockRetriever)
{
// check nulls
if (emailAlertsAppSettings == null)
{
throw new ArgumentNullException("emailAlertsAppSettings");
}
if (emailFeedFactory == null)
{
throw new ArgumentNullException("emailFeedFactory");
}
if (stockParser == null)
{
throw new ArgumentNullException("stockParser");
}
if (stockRetriever == null)
{
throw new ArgumentNullException("stockRetriever");
}
// create feed
_feed = emailFeedFactory.CreateFeed(emailAlertsAppSettings.PennyPicksFeedName);
_feed.NewEmailsFound += FeedOnNewEmailsFound;
// get the stock data provider
_stockDataProvider = stockDataProviderFactory.GetStockDataProvider(emailAlertsAppSettings.PennyPicksStockDataProviderName);
// set stock parser and retriever
_stockParser = stockParser;
_stockRetriever = stockRetriever;
// start feed
_feed.Start();
}
public EditPositionPresenter(IPortfolioRepository portfolioRepository, IStockDataProvider stockService)
{
_portfolioRepository = portfolioRepository;
_stockService = stockService;
}
public static IStockDataProvider CreateSubstitute(DateTime nearestTickGETicksBefore)
{
IStockDataProvider dataProvider = Substitute.For <IStockDataProvider>();
dataProvider.GetNearestTickGETicksBefore(default, default, default, default, default).ReturnsForAnyArgs(nearestTickGETicksBefore);
} // used for dropdown select options
public StockViewerModel(IHtmlHelper htmlHelper, IStockDataProvider stockDataProvider)
{
this._stockData = stockDataProvider;
this._htmlHelper = htmlHelper;
this.Yh = new YahooHistoryConfig();
}
public StockSymbolUpdateReader(IStockDataProvider provider) => _stockProvider = provider;
public PortfolioService(IPortfolioRepository portfolioRepository, IStockDataProvider stockDataProvider)
{
_portRepo = portfolioRepository;
_stockRepo = stockDataProvider;
}
public StocksDataPreloader(IStockDataProvider dataProvider, ISystemDataLoader dataLoader)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
}
public SystemRunner(IStockDataProvider dataProvider, ISystemDataLoader dataLoader)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
}
public IndicatorsCalculator(IStockDataProvider dataProvider)
{
_dataProvider = dataProvider;
}
public static void Initialize(BBTrendFundsData data, string[] fundsNames, int bbPeriod, float bbSigmaWidth, int hlPeriod, IStockDataProvider dataProvider)
{
for (int i = 0; i < fundsNames.Length; i++)
{
data.Stocks[i] = dataProvider.GetStockDefinition(fundsNames[i]);
StockStat statBB = new StatBB("")
.SetParam(StatBBParams.Period, new MOParamInt()
{
Value = bbPeriod
})
.SetParam(StatBBParams.SigmaWidth, new MOParamFloat()
{
Value = bbSigmaWidth
});
data.StatsBB[i] = (StatBB)statBB;
data.CurrentTrends[i] = BBTrendType.Unknown;
data.CurrentExpectations[i] = BBTrendExpectation.Unknown;
StockStat statHL = new StatHLChannel("")
.SetParam(StatHLChannelParams.Period, new MOParamInt()
{
Value = hlPeriod
});
data.StatsHLChannel[i] = (StatHLChannel)statHL;
data.ExpectationChanged[i] = false;
}
}
public PortfolioService(IPortfolioRepository portfolioRepository, IStockDataProvider stockDataProvider)
{
_portRepo = portfolioRepository;
_stockRepo = stockDataProvider;
}
public EditPositionPresenter(IPortfolioRepository portfolioRepository, IStockDataProvider stockService)
{
_portfolioRepository = portfolioRepository;
_stockService = stockService;
}
