/// <summary>
/// obtain the raw data from SecurityMaster and initial cash from capital
/// </summary>
/// <param name="securityMaster">transfer security with name</param>
/// <param name="capital">initial capital, here means the initial cash</param>
/// <returns></returns>
public static List <Order> Run(IStrategy Strategy, Dictionary <string, Security> securityMaster, double capital)
{
string key = securityMaster.First().Key;
Security security = securityMaster[key];
List <PricingData> ps = security.SecurityPricingData;
double Cash = capital;
// loop through the data read in
for (int i = 1; i < ps.Count; i++)
{
// params for Strategy
double currentPrice = ps[i].ClosePrice;
DateTime currentDate = ps[i].Date;
#region store info to AccountLevel
// used to transfer data to Account Class and then show these infos to customer
AccountLevelInfo currentAccountInfo = new AccountLevelInfo();
currentAccountInfo.Date = currentDate;
currentAccountInfo.CurrentCash = Cash;
currentAccountInfo.CurrentPositions = GetCurrentPositions(/*currentPrice*/);
accountInfos.Add(currentAccountInfo);
#endregion store info to AccoutLevel
#region Build DataContract
StrategyDataContract dataContract = new StrategyDataContract();
dataContract.CurrentCash = Cash;
SecPosition secPosition = new SecPosition();
secPosition.SecurityID = key;
secPosition.currentDate = currentDate;
secPosition.CurrentPrice = ps.Where(p => DateTime.Compare(p.Date, currentDate) <= 0)
.Select(p => p.ClosePrice)
.ToList();
if (currentAccountInfo.CurrentPositions.Count > 0)
{
secPosition.BuyPrice = orders.Last().TransactionPrice;
secPosition.PositionQuantity = currentAccountInfo.CurrentPositions.First().Quantity;
}
//Fill the DataContract that will be sent to Allocation Engine
dataContract.SecPositions.Add(secPosition);
#endregion Build DataContract
#region Run Strategy
Dictionary <string, int> result = Strategy.ExecuteStrategy(dataContract);
#endregion Run Strategy
#region Create Order by the Quantity returned by the AllocationEngine
int quantity = result.Count > 0 ? result.First().Value : 0;
if (quantity > 0)
{
Cash -= quantity * currentPrice;
orders.Add(new Order(security, quantity, currentPrice, currentDate, OrderType.BUY));
Console.WriteLine("Order Date " + currentDate.ToShortDateString() +
" Price: " + currentPrice +
" Quantity: " + quantity +
" Type: " + "BUY");
}
else if (quantity < 0)
{
Cash -= quantity * currentPrice;
orders.Add(new Order(security, quantity, currentPrice, currentDate, OrderType.SELL));
Console.WriteLine("Order Date " + currentDate.ToShortDateString() +
" Price: " + currentPrice +
" Quantity: " + quantity +
" Type: " + "SELL");
}
#endregion Create Order by the Quantity returned by the AllocationEngine
}
return(orders);
}
public static List <Order> RunMulti(IStrategy Strategy, Dictionary <string, Security> securityMaster, double capital)
{
List <DateTime> Dates = securityMaster
.Values.First()
.SecurityPricingData.Select(p => p.Date)
.ToList();
double Cash = capital;
foreach (DateTime date in Dates)
{
if (DateTime.Compare(date, Dates.First()) == 0)
{
continue;
}
#region store info to AccountLevel
// used to transfer data to Account Class and then show these infos to customer
AccountLevelInfo currentAccountInfo = new AccountLevelInfo();
currentAccountInfo.Date = date;
currentAccountInfo.CurrentCash = Cash;
currentAccountInfo.CurrentPositions = GetCurrentPositions();
accountInfos.Add(currentAccountInfo);
#endregion store info to AccountLevel
#region Build DataContract
StrategyDataContract dataContract = new StrategyDataContract();
dataContract.CurrentCash = Cash;
foreach (var sec in securityMaster)
{
SecPosition secPosition = new SecPosition();
secPosition.SecurityID = sec.Key;
secPosition.currentDate = date;
secPosition.CurrentPrice = sec.Value.SecurityPricingData.Where(p => DateTime.Compare(p.Date, date) <= 0)
.Select(p => p.ClosePrice)
.ToList();
if (currentAccountInfo.CurrentPositions.Where(p => p.CurrentSecurity.SecurityID == sec.Key).Count() > 0)
{
if (orders.Where(p => p.CurrentSecurity.SecurityID == sec.Key).Count() > 0)
{
secPosition.BuyPrice = orders.Where(p => p.CurrentSecurity.SecurityID == sec.Key)
.Last().TransactionPrice;
secPosition.PositionQuantity = currentAccountInfo.CurrentPositions.Where(p => p.CurrentSecurity.SecurityID == sec.Key)
.Last().Quantity;
}
}
//Fill the DataContract that will be sent to Allocation Engine
dataContract.SecPositions.Add(secPosition);
}
#endregion Build DataContract
#region Run Strategy
Dictionary <string, int> result = Strategy.ExecuteStrategy(dataContract);
#endregion Run Strategy
#region Create Order by the Quantity returned by the AllocationEngine
int quantity;
foreach (var group in result.GroupBy(o => o.Key))
{
double currentPrice = securityMaster[group.Key]
.SecurityPricingData
.Where(p => p.Date == date)
.Select(p => p.ClosePrice).First();
quantity = group.Count() > 0 ? group.First().Value : 0;
if (quantity > 0)
{
Cash -= quantity * currentPrice;
orders.Add(new Order(securityMaster[group.Key], quantity, currentPrice, date, OrderType.BUY));
Console.WriteLine("Order Date " + date.ToShortDateString() +
" SecurityID: " + group.Key +
" Price: " + currentPrice +
" Quantity: " + quantity +
" Type: " + "BUY");
}
else if (quantity < 0)
{
Cash -= quantity * currentPrice;
orders.Add(new Order(securityMaster[group.Key], quantity, currentPrice, date, OrderType.SELL));
Console.WriteLine("Order Date " + date.ToShortDateString() +
" SecurityID: " + group.Key +
" Price: " + currentPrice +
" Quantity: " + quantity +
" Type: " + "SELL");
}
}
#endregion Create Order by the Quantity returned by the AllocationEngine
}
return(orders);
}