// To use this function, strategy_templates must contain exactly 3 strategy ids corresponding to 3:00-4:30, 3:30-4:30 and 4:30-6:30
public static void rollTimingStrategy(int[] strategy_templates, int new_contract_id, string new_maturity_tag, string suffix = "")
{
string[] model_tags = new string[]
{
"BT_1_" + new_maturity_tag + "_DST",
"BT_2_" + new_maturity_tag + "_DST",
"BT_3_" + new_maturity_tag + "_DST"
};
string[] model_descriptions = new string[]
{
"Brent " + new_maturity_tag + " 3:00pm - 4:30pm DST",
"Brent " + new_maturity_tag + " 3:30pm - 4:30pm DST",
"Brent " + new_maturity_tag + " 4:30pm - 6:30pm DST"
};
string[] strategy_tags = new string[]
{
"BT_1_" + new_maturity_tag + "_DST",
"BT_2_" + new_maturity_tag + "_DST",
"BT_3_" + new_maturity_tag + "_DST"
};
string[] strategy_descriptions = new string[]
{
"Brent " + new_maturity_tag + " 3:00pm - 4:30pm DST",
"Brent " + new_maturity_tag + " 3:30pm - 4:30pm DST",
"Brent " + new_maturity_tag + " 4:30pm - 6:30pm DST"
};
if (suffix != "")
{
for (int i = 0; i < 3; ++i)
{
strategy_tags[i] += "_" + suffix;
strategy_descriptions[i] += " " + suffix;
}
}
for (int i = 0; i < 3; ++i)
{
List <string> infos = db.getStrategyInfo(strategy_templates[i]);
string strategyClass = infos[0];
XmlDocument xml = new XmlDocument();
xml.LoadXml(infos[1]);
XmlNode xn1 = xml.SelectSingleNode("/Config");
XmlNode common = xn1.SelectSingleNode("Common");
XmlNode blockOrder = xn1.SelectSingleNode("BlockOrder");
XmlNode stopOrderTemplate = blockOrder.SelectSingleNode("StopOrderTemplate");
int template_model_id = int.Parse(xn1["Model"].InnerText);
XmlDocument modelXml = new XmlDocument();
modelXml.LoadXml(db.getModel(template_model_id));
XmlNode mn1 = modelXml.SelectSingleNode("/Parameters");
XmlWriterSettings settings = new XmlWriterSettings();
settings.Encoding = Encoding.UTF8;
settings.OmitXmlDeclaration = true;
//Write Model Xml
StringBuilder sm = new StringBuilder();
using (XmlWriter writer = XmlWriter.Create(sm, settings))
{
//writer.WriteStartDocument();
writer.WriteStartElement("Parameters");
writer.WriteElementString("Asset", new_contract_id.ToString());
writer.WriteElementString("EntryTime", mn1["EntryTime"].InnerText);
writer.WriteElementString("ExitTime", mn1["ExitTime"].InnerText);
writer.WriteElementString("LongOrShort", mn1["LongOrShort"].InnerText);
writer.WriteElementString("LookbackPeriod", mn1["LookbackPeriod"].InnerText);
writer.WriteElementString("ProfitRatio", mn1["ProfitRatio"].InnerText);
writer.WriteElementString("StopRatio", mn1["StopRatio"].InnerText);
writer.WriteEndElement();
//writer.WriteEndDocument();
}
string newModelXml = sm.ToString();
int newModelID = db.addModel(new_contract_id, model_tags[i], newModelXml, model_descriptions[i]);
StringBuilder sb = new StringBuilder();
using (XmlWriter writer = XmlWriter.Create(sb, settings))
{
//writer.WriteStartDocument();
writer.WriteStartElement("Config");
writer.WriteStartElement("Common");
writer.WriteElementString("TimeZone", common["TimeZone"].InnerText);
writer.WriteElementString("StartTime", common["StartTime"].InnerText);
writer.WriteElementString("EndTime", common["EndTime"].InnerText);
writer.WriteElementString("Calendar", common["Calendar"].InnerText);
writer.WriteEndElement();
writer.WriteElementString("Model", newModelID.ToString());
writer.WriteElementString("Quantity", xn1["Quantity"].InnerText);
writer.WriteElementString("EntryPreOffset", xn1["EntryPreOffset"].InnerText);
writer.WriteElementString("EntryPostOffset", xn1["EntryPostOffset"].InnerText);
writer.WriteElementString("ExitPreOffset", xn1["ExitPreOffset"].InnerText);
writer.WriteElementString("ExitPostOffset", xn1["ExitPostOffset"].InnerText);
writer.WriteStartElement("BlockOrder");
writer.WriteElementString("UnitSize", blockOrder["UnitSize"].InnerText);
writer.WriteElementString("MaxBlockSize", blockOrder["MaxBlockSize"].InnerText);
writer.WriteElementString("MaxNumberOfOrders", blockOrder["MaxNumberOfOrders"].InnerText);
writer.WriteStartElement("StopOrderTemplate");
writer.WriteElementString("OrderType", stopOrderTemplate["OrderType"].InnerText);
writer.WriteEndElement();
writer.WriteEndElement();
writer.WriteEndElement();
//writer.WriteEndDocument();
}
string newStrategyXml = sb.ToString();
db.addStrategy(strategyClass, strategy_tags[i], newStrategyXml, strategy_descriptions[i]);
}
}
