public void ExecuteNextDay()
{
// Increment the date
CurrentSimulationDate = Calendar.NextTradingDay(CurrentSimulationDate);
//
// Market Open
//
// Process morning trades
TradeManager.ProcessTradeQueue(CurrentSimulationDate, TimeOfDay.MarketOpen);
//
// Market Close
//
// Process end of day trades & stops
TradeManager.ProcessTradeQueue(CurrentSimulationDate, TimeOfDay.MarketEndOfDay);
// Update stoplosses
RiskManager.UpdateStoplosses(CurrentSimulationDate);
// Scale open positions
//RiskManager.ScalePositions(CurrentSimulationDate);
// Generate new signals
var securityUniverse = RiskManager.GetSecurityUniverse();
var signals = StrategyManager.GenerateSignals(securityUniverse, CurrentSimulationDate);
// Send signals for processing
RiskManager.ProcessSignals(signals, CurrentSimulationDate);
// End of Day (EOD)
}
public static StrategyManager Default()
{
var ret = new StrategyManager();
ret.AllTradeStrategies = Helpers.AllTradeStrategies();
ret.SetStrategy(ret.AllTradeStrategies.FirstOrDefault());
return(ret);
}
public StrategyManager Copy()
{
var ret = new StrategyManager();
ret.AllTradeStrategies = new List <TradeStrategyBase>();
foreach (var strategy in this.AllTradeStrategies)
{
ret.AllTradeStrategies.Add(strategy.Copy());
}
ret.SetStrategy(this.ActiveTradeStrategy);
return(ret);
}
/// <summary>
/// Initializes a new portfolio manager able to execute a time simulation
/// </summary>
/// <param name="environment">Provided trading environment</param>
/// <param name="setup">Initial portfolio setup parameters</param>
/// <param name="dataManager">Initialized and connected Data Manager</param>
/// <param name="strategy">Strategy Manager loaded with one or more strategies</param>
public PortfolioManager(PortfolioSetup setup, StrategyManager strategy, RiskManager riskManager, string Name = "Default Portfolio")
{
Setup = setup ?? throw new ArgumentNullException(nameof(setup));
StrategyManager = strategy ?? throw new ArgumentNullException(nameof(strategy));
Portfolio = new Portfolio(setup, Name);
TradeManager = new TradeManager(Portfolio);
RiskManager = riskManager;
RiskManager.Attach(Portfolio, TradeManager);
//
// TODO: Implement adjustable security filters
//
//SecurityUniverse = (from sec in DataManager.GetAllSecurities() where sec.DataUpToDate select sec).ToList();
SecurityUniverse = RefDataManager.Instance.GetAllSecurities().Where(x => !x.Excluded).ToList();
CurrentSimulationDate = setup.InceptionDate;
}