/// <summary>
/// Executes this custom strategy
/// </summary>
/// <param name="data">AbhiGoalCustomData - the custom data</param>
/// <param name="transactionSize">decimal - the standard transaction size as defined in the algorithm</param>
/// <param name="status">string - a status report on the execution for tracing</param>
/// <param name="quantity">int - the number of shares purchased/sold</param>
/// <param name="t">TradeBar - the current trade bar when the OnData was fired</param>
/// <returns>int - orderID the id of the order if it is available.
/// 0 = no order placed
/// -1 = order not filled, such as a limit order that did not fill right away</returns>
public int ExecuteStrategy(AbhiGoalCustomData data, TradeBar t, decimal transactionSize, out string status, out int quantity)
{
var s = data.symbol;
status = "";
int orderId = 0;
quantity = 0;
OrderTicket orderTicket = null;
try
{
switch (data.kno)
{
case 41:
quantity = Convert.ToInt32(CalculateBuyQuantity(data.pct, data.next_close, transactionSize));
orderTicket = _algorithm.Buy(data.symbol, quantity);
status = "Buy";
if (orderId == -1)
status = "No trade history";
break;
case 31:
if (_algorithm.Portfolio[data.symbol].HoldStock)
{
quantity = Convert.ToInt32(CalculateSellQuantity(data.pct, _algorithm.Portfolio[s].Quantity));
orderTicket = _algorithm.Sell(data.symbol, quantity);
status = "Sell";
if (orderId == -1)
status = "No trade history";
}
else
{
status = "Not in portfolio";
}
break;
default:
throw new Exception("bad kno");
}
}
catch (Exception e)
{
Console.WriteLine(e);
}
return orderId;
}
/// <summary>
/// Logs the OrderEvent Transaction
/// </summary>
/// <param name="orderEvent">the OrderEvent being logged</param>
/// <param name="abhiGoalCustomData">the custom data bar</param>
public void ReportDailyBar(AbhiGoalCustomData abhiGoalCustomData, TradeBar tradeBar, string status, decimal quantity)
{
#region "Print"
string msg = (string.Format(
"{0},{1},{2},{3},{4},{5},{6},{7},{8},{9},{10},{11},{12},{13},{14},{15},{16},{17},{18},{19},{20},{21},{22},{23},{24}",
abhiGoalCustomData.date,
abhiGoalCustomData.next_date,
abhiGoalCustomData.next_close,
abhiGoalCustomData.symbol,
abhiGoalCustomData.close,
abhiGoalCustomData.kno,
abhiGoalCustomData.w,
abhiGoalCustomData.h,
abhiGoalCustomData.e,
abhiGoalCustomData.n,
abhiGoalCustomData.rd,
abhiGoalCustomData.pct,
abhiGoalCustomData.cr,
abhiGoalCustomData.bsval1,
abhiGoalCustomData.bsval2,
abhiGoalCustomData.bsval3,
abhiGoalCustomData.bsval4,
status,
quantity,
"",
DateTime.Now.Hour,
DateTime.Now.Minute,
DateTime.Now.Second,
DateTime.Now.Millisecond,
""
));
_logHandler.Debug(msg);
#endregion
}
/// <summary>
/// Parces a line from a csv file into an object
/// </summary>
/// <param name="line">string - the csv line</param>
/// <returns>AbhiGoalCustomData - the data object</returns>
/// <exception cref="Exception"></exception>
public AbhiGoalCustomData ParceRowIntoObject(string line)
{
#region "process row into the object"
if (line.Length == 0)
return null;
if (line.StartsWith("date"))
return null;
string[] row = line.Split(',');
AbhiGoalCustomData abhiGoalCustomData = new AbhiGoalCustomData();
DateTime dt;
// date
var result = DateTime.TryParse(row[0], out dt);
if (!result)
throw new InvalidDataException(string.Format("Invalid date in row {0}, column 1", count));
else
{
abhiGoalCustomData.date = dt;
abhiGoalCustomData.Time = dt + new TimeSpan(10,0,0);
}
// next_date
result = DateTime.TryParse(row[1], out dt);
if (!result)
throw new InvalidDataException(string.Format("Invalid date in row {0}, column 2", count));
else
{
abhiGoalCustomData.next_date = dt;
}
//next_close
decimal next_close;
result = decimal.TryParse(row[2], out next_close);
if (!result)
throw new InvalidDataException(string.Format("Invalid close in row {0}, column 3", count));
else
{
abhiGoalCustomData.next_close = next_close;
}
// symbol
abhiGoalCustomData.symbol = row[3];
abhiGoalCustomData.Symbol = row[3];
// close
decimal close;
result = decimal.TryParse(row[4], out close);
abhiGoalCustomData.close = close;
// kno
int kno;
string row5 = row[5].Trim();
result = int.TryParse(row5.Substring(0, row5.Length - 1), out kno);
abhiGoalCustomData.kno = kno;
abhiGoalCustomData.w = row[6];
abhiGoalCustomData.h = row[7];
abhiGoalCustomData.e = row[8];
abhiGoalCustomData.n = row[9];
abhiGoalCustomData.rd = row[10];
// pct
decimal pct;
result = decimal.TryParse(row[11], out pct);
abhiGoalCustomData.pct = pct;
abhiGoalCustomData.cr = row[12];
abhiGoalCustomData.bsval1 = row[13];
abhiGoalCustomData.bsval2 = row[14];
abhiGoalCustomData.bsval3 = row[15];
abhiGoalCustomData.bsval4 = row[16];
#endregion
return abhiGoalCustomData;
}
/// <summary>
/// 3. READER METHOD: Read 1 line from data source and convert it into Object.
/// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line
/// feeds it into your algorithm
/// </summary>
/// <param name="line">string line from the data source file submitted above</param>
/// <param name="config">Subscription data, symbol name, data type</param>
/// <param name="currentDate">Current date we're requesting. This allows you to break up the data source into daily files.</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>New Bitcoin Object which extends BaseData.</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime currentDate, bool isLiveMode)
{
var instruction = new AbhiGoalCustomData();
if (isLiveMode)
{
//Example Line Format:
//{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
try
{
AhiGoalLineParser dp = new AhiGoalLineParser();
instruction = dp.ParceRowIntoObject(line);
}
catch { /* Do nothing, possible error in json decoding */ }
return instruction;
}
//Example Line Format:
//date,next_date,next_close,symbol,close,kno,w,h,e,n,rd,pct,cr,bsval1,bsval2,bsval3,bsval4
//07/07/2015,12/31/1969,,CLF,3.53,415,1,3,1,4,R,83,5,B,U,Y,N
try
{
AhiGoalLineParser dp = new AhiGoalLineParser();
instruction = dp.ParceRowIntoObject(line);
}
catch { /* Do nothing, skip first title row */ }
return instruction;
}
