public void GetTransformedPositionRecordsTest()
{
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
var startDate = new DateTime(2000, 1, 4);
var endDate = new DateTime(2003, 1, 4);
var periodicTimeDef = new PeriodicTimeDefinition(3, PeriodicType.Month);
periodicTimeDef.Initialize(startDate, endDate);
ProfitCalculationEngine_Accessor target = new ProfitCalculationEngine_Accessor(currencyDataSource);
PositionRuntime positionRuntime = new PositionRuntime(FXStrategy.Interpreter.PositionType.Long);
positionRuntime.PositionRecords.Add(new PositionRecord(
new DateTime(2000, 1, 4), new Currency("USD"), new Currency("EUR"),
FXStrategy.Interpreter.PositionType.Long, positionRuntime)
{
EndDate = new DateTime(2001,3,2)
});
//var actual = target.GetTransformedPositionRecords(positionRuntime, periodicTimeDef);
//Assert.AreEqual(actual.Count, 6);
//Assert.IsTrue(actual.ElementAt(5).Type == FXStrategy.Interpreter.PositionType.Short);
//Assert.IsTrue(actual.Take(5).All(t => t.Type == FXStrategy.Interpreter.PositionType.Long));
}
public CurrencyDataSource(FXEntities.FXEntities fxEntities)
{
_fxEntities = fxEntities;
_exRateAdapter = new ExchangeRateAdapter(_fxEntities);
_inRateAdapter = new InterestRateAdapter(_fxEntities);
_currencyPairDataTable = new Dictionary<Tuple<string, string>, CurrencyPairData>();
_currencyNameInterestRateTable = new Dictionary<string, TimeSeriesCollection<InterestRate>>();
}
public void GetCurrencyNamesSortByInRateTest()
{
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
Currency baseCurrency = new Currency("EUR"); // TODO: Initialize to an appropriate value
CurrencyDataSource target = new CurrencyDataSource(fxEntities); // TODO: Initialize to an appropriate value
IEnumerable<string> actual;
actual = target.GetCurrencyNameOrderByInterestRate(new DateTime(2000,1,7)).Reverse();
Assert.IsTrue(actual.ElementAt(0) == "GBP");
Assert.IsTrue(actual.ElementAt(1) == "USD");
Assert.IsTrue(actual.ElementAt(2) == "NOK");
Assert.IsTrue(actual.ElementAt(3) == "NZD");
Assert.IsTrue(actual.ElementAt(4) == "AUD");
Assert.IsTrue(actual.ElementAt(5) == "CAD");
Assert.IsTrue(actual.ElementAt(6) == "SEK");
Assert.IsTrue(actual.ElementAt(7) == "EUR");
Assert.IsTrue(actual.ElementAt(8) == "CHF");
Assert.IsTrue(actual.ElementAt(9) == "JPY");
}
public StrategyAnalyzer()
{
var fxEntities = new FXEntities.FXEntities();
_currencyDataSource = new CurrencyDataSource(fxEntities);
_currencyDataSource.PreLoad();
}
public void Top3CurrenciesConstructorTest()
{
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
Currency baseCurrency = new Currency("EUR");; // TODO: Initialize to an appropriate value
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
Top3Currencies target = new Top3Currencies(currencyDataSource, baseCurrency);
var result = target.GetCurrencies(new DateTime(2000, 1, 7));
Assert.IsTrue(result.Any(r => r == "USD"));
Assert.IsTrue(result.Any(r => r == "GBP"));
Assert.IsTrue(result.Any(r => r == "NOK"));
}
public void ExchangeRateAccessorTest()
{
TradingStrategy tradingStrategy = new TradingStrategy()
{
ConstantVariableDefinitions = new System.Collections.Generic.List<GlobalIdentifier>(){
new GlobalIdentifier(){
Variable = new Variable("reEntryExRatePercent", typeof(int)),
Constant = new Constant(typeof(decimal),0.05)},
new GlobalIdentifier(){
Variable = new Variable("noOfLongPosition",typeof(int)),
Constant = new Constant(typeof(int),3)},
new GlobalIdentifier(){
Variable = new Variable("noOfShortPosition",typeof(int)),
Constant = new Constant(typeof(int),3)}
},
Portfolio = new Portfolio()
{
HomeCurrency = "EUR",
PositionSets = new List<PositionSet>()
{
new PositionSet(){
Name = "LongPositions", Number = new Variable("noOfLongPosition",typeof(int)), PositionType = FXStrategy.MetaModel.PositionType.Long
},
new PositionSet(){
Name = "ShortPositions", Number = new Variable("noOfShortPosition", typeof(int)), PositionType = FXStrategy.MetaModel.PositionType.Short
}
}
},
TradingRules = new System.Collections.Generic.List<TradingRule>()
{
new TradingRule("test", new ConcreteTimeDefinition(){
ExecuteTime = new DateTime(2006,1,30)
},
new Assignment(
new Variable("exRateMVG", typeof(decimal)),
new AtTime(
new ExchangeRateAccessor(
new Constant(typeof(string), "EUR"),
new Constant(typeof(string), "USD"))
,
new Constant(typeof(DateTime), new DateTime(2006,1,30)))))
}
};
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
StrategyInterpreter target = new StrategyInterpreter(fxEntities, currencyDataSource);
DateTime startDate = new DateTime(2006, 1, 29);
DateTime endDate = new DateTime(2006, 1, 31);
target.Execute(tradingStrategy, startDate, endDate);
}
public void ExecutionTimeTest()
{
TradingStrategy tradingStratgy = ConstructTradingStrategy();
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
currencyDataSource.PreLoad();
StrategyInterpreter target = new StrategyInterpreter(fxEntities, currencyDataSource);
DateTime startExecutionTime;
DateTime endExecutionTime;
DateTime startDate = new DateTime(2000, 1, 1);
List<List<double>> results = new List<List<double>>();
StringBuilder output = new StringBuilder();
for (int j = 0; j < 10; j++)
{
results.Add(new List<double>());
output.AppendLine("Run no.: " + j);
for (int i = 0; i < 11; i++)
{
startExecutionTime = DateTime.Now;
target.Execute(tradingStratgy, startDate, startDate.AddYears(i + 1));
endExecutionTime = DateTime.Now;
results[j].Add((endExecutionTime - startExecutionTime).TotalMilliseconds);
output.AppendLine(String.Format("Execution time: {0}ms, Number of positionRecord: {1} ",
(endExecutionTime - startExecutionTime).TotalMilliseconds,
target.PositionSetTable.Sum(p => p.Value.Positions.SelectMany(pos => pos.PositionRecords).Count()
)
));
target.Clear();
//results.Add(endExecutionTime - startExecutionTime);
}
output.AppendLine();
}
output.AppendLine("Average: ");
for (int i = 0; i < 10; i++)
{
output.AppendLine( (i+1) + " Year: \t" + results.Select(r => r.ElementAt(i)).Average());
}
using (StreamWriter writer = new StreamWriter(@"D:\Documents\Study Materials\Master Thesis\Main Thesis\executionTime.txt"))
{
//for (int i = 1; i <= 10; i++)
//{
// output += String.Format(results[i - 1].Milliseconds + " ms \n");
//}
writer.WriteLine(output);
}
}
public void CalculationTest()
{
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
StrategyInterpreter target = new StrategyInterpreter(fxEntities, currencyDataSource);
TradingStrategy tradingStrategy = ConstructTradingStrategy();
DateTime startDate = new DateTime(2000, 1, 4);
DateTime endDate = new DateTime(2002, 1, 1);
target.Execute(tradingStrategy, startDate, endDate);
ProfitCalculationEngine calEngine = new ProfitCalculationEngine(
currencyDataSource
);
calEngine.Evaluate(target.PositionSetTable["ShortPositions"].Positions,
startDate,
endDate, new PeriodicTimeDefinition(3, PeriodicType.Month)
);
//calEngine.Analyze(target.PositionSetTable["LongPositions"].Positions
// .Union(target.PositionSetTable["ShortPositions"].Positions).ToList(),
// startDate,
// endDate, new PeriodicTimeDefinition(3, PeriodicType.Month)
// );
List<TimeSeriesData> returnOverTime = calEngine.ReturnOverTime;
string dest = @"C:\temp\ReturnOverTime.txt";
WriteToFile(returnOverTime, dest);
WriteToFile(calEngine.IndexOverTime, @"C:\temp\IndexOverTime.txt");
}
public void GetCurrenciesTest1()
{
Currency baseCurrency = new Currency("EUR");
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities); // TODO: Initialize to an appropriate value
Bottom3Currencies target = new Bottom3Currencies(currencyDataSource, baseCurrency); // TODO: Initialize to an appropriate value
DateTime time = new DateTime(2000, 1, 7); // TODO: Initialize to an appropriate value
IEnumerable<string> expected = new string[]{"JPY","CHF"};
IEnumerable<string> actual;
actual = target.GetCurrencies(time);
Assert.IsTrue(expected.All(a => actual.Contains(a)));
}
public ExchangeRateAdapter(FXEntities.FXEntities fxEntities)
{
_fxEntities = fxEntities;
}
public CurrencyAdapter(FXEntities.FXEntities fxEntities)
{
_fxEntities = fxEntities;
}
