/// <summary>
/// Gets stockpricesdata and index of specified ts. Returns true if index found.
/// </summary>
/// <param name="dataLoader"></param>
/// <param name="stockName"></param>
/// <param name="dataRange"></param>
/// <param name="ts"></param>
/// <param name="spData"></param>
/// <param name="dataIndex"></param>
/// <returns></returns>
public static bool GetWithIndex(this ISystemDataLoader dataLoader, string stockName, StockDataRange dataRange, DateTime ts,
out StockPricesData spData, out int dataIndex)
{
spData = dataLoader.Get(stockName, dataRange, 0, ts, ts);
dataIndex = spData.FindByTS(ts);
return(dataIndex >= 0);
}
public SignalsProcessor(ISystemDataLoader dataLoader, ICommission commission, ISlippage slippage)
{
_dataLoader = dataLoader;
_commission = commission;
_slippage = slippage;
_rebalancer = new PositionsRebalancer(_dataLoader, _commission, _slippage);
}
public SystemDefinitionFactory(IStockDataProvider dataProvider, ISystemDataLoader dataLoader, ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
}
public void SetUp()
{
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(PricesCount, LastDate);
_commission = CommissionUtils.CreateSubstitute();
_slippage = SlippageUtils.CreateSusbstitute();
TestObj = new PositionsRebalancer(_dataLoader, _commission, _slippage);
_openPriceLevelCalled = false;
}
public void SetUp()
{
_dataProvider = StockDataProviderUtils.CreateSubstitute(DateTime.MinValue);
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(2 * BackBufRange, BackBufRange, DateTime.Now.Date);
TestObj = new StocksDataPreloader(_dataProvider, _dataLoader);
_stat = new StockStatMock("", BackBufRange);
}
public void SetUp()
{
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(PricesCount, LastDate);
_commission = CommissionUtils.CreateSubstitute();
_slippage = SlippageUtils.CreateSusbstitute();
TestObj = new SignalsProcessor(_dataLoader, _commission, _slippage);
_signalSelectorCalled = false;
_openPriceLevelCalled = false;
}
public SignalsBBTrendFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger)
{
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new BBTrendFundsData(_fundsNames.Length);
BBTrendFundsDataCalculator.Initialize(_fundsData, _fundsNames, BBPeriod, BBSigmaWidth, HLPeriod, dataProvider);
_rebalanceSignal = new ModNCounter(RebalanceInterval);
}
private float CalcActive(SystemState system, DateTime ts, ISystemDataLoader dataLoader)
{
return(system.PositionsActive.Sum(p =>
{
StockPricesData prices = dataLoader.Get(p.Stock.FullName, p.DataRange, p.IntradayInterval, ts, ts);
int ix = prices.FindByTS(ts);
return p.DirectionMultiplier() * prices.C[ix] * p.Volume;
}));
}
/// <summary>
/// Gets stockpricesdata and index of specified ts. Returns true if index found, and has required length of back buffer.
/// </summary>
/// <param name="dataLoader"></param>
/// <param name="stockName"></param>
/// <param name="dataRange"></param>
/// <param name="ts"></param>
/// <param name="requiredBackBufferLength"></param>
/// <param name="spData"></param>
/// <param name="dataIndex"></param>
/// <returns></returns>
public static bool GetWithIndex(this ISystemDataLoader dataLoader, string stockName, StockDataRange dataRange, DateTime ts, int requiredBackBufferLength,
out StockPricesData spData, out int dataIndex)
{
if (GetWithIndex(dataLoader, stockName, dataRange, ts, out spData, out dataIndex))
{
return(dataIndex >= requiredBackBufferLength);
}
return(false);
}
public void SetUp()
{
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(PricesCount, LastDate);
_commission = CommissionUtils.CreateSubstitute();
_slippage = SlippageUtils.CreateSusbstitute();
TestObj = new PositionsCloser(_dataLoader, _commission, _slippage);
_positionSelectorCalled = false;
_closePriceSelectorCalled = false;
}
public PriceCrossingSMA(IStockDataProvider dataProvider, ISystemDataLoader dataLoader,
ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
SystemParams.Set(PriceCrossingSMAParams.StockName, "");
SystemParams.Set(PriceCrossingSMAParams.SMAPeriod, 20);
}
public BBTrendFunds(IStockDataProvider dataProvider, ISystemDataLoader dataLoader,
ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
//SystemParams.Set(BBTrendParams.StockName, "");
//SystemParams.Set(BBTrendParams.BBPeriod, 20);
//SystemParams.Set(BBTrendParams.BBSigmaWidth, 2f);
}
//private readonly ModNCounter _rebalanceSignal;
public SignalsBBTrendMultiFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger)
{
_aggressiveFunds = _fundsNames.Select((_, i) => i > 0).ToArray();
if (_fundsNames.Length != _aggressiveFunds.Length)
{
throw new Exception("_fundsNames != _aggressiveFunds");
}
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new BBTrendFundsData(_fundsNames.Length);
BBTrendFundsDataCalculator.Initialize(_fundsData, _fundsNames, BBPeriod, BBSigmaWidth, HLPeriod, dataProvider);
//_rebalanceSignal = new ModNCounter(RebalanceInterval);
}
public SignalsPriceCrossingSMA(string stockName, StockDataRange dataRange, int smaPeriod, ISystemDataLoader dataLoader, IStockDataProvider dataProvider, IMMSignalVolume signalVolumeCalculator)
{
_dataRange = dataRange;
_smaPeriod = smaPeriod;
_dataLoader = dataLoader;
_dataProvider = dataProvider;
_signalVolumeCalculator = signalVolumeCalculator;
_stock = _dataProvider.GetStockDefinition(stockName);
_statSMA = new StatSMA("")
.SetParam(StatSMAParams.Period, new MOParamInt()
{
Value = _smaPeriod
});
}
public void SetUp()
{
_dataProvider = StockDataProviderUtils.CreateSubstitute(DateTime.MinValue);
_dataLoader = SystemDataLoaderUtils.CreateSubstituteWithConstantPriceInRange(PricesCount, StartingPrice, PriceRange, LastDate);
_dataDefinitionProvider = Substitute.For <ISystemDataDefinitionProvider>();
_signalGeneratorOnOpen = Substitute.For <ISignalGeneratorOnOpen>();
_signalGeneratorOnClose = Substitute.For <ISignalGeneratorOnClose>();
_commission = CommissionUtils.CreateSubstitute();
_slippage = SlippageUtils.CreateSusbstitute();
_mmPositionCloseCalculator = Substitute.For <IMMPositionCloseCalculator>();
_systemState = new SystemState()
{
Cash = InitialCash
};
_slippage.CalculateOpen(default, default, default, default).ReturnsForAnyArgs(args => args.ArgAt <float>(3));
public void SetUp()
{
_dataLoader = Substitute.For <ISystemDataLoader>();
_testSys = new SystemState()
{
Cash = CashValue
};
_stockPrices = new StockPricesData(1);
_testObj = new SystemValueCalculator();
_stockPrices.TS[0] = CurrentTS;
_stockPrices.C[0] = PriceL;
_dataLoader
.Get(Arg.Compat.Any <string>(), Arg.Compat.Any <StockDataRange>(), Arg.Compat.Any <int>(), Arg.Compat.Any <DateTime>(), Arg.Compat.Any <DateTime>())
.Returns(_stockPrices);
}
public void SetUp()
{
_stock = new StockDefinition()
{
Type = StockType.Stock
};
_stock2 = new StockDefinition();
_testObj = new SystemState()
{
Cash = CashValue
};
_stockPrices = new StockPricesData(1);
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(_stockPrices);
_commission = CommissionUtils.CreateSubstitute(Commission);
_slippage = SlippageUtils.CreateSusbstitute();
EntrySignal.Stock = _stock;
}
public SimplexMultiFunds(IStockDataProvider dataProvider, ISystemDataLoader dataLoader,
ISlippage slippage, ICommission commission, ISystemExecutionLogger systemExecutionLogger)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_slippage = slippage;
_commission = commission;
_systemExecutionLogger = systemExecutionLogger;
SystemParams.Set(SimplexMultiFundsParams.AvgProfitRange, 3);
SystemParams.Set(SimplexMultiFundsParams.AvgChangeRange, 6);
SystemParams.Set(SimplexMultiFundsParams.AcceptableSingleDD, 0.1);
SystemParams.Set(SimplexMultiFundsParams.RiskSigmaMultiplier, 2.0);
SystemParams.Set(SimplexMultiFundsParams.MaxSinglePositionSize, 0.8);
SystemParams.Set(SimplexMultiFundsParams.MaxPortfolioRisk, 0.8);
SystemParams.Set(SimplexMultiFundsParams.TruncateBalanceToNthPlace, 3);
}
public FormMain()
{
InitializeComponent();
_msgDisplay = new MsgDisplay(this, "MarketOps");
_dataProvider = DataProvidersFactory.GetStockDataProvider();
_systemDataLoader = SystemDataLoaderFactory.Get(_dataProvider);
_systemExecutionLogger = new SystemExecutionLoggerToTextBox(edtSimDataLog);
_configSystemDefinitions = ConfigSystemDefsLoader.Load();
_systemDefinitionFactory = new SystemDefinitionFactory(_dataProvider, _systemDataLoader, new SlippageNone(), new CommissionNone(), _systemExecutionLogger);
StatsFactories.Initialize();
dbgPositions.OnPositionClick += dbgPositions_OnPositionClick;
this.Icon = Icon.ExtractAssociatedIcon(Application.ExecutablePath);
tcCharts.TabPages.Clear();
PrepareStockDataRangeSource();
InitializeSim();
LoadConfig();
}
public SignalsBBTrend(string stockName, StockDataRange dataRange, int bbPeriod, float bbSigmaWidth, ISystemDataLoader dataLoader, IStockDataProvider dataProvider, IMMSignalVolume signalVolumeCalculator)
{
_dataRange = dataRange;
_bbPeriod = bbPeriod;
_bbSigmaWidth = bbSigmaWidth;
_dataLoader = dataLoader;
_dataProvider = dataProvider;
_signalVolumeCalculator = signalVolumeCalculator;
_stock = _dataProvider.GetStockDefinition(stockName);
_statBB = new StatBB("")
.SetParam(StatBBParams.Period, new MOParamInt()
{
Value = _bbPeriod
})
.SetParam(StatBBParams.SigmaWidth, new MOParamFloat()
{
Value = bbSigmaWidth
});
}
public SystemProcessor(
IStockDataProvider dataProvider,
ISystemDataLoader dataLoader,
ISystemDataDefinitionProvider dataDefinitionProvider,
ISignalGeneratorOnOpen signalGeneratorOnOpen,
ISignalGeneratorOnClose signalGeneratorOnClose,
ICommission commission,
ISlippage slippage,
IMMPositionCloseCalculator mmPositionCloseCalculator)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
_dataDefinitionProvider = dataDefinitionProvider;
_signalGeneratorOnOpen = signalGeneratorOnOpen;
_signalGeneratorOnClose = signalGeneratorOnClose;
_commission = commission;
_slippage = slippage;
_mmPositionCloseCalculator = mmPositionCloseCalculator;
_signalsProcessor = new SignalsProcessor(_dataLoader, _commission, _slippage);
_positionCloser = new PositionsCloser(_dataLoader, _commission, _slippage);
}
public SignalsSimplexMultiFunds(ISystemDataLoader dataLoader, IStockDataProvider dataProvider, ISystemExecutionLogger systemExecutionLogger, MOParams systemParams)
{
_avgProfitRange = systemParams.Get(SimplexMultiFundsParams.AvgProfitRange).As <int>();
_avgChangeRange = systemParams.Get(SimplexMultiFundsParams.AvgChangeRange).As <int>();
_acceptableSingleDD = systemParams.Get(SimplexMultiFundsParams.AcceptableSingleDD).As <double>();
_riskSigmaMultiplier = systemParams.Get(SimplexMultiFundsParams.RiskSigmaMultiplier).As <double>();
_maxSinglePositionSize = systemParams.Get(SimplexMultiFundsParams.MaxSinglePositionSize).As <double>();
_maxPortfolioRisk = systemParams.Get(SimplexMultiFundsParams.MaxPortfolioRisk).As <double>();
_truncateBalanceToNthPlace = systemParams.Get(SimplexMultiFundsParams.TruncateBalanceToNthPlace).As <int>();
_aggressiveFunds = _fundsNames.Select((_, i) => i > 0).ToArray();
if (_fundsNames.Length != _aggressiveFunds.Length)
{
throw new Exception("_fundsNames != _aggressiveFunds");
}
_dataLoader = dataLoader;
_systemExecutionLogger = systemExecutionLogger;
_dataRange = StockDataRange.Monthly;
_fundsData = new SimplexFundsData(_fundsNames.Length);
SimplexFundsDataCalculator.Initialize(_fundsData, _fundsNames, dataProvider);
}
public static void CalcCurrentValue(this SystemState systemState, DateTime ts, ISystemDataLoader dataLoader)
{
systemState.Equity.Add(new SystemValue()
{
Value = new SystemValueCalculator().Calc(systemState, ts, dataLoader),
TS = ts
});
}
public static void CalculateTrendsAndExpectations(BBTrendFundsData data, DateTime ts, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
for (int i = 0; i < data.Stocks.Length; i++)
{
if (!dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, data.StatsBB[i].BackBufferLength, out StockPricesData spData, out int dataIndex))
{
continue;
}
BBTrendType lastTrend = data.CurrentTrends[i];
data.CurrentTrends[i] = BBTrendRecognizer.BBTrendRecognizer.RecognizeTrend(spData, data.StatsBB[i], dataIndex, data.CurrentTrends[i], out float trendStartLevel);
if (lastTrend != data.CurrentTrends[i])
{
data.UpTrendStartValues[i] = trendStartLevel;// spData.H[dataIndex];
data.TrendLength[i] = 0;
}
data.TrendLength[i]++;
BBTrendExpectation lastExpectation = data.CurrentExpectations[i];
data.CurrentExpectations[i] = BBTrendRecognizer.BBTrendRecognizer.GetExpectation(spData, data.StatsBB[i], dataIndex, data.CurrentTrends[i]);
data.ExpectationChanged[i] = (lastExpectation != data.CurrentExpectations[i]);
}
}
public float Calc(SystemState system, DateTime ts, ISystemDataLoader dataLoader)
{
return(CalcActive(system, ts, dataLoader) + system.Cash);
}
public static void CalculateMaxValuesAndStops(BBTrendFundsData data, float stopWidth, DateTime ts, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
for (int i = 0; i < data.Stocks.Length; i++)
{
if (data.CurrentTrends[i] != BBTrendType.Up)
{
data.UpTrendMaxValues[i] = float.MinValue;
data.UpTrendStopValues[i] = float.MinValue;
continue;
}
if (!dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, out StockPricesData spData, out int dataIndex))
{
continue;
}
//data.UpTrendMaxValues[i] = Math.Max(spData.H[dataIndex], data.UpTrendMaxValues[i]);
data.UpTrendMaxValues[i] = Math.Max(spData.C[dataIndex], data.UpTrendMaxValues[i]);
data.UpTrendStopValues[i] = data.UpTrendMaxValues[i] * (1f - stopWidth);
}
}
public static (StockPricesData pricesData, int pricesDataIndex) GetPricesDataAndIndex(this ISystemDataLoader dataLoader, string stockName, StockDataRange dataRange, int intradayInterval, DateTime ts)
{
StockPricesData data = dataLoader.Get(stockName, dataRange, intradayInterval, ts, ts);
return(data, data.FindByTS(ts));
}
public static void CheckStops(BBTrendFundsData data, DateTime ts, StockDataRange dataRange, ISystemDataLoader dataLoader)
{
for (int i = 0; i < data.Stocks.Length; i++)
{
if (data.CurrentTrends[i] != BBTrendType.Up)
{
data.StoppedOut[i] = false;
continue;
}
if (!dataLoader.GetWithIndex(data.Stocks[i].FullName, dataRange, ts, out StockPricesData spData, out int dataIndex))
{
continue;
}
if (data.StoppedOut[i])
{
data.StoppedOut[i] = (spData.C[dataIndex] <= data.StoppedOutValues[i]) || !PriceAbovePrevMaxH(data, i, dataIndex, spData.C[dataIndex]);
}
else
{
data.StoppedOut[i] = (spData.C[dataIndex] <= data.UpTrendStopValues[i]);
}
}
}
public StocksDataPreloader(IStockDataProvider dataProvider, ISystemDataLoader dataLoader)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
}
public SystemRunner(IStockDataProvider dataProvider, ISystemDataLoader dataLoader)
{
_dataProvider = dataProvider;
_dataLoader = dataLoader;
}
