/// <summary>
/// Estimate the profit from advices produced by analysis process.
/// The function will produce a list of "transactions" assuming to be done from analysis advices.
/// </summary>
/// <param name="data"> Data used for analysis </param>
/// <param name="tradePoints">Trade point list generated by analysis process</param>
/// <param name="options">User- specific options : captital, max Buy...</param>
/// <param name="returnObj">Returned object </param>
/// <param name="afterEachEstimationFunc">Call-back function at the end of each tradepoind estimation</param>
/// <param name="afterEstimationFunc">Call-back function at the end of estimation process</param>
///
public static void EstimateTrading(AnalysisData data, TradePointInfo[] tradePoints, EstimateOptions options,
object returnObj, AfterEachEstimationFunc afterEachEstimationFunc, AfterEstimationFunc afterEstimationFunc)
{
EstimationData myEstimationData = new EstimationData();
global::data.baseDS.stockExchangeRow marketRow = application.AppLibs.GetStockExchange(data.DataStockCode);
decimal initCapAmt = options.TotalCapAmt * options.MaxBuyAmtPerc / 100;
decimal priceWeight = marketRow.priceRatio;
decimal feePerc = marketRow.tranFeePerc / 100;
short buy2SellInterval = marketRow.minBuySellDay;
data.baseDS.stockCodeRow stockCodeRow = application.SysLibs.FindAndCache_StockCode(data.DataStockCode);
if (stockCodeRow == null)
{
return;
}
int adviceDataIdx, lastBuyId = -1;
decimal stockQty = 0, qty;
decimal maxBuyQty = (decimal)(stockCodeRow.noOutstandingStock * options.MaxBuyQtyPerc / 100);
decimal stockAmt = 0, stockPrice = 0, amt, feeAmt, totalFeeAmt = 0;
decimal cashAmt = initCapAmt;
DateTime transDate = common.Consts.constNullDate;;
for (int idx = 0; idx < tradePoints.Length; idx++)
{
adviceDataIdx = tradePoints[idx].DataIdx;
qty = 0; amt = 0;
myEstimationData.ignored = false;
AppTypes.TradeActions action = tradePoints[idx].TradeAction;
stockPrice = (decimal)data.Close[adviceDataIdx];
transDate = DateTime.FromOADate(data.DateTime[adviceDataIdx]);
switch (action)
{
case AppTypes.TradeActions.Buy:
//Assume that we can only buy if we have money
qty = (stockPrice == 0 ? 0 : Math.Floor(cashAmt / ((stockPrice * priceWeight) * (1 + feePerc))));
if (qty > maxBuyQty)
{
qty = maxBuyQty;
}
if (qty != 0)
{
amt = qty * stockPrice * priceWeight;
stockAmt += amt;
stockQty += qty;
feeAmt = Math.Round(amt * feePerc, 0);
cashAmt -= amt + feeAmt;
totalFeeAmt += feeAmt;
lastBuyId = adviceDataIdx;
}
else
{
myEstimationData.ignored = true;
}
break;
case AppTypes.TradeActions.Sell:
//Can sell if own some stock
if (stockQty <= 0)
{
myEstimationData.ignored = true;
break;
}
// Not applicable to sell
if (lastBuyId < 0)
{
myEstimationData.ignored = true;
break;
}
// T+4 contrainst ?
if (common.dateTimeLibs.DateDiffInDays(DateTime.FromOADate(data.DateTime[lastBuyId]).Date,
DateTime.FromOADate(data.DateTime[adviceDataIdx]).Date) < buy2SellInterval)
{
// Keep inapplicable Sells ??
if (commonClass.Settings.sysKeepInApplicableSell)
{
int transDataIdx = -1;
DateTime minAllowSellDate = DateTime.FromOADate(data.DateTime[lastBuyId]).Date.AddDays(buy2SellInterval);
//If it is the last trade point, find the next applicable date
if (idx >= tradePoints.Length - 1)
{
transDataIdx = FindDateIdx(data, tradePoints[idx].DataIdx + 1, data.DateTime.Count - 1, minAllowSellDate);
}
else
{
//If the next trade point is before or at [minAllowSellDate], ignore this
if (DateTime.FromOADate(data.DateTime.Values[tradePoints[idx + 1].DataIdx]).Date <= minAllowSellDate)
{
myEstimationData.ignored = true;
}
else
{
//Find the next applicable date after this point and before next point
transDataIdx = FindDateIdx(data, tradePoints[idx].DataIdx + 1, tradePoints[idx + 1].DataIdx - 1, minAllowSellDate);
}
}
if (transDataIdx < 0)
{
myEstimationData.ignored = true;
}
else
{
stockPrice = (decimal)data.Close[transDataIdx];
transDate = DateTime.FromOADate(data.DateTime[transDataIdx]).Date;
}
}
else
{
myEstimationData.ignored = true;
}
}
//Ok, sell it
if (!myEstimationData.ignored)
{
qty = stockQty;
amt = qty * stockPrice * priceWeight;
stockQty = 0; stockAmt = 0;
feeAmt = Math.Round(amt * feePerc, 0);
cashAmt += amt - feeAmt;
totalFeeAmt += feeAmt;
}
break;
}
myEstimationData.tradeAction = action.ToString();
myEstimationData.onDate = transDate;
myEstimationData.price = stockPrice;
myEstimationData.qty = qty;
myEstimationData.amt = amt;
myEstimationData.feeAmt = totalFeeAmt;
myEstimationData.ownedQty = stockQty;
myEstimationData.ownedAmt = stockAmt;
myEstimationData.cashAmt = cashAmt;
myEstimationData.profitAmt = cashAmt + stockAmt - initCapAmt;
if (afterEachEstimationFunc != null)
{
afterEachEstimationFunc(myEstimationData, returnObj);
}
}
if (afterEstimationFunc != null)
{
afterEstimationFunc(myEstimationData, returnObj);
}
}
/// <summary>
/// Estimate the profit from advices produced by analysis process.
/// The function will produce a list of "transactions" assuming to be done from analysis advices.
/// </summary>
/// <param name="data"> Data used for analysis </param>
/// <param name="tradePoints">Trade point list generated by analysis process</param>
/// <param name="options">User- specific options : captital, max Buy...</param>
/// <param name="returnObj">Returned object </param>
/// <param name="afterEachEstimationFunc">Call-back function at the end of each tradepoind estimation</param>
/// <param name="afterEstimationFunc">Call-back function at the end of estimation process</param>
///
public static void EstimateTrading(AnalysisData data, TradePointInfo[] tradePoints, EstimateOptions options,
object returnObj, AfterEachEstimationFunc afterEachEstimationFunc, AfterEstimationFunc afterEstimationFunc)
{
EstimationData myEstimationData = new EstimationData();
global::databases.baseDS.stockExchangeRow marketRow = databases.DbAccess.GetStockExchange(data.DataStockCode);
decimal initCapAmt = options.TotalCapAmt * options.MaxBuyAmtPerc / 100;
decimal priceWeight = marketRow.priceRatio;
decimal feePerc = marketRow.tranFeePerc / 100;
short buy2SellInterval = marketRow.minBuySellDay;
databases.baseDS.stockCodeRow stockCodeRow = application.SysLibs.FindAndCache_StockCode(data.DataStockCode);
if (stockCodeRow == null)
{
return;
}
int transDataIdx, lastBuyId = -1;
decimal stockQty = 0, qty;
decimal maxBuyQty = (decimal)(stockCodeRow.noOutstandingStock * options.MaxBuyQtyPerc / 100);
decimal stockAmt = 0, stockPrice = 0, amt, feeAmt, totalFeeAmt = 0;
decimal cashAmt = initCapAmt;
//DateTime transDate = common.Consts.constNullDate; ;
for (int idx = 0; idx < tradePoints.Length; idx++)
{
transDataIdx = tradePoints[idx].DataIdx;
qty = 0; amt = 0;
myEstimationData.ignored = false;
stockPrice = (decimal)data.Close[transDataIdx];
switch (tradePoints[idx].TradeAction)
{
case AppTypes.TradeActions.Buy:
//Assume that we can only buy if we have money
qty = (stockPrice == 0 ? 0 : Math.Floor(cashAmt / ((stockPrice * priceWeight) * (1 + feePerc))));
if (qty > maxBuyQty)
{
qty = maxBuyQty;
}
if (qty != 0)
{
amt = qty * stockPrice * priceWeight;
stockAmt += amt;
stockQty += qty;
feeAmt = Math.Round(amt * feePerc, 0);
cashAmt -= amt + feeAmt;
totalFeeAmt += feeAmt;
lastBuyId = transDataIdx;
}
else
{
myEstimationData.ignored = true;
}
break;
case AppTypes.TradeActions.Sell:
//Can sell if own some stock
if (stockQty <= 0)
{
myEstimationData.ignored = true;
break;
}
// Not applicable to sell
if (lastBuyId < 0)
{
myEstimationData.ignored = true;
break;
}
//==========================
// Check T+4 contrainst
//==========================
int minAllowSellPointIdx = lastBuyId + buy2SellInterval;
// [minAllowSellPoint] is out of data bound , ignore it.
if (minAllowSellPointIdx >= data.DateTime.Count)
{
myEstimationData.ignored = true;
}
// Violate T4 contrainst ?
if (!myEstimationData.ignored && tradePoints[idx].DataIdx < minAllowSellPointIdx)
{
// Keep inapplicable Sells ??
if (Settings.sysKeepInApplicableSell)
{
//If it is the last trade point, make transaction (sell) at [minAllowSellPoint]
if (idx >= tradePoints.Length - 1)
{
transDataIdx = minAllowSellPointIdx;
}
else
{
//If there is some trade point between it and [minAllowSellPoint], ignore it
if (tradePoints[idx + 1].DataIdx < minAllowSellPointIdx)
{
myEstimationData.ignored = true;
}
else
{
transDataIdx = minAllowSellPointIdx;
}
}
}
else
{
myEstimationData.ignored = true;
}
}
//Ok, sell it
if (myEstimationData.ignored != true)
{
stockPrice = (decimal)data.Close[transDataIdx];
qty = stockQty;
amt = qty * stockPrice * priceWeight;
stockQty = 0; stockAmt = 0;
feeAmt = Math.Round(amt * feePerc, 0);
cashAmt += amt - feeAmt;
totalFeeAmt += feeAmt;
//Adjust trade point to refresh chages by T4 constrainst
tradePoints[idx].DataIdx = transDataIdx;
}
else
{
tradePoints[idx].isValid = false;
}
break;
}
myEstimationData.tradeAction = tradePoints[idx].TradeAction;
myEstimationData.onDate = DateTime.FromOADate(data.DateTime[transDataIdx]);
myEstimationData.price = stockPrice;
myEstimationData.qty = qty;
myEstimationData.amt = amt;
myEstimationData.feeAmt = totalFeeAmt;
myEstimationData.ownedQty = stockQty;
myEstimationData.ownedAmt = stockAmt;
myEstimationData.cashAmt = cashAmt;
myEstimationData.profitAmt = cashAmt + stockAmt - initCapAmt;
if (afterEachEstimationFunc != null)
{
afterEachEstimationFunc(myEstimationData, returnObj);
}
}
if (afterEstimationFunc != null)
{
afterEstimationFunc(myEstimationData, returnObj);
}
}
