public SignalsProcessor(ISystemDataLoader dataLoader, ICommission commission, ISlippage slippage)
{
_dataLoader = dataLoader;
_commission = commission;
_slippage = slippage;
_rebalancer = new PositionsRebalancer(_dataLoader, _commission, _slippage);
}
public bool HandleOrder()
{
bool isSuccess = false;
try
{
IOrderProcessor orderProcessor = OrderProcessorFactory.CreateOrderProcessor(_productType, _orderProcessorModel);
if (orderProcessor != null)
{
orderProcessor.ProcessOrder();
if (orderProcessor is ICommission)
{
ICommission commission = (ICommission)orderProcessor;
commission.GenerateCommission();
}
if (orderProcessor is IEmailSender)
{
IEmailSender emailSender = (IEmailSender)orderProcessor;
emailSender.SendEmail();
}
isSuccess = true;
}
return(isSuccess);
}
catch (Exception ex)
{
Console.WriteLine("Some exception occurred");
throw ex;
}
}
public void TestBookCommission()
{
payment = PaymentFactory.GetPayment(PaymentTypeEnum.Book);
commission = payment as ICommission;
returnMsg = commission.GenerateCommission();
Assert.AreEqual(returnMsg, "Book Commission");
}
public void SetUp()
{
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(PricesCount, LastDate);
_commission = CommissionUtils.CreateSubstitute();
_slippage = SlippageUtils.CreateSusbstitute();
TestObj = new PositionsRebalancer(_dataLoader, _commission, _slippage);
_openPriceLevelCalled = false;
}
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 SignalsProcessor(_dataLoader, _commission, _slippage);
_signalSelectorCalled = false;
_openPriceLevelCalled = 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;
}
static void Main(string[] args)
{
var serviceProvider = new ServiceCollection()
.AddSingleton <ICommission, AgentCommission>()
.AddSingleton <IMembership, CustomerMembership>()
.BuildServiceProvider();
ICommission commission = serviceProvider.GetService <ICommission>();
IMembership membership = serviceProvider.GetService <IMembership>();
PaymentService paymentService = new PaymentService(commission, membership);
PaymentResult result;
Console.WriteLine("Books");
Product product = new Product()
{
Agent = 1, Amount = 1000.00, Category = 1, ProductId = 1, ProductType = "Books", ProductName = "Book 1"
};
result = paymentService.MakePayment(product);
Console.WriteLine("---------------------------------------------------------------------");
Console.WriteLine("Toys");
Product product2 = new Product()
{
Agent = 1, Amount = 1000.00, Category = 1, ProductId = 1, ProductType = "", ProductName = "Toy 1"
};
paymentService.MakePayment(product2);
Console.WriteLine("---------------------------------------------------------------------");
Console.WriteLine("Video");
Product product3 = new Product()
{
Agent = 1, Amount = 2000.00, Category = 2, ProductId = 1, ProductType = "", ProductName = "Learning To Ski"
};
paymentService.MakePayment(product3);
Console.WriteLine("---------------------------------------------------------------------");
Console.WriteLine("New Membership");
Product product4 = new Product()
{
Agent = 1, Amount = 2000.00, Category = 3, ProductId = 1, ProductType = "New", ProductName = "Video"
};
paymentService.MakePayment(product4);
Console.WriteLine("---------------------------------------------------------------------");
Console.WriteLine("Upgrade Membership");
Product product5 = new Product()
{
Agent = 1, Amount = 2000.00, Category = 3, ProductId = 1, ProductType = "Upgrade", ProductName = "Video"
};
paymentService.MakePayment(product5);
Console.ReadLine();
//Console.WriteLine("Hello World!");
}
private void btnOK_Click(object sender, EventArgs e)
{
int iIndex = comboRules.SelectedIndex;
RuleBase cRule = new RuleBase();
cRule.ClassName = __cRules[iIndex].ClassName;
__cCommission = __cOrderService.CreateCommission(cRule);
this.DialogResult = DialogResult.OK;
}
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);
}
/// <summary>
/// 計算所有傭金規則
/// </summary>
/// <param name="order">ITradeOrder 介面</param>
/// <returns>返回值: double[](0=佣金, 1=手續費)</returns>
protected double[] CalculateCommissions(ITradeOrder order) {
double[] dValues = new double[2];
if (__cCommissions != null) {
int iCount = __cCommissions.Count;
for (int i = 0; i < iCount; i++) {
ICommission cCommission = __cCommissions[i];
int iIndex = ((int) cCommission.RuleType) - 128; //佣金起始為 128(減去 128 可得到陣列的索引值)
dValues[iIndex] += cCommission.Calculate(order);
}
}
return dValues;
}
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()
{
_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 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 static void Open(this SystemState systemState, DateTime ts, PositionDir dir, float price, float volume, StockDefinition stock, Signal signal, ISlippage slippage, ICommission commission)
{
float openPrice = systemState.CalculateSlippageOpen(slippage, stock.Type, ts, signal.Direction, price);
systemState.Open(stock, dir, ts, openPrice, volume, systemState.CalculateCommission(commission, stock.Type, signal.Volume, openPrice), signal.DataRange, signal.IntradayInterval, signal);
}
public Book(ICommission commission)
{
this.commission = commission;
}
public PaymentFactory(ICommission commissionPayment, IMembership membership, INotification notification)
{
_commission = commissionPayment;
_membership = membership;
_notification = notification;
}
public static float CalculateCommission(this SystemState systemState, ICommission commission, StockType stockType, float volume, float price)
{
return(commission.Calculate(stockType, volume, price));
}
public PositionsCloser(ISystemDataLoader dataLoader, ICommission commission, ISlippage slippage)
{
_dataLoader = dataLoader;
_commission = commission;
_slippage = slippage;
}
public static float CalculateCommission(this SystemState systemState, ICommission commission, Signal signal, float price)
{
return(systemState.CalculateCommission(commission, signal.Stock.Type, signal.Volume, price));
}
public static float CalculateCommission(this SystemState systemState, ICommission commission, int positionIndex, float price)
{
return(systemState.CalculateCommission(commission, systemState.PositionsActive[positionIndex].Stock.Type, systemState.PositionsActive[positionIndex].Volume, price));
}
public static void Open(this SystemState systemState, DateTime ts, PositionDir dir, float price, Signal signal, ISlippage slippage, ICommission commission)
{
systemState.Open(ts, dir, price, signal.Volume, signal, slippage, commission);
}
public BookRule()
{
_packingSlip = new Operations.Operations();
_commision = new Operations.Operations();
}
public static void ReducePosition(this SystemState systemState, int positionIndex, DateTime ts, float price, float volume, Signal signal, ISlippage slippage, ICommission commission)
{
systemState.AddToPosition(positionIndex, ts, price, -volume, signal, slippage, commission);
}
public static void AddToPosition(this SystemState systemState, int positionIndex, DateTime ts, float price, float volume, Signal signal, ISlippage slippage, ICommission commission)
{
Position pos = systemState.PositionsActive[positionIndex];
systemState.Close(positionIndex, ts, price, slippage, commission);
if (pos.Volume + volume > 0)
{
float openPrice = systemState.CalculateSlippageOpen(slippage, ts, signal, price);
systemState.Open(signal.Stock, pos.Direction, ts, openPrice, pos.Volume + volume, systemState.CalculateCommission(commission, signal, openPrice), signal.DataRange, signal.IntradayInterval, signal);
}
}
public static void CloseAll(this SystemState systemState, DateTime ts, float price, ISlippage slippage, ICommission commission)
{
while (systemState.PositionsActive.Count > 0)
{
systemState.Close(0, ts, price, slippage, commission);
}
}
public MMSignalVolumeForAllCash(ICommission commission)
{
_commission = commission;
}
public static void Close(this SystemState systemState, int positionIndex, DateTime ts, float price, ISlippage slippage, ICommission commission)
{
float closePrice = systemState.CalculateSlippageClose(slippage, ts, positionIndex, price);
systemState.Close(positionIndex, ts, closePrice, systemState.CalculateCommission(commission, positionIndex, closePrice));
}
