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()
{
_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;
}
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);
}
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 PositionsCloser(ISystemDataLoader dataLoader, ICommission commission, ISlippage slippage)
{
_dataLoader = dataLoader;
_commission = commission;
_slippage = slippage;
}
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 static float CalculateSlippageOpen(this SystemState systemState, ISlippage slippage, DateTime ts, Signal signal, float price)
{
return(systemState.CalculateSlippageOpen(slippage, signal.Stock.Type, ts, signal.Direction, price));
}
public static ISlippage CreateSusbstitute()
{
ISlippage slippage = Substitute.For <ISlippage>();
slippage.CalculateClose(default, default, default, default).ReturnsForAnyArgs(x => x.ArgAt <float>(3));
public static float CalculateSlippageClose(this SystemState systemState, ISlippage slippage, DateTime ts, int positionIndex, float price)
{
return(systemState.CalculateSlippageClose(slippage, systemState.PositionsActive[positionIndex].Stock.Type, ts, systemState.PositionsActive[positionIndex].Direction, price));
}
public static float CalculateSlippageClose(this SystemState systemState, ISlippage slippage, StockType stockType, DateTime ts, PositionDir dir, float price)
{
return(slippage.CalculateClose(stockType, ts, dir, 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 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 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 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));
}