public static IActionResult CalculateToBuyStocks(
[HttpTrigger(AuthorizationLevel.Function, "post", Route = "calculateToBuyStocks")] AdvisorRequest request)
{
var stockPrices = request.BvbStocks.AsStockPrices();
var targetWeights = request.BvbStocks.AsStockWeights();
var existingStocks = request.ExistingStocks.UpdatePrices(stockPrices);
decimal currentPortfolioValue = existingStocks.Sum(s => s.TotalValue);
var strategy =
new MinOrderValueCutOffStrategy(
new FollowTargetAdjustmentStrategy(), MIN_ORDER_VALUE / request.ToBuyAmount);
var portfolio = new PortfolioBuilder()
.UseStocks(existingStocks)
.UsePrices(stockPrices)
.UseTargetWeights(targetWeights)
.UseToBuyAmount(request.ToBuyAmount)
.UseMinOrderValue(MIN_ORDER_VALUE)
.UseWeightAdjustmentStrategy(strategy)
.Build();
return(new OkObjectResult(portfolio.DeriveToBuyStocks(existingStocks)));
}
public void MinOrderValueCutOffStrategy_AsExpected()
{
var toBuyAmount = 2070.2175m;
var(currentWeights, targetWeights, portfolioValue) = TestResources.ReadWeights();
var strategy = new MinOrderValueCutOffStrategy(new FollowTargetAdjustmentStrategy(), MIN_ORDER_VALUE / toBuyAmount);
var adjustedWeights =
strategy.AdjustWeights(currentWeights, targetWeights, portfolioValue / toBuyAmount);
Assert.IsTrue(adjustedWeights.Sum(w => w.Value).IsApproxOne());
}
public void AdjustWeights_WeightsBellowMinimalWeightAreCutOff_CutOffWeightIsRedistributed()
{
var currentWeights = new StockWeights
{
{ "TLV", 0.08m }, { "SNG", 0.09m }, { "FP", 0.22m }, { "EL", 0.61m }
};
var targetWeights = new StockWeights
{
{ "TLV", 0.08m }, { "SNG", 0.09m }, { "FP", 0.22m }, { "EL", 0.61m }
};
var strategy = new MinOrderValueCutOffStrategy(new FollowTargetAdjustmentStrategy(), 0.1m);
var toBuyWeights = strategy.AdjustWeights(currentWeights, targetWeights, toBuyInverseRatio: 2);
Assert.IsFalse(toBuyWeights.ContainsKey("TLV"));
Assert.IsTrue(toBuyWeights.Sum(w => w.Value).IsApproxOne());
}
public void PortfolioBuilder_ExpectedDerivedPortfolio()
{
var toBuyAmount = 2000m;
var(currentStocks, bvbStocks, _) = TestResources.ReadStocks();
var strategy =
new MinOrderValueCutOffStrategy(
new FollowTargetAdjustmentStrategy(), MIN_ORDER_VALUE / toBuyAmount);
var portfolio = new PortfolioBuilder()
.UseStocks(currentStocks)
.UsePrices(bvbStocks.AsStockPrices())
.UseTargetWeights(bvbStocks.AsStockWeights())
.UseToBuyAmount(toBuyAmount)
.UseMinOrderValue(MIN_ORDER_VALUE)
.UseWeightAdjustmentStrategy(strategy)
.Build();
var toBuyStocks = portfolio.DeriveToBuyStocks(currentStocks);
var investedAmount = toBuyStocks.Sum(s => s.Count * s.Price);
Assert.IsTrue((toBuyAmount / investedAmount).IsApproxOne());
}
