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)));
}
private IPortfolioBuilder PreparePortfolioBuilder(IQuotesDal dal)
{
IPortfolioBuilder builder = new PortfolioBuilder();
// initializing
IPortfolioBuilderInitParams initParams = builder.CreateInitParams();
initParams.QuotesDal = dal;
builder.Init(initParams);
return(builder);
}
public void BuildPortfolio_AtLeastOneTargetWeightAboveAboveOneHundredPercent_ThrowsArgumentException()
{
var prices = new StockPrices
{
{ "TLV", 10 }, { "FP", 20 }, { "EL", 30 }
};
var targetWeights = new StockWeights
{
{ "TLV", 1.2m }, { "FP", 0.3m }, { "EL", 0.5m }
};
var builder = new PortfolioBuilder()
.UsePrices(prices)
.UseTargetWeights(targetWeights)
.UseToBuyAmount(100);
Assert.Throws <ArgumentException>(() => builder.Build());
}
public void BuildPortfolio_MissingPriceForTargetSymbol_ThrowsArgumentException()
{
var prices = new StockPrices
{
{ "TLV", 10 }, { "FP", 20 }, { "EL", 30 }
};
var targetWeights = new StockWeights
{
{ "TLV", 0.21m }, { "FP", 0.3m }
};
var builder = new PortfolioBuilder()
.UsePrices(prices)
.UseTargetWeights(targetWeights)
.UseToBuyAmount(100);
Assert.Throws <ArgumentException>(() => builder.Build());
}
public void BuildPortfolio_SumOfTargetWeightApproxEqualWithOneHundredPercent_DoesNotThrow()
{
var prices = new StockPrices
{
{ "TLV", 10 }, { "FP", 20 }, { "EL", 30 }
};
var targetWeights = new StockWeights
{
{ "TLV", 0.21m }, { "FP", 0.3m }, { "EL", 0.5m }
};
var builder = new PortfolioBuilder()
.UsePrices(prices)
.UseTargetWeights(targetWeights)
.UseToBuyAmount(100);
Assert.DoesNotThrow(() => builder.Build());
}
public void BuildPortfolio_InitialStocks_EnoughAvailableAmount_NewStocksAreAdded()
{
var prices = new StockPrices
{
{ "TLV", 10 }, { "FP", 20 }, { "EL", 30 }
};
var stocks = new[]
{
new Stock("TLV")
{
Count = 2, Price = 10, Weight = 0.2m
}, // should add 2
new Stock("FP")
{
Count = 1, Price = 20, Weight = 0.2m
}, // should add 3
new Stock("EL")
{
Count = 2, Price = 30, Weight = 0.6m
} // should add 2
};
var targetWeights = new StockWeights
{
{ "TLV", 0.2m }, { "FP", 0.3m }, { "EL", 0.5m }
}; // target stock 4 * TLV + 4 * FP + 4 * EL = 240
var portfolio = new PortfolioBuilder()
.UsePrices(prices)
.UseStocks(stocks)
.UseWeightAdjustmentStrategy(new FollowTargetAdjustmentStrategy())
.UseTargetWeights(targetWeights)
.UseToBuyAmount(140)
.Build();
Assert.AreEqual(4, portfolio["EL"].Count);
Assert.AreEqual(4, portfolio["FP"].Count);
Assert.AreEqual(4, portfolio["TLV"].Count);
Assert.AreEqual(240, portfolio.TotalValue);
}
public void BuildPortfolio_NotEnoughForAll_PortfolioValueIsCorrect()
{
var prices = new StockPrices
{
{ "TLV", 10 }, { "FP", 20 }
};
var targetWeights = new StockWeights
{
{ "TLV", 0.5m }, { "FP", 0.5m }
};
var portfolio = new PortfolioBuilder()
.UsePrices(prices)
.UseTargetWeights(targetWeights)
.UseToBuyAmount(20)
.Build();
Assert.AreEqual(10, portfolio.TotalValue);
}
public void BuildPortfolio_NotEnoughForAny_PortfolioValueIsZero()
{
var prices = new StockPrices
{
{ "TLV", 10 }, { "FP", 20 }
};
var targetWeights = new StockWeights
{
{ "TLV", 0.5m }, { "FP", 0.5m }
};
var portfolio = new PortfolioBuilder()
.UsePrices(prices)
.UseTargetWeights(targetWeights)
.UseToBuyAmount(9)
.Build();
Assert.Zero(portfolio.TotalValue);
}
public void BuildPortfolio_MinOrderValueIsSet_StockTotalValueLessThanMinimal_StockIsNotAddedToPortfolio()
{
var prices = new StockPrices
{
{ "TLV", 10 }, { "FP", 20 }, { "EL", 30 }
};
var targetWeights = new StockWeights
{
{ "TLV", 0.2m }, { "FP", 0.3m }, { "EL", 0.5m }
};
var portfolio = new PortfolioBuilder()
.UsePrices(prices)
.UseTargetWeights(targetWeights)
.UseToBuyAmount(140)
.UseMinOrderValue(31)
.Build();
Assert.IsFalse(portfolio.Any(s => s.Symbol == "TLV"));
}
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());
}
public void BuildPortfolio_AlmostEnoughForAll_SmallestEligibleStockIsDecreased()
{
var prices = new StockPrices
{
{ "TLV", 10 }, { "FP", 20 }, { "EL", 30 }
};
var targetWeights = new StockWeights
{
{ "TLV", 0.2m }, { "FP", 0.3m }, { "EL", 0.5m }
};
var portfolio = new PortfolioBuilder()
.UsePrices(prices)
.UseTargetWeights(targetWeights)
.UseToBuyAmount(119)
.Build();
Assert.AreEqual(2, portfolio["EL"].Count);
Assert.AreEqual(2, portfolio["FP"].Count);
Assert.AreEqual(1, portfolio["TLV"].Count);
Assert.AreEqual(110, portfolio.TotalValue);
}
public Presenter(IBinanceViewer viewer)
{
this.Viewer = viewer;
this.Portfolio = PortfolioBuilder.GetSamplePortfolio();
DisplayBalanceInDifferentCurrencies();
}
