public static void RunBackTest(object[,] tradeBlotter, DateTime fromDate, DateTime toDate)
{
var backTest = new BackTest(fromDate, toDate);
// get trades
LoadOMSTrades(tradeBlotter, backTest.PF);
// runbacktest
foreach (DateTime day in DynamicData.TCs["LON"].EachBusDay(fromDate, toDate))
{ backTest.PF.PricePortfolio(day); }
// process results
}
public static delBackTrader SelectTrader(BackTest backTest)
{
// @@@ single trades / american options / multicast delegates?
delBackTrader trader;
switch (backTest.OptionHedgeType)
{
case 0:
trader = PerfectMonthlyHedge;
break;
case 1:
trader = BestGranularityHedge; // @@@ add min clip size as well - how to split? first finish backtrader, then think about the code structure;
break;
//case 2:
// @@@ same cases for single option ID's [result will differ from portfolio as we 13k + 13k will end up selling 2*50k on portfolio basis - so only good for single trade perfomance, not portfolio]
// break;
default:
throw new NotImplementedException("trader = ?which OptionHedgeType?");
}
return trader;
}
public static void RunDates(BackTest backTest)
{
delBackTrader trader = SelectTrader(backTest);
SortedDictionary<DateTime, TradeSet> allTrades = backTest._tradeCollection._tradeSets;
List<DateTime> marktDates = allTrades.Keys.OrderBy(k => k).ToList();
TradeSet CurrentSet;
for (int i = 0; i < marktDates.Count; i++)
{
CurrentSet = allTrades[marktDates[i]];
ExcerciseGasOptions(CurrentSet);
CurrentSet.PriceSet();
if (i < marktDates.Count - 1) allTrades[marktDates[i + 1]] = trader(CurrentSet); // no new trades at the end of the last day;
}
/* ExecTrader(TradeSet, delBackTrader, delSignal, delFilter)
*
* delSignal shoudl return 'product ID', maturity, ACTION (buy/sell), volume, price, etc.
*
* delSignal is based on a product, while delBackTrader can work on a special group like OptionID, hence more analysis than a simple signal would provide
* @@@@
* add ELE later (i.e. bullets in general)
* load WE/BoM curves
* how to measure hedge effenciency
* provide different vol hedging (i.e. normal, atm log, skewed log)
* BackTrader.PerfectMonthlyHedge); // @@@ delegate here? better
*/
}
public static void CreateBackTest(string name, DateTime fromDate, DateTime toDate)
{
if (BackTestContainer == null) BackTestContainer = new Dictionary<string, BackTest>();
BackTestContainer[name] = new BackTest(name, fromDate, toDate);
}
public static void WriteBTToSerial(string name, BackTest bt)
{
string filePath = System.IO.Path.Combine(Settings.Instance.FilePath.BackTestFolder, "BackTest_" + name + ".data"); //Settings.Instance.FilePath.BackTestFile);
SerializationHandler.WriteSerialization(filePath, bt);
}