public void Rebalance(List <Symbol> symbols, Rebalancing reb, DateTime currentDate)
{
logger.Info($"{currentDate} START REBALANCING");
decimal money = CurrentMoney + GetPortfolioValue(currentDate);
logger.Debug("Total account value " + money);
decimal moneyForEachSymbol = money / 100 * reb.MaxPercentForShare; // There is a rebalancing issue, when we have to sell some stocks but can't because of big lot or share price
logger.Debug("Money for each symbol " + moneyForEachSymbol);
//sell cycle
foreach (Symbol symbol in symbols)
{
logger.Debug("Sell balancing cycle for " + symbol.Code);
var symbolQuote = symbol.GetDailyQuote(currentDate);
long quantity = Portfolio.getQuantity(symbol);
decimal sharesCost = quantity * symbolQuote.Open;
logger.Debug($"Cost of {symbol.Code}: " + sharesCost);
var moneyForTrade = (long)(moneyForEachSymbol - sharesCost);
logger.Debug("Money for trade: " + moneyForTrade);
if (moneyForTrade < 0 && moneyForTrade < symbolQuote.Open)
{
logger.Debug("Current cash: " + GetCurrentMoneyFormatted());
Operation oper = Sell(symbol, Math.Abs(moneyForTrade), currentDate);
if (oper != null)
{
oper.isRebalanced = true;
}
logger.Debug("Current cash: " + GetCurrentMoneyFormatted());
}
else
{
logger.Info($"No needed to Sell {symbol.Code}");
}
}
//buy cycle
foreach (Symbol symbol in symbols)
{
logger.Debug("Buy balancing cycle for " + symbol.Code);
var symbolQuote = symbol.GetDailyQuote(currentDate);
long quantity = Portfolio.getQuantity(symbol);
decimal sharesCost = quantity * symbolQuote.Open;
logger.Debug($"Cost of {symbol.Code}: " + sharesCost);
decimal moneyForTrade = moneyForEachSymbol - sharesCost;
logger.Debug("Money for trade: " + moneyForTrade);
if (moneyForTrade > 0)
{
if (moneyForTrade > CurrentMoney)
{
moneyForEachSymbol = moneyForEachSymbol - (moneyForTrade - CurrentMoney); // There is a rebalancing issue, when we have to sell some stocks but can't because of big lot or share price
moneyForTrade = moneyForTrade - (moneyForTrade - CurrentMoney);
}
logger.Debug("Current cash: " + GetCurrentMoneyFormatted());
Operation operation = Buy(symbol, moneyForTrade, currentDate);
if (operation != null)
{
operation.isRebalanced = true;
}
logger.Debug("Current cash: " + GetCurrentMoneyFormatted());
}
else
{
logger.Info($"No needed to Buy {symbol.Code}");
}
}
logger.Info($"{currentDate} END REBALANCING. CASH: " + GetCurrentMoneyFormatted());
}
public void Rebalance(Symbol symbol, Rebalancing rebalancing, DateTime currentDate)
{
Rebalance(new List <Symbol> {
symbol
}, rebalancing, currentDate);
}