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Monthly Processing and enhancement of buy/sell display
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Sean
2025-12-01 11:46:19 -05:00
parent 4f3bcd10e2
commit 182a2f8bf2
8 changed files with 162 additions and 49 deletions
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18
MarketData/MarketDataLib/Generator/CMMomentum/CMBacktest.cs
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@@ -446,8 +446,13 @@ namespace MarketData.Generator.CMMomentum
// ***************************************************************************************************************************************************
// **************************************************************** S E L L P O S I T I O N S *****************************************************
// ***************************************************************************************************************************************************
// These make the monthly process a bit easier to read
private void DisplaySales(Positions positions,DateTime tradeDate)
/// <summary>
/// This makes for easier reading of the sales
/// </summary>
/// <param name="positions"></param>
/// <param name="tradeDate"></param>
private static void DisplaySales(Positions positions,DateTime tradeDate)
{
MDTrace.WriteLine(LogLevel.DEBUG,"********* S E L L S *********");
foreach (Position position in positions)
@@ -456,12 +461,17 @@ namespace MarketData.Generator.CMMomentum
}
}
private void DisplayPurchases(Positions positions, DateTime tradeDate)
/// <summary>
/// This makes for easier reading of the purchases
/// </summary>
/// <param name="positions"></param>
/// <param name="tradeDate"></param>
private static void DisplayPurchases(Positions positions, DateTime tradeDate)
{
MDTrace.WriteLine(LogLevel.DEBUG,"********* B U Y S *********");
foreach (Position position in positions)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Buy {0} {1} @ {2} on {3}",position.Symbol,Utility.FormatNumber(position.Shares,3),Utility.FormatCurrency(position.PurchasePrice,2),TradeDate.ToShortDateString()));
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Buy {0} {1} @ {2} on {3}",position.Symbol,Utility.FormatNumber(position.Shares,3),Utility.FormatCurrency(position.PurchasePrice,2),tradeDate.ToShortDateString()));
}
}

33
MarketData/MarketDataLib/Generator/CMTrend/CMTTrendModel.cs
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@@ -652,6 +652,7 @@ namespace MarketData.Generator.CMTrend
return result;
}
ActivePositions.Add(positions);
DisplayPurchases(positions, TradeDate);
CashBalance-=positions.GetExposure();
}
DisplayRealtimeBlotter(TradeDate);
@@ -753,6 +754,7 @@ namespace MarketData.Generator.CMTrend
return result;
}
ActivePositions.Add(positions);
DisplayPurchases(positions, TradeDate);
CashBalance-=positions.GetExposure();
}
MDTrace.WriteLine(LogLevel.DEBUG,"\n");
@@ -884,7 +886,7 @@ namespace MarketData.Generator.CMTrend
private void ManageOpenPositions(DateTime tradeDate)
{
if(0==ActivePositions.Count) return;
List<Position> closedPositions=new List<Position>();
Positions closedPositions = new Positions();
foreach(Position position in ActivePositions)
{
Price price=GBPriceCache.GetInstance().GetPrice(position.Symbol,tradeDate);
@@ -948,6 +950,7 @@ namespace MarketData.Generator.CMTrend
}
if(0!=closedPositions.Count)
{
DisplaySales(closedPositions, TradeDate);
MDTrace.WriteLine(LogLevel.DEBUG,"********************* S E L L *********************");
foreach(Position closedPosition in closedPositions)
{
@@ -1788,5 +1791,33 @@ namespace MarketData.Generator.CMTrend
sessionParams.NonTradeableCash=NonTradeableCash;
return CMTSessionManager.SaveSession(sessionParams,backupFileName);
}
/// <summary>
/// This makes for easier reading of the sales
/// </summary>
/// <param name="positions"></param>
/// <param name="tradeDate"></param>
private static void DisplaySales(Positions positions,DateTime tradeDate)
{
MDTrace.WriteLine(LogLevel.DEBUG,"********* S E L L S *********");
foreach (Position position in positions)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Sell {0} {1} @ {2} on {3}",position.Symbol,Utility.FormatNumber(position.Shares,3),Utility.FormatCurrency(position.CurrentPrice,2),tradeDate.ToShortDateString()));
}
}
/// <summary>
/// This makes for easier reading of the purchases
/// </summary>
/// <param name="positions"></param>
/// <param name="tradeDate"></param>
private static void DisplayPurchases(Positions positions, DateTime tradeDate)
{
MDTrace.WriteLine(LogLevel.DEBUG,"********* B U Y S *********");
foreach (Position position in positions)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Buy {0} {1} @ {2} on {3}",position.Symbol,Utility.FormatNumber(position.Shares,3),Utility.FormatCurrency(position.PurchasePrice,2),tradeDate.ToShortDateString()));
}
}
}
}

39
MarketData/MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs
View File

@@ -1,9 +1,6 @@
using System;
using System.Collections.Generic;
using MarketData.MarketDataModel;
using MarketData.MarketDataModel;
using MarketData.DataAccess;
using MarketData.Utils;
using System.Linq;
using MarketData.Cache;
using MarketData.Generator.Model;
using MarketData.Generator.Indicators;
@@ -510,6 +507,7 @@ namespace MarketData.Generator.MGSHMomentum
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("********** Insufficient funds to make additional purchases.**************"));
return;
}
DisplayPurchases(positions,TradeDate);
ActivePositions.Add(slotIndex,positions);
CashBalance-=positions.Exposure;
SetInitialStopLimitsForNewPositions(TradeDate, positions);
@@ -524,6 +522,7 @@ namespace MarketData.Generator.MGSHMomentum
if(!Configuration.KeepSlotPositions) // if we are not configured to KeepSlotPositions then don't sell anything just buy to the max positions allowed for the slot
{
SellPositions(slotPositions,TradeDate);
DisplaySales(slotPositions, TradeDate);
MDTrace.WriteLine(LogLevel.DEBUG,"********************* S E L L *********************");
slotPositions.Display();
AllPositions.Add(slotPositions);
@@ -545,6 +544,7 @@ namespace MarketData.Generator.MGSHMomentum
MDTrace.WriteLine(LogLevel.DEBUG,"********************** B U Y ********************");
if(!ActivePositions.ContainsKey(slotIndex))ActivePositions.Add(slotIndex, positions);
else ActivePositions[slotIndex].AddRange(positions);
DisplayPurchases(positions, TradeDate);
CashBalance-=positions.Exposure;
SetInitialStopLimitsForNewPositions(TradeDate, positions);
ActivePositions[slotIndex].Display();
@@ -1411,5 +1411,36 @@ namespace MarketData.Generator.MGSHMomentum
sessionParams.HedgeCashBalance=HedgeCashBalance;
return MGSHSessionManager.SaveSession(sessionParams,backupFileName);
}
/// <summary>
/// This makes for easier reading of the sales
/// </summary>
/// <param name="positions"></param>
/// <param name="tradeDate"></param>
private static void DisplaySales(MGSHPositions positions,DateTime tradeDate)
{
if(null == positions || 0==positions.Count)return;
MDTrace.WriteLine(LogLevel.DEBUG,"********* S E L L S *********");
foreach (MGSHPosition position in positions)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Sell {0} {1} @ {2} on {3}",position.Symbol,Utility.FormatNumber(position.Shares,3),Utility.FormatCurrency(position.CurrentPrice,2),tradeDate.ToShortDateString()));
}
}
/// <summary>
/// This makes for easier reading of the purchases
/// </summary>
/// <param name="positions"></param>
/// <param name="tradeDate"></param>
private static void DisplayPurchases(MGSHPositions positions, DateTime tradeDate)
{
if(null == positions || 0==positions.Count)return;
MDTrace.WriteLine(LogLevel.DEBUG,"********* B U Y S *********");
foreach (MGSHPosition position in positions)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Buy {0} {1} @ {2} on {3}",position.Symbol,Utility.FormatNumber(position.Shares,3),Utility.FormatCurrency(position.PurchasePrice,2),tradeDate.ToShortDateString()));
}
}
}
}

33
MarketData/MarketDataLib/Generator/Momentum/Backtest.cs
View File

@@ -225,6 +225,7 @@ namespace MarketData.Generator.Momentum
MDTrace.WriteLine(LogLevel.DEBUG, "********************* S E L L *********************");
slotPositions.Display();
AllPositions.Add(slotPositions);
DisplaySales(slotPositions, TradeDate);
CashBalance += slotPositions.MarketValue;
ActivePositions[slotIndex].Clear();
}
@@ -367,6 +368,7 @@ namespace MarketData.Generator.Momentum
positions.Clear();
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("********** Insufficient funds to make additional purchases.**************"));
}
DisplayPurchases(positions,TradeDate);
positions.Display();
ActivePositions.Add(slotIndex,positions);
CashBalance-=positions.Exposure;
@@ -379,6 +381,7 @@ namespace MarketData.Generator.Momentum
MDTrace.WriteLine(LogLevel.DEBUG,"********************* S E L L *********************");
slotPositions.Display();
AllPositions.Add(slotPositions);
DisplaySales(slotPositions, TradeDate);
CashBalance+=slotPositions.MarketValue;
ActivePositions[slotIndex].Clear();
DisplayBalance();
@@ -394,6 +397,7 @@ namespace MarketData.Generator.Momentum
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("********** Insufficient funds to make additional purchases.**************"));
break;
}
DisplayPurchases(positions, TradeDate);
ActivePositions[slotIndex]=positions;
CashBalance-=positions.Exposure;
DisplayBalance();
@@ -412,6 +416,7 @@ namespace MarketData.Generator.Momentum
MDTrace.WriteLine(LogLevel.DEBUG,"********************* S E L L ********************");
slotPositions.Display();
AllPositions.Add(slotPositions);
DisplaySales(slotPositions, TradeDate);
CashBalance+=slotPositions.MarketValue;
ActivePositions[slotIndex].Clear();
}
@@ -717,5 +722,33 @@ namespace MarketData.Generator.Momentum
sessionParams.NonTradeableCash = NonTradeableCash;
return MGSessionManager.SaveSession(sessionParams,backupFileName);
}
/// <summary>
/// This makes for easier reading of the sales
/// </summary>
/// <param name="positions"></param>
/// <param name="tradeDate"></param>
private static void DisplaySales(Positions positions,DateTime tradeDate)
{
MDTrace.WriteLine(LogLevel.DEBUG,"********* S E L L S *********");
foreach (Position position in positions)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Sell {0} {1} @ {2} on {3}",position.Symbol,Utility.FormatNumber(position.Shares,3),Utility.FormatCurrency(position.CurrentPrice,2),tradeDate.ToShortDateString()));
}
}
/// <summary>
/// This makes for easier reading of the purchases
/// </summary>
/// <param name="positions"></param>
/// <param name="tradeDate"></param>
private static void DisplayPurchases(Positions positions, DateTime tradeDate)
{
MDTrace.WriteLine(LogLevel.DEBUG,"********* B U Y S *********");
foreach (Position position in positions)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Buy {0} {1} @ {2} on {3}",position.Symbol,Utility.FormatNumber(position.Shares,3),Utility.FormatCurrency(position.PurchasePrice,2),tradeDate.ToShortDateString()));
}
}
}
}