using System; using System.ComponentModel; using System.Collections.Generic; using System.Collections.ObjectModel; using System.Collections.Specialized; using System.Linq; using System.Text; using System.Windows.Input; using System.Threading.Tasks; using Forms=System.Windows.Forms; using System.Threading; using System.Windows; using System.Windows.Media; using System.IO; using MarketData; using MarketData.Utils; using MarketData.MarketDataModel; using MarketData.Generator; using MarketData.DataAccess; using TradeBlotter.DataAccess; using TradeBlotter.Command; using TradeBlotter.Model; using Microsoft.Research.DynamicDataDisplay.DataSources; using System.Windows.Threading; using MarketData.Generator.Momentum; using TradeBlotter.UIUtils; using MarketData.Generator.Model; using MarketData.Generator.MGSHMomentum; using MarketData.Generator.Interface; using StopLimit=MarketData.MarketDataModel.StopLimit; using TradeBlotter.Extensions; namespace TradeBlotter.ViewModels { public class MGSHMomentumViewModel : WorkspaceViewModel { // generic section private const String DISPLAY_NAME = "MGSHMomentum Model"; private bool busyIndicator = false; private String busyContent=null; private String initialPath=null; private String pathFileName=null; private ObservableCollection momentumCandidates=new ObservableCollection(); private MGSHMomentumCandidate selectedItem=null; private RelayCommand runCommand; private RelayCommand stochasticsCommand; private RelayCommand relativeStrengthCommand; private RelayCommand macdCommand; private RelayCommand bollingerBandCommand; private RelayCommand priceHistoryCommand; private RelayCommand stickerValuationCommand; private RelayCommand dcfValuationCommand; private RelayCommand dividendHistoryCommand; private RelayCommand analystRatingsCommand; private RelayCommand addToWatchListCommand; private RelayCommand removeFromWatchListCommand; private RelayCommand movingAverageCommand; private RelayCommand displayHistoricalCommand; // session section private ModelStatistics modelStatistics=null; private NVPDictionary nvpDictionary=null; private ObservableCollection nvpDictionaryKeys = default; private MGSHConfiguration configuration=null; private MGSHSessionParams sessionParams; private String selectedParameter=null; private MGSHPositionModelCollection positions=null; private MGSHPositionModel selectedPosition=null; private ObservableCollection monitorIntervals; private String selectedMonitorInterval; private bool monitorRunning=false; private DispatcherTimer dispatcherTimer = new DispatcherTimer(); private RelayCommand loadFileCommand; private RelayCommand reloadCommand; private RelayCommand monitorCommand; private RelayCommand stochasticsCommandPosition; private RelayCommand relativeStrengthCommandPosition; private RelayCommand macdCommandPosition; private RelayCommand bollingerBandCommandPosition; private RelayCommand bollingerBandCommandPositionAll; private RelayCommand priceHistoryCommandPosition; private RelayCommand stickerValuationCommandPosition; private RelayCommand dcfValuationCommandPosition; private RelayCommand dividendHistoryCommandPosition; private RelayCommand analystRatingsCommandPosition; private RelayCommand addToWatchListCommandPosition; private RelayCommand removeFromWatchListCommandPosition; private RelayCommand movingAverageCommandPosition; private RelayCommand displayHistoricalCommandPosition; private RelayCommand displayHeadlinesCommandPosition; private RelayCommand editPositionCommandPosition; private RelayCommand closePositionCommandPosition; // chart plotter private bool showAsGainLoss=true; private bool isLegendVisible=false; private RelayCommand toggleReturnOrPercentCommand=null; private ModelPerformanceSeries modelPerformanceSeries=null; public MGSHMomentumViewModel(bool loadedFromParams=false) { PropertyChanged += OnMomentumViewModelPropertyChanged; base.DisplayName = DISPLAY_NAME; monitorIntervals=new ObservableCollection(); monitorIntervals.Add("30"); monitorIntervals.Add("60"); monitorIntervals.Add("90"); monitorIntervals.Add("120"); selectedMonitorInterval=monitorIntervals[0]; configuration=new MGSHConfiguration(); NVPCollection nvpCollection=configuration.ToNVPCollection(); nvpDictionary=nvpCollection.ToDictionary(); List dictionaryKeys=new List(nvpDictionary.Keys); dictionaryKeys.Sort(); nvpDictionaryKeys=new ObservableCollection(dictionaryKeys); selectedParameter=nvpDictionaryKeys[0]; dispatcherTimer.Tick += DispatcherTimerTick; dispatcherTimer.Interval = new TimeSpan(0, 0, int.Parse(selectedMonitorInterval)); base.OnPropertyChanged("MonitorIntervals"); base.OnPropertyChanged("SelectedMonitorInterval"); base.OnPropertyChanged("Parameters"); base.OnPropertyChanged("SelectedParameter"); base.OnPropertyChanged("ParameterValue"); base.OnPropertyChanged("LastTradeDate"); base.OnPropertyChanged("NextTradeDate"); } protected override void OnDispose() { StopMonitor(); base.OnDispose(); } // ******************************************************************************************** P E R S I S T E N C E ******************************************************************************************** public override bool CanPersist() { return true; } public override SaveParameters GetSaveParameters() { SaveParameters saveParams = new SaveParameters(); if (null == pathFileName) return null; saveParams.Add(new KeyValuePair("Type",GetType().Namespace+"."+GetType().Name)); saveParams.Add(new KeyValuePair("PathFileName", pathFileName)); return saveParams; } public override void SetSaveParameters(SaveParameters saveParameters) { try { pathFileName = (from KeyValuePair item in saveParameters where item.Key.Equals("PathFileName") select item).FirstOrDefault().Value; if(!LoadSessionFile())pathFileName=null; } catch (Exception exception) { MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Exception:{0}",exception.ToString())); } } // ************************************************************************************************************************************************************************** public bool BusyIndicator { get { return busyIndicator; } set { busyIndicator = value; base.OnPropertyChanged("BusyIndicator"); } } public String BusyContent { get { return busyContent; } set { busyContent=value; base.OnPropertyChanged("BusyContent"); } } // ************************************************************************************************************************************************************************** public ObservableCollection CandidateMenuItems { get { ObservableCollection collection = new ObservableCollection(); collection.Add(new MenuItem() { Text = "Display Bollinger Band", MenuItemClickedCommand = DisplayBollingerBand, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Dividend History", MenuItemClickedCommand = DisplayDividendHistory, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Sticker Valuation", MenuItemClickedCommand = DisplayStickerValuation, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Historical", MenuItemClickedCommand = DisplayHistorical, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Stochastics", MenuItemClickedCommand = DisplayStochastics, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Relative Strength", MenuItemClickedCommand=DisplayRelativeStrength, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display MACD", MenuItemClickedCommand = DisplayMACD, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Price History", MenuItemClickedCommand = DisplayPriceHistory, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Moving Average", MenuItemClickedCommand = DisplayMovingAverage, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Analyst Ratings", MenuItemClickedCommand = DisplayAnalystRatings, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display DCF Valuation", MenuItemClickedCommand = DisplayDCFValuation, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Add to Watchlist", MenuItemClickedCommand = AddToWatchList, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Remove from Watchlist", MenuItemClickedCommand = RemoveFromWatchList, StaysOpenOnClick = false }); return collection; } } public ObservableCollection PositionsMenuItems { get { ObservableCollection collection = new ObservableCollection(); collection.Add(new MenuItem() { Text = "Display Bollinger Band Model Position", MenuItemClickedCommand = DisplayBollingerBandPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Bollinger Band All", MenuItemClickedCommand = DisplayBollingerBandPositionAll, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Headlines", MenuItemClickedCommand = DisplayHeadlinesPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Dividend History", MenuItemClickedCommand = DisplayDividendHistoryPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Sticker Valuation", MenuItemClickedCommand = DisplayStickerValuationPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Historical", MenuItemClickedCommand = DisplayHistoricalPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Stochastics", MenuItemClickedCommand = DisplayStochasticsPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Relative Strength", MenuItemClickedCommand=DisplayRelativeStrengthPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display MACD", MenuItemClickedCommand = DisplayMACDPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Price History", MenuItemClickedCommand = DisplayPriceHistoryPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Moving Average", MenuItemClickedCommand = DisplayMovingAveragePosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display Analyst Ratings", MenuItemClickedCommand = DisplayAnalystRatingsPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Display DCF Valuation", MenuItemClickedCommand = DisplayDCFValuationPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Add to Watchlist", MenuItemClickedCommand = AddToWatchListPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Remove from Watchlist", MenuItemClickedCommand = RemoveFromWatchListPosition, StaysOpenOnClick = false }); collection.Add(new MenuItem() { Text = "Close Position...",MenuItemClickedCommand=ClosePosition,StaysOpenOnClick=false }); collection.Add(new MenuItem() { Text = "Edit Position...",MenuItemClickedCommand=EditPosition,StaysOpenOnClick=false }); return collection; } } private void OnMomentumViewModelPropertyChanged(object sender, PropertyChangedEventArgs eventArgs) { } // ************************************************************************************************************************************************ // ************************************************************************************************************************************************ // ************************************************************************************************************************************************ public override String DisplayName { get { if(null==pathFileName)return "MGSHMomentum Model"; String pureFileName = Utility.GetFileNameNoExtension(pathFileName); return "MGSHMomentum Model ("+pureFileName+")"; } } public override String Title { get { return DisplayName; } } // ******************************************************************************************************************************************************************************** private void Run() { try { if(null==sessionParams)return; DateGenerator dateGenerator = new DateGenerator(); DateTime selectedDate = dateGenerator.FindPrevBusinessDay(sessionParams.TradeDate); BusyIndicator = true; BusyContent="Running Momentum..."; Task workerTask = Task.Factory.StartNew(() => { MGSHConfiguration localConfiguration=new MGSHConfiguration(); localConfiguration.MaxPositions = int.Parse(nvpDictionary["MaxPositions"].Value); localConfiguration.HoldingPeriod = int.Parse(nvpDictionary["HoldingPeriod"].Value); MGSHMomentumCandidates candidates = MGSHMomentumGenerator.GenerateMomentumWithFallback(selectedDate, configuration == null ? localConfiguration : configuration); momentumCandidates=new ObservableCollection(); foreach(MGSHMomentumCandidate momentumCandidate in candidates)momentumCandidates.Add(momentumCandidate); }); workerTask.ContinueWith((continuation)=> { BusyIndicator = false; base.OnPropertyChanged("AllItems"); base.OnPropertyChanged("Title"); }); } finally { } } // ****************************************************************************************************************************************************** // *************************************************************** T O O L T I P C A L L O U T S ****************************************************** // ******************************************************************************************************************************************************* // Candidate public String CompanyDescription { get { if(null== selectedItem || null==selectedItem.Symbol)return "No row selected."; CompanyProfile companyProfile=CompanyProfileDA.GetCompanyProfile(selectedItem.Symbol); if(null==companyProfile || null==companyProfile.Description || "".Equals(companyProfile.Description))return "No description found."; StringBuilder sb=new StringBuilder(); sb.Append(companyProfile.Sector).Append("/").Append(companyProfile.Industry).Append("\n").Append(companyProfile.Description); return sb.ToString(); } } public String VelocityDescription { get { if(null== selectedItem || null==selectedItem.Symbol)return "No row selected."; return "Velocity is the percentage range of the current price within the price history."; } } public String BetaDescription { get { if(null== selectedItem || null==selectedItem.Symbol)return "No row selected."; return "A beta of less than 1 means that the security is theoretically less volatile than the market. A beta of greater than 1 indicates that the security's price is theoretically more volatile than the market. For example, if a stock's beta is 1.2, it's theoretically 20% more volatile than the market."; } } // Position public String CompanyDescriptionSelectedPosition { get { if(null== selectedPosition || null==selectedPosition.Symbol)return "No row selected."; CompanyProfile companyProfile=CompanyProfileDA.GetCompanyProfile(selectedPosition.Symbol); if(null==companyProfile || null==companyProfile.Description || "".Equals(companyProfile.Description))return "No description found."; StringBuilder sb = new StringBuilder(); sb.Append(companyProfile.Sector).Append("/").Append(companyProfile.Industry).Append("\n").Append(companyProfile.Description); return sb.ToString(); } } // **************************************************************************************************************************************************************** // **************************************************************************************************************************************************************** // **************************************************************************************************************************************************************** public MGSHMomentumCandidate SelectedItem { get { return selectedItem; } set { if (value == selectedItem) return; selectedItem = value; base.OnPropertyChanged("SelectedItem"); } } public MGSHPositionModel SelectedPosition { get{return selectedPosition;} set{selectedPosition=value;base.OnPropertyChanged("SelectedPosition");} } public String LastTradeDate { get { if(null == sessionParams)return Utility.DateTimeToStringMMSDDSYYYY(Utility.Epoch); DateGenerator dateGenerator=new DateGenerator(); return Utility.DateTimeToStringMMSDDSYYYY(dateGenerator.FindPrevBusinessDay(sessionParams.TradeDate)); } } public String NextTradeDate { get { if(null == sessionParams)return Utility.DateTimeToStringMMSDDSYYYY(Utility.Epoch); return Utility.DateTimeToStringMMSDDSYYYY(sessionParams.TradeDate); } } public ObservableCollection AllItems { get{return momentumCandidates;} } public MGSHPositionModelCollection AllPositions { get{return positions;} } public ObservableCollection Parameters { get{return nvpDictionaryKeys;} } public ObservableCollection MonitorIntervals { get{return monitorIntervals;} } public bool CanMonitor { get{return IsTradeFileLoaded;} } public String MonitorStatus { get{return monitorRunning?"Stop Monitor":"Start Monitor";} } public String SelectedMonitorInterval { get{return selectedMonitorInterval;} set{selectedMonitorInterval=value;base.OnPropertyChanged("SelectedMonitorInterval");} } public String SelectedParameter { get{return selectedParameter;} set{selectedParameter=value;base.OnPropertyChanged("SelectedParameter");base.OnPropertyChanged("ParameterValue");} } public String ParameterValue { get { if(null==nvpDictionary||null==nvpDictionaryKeys||null==selectedParameter)return null; return nvpDictionary[selectedParameter].Value; } } public String CashBalance { get { if(null==sessionParams) return ""; return Utility.FormatCurrency(sessionParams.CashBalance); } } public String NonTradeableCash { get { if(null==sessionParams) return ""; return Utility.FormatCurrency(sessionParams.NonTradeableCash); } } public String HedgeCash { get { if(null==sessionParams) return ""; return Utility.FormatCurrency(sessionParams.HedgeCashBalance); } } public String ModelExpectation { get { if(null==modelStatistics) return ""; return Utility.FormatNumber(modelStatistics.Expectancy,2); } } public Brush ExpectationColor { get { if(null==modelStatistics) return UIUtils.BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black); if(modelStatistics.Expectancy>0.00) return UIUtils.BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black); return UIUtils.BrushCollection.GetContextBrush(BrushCollection.BrushColor.Red); } } public String ExpectationDescription { get { if(null==modelStatistics) return ""; StringBuilder sb=new StringBuilder(); sb.Append("Expectancy is (percentage of winning trades * average gain) / (percentage of losing trades * average loss).").Append("\n"); sb.Append("Total Trades : ").Append(modelStatistics.TotalTrades).Append("\n"); sb.Append("Winning Trades : ").Append(modelStatistics.WinningTrades).Append("\n"); sb.Append("Losing Trades : ").Append(modelStatistics.LosingTrades).Append("\n"); sb.Append("Winning Trades : ").Append(Utility.FormatNumber(modelStatistics.WinningTradesPercent,2)).Append("%").Append("\n"); sb.Append("Losing Trades : ").Append(Utility.FormatNumber(modelStatistics.LosingTradesPercent,2)).Append("%").Append("\n"); sb.Append("Average Winning Trade Gain : ").Append(Utility.FormatNumber(modelStatistics.AverageWinningTradePercentGain,2)).Append("%").Append("\n"); sb.Append("Average Losing Trade Loss : ").Append(Utility.FormatNumber(modelStatistics.AverageLosingTradePercentLoss,2)).Append("%").Append("\n"); sb.Append("Expectancy : ").Append(Utility.FormatNumber(modelStatistics.Expectancy,2)).Append("\n"); sb.Append("\n"); sb.Append("Maintain a positive Expectancy and you're a winner."); sb.Append("\n"); sb.Append("The calculations are based on closed positions."); return sb.ToString(); } } // ************************************************************************************************************************************************************* // *********************************************************************** I C O M M A N D ******************************************************************** // ************************************************************************************************************************************************************* public ICommand DisplayHistorical { get { if (displayHistoricalCommand == null) { displayHistoricalCommand = new RelayCommand(param => { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.HistoricalViewModel,SelectedSymbol," + selectedItem.Symbol + ",SelectedWatchList,{All}"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); }, param => { return null != selectedItem && null != selectedItem.Symbol; }); } return displayHistoricalCommand; } } public ICommand RunCommand { get { if (runCommand == null) { runCommand = new RelayCommand(param => this.Run(), param => {return true;}); } return runCommand; } } public ICommand DisplayMovingAverage { get { if (movingAverageCommand == null) { movingAverageCommand = new RelayCommand(param => this.DisplayMovingAverageCommand(selectedItem.Symbol), param => { return null != selectedItem && null != selectedItem.Symbol; }); } return movingAverageCommand; } } public ICommand DisplayAnalystRatings { get { if (analystRatingsCommand == null) { analystRatingsCommand = new RelayCommand(param => this.DisplayAnalystRatingsCommand(), param => { return null != selectedItem && null != selectedItem.Symbol; }); } return analystRatingsCommand; } } public ICommand DisplayMACD { get { if (macdCommand == null) { macdCommand = new RelayCommand(param => this.DisplayMACDCommand(), param => { return null != selectedItem && null != selectedItem.Symbol; }); } return macdCommand; } } public ICommand DisplayStochastics { get { if (stochasticsCommand == null) { stochasticsCommand = new RelayCommand(param => this.DisplayStochasticsCommand(), param => { return null != selectedItem && null != selectedItem.Symbol; }); } return stochasticsCommand; } } public ICommand DisplayRelativeStrength { get { if (relativeStrengthCommand == null) { relativeStrengthCommand = new RelayCommand(param => this.DisplayRelativeStrengthCommand(), param => { return null != selectedItem && null!=selectedItem.Symbol; }); } return relativeStrengthCommand; } } public ICommand DisplayStickerValuation { get { if (null == stickerValuationCommand) { stickerValuationCommand = new RelayCommand(param => { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.StickerPriceViewModel,SelectedSymbol," + selectedItem.Symbol + ",SelectedWatchList,{All}"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); }, param => { return null != selectedItem && null!=selectedItem.Symbol; }); } return stickerValuationCommand; } } public ICommand DisplayDCFValuation { get { if (null == dcfValuationCommand) { dcfValuationCommand = new RelayCommand(param => { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.DCFValuationViewModel,SelectedSymbol," + selectedItem.Symbol + ",SelectedWatchList,{All}"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); }, param => { return null != selectedItem && null!=selectedItem.Symbol; }); } return dcfValuationCommand; } } public ICommand DisplayPriceHistory { get { if (priceHistoryCommand == null) { priceHistoryCommand = new RelayCommand(param => this.DisplayPriceHistoryCommand(), param => { return null != selectedItem && null != selectedItem.Symbol; }); } return priceHistoryCommand; } } public ICommand DisplayDividendHistory { get { if (dividendHistoryCommand == null) { dividendHistoryCommand = new RelayCommand(param => { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.DividendHistoryViewModel,SelectedSymbol," + selectedItem.Symbol + ",SelectedWatchList,{All}"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); }, param => { return null != selectedItem && null != selectedItem.Symbol; }); } return dividendHistoryCommand; } } public void DisplayPriceHistoryCommand() { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.PricingViewModel,SelectedSymbol," + selectedItem.Symbol + ",SelectedWatchList,{All},SelectedDayCount,180"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } public ICommand DisplayBollingerBand { get { if (bollingerBandCommand == null) { bollingerBandCommand = new RelayCommand(param => this.DisplayBollingerBandCommand(), param => { return null != selectedItem && null != selectedItem.Symbol; }); } return bollingerBandCommand; } } public ICommand AddToWatchList { get { if (addToWatchListCommand == null) { addToWatchListCommand = new RelayCommand(param => this.AddToWatchListCommand(selectedItem.Symbol), param => { if(null==selectedItem || null==selectedItem.Symbol)return false; if (WatchListDA.IsInWatchList(selectedItem.Symbol)) return false; return true; }); } return addToWatchListCommand; } } public ICommand RemoveFromWatchList { get { if (removeFromWatchListCommand == null) { removeFromWatchListCommand = new RelayCommand(param => this.RemoveFromWatchListCommand(selectedItem.Symbol), param => { if(null==selectedItem || null==selectedItem.Symbol)return false; if (!WatchListDA.IsInWatchList(selectedItem.Symbol)) return false; return true; }); } return removeFromWatchListCommand; } } // ************************************************************************************************************************************************************* // **************************************************************** I C O M M A N D P O S I T I O N *********************************************************** // ************************************************************************************************************************************************************* public ICommand DisplayHeadlinesPosition { get { if (null == displayHeadlinesCommandPosition) { displayHeadlinesCommandPosition = new RelayCommand(param => { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.HeadlinesViewModel,SelectedSymbol," + selectedPosition.Symbol + ",SelectedWatchList,Valuations"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); }, param => { return null != selectedPosition && null!=selectedPosition.Symbol; }); } return displayHeadlinesCommandPosition; } } public ICommand DisplayHistoricalPosition { get { if (displayHistoricalCommandPosition == null) { displayHistoricalCommandPosition = new RelayCommand(param => { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.HistoricalViewModel,SelectedSymbol," + selectedPosition.Symbol + ",SelectedWatchList,{All}"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); }, param => { return null != selectedPosition && null != selectedPosition.Symbol; }); } return displayHistoricalCommandPosition; } } public ICommand DisplayAnalystRatingsPosition { get { if (analystRatingsCommandPosition == null) { analystRatingsCommandPosition = new RelayCommand(param => this.DisplayAnalystRatingsCommandPosition(), param => { return null != selectedPosition && null != selectedPosition.Symbol; }); } return analystRatingsCommandPosition; } } public ICommand DisplayMovingAveragePosition { get { if (movingAverageCommandPosition == null) { movingAverageCommandPosition = new RelayCommand(param => this.DisplayMovingAverageCommand(selectedPosition.Symbol), param => { return null != selectedPosition && null != selectedPosition.Symbol; }); } return movingAverageCommandPosition; } } public ICommand DisplayMACDPosition { get { if (macdCommandPosition == null) { macdCommandPosition = new RelayCommand(param => this.DisplayMACDCommandPosition(), param => { return null != selectedPosition && null != selectedPosition.Symbol; }); } return macdCommandPosition; } } public ICommand DisplayStochasticsPosition { get { if (stochasticsCommandPosition == null) { stochasticsCommandPosition = new RelayCommand(param => this.DisplayStochasticsCommandPosition(), param => { return null != selectedPosition && null != selectedPosition.Symbol; }); } return stochasticsCommandPosition; } } public ICommand DisplayRelativeStrengthPosition { get { if (relativeStrengthCommandPosition == null) { relativeStrengthCommandPosition = new RelayCommand(param => this.DisplayRelativeStrengthCommandPosition(),param => { return null != selectedPosition && null!= selectedPosition.Symbol; }); } return relativeStrengthCommandPosition; } } public ICommand DisplayStickerValuationPosition { get { if (null == stickerValuationCommandPosition) { stickerValuationCommandPosition= new RelayCommand(param => { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.StickerPriceViewModel,SelectedSymbol," + selectedPosition.Symbol + ",SelectedWatchList,{All}"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); }, param => { return null != selectedPosition && null!=selectedPosition.Symbol; }); } return stickerValuationCommandPosition; } } public ICommand DisplayDCFValuationPosition { get { if (null == dcfValuationCommandPosition) { dcfValuationCommandPosition = new RelayCommand(param => { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.DCFValuationViewModel,SelectedSymbol," + selectedPosition.Symbol + ",SelectedWatchList,{All}"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); }, param => { return null != selectedPosition && null!=selectedPosition.Symbol; }); } return dcfValuationCommandPosition; } } public ICommand DisplayPriceHistoryPosition { get { if (priceHistoryCommandPosition == null) { priceHistoryCommandPosition = new RelayCommand(param => this.DisplayPriceHistoryCommandPosition(), param => { return null != selectedPosition && null != selectedPosition.Symbol; }); } return priceHistoryCommandPosition; } } public ICommand DisplayDividendHistoryPosition { get { if (dividendHistoryCommandPosition == null) { dividendHistoryCommandPosition = new RelayCommand(param => { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.DividendHistoryViewModel,SelectedSymbol," + selectedPosition.Symbol + ",SelectedWatchList,{All}"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); }, param => { return null != selectedPosition && null != selectedPosition.Symbol; }); } return dividendHistoryCommandPosition; } } public ICommand DisplayBollingerBandPosition { get { if (bollingerBandCommandPosition == null) { bollingerBandCommandPosition = new RelayCommand(param => this.DisplayBollingerBandCommandPosition(), param => { return null != selectedPosition && null != selectedPosition.Symbol; }); } return bollingerBandCommandPosition; } } public ICommand DisplayBollingerBandPositionAll { get { if (bollingerBandCommandPositionAll == null) { bollingerBandCommandPositionAll = new RelayCommand(param => this.DisplayBollingerBandCommandPositionAll(), param => { return null != selectedPosition && null != selectedPosition.Symbol; }); } return bollingerBandCommandPositionAll; } } public ICommand AddToWatchListPosition { get { if (addToWatchListCommandPosition == null) { addToWatchListCommandPosition = new RelayCommand(param => this.AddToWatchListCommand(selectedPosition.Symbol), param => { if(null==selectedPosition || null==selectedPosition.Symbol)return false; if (WatchListDA.IsInWatchList(selectedPosition.Symbol)) return false; return true; }); } return addToWatchListCommandPosition; } } public ICommand RemoveFromWatchListPosition { get { if (removeFromWatchListCommandPosition == null) { removeFromWatchListCommandPosition = new RelayCommand(param => this.RemoveFromWatchListCommand(selectedPosition.Symbol), param => { if(null==selectedPosition || null==selectedPosition.Symbol)return false; if (!WatchListDA.IsInWatchList(selectedPosition.Symbol)) return false; return true; }); } return removeFromWatchListCommandPosition; } } public ICommand ClosePosition { get { if(closePositionCommandPosition==null) { closePositionCommandPosition=new RelayCommand(param => this.ClosePositionCommand(selectedPosition),param => { if(null==selectedPosition||null==selectedPosition.Symbol) return false; return true; }); } return closePositionCommandPosition; } } public ICommand EditPosition { get { if(editPositionCommandPosition==null) { editPositionCommandPosition=new RelayCommand(param => this.EditPositionCommand(selectedPosition),param => { if(null==selectedPosition||null==selectedPosition.Symbol||!Utility.IsEpoch(selectedPosition.SellDate)) return false; return true; }); } return editPositionCommandPosition; } } // ************************************************************************************************************************************************************* // ******************************************************************* I C O M M A N D S E S S I O N ********************************************************* // ************************************************************************************************************************************************************* public ICommand Reload { get { if(reloadCommand==null) { reloadCommand=new RelayCommand(param => this.ReloadCommand(),param => { return ReloadEnabled; }); } return reloadCommand; } } public bool ReloadEnabled { get { return !String.IsNullOrEmpty(pathFileName); } } public ICommand LoadFile { get { if (loadFileCommand == null) { loadFileCommand = new RelayCommand(param => this.LoadFileCommand(), param => { return true; }); } return loadFileCommand; } } public ICommand Monitor { get { if (monitorCommand == null) { monitorCommand = new RelayCommand(param => this.MonitorCommand(), param => { return IsTradeFileLoaded; }); } return monitorCommand; } } private bool IsTradeFileLoaded { get{return null==pathFileName?false:true;} } // ************************************************************************************************************************************************************* // ********************************************************************** C O M M A N D W O R K E R S ******************************************************** // ************************************************************************************************************************************************************* public void DisplayBollingerBandCommand() { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.BollingerBandViewModel,SelectedSymbol," + selectedItem.Symbol + ",SelectedWatchList,{All},SelectedDayCount,360"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } public void DisplayAnalystRatingsCommand() { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.AnalystRatingsViewModel,SelectedSymbol," + selectedItem.Symbol + ",SelectedWatchList,{All}"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } public void DisplayStochasticsCommand() { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.StochasticsViewModel,SelectedSymbol," + selectedItem.Symbol + ",SelectedWatchList,{All},SelectedDayCount,180"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } public void DisplayRelativeStrengthCommand() { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.RSIViewModel,SelectedSymbol," + selectedItem.Symbol + ",SelectedWatchList,{All},SelectedDayCount,60,SelectedRSIDayCount,3"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } public void DisplayMACDCommand() { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.MACDViewModel,SelectedSymbol," + selectedItem.Symbol + ",SelectedWatchList,{All},SelectedDayCount,180"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } // ************************************************************************************************************************************************************* // ********************************************************************** C O M M A N D W O R K E R S P O S I T I O N **************************************** // ************************************************************************************************************************************************************* public void ClosePositionCommand(MGSHPositionModel selectedPosition) { bool deleteStop=false; MGSHPosition clonedPosition=MGSHPosition.Clone(selectedPosition.Position); bool hasStopLimit=StopLimitDA.HasStopLimit(clonedPosition.Symbol,clonedPosition.Shares); IPosition changedPosition=ClosePositionDialog.Prompt("Close Position",clonedPosition,hasStopLimit,ref deleteStop); if(null==changedPosition) return; MGSHMomentumBacktest mgshMomentumBacktest = new MGSHMomentumBacktest(); if(!mgshMomentumBacktest.ClosePosition(changedPosition.Symbol,changedPosition.PurchaseDate,changedPosition.SellDate,changedPosition.CurrentPrice,pathFileName)) { MessageBox.Show("Failed to close the position, check log for details.","Close Position"); return; } if(deleteStop) StopLimitDA.DeleteStopLimit(changedPosition.Symbol,changedPosition.Shares); String strMessage=String.Format("Closed position for {0}, Purchase Date:{1}, Sell Date{2}, Current Price:{3}, Delete Stop:{4} to {5}. A backup was created.", changedPosition.Symbol,changedPosition.PurchaseDate.ToShortDateString(),changedPosition.SellDate.ToShortDateString(),Utility.FormatCurrency(changedPosition.CurrentPrice),deleteStop,pathFileName); MessageBox.Show(strMessage,"Close Position"); LoadSessionFile(); } public void EditPositionCommand(MGSHPositionModel selectedPosition) { MGSHPosition clonedPosition = MGSHPosition.Clone(selectedPosition.Position); IPosition changedPosition = EditPositionDialog.Prompt("Edit Position", clonedPosition); if (null == changedPosition) return; MGSHMomentumBacktest mgshMomentumBacktest = new MGSHMomentumBacktest(); if (!mgshMomentumBacktest.EditPosition(changedPosition.Symbol, changedPosition.PurchaseDate, changedPosition.PurchasePrice, changedPosition.InitialStopLimit, changedPosition.TrailingStopLimit, pathFileName)) { MessageBox.Show("Failed to edit the position, check log for details.", "Edit Position"); return; } if (!selectedPosition.TrailingStopLimit.Equals(changedPosition.TrailingStopLimit)) { selectedPosition.TrailingStopLimit = changedPosition.TrailingStopLimit; selectedPosition.LastStopAdjustment = DateTime.Now.Date; StopLimit stopLimit = StopLimitDA.GetStopLimit(changedPosition.Symbol,changedPosition.Shares); if (null == stopLimit) { stopLimit = new StopLimit(); stopLimit.Symbol = changedPosition.Symbol; stopLimit.StopType = StopLimitConstants.STOP_QUOTE; stopLimit.Shares = changedPosition.Shares; } stopLimit.StopPrice = changedPosition.TrailingStopLimit; StopLimitDA.InsertUpdateStopLimit(stopLimit); } selectedPosition.PurchaseDate = changedPosition.PurchaseDate; selectedPosition.PurchasePrice = changedPosition.PurchasePrice; selectedPosition.TrailingStopLimit = changedPosition.TrailingStopLimit; selectedPosition.InitialStopLimit = changedPosition.InitialStopLimit; String strMessage = String.Format("Edited Position for {0} Purchase Date:{1} Purchase Price:{2}, Trailing Stop:{3}. A backup was created.", selectedPosition.Symbol, selectedPosition.PurchaseDate.ToShortDateString(), Utility.FormatCurrency(selectedPosition.PurchasePrice), Utility.FormatCurrency(selectedPosition.TrailingStopLimit)); MessageBox.Show(strMessage, "Edit Position"); LoadSessionFile(); } public void DisplayBollingerBandCommandPosition() { MarketData.MarketDataModel.StopLimits stopLimits = GetHistoricalStopLimitsMarketDataModel(); StringBuilder sb = new StringBuilder(); SaveParameters saveParams = null; sb = new StringBuilder(); sb.Append("Type,TradeBlotter.ViewModels.BollingerBandPositionViewModel,SelectedSymbol,"); sb.Append(selectedPosition.Symbol).Append(","); sb.Append("SelectedWatchList,{All},SelectedDayCount,"); sb.Append(GetDayCountSelectionForBollingerBands(selectedPosition)); saveParams = SaveParameters.Parse(sb.ToString()); SaveParameters stopLimitParams = StopLimitsExtensions.FromStopLimits(stopLimits); saveParams.AddRange(stopLimitParams); SaveParameters portfolioTradesParams = PortfolioTradesExtensions.FromPosition(selectedPosition); saveParams.AddRange(portfolioTradesParams); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } public void DisplayBollingerBandCommandPositionAll() { MarketData.MarketDataModel.StopLimits stopLimits = GetHistoricalStopLimitsMarketDataModel(); StringBuilder sb = new StringBuilder(); SaveParameters saveParams = null; sb = new StringBuilder(); sb.Append("Type,TradeBlotter.ViewModels.BollingerBandViewModel,SelectedSymbol,"); sb.Append(selectedPosition.Symbol).Append(","); sb.Append("SelectedWatchList,{All},SelectedDayCount,"); sb.Append(GetDayCountSelectionForBollingerBands(selectedPosition, true)); saveParams = SaveParameters.Parse(sb.ToString()); SaveParameters stopLimitParams = StopLimitsExtensions.FromStopLimits(stopLimits); saveParams.AddRange(stopLimitParams); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } private int GetDayCountSelectionForBollingerBands(MGSHPositionModel selectedPosition,bool ignoreActivePosition=false) { DateGenerator dateGenerator=new DateGenerator(); DateTime maxDate = DateTime.Today; if(!ignoreActivePosition) { maxDate = PricingDA.GetLatestDate(selectedPosition.Symbol); if(!selectedPosition.IsActivePosition) { maxDate = selectedPosition.SellDate; } } int daysBetween=dateGenerator.DaysBetween(selectedPosition.PurchaseDate, maxDate); if(daysBetween<90)return 90; if(daysBetween<180)return 180; if(daysBetween<360)return 360; if(daysBetween<720)return 720; if(daysBetween<1440)return 1440; return 3600; } public void DisplayAnalystRatingsCommandPosition() { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.AnalystRatingsViewModel,SelectedSymbol," + selectedPosition.Symbol + ",SelectedWatchList,{All}"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } public void DisplayStochasticsCommandPosition() { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.StochasticsViewModel,SelectedSymbol," + selectedPosition.Symbol + ",SelectedWatchList,{All},SelectedDayCount,180"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } public void DisplayRelativeStrengthCommandPosition() { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.RSIViewModel,SelectedSymbol," + selectedPosition.Symbol + ",SelectedWatchList,{All},SelectedDayCount,60,SelectedRSIDayCount,3"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } public void DisplayMACDCommandPosition() { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.MACDViewModel,SelectedSymbol," + selectedPosition.Symbol + ",SelectedWatchList,{All},SelectedDayCount,180"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } public void DisplayPriceHistoryCommandPosition() { SaveParameters saveParams = SaveParameters.Parse("Type,TradeBlotter.ViewModels.PricingViewModel,SelectedSymbol," + selectedPosition.Symbol + ",SelectedWatchList,{All},SelectedDayCount,180"); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } // *************************************************************************************************************************************************************************** // ********************************************************************* G E N E R A L W O R K E R S *********************************************************************** // *************************************************************************************************************************************************************************** public void DisplayMovingAverageCommand(String symbol) { SaveParameters saveParams=new SaveParameters(); saveParams.Add(new KeyValuePair("Type", "TradeBlotter.ViewModels.MovingAverageViewModel")); saveParams.Add(new KeyValuePair("SelectedSymbol", symbol)); saveParams.Add(new KeyValuePair("SelectedWatchList", Constants.CONST_ALL)); saveParams.Add(new KeyValuePair("SelectedDayCount", "360")); saveParams.Add(new KeyValuePair("IsLegendVisible", "true")); saveParams.Referer=this; WorkspaceInstantiator.Invoke(saveParams); } public void AddToWatchListCommand(String symbol) { if (WatchListDA.IsInWatchList(symbol)) { System.Windows.MessageBox.Show("'"+symbol+"' is already in watchlist","Info", MessageBoxButton.OK, MessageBoxImage.Information); return; } if (!WatchListDA.AddToWatchList(symbol)) { System.Windows.MessageBox.Show("Error adding '"+symbol+"' to watchlist","Warning", MessageBoxButton.OK, MessageBoxImage.Warning); } else { System.Windows.MessageBox.Show("Added '"+symbol+"'","Success", MessageBoxButton.OK, MessageBoxImage.Information); } } public void RemoveFromWatchListCommand(String symbol) { if (!WatchListDA.IsInWatchList(symbol)) { System.Windows.MessageBox.Show("'"+symbol+"' is not in watchlist","Info", MessageBoxButton.OK, MessageBoxImage.Information); return; } if (!WatchListDA.RemoveFromWatchList(symbol)) { System.Windows.MessageBox.Show("Error removing '"+symbol+"' from watchlist","Warning", MessageBoxButton.OK, MessageBoxImage.Warning); } else { System.Windows.MessageBox.Show("Removed '"+symbol+"'","Success", MessageBoxButton.OK, MessageBoxImage.Information); } } // ************************************************************************************************************************************************************************** // ********************************************************************** C O M M A N D W O R K E R S S E S S I O N ******************************************************** // *************************************************************************************************************************************************************************** public void MonitorCommand() { if(monitorRunning)StopMonitor(); else StartMonitor(); } private void StopMonitor() { if(!monitorRunning)return; dispatcherTimer.Stop(); monitorRunning=false; base.OnPropertyChanged("MonitorStatus"); } private void StartMonitor() { if(monitorRunning)return; dispatcherTimer.Start(); monitorRunning=true; Dispatcher.CurrentDispatcher.BeginInvoke((Action)(() => { DispatcherTimerTick(null,null); }), DispatcherPriority.Normal); DispatcherTimerTick(null,null); base.OnPropertyChanged("MonitorStatus"); } private void DispatcherTimerTick(object sender, EventArgs e) { UpdatePositionPrices(false); UpdatePositionRSI3(true); RunPerformance(); } private void UpdatePositionPrices(bool change=true) { try { DateTime today=DateTime.Now; if(null==positions||0==positions.Count)return; List symbols=(from MGSHPositionModel position in positions where position.IsActivePosition select position.Symbol).Distinct().ToList(); foreach(String symbol in symbols) { var selectedPositions=(from MGSHPositionModel position in positions where position.IsActivePosition && position.Symbol.Equals(symbol) select position); foreach(MGSHPositionModel selectedPosition in selectedPositions) { Price price=PricingDA.GetPrice(symbol); if(null==price)continue; selectedPosition.CurrentPrice=price.Close; selectedPosition.CurrentPriceLow=price.Low; selectedPosition.Volume=price.Volume; selectedPosition.LastUpdated=price.Date.Date symbols=(from MGSHPositionModel position in positions where position.IsActivePosition select position.Symbol).Distinct().ToList(); foreach(String symbol in symbols) { var selectedPositions=(from MGSHPositionModel position in positions where position.IsActivePosition && position.Symbol.Equals(symbol) select position); foreach(MGSHPositionModel selectedPosition in selectedPositions) { RSICollection rsiCollection=RSIGenerator.GenerateRSI(symbol,30,3); if(null==rsiCollection||0==rsiCollection.Count)continue; selectedPosition.RSI3=rsiCollection[rsiCollection.Count-1].RSI; } } if(change)positions.OnCollectionChanged(); } catch(Exception exception) { MDTrace.WriteLine(LogLevel.DEBUG,exception.ToString()); } } public void ReloadCommand() { LoadSessionFile(); } public void LoadFileCommand() { Forms.OpenFileDialog openFileDialog=new Forms.OpenFileDialog(); openFileDialog.Filter="text file (*.txt)|*.txt"; openFileDialog.FilterIndex=0; openFileDialog.RestoreDirectory=false; if(null!=initialPath)openFileDialog.InitialDirectory=initialPath; else openFileDialog.InitialDirectory=Directory.GetCurrentDirectory(); if(!Forms.DialogResult.OK.Equals(openFileDialog.ShowDialog()))return; pathFileName=openFileDialog.FileName; if(!MGSHSessionManager.IsValidSessionFile(pathFileName)) { MessageBox.Show(String.Format("Invalid session file '{0}'",pathFileName)); pathFileName=null; } else LoadSessionFile(); } public bool LoadSessionFile() { BusyIndicator = true; BusyContent = $"Loading {Utility.GetFileNameNoExtension(pathFileName)}..."; Task workerTask = Task.Factory.StartNew(() => { try { if(!MGSHSessionManager.IsValidSessionFile(pathFileName))return false; initialPath=Path.GetDirectoryName(pathFileName); sessionParams=MGSHSessionManager.RestoreSession(pathFileName); if(null==sessionParams) { MessageBox.Show(String.Format("Unable to open {0}",pathFileName),"Error",MessageBoxButton.OK,MessageBoxImage.Exclamation ,MessageBoxResult.OK,MessageBoxOptions.DefaultDesktopOnly); pathFileName=null; return false; } modelStatistics=MGSHMomentumBacktest.GetModelStatistics(sessionParams); modelPerformanceSeries=MGSHMomentumBacktest.GetModelPerformance(sessionParams); configuration=sessionParams.Configuration; NVPCollection nvpCollection=sessionParams.Configuration.ToNVPCollection(); nvpDictionary=nvpCollection.ToDictionary(); List dictionaryKeys=new List(nvpDictionary.Keys); dictionaryKeys.Sort(); nvpDictionaryKeys=new ObservableCollection(dictionaryKeys); selectedParameter=nvpDictionaryKeys[0]; positions=new MGSHPositionModelCollection(); positions.Add(sessionParams.ActivePositions); // active positions will go into their assigned slot positions.Add(sessionParams.HedgePositions, sessionParams.ActivePositions.GetMaxSlotNumber()+1); // -1 is a special slot so active hedge positions will always appear in the slot position 1 past the max positions.Add(sessionParams.AllPositions); UpdatePositionPrices(false); UpdatePositionRSI3(true); RunPerformance(); return true; } catch(Exception exception) { MessageBox.Show(String.Format("Unable to open {0}",pathFileName),"Error",MessageBoxButton.OK,MessageBoxImage.Exclamation ,MessageBoxResult.OK,MessageBoxOptions.DefaultDesktopOnly); pathFileName=null; return false; } }); workerTask.ContinueWith(continuation => { BusyIndicator=false; base.OnPropertyChanged("Parameters"); base.OnPropertyChanged("SelectedParameter"); base.OnPropertyChanged("ParameterValue"); base.OnPropertyChanged("Title"); base.OnPropertyChanged("DisplayName"); base.OnPropertyChanged("AllPositions"); base.OnPropertyChanged("CanMonitor"); base.OnPropertyChanged("CashBalance"); base.OnPropertyChanged("NonTradeableCash"); base.OnPropertyChanged("HedgeCash"); base.OnPropertyChanged("ModelExpectation"); base.OnPropertyChanged("ExpectationColor"); base.OnPropertyChanged("ExpectationDescription"); base.OnPropertyChanged("ReloadEnabled"); base.OnPropertyChanged("LastTradeDate"); base.OnPropertyChanged("NextTradeDate"); }); return true; } private void RunPerformance() { if(null==sessionParams)return; modelPerformanceSeries=MGSHMomentumBacktest.GetModelPerformance(sessionParams); base.OnPropertyChanged("Data"); base.OnPropertyChanged("GraphTitle"); } // **************************************************************************** C H A R T P L O T T E R ********************************************************* public String LegendVisible { get { if(isLegendVisible) return "true"; return "false"; } set { isLegendVisible=Boolean.Parse(value); base.OnPropertyChanged("LegendVisible"); } } public String PercentButtonText { get { if(!showAsGainLoss) return "Show $"; else return "Show %"; } } public ICommand ToggleReturnOrPercentCommand { get { if(toggleReturnOrPercentCommand==null) { toggleReturnOrPercentCommand=new RelayCommand(action => { showAsGainLoss=!showAsGainLoss; base.OnPropertyChanged("Data"); base.OnPropertyChanged("PercentButtonText"); base.OnPropertyChanged("GraphTitle"); },action => { return true; }); } return toggleReturnOrPercentCommand; } } public CompositeDataSource Data { get { if(null==modelPerformanceSeries) return null; CompositeDataSource compositeDataSource=null; compositeDataSource=GainLossModel.GainLoss(modelPerformanceSeries,showAsGainLoss); return compositeDataSource; } } public String GraphTitle { get { if(null==sessionParams||null==modelPerformanceSeries) return ""; StringBuilder sb=new StringBuilder(); MGSHPositions allPositions=sessionParams.GetCombinedPositions(); DateTime minDate=allPositions.Min(x => x.PurchaseDate); DateTime maxDate=PricingDA.GetLatestDate(); if(modelPerformanceSeries.Count<2) { sb.Append(showAsGainLoss?"$ GainLoss":"% Return"); sb.Append(" "); sb.Append("(").Append(minDate.ToShortDateString()).Append("-").Append(maxDate.ToShortDateString()).Append(")"); sb.Append(showAsGainLoss?Utility.FormatCurrency(modelPerformanceSeries[modelPerformanceSeries.Count-1].CumulativeGainLoss):Utility.FormatPercent(modelPerformanceSeries[modelPerformanceSeries.Count-1].CumProdMinusOne)); return sb.ToString(); } if(showAsGainLoss) { double latestGainLoss=modelPerformanceSeries[modelPerformanceSeries.Count-1].CumulativeGainLoss; double change=modelPerformanceSeries[modelPerformanceSeries.Count-1].GainLossDOD; sb.Append("$ GainLoss"); sb.Append(" "); sb.Append("(").Append(minDate.ToShortDateString()).Append("-").Append(maxDate.ToShortDateString()).Append(")"); sb.Append(" "); sb.Append(Utility.FormatCurrency(latestGainLoss)); sb.Append(","); sb.Append(" "); sb.Append(change>0.00?"+":"").Append(Utility.FormatCurrency(change)); } else { double latestCumGainLoss=modelPerformanceSeries[modelPerformanceSeries.Count-1].CumProdMinusOne; double prevCumGainLoss=modelPerformanceSeries[modelPerformanceSeries.Count-2].CumProdMinusOne; double change=latestCumGainLoss-prevCumGainLoss; sb.Append("% Return"); sb.Append(" "); sb.Append("(").Append(minDate.ToShortDateString()).Append("-").Append(maxDate.ToShortDateString()).Append(")"); sb.Append(" "); sb.Append(Utility.FormatPercent(latestCumGainLoss)); sb.Append(","); sb.Append(" "); sb.Append(change>0.00?"+":"").Append(Utility.FormatPercent(change)); } return sb.ToString(); } } // *************************************************************************************************************************************************** // This getter returns non-model (MarketData.MarketDataModel) specific stop limits to pass along to the bollinger bands public MarketData.MarketDataModel.StopLimits GetHistoricalStopLimitsMarketDataModel() { if (null == sessionParams || null == selectedPosition) return null; DateGenerator dateGenerator = new DateGenerator(); MarketData.MarketDataModel.StopLimits marketDataModelStopLimits = new MarketData.MarketDataModel.StopLimits(); MarketData.Generator.Model.StopLimits stopLimits = new MarketData.Generator.Model.StopLimits((from MarketData.Generator.Model.StopLimit stopLimit in sessionParams.StopLimits where stopLimit.StopLimitId.Equals(selectedPosition.Symbol + Utility.DateTimeToStringYYYYMMDDMMSSTT(selectedPosition.PurchaseDate)) select stopLimit). OrderByDescending(x => x.AnalysisDate).ToList()); MarketData.MarketDataModel.StopLimit initialStopLimit = new MarketData.MarketDataModel.StopLimit(); initialStopLimit.Symbol = selectedPosition.Symbol; initialStopLimit.Shares = 0; initialStopLimit.StopPrice = selectedPosition.InitialStopLimit; initialStopLimit.StopType = StopLimitConstants.STOP_QUOTE; initialStopLimit.EffectiveDate = selectedPosition.PurchaseDate; // initialStopLimit.Active = 1; marketDataModelStopLimits.Add(initialStopLimit); foreach (MarketData.Generator.Model.StopLimit stopLimit in stopLimits) { MarketData.MarketDataModel.StopLimit marketDataModelStopLimit = new MarketData.MarketDataModel.StopLimit(); marketDataModelStopLimit.Symbol = stopLimit.Symbol; marketDataModelStopLimit.Shares = 0; marketDataModelStopLimit.StopPrice = stopLimit.NewStop; marketDataModelStopLimit.StopType = StopLimitConstants.STOP_QUOTE; marketDataModelStopLimit.EffectiveDate = stopLimit.AnalysisDate; // marketDataModelStopLimit.Active = 1; marketDataModelStopLimits.Add(marketDataModelStopLimit); } return marketDataModelStopLimits; } // **************************************************************************************************************************************************************** // *************************************************************************** T O O L T I P C A L L O U T S ***************************************************** // **************************************************************************************************************************************************************** public String ToolTipTrailingStop { get { if(null==selectedPosition) return "Please select a position by clicking on a row."; StringBuilder sb=new StringBuilder(); sb.Append("[TrailingStop]=([TrailingStopLimit])").Append("\n"); sb.Append(Utility.FormatCurrency(selectedPosition.TrailingStopLimit)).Append("=").Append(Utility.FormatCurrency(selectedPosition.TrailingStopLimit)).Append("\n"); List stopLimits=GetHistoricalStopLimits(); if(selectedPosition.TrailingStopLimit > selectedPosition.PurchasePrice) { sb.Append("Riskless Gain").Append(" = "); sb.Append(String.Format("(Trailing Stop - Purchase Price) * Shares")); sb.Append("\n"); sb.Append(String.Format("{0}",Utility.FormatCurrency((selectedPosition.TrailingStopLimit-selectedPosition.PurchasePrice)*selectedPosition.Shares))); sb.Append(String.Format("=({0}-{1})*{2}",Utility.FormatCurrency(selectedPosition.TrailingStopLimit),Utility.FormatCurrency(selectedPosition.PurchasePrice),Utility.FormatNumber(selectedPosition.Shares,3))); sb.Append("\n"); } if(null!=stopLimits && 0!=stopLimits.Count) { sb.Append("Stop History").Append("\n"); foreach(MarketData.Generator.Model.StopLimit stopLimit in stopLimits) { sb.Append(String.Format("Analysis Date:{0} New Stop:{1} Previous Stop:{2}",Utility.DateTimeToStringMMSDDSYYYY(stopLimit.AnalysisDate),Utility.FormatCurrency(stopLimit.NewStop),Utility.FormatCurrency(stopLimit.PreviousStop))); sb.Append("\n"); } } return sb.ToString(); } } public String ToolTipInitialStop { get { if(null==selectedPosition) return "Please select a position by clicking on a row."; StringBuilder sb=new StringBuilder(); sb.Append("[InitialStop]=([InitialStopLimit])").Append("\n"); sb.Append(Utility.FormatCurrency(selectedPosition.InitialStopLimit)).Append("=").Append(Utility.FormatCurrency(selectedPosition.InitialStopLimit)); return sb.ToString(); } } public String ToolTipR { get { if(null==selectedPosition)return "Please select a position by clicking on a row."; StringBuilder sb=new StringBuilder(); sb.Append("Current R/Share. See RMultiple for initial risk assumptions.").Append("\n"); sb.Append("R/Share=TrailingStop>PurchasePrice?0.00:PurchasePrice-TrailingStop").Append("\n"); if(selectedPosition.TrailingStopLimit>selectedPosition.PurchasePrice) { sb.Append(Utility.FormatCurrency(0)).Append("=").Append(Utility.FormatCurrency(0)); } else { sb.Append(Utility.FormatCurrency(selectedPosition.TrailingStopLimit>selectedPosition.PurchasePrice?0.00:selectedPosition.PurchasePrice-selectedPosition.TrailingStopLimit)); sb.Append("=").Append(Utility.FormatCurrency(selectedPosition.PurchasePrice)).Append("-").Append(Utility.FormatCurrency(selectedPosition.TrailingStopLimit)); } return sb.ToString(); } } public String ToolTipTotalRiskExposure { get { if(null==selectedPosition)return "Please select a position by clicking on a row."; StringBuilder sb=new StringBuilder(); sb.Append("Current Risk. See RMultiple for initial risk assumptions.").Append("\n"); sb.Append("[TotalRiskExposure]=([R/Share]*[Shares])").Append("\n"); if(null==selectedPosition) return sb.ToString(); sb.Append(Utility.FormatCurrency(selectedPosition.TotalRiskExposure)).Append("=(").Append(Utility.FormatCurrency(selectedPosition.R)).Append("*").Append(Utility.FormatNumber(selectedPosition.Shares,0)).Append(")"); return sb.ToString(); } } public String ToolTipRMultiple { get { if(null==selectedPosition)return "Please select a position by clicking on a row."; StringBuilder sb=new StringBuilder(); sb.Append("RMultiple is based on original position setup.").Append("\n"); sb.Append("Original Exposure=").Append(Utility.FormatCurrency(selectedPosition.PurchasePrice*selectedPosition.Shares)).Append("\n"); sb.Append("Original R/Share=PurchasePrice-InitialStop").Append("\n"); sb.Append(Utility.FormatCurrency(selectedPosition.PurchasePrice-selectedPosition.InitialStopLimit)).Append("=").Append(Utility.FormatCurrency(selectedPosition.PurchasePrice)).Append("-").Append(Utility.FormatCurrency(selectedPosition.InitialStopLimit)).Append("\n"); sb.Append("Original Risk=Original R/Share*Shares").Append("\n"); sb.Append(Utility.FormatCurrency((selectedPosition.PurchasePrice-selectedPosition.InitialStopLimit)*selectedPosition.Shares)).Append("=").Append(Utility.FormatCurrency(selectedPosition.PurchasePrice-selectedPosition.InitialStopLimit)).Append("*").Append(selectedPosition.Shares).Append("\n"); sb.Append("RMultiple=(CurrentPrice-PurchasePrice)/(PurchasePrice-InitialStop)").Append("\n"); sb.Append(selectedPosition.RMultipleAsString).Append("=").Append("(").Append(Utility.FormatCurrency(selectedPosition.CurrentPrice)).Append("-").Append(Utility.FormatCurrency(selectedPosition.PurchasePrice)).Append(")"); sb.Append("/").Append("(").Append(Utility.FormatCurrency(selectedPosition.PurchasePrice)).Append("-").Append(Utility.FormatCurrency(selectedPosition.InitialStopLimit)).Append(")"); return sb.ToString(); } } public String ToolTipSold { get { if(null==selectedPosition)return "Please select a position by clicking on a row."; StringBuilder sb=new StringBuilder(); if(selectedPosition.IsActivePosition) { sb.Append($"{selectedPosition.Symbol} is currently active."); } else { sb.Append($"{selectedPosition.Symbol} {selectedPosition.Comment}."); } return sb.ToString(); } } public String ToolTipExposure { get { if(null==selectedPosition)return "Please select a position by clicking on a row."; StringBuilder sb=new StringBuilder(); if(selectedPosition.IsActivePosition) { sb.Append("Exposure = PurchasePrice * Shares\n"); sb.Append($"{Utility.FormatCurrency(selectedPosition.Exposure)} = {Utility.FormatCurrency(selectedPosition.PurchasePrice)} * {Utility.FormatNumber(selectedPosition.Shares,3)}"); } else { sb.Append("Original Exposure = PurchasePrice * Shares\n"); sb.Append($"{Utility.FormatCurrency(selectedPosition.PurchasePrice * selectedPosition.Shares)} = {Utility.FormatCurrency(selectedPosition.PurchasePrice)} * {Utility.FormatNumber(selectedPosition.Shares,3)}"); } return sb.ToString(); } } // ************************************************************** T O O L T I P H E L P E R S ************************************************************** public MarketData.Generator.Model.StopLimits GetHistoricalStopLimits() { if(null==sessionParams||null==selectedPosition) return null; MarketData.Generator.Model.StopLimits stopLimits=new MarketData.Generator.Model.StopLimits( (from MarketData.Generator.Model.StopLimit stopLimit in sessionParams.StopLimits where stopLimit.StopLimitId.Equals(selectedPosition.Symbol + Utility.DateTimeToStringYYYYMMDDMMSSTT(selectedPosition.PurchaseDate)) select stopLimit) .OrderByDescending(x => x.AnalysisDate).ToList()); return stopLimits; } } }