Sean/marketdata
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Testing

Browse Source
This commit is contained in:
Sean Kessler
2024-04-01 22:54:28 -04:00
parent 099520f3c9
commit 33320eae19
3 changed files with 52 additions and 22 deletions
Download Patch File Download Diff File Expand all files Collapse all files

2
MarketData.csproj.user
View File

@@ -1,6 +1,6 @@
<?xml version="1.0" encoding="utf-8"?>
<Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
<PropertyGroup Condition="'$(Configuration)|$(Platform)' == 'Debug|x86'">
<StartArguments>UPDATEPRICES 08-21-2023</StartArguments>
<StartArguments>RUNBACKTEST /STARTDATE:01-31-2018 /MAXPOSITIONS:3 /INITIALCASH:10000 /HOLDINGPERIOD:3 /INTRADAYMODE:FALSE /SESSIONFILE:MG20180131.TXT</StartArguments>
</PropertyGroup>
</Project>

BIN
MarketData.v12.suo
View File

Binary file not shown.

72
Program.cs
View File

@@ -534,33 +534,36 @@ namespace MarketData
// ****************************************************************** C U M U L A T I V E G A I N L O S S *************************************************************
// ******************************************************************************************************************************************************************************
// This is a test of a new model to calculate the cumulate gain loss for the GainLoss Window
private static void RunModelPerformance()
private static void RunModelPerformance(String symbol=null, bool useDividends=false)
{
GainLossGeneratorCum gainLossGeneratorCum=new GainLossGeneratorCum();
GainLossGenerator gainLossGenerator=new GainLossGenerator();
PortfolioTrades portfolioTrades=PortfolioDA.GetTrades();
DividendPayments dividendPayments=null;
String strPathFileNameCumulative=String.Format("model_performance_dividends_cumulative_{0}.csv",null==symbol?"ALL":symbol);
String strPathFileNameNonCumulative=String.Format("model_performance_dividends_non_cumulative_{0}.csv",null==symbol?"ALL":symbol);
String symbol="ANF"; // SPY
portfolioTrades = PortfolioDA.GetTrades(symbol);
if(null==symbol)portfolioTrades = PortfolioDA.GetTrades();
else portfolioTrades = PortfolioDA.GetTrades(symbol);
// dividendPayments=DividendPaymentDA.GetDividendPayments();
// portfolioTrades = new PortfolioTrades(portfolioTrades.Where(x => x.Symbol.Equals(symbol)).ToList());
String strPathFileNameCumulative=String.Format("model_performance_dividends_cumulative_{0}.csv",symbol);
String strPathFileNameNonCumulative=String.Format("model_performance_dividends_non_cumulative_{0}.csv",symbol);
if(useDividends)
{
if(null!=symbol)dividendPayments=DividendPaymentDA.GetDividendPaymentsForSymbol(symbol);
else dividendPayments=DividendPaymentDA.GetDividendPayments();
}
// Run the cumulative version
TotalGainLossCollection totalGainLossCollectionCum=null;
if(null!=dividendPayments)gainLossGeneratorCum.GenerateTotalGainLossWithDividends(portfolioTrades,dividendPayments);
else gainLossGeneratorCum.GenerateTotalGainLoss(portfolioTrades);
if(null!=dividendPayments)totalGainLossCollectionCum=gainLossGeneratorCum.GenerateTotalGainLossWithDividends(portfolioTrades,dividendPayments);
else totalGainLossCollectionCum=gainLossGeneratorCum.GenerateTotalGainLoss(portfolioTrades);
Console.WriteLine(String.Format("Writing Cumulative Model to {0}",strPathFileNameCumulative));
SaveCollection(strPathFileNameCumulative, "CUMULATIVE", totalGainLossCollectionCum);
// Run the regular version
TotalGainLossCollection totalGainLossCollection=null;
if(null!=dividendPayments)gainLossGenerator.GenerateTotalGainLossWithDividends(portfolioTrades,dividendPayments);
else gainLossGenerator.GenerateTotalGainLoss(portfolioTrades);
if(null!=dividendPayments)totalGainLossCollection=gainLossGenerator.GenerateTotalGainLossWithDividends(portfolioTrades,dividendPayments);
else totalGainLossCollection=gainLossGenerator.GenerateTotalGainLoss(portfolioTrades);
Console.WriteLine(String.Format("Writing Non-Cumulative Model to {0}",strPathFileNameNonCumulative));
SaveCollection(strPathFileNameNonCumulative, "NON-CUMULATIVE",totalGainLossCollection);
}
@@ -619,15 +622,15 @@ namespace MarketData
Trace.Listeners.Add(new TextWriterTraceListener(strLogFile));
DateTime currentDate=DateTime.Now;
RunModelPerformance();
Console.ReadLine();
return 0;
//RunModelPerformance("SPY");
//Console.ReadLine();
//return 0;
// Price price=MarketDataHelper.GetLatestPriceFidelity("AAPL");
// Price price=MarketDataHelper.GetLatestPriceFidelity("AAPL");
DateTime maxHolidayDate=HolidayDA.GetMaxHolidayDate();
DateTime maxHolidayDate =HolidayDA.GetMaxHolidayDate();
if(currentDate>maxHolidayDate)
{
Console.WriteLine(String.Format("There are no holidays defined in the system. Add holidays for year {0} into marketholidays table",currentDate.Year));
@@ -2242,9 +2245,10 @@ namespace MarketData
{
try
{
List<String> symbols = WatchListDA.GetWatchList(watchListName);
PricingMarketDataHelper pricingMarketDataHelper=new PricingMarketDataHelper();
pricingMarketDataHelper.UpdateLatestPrices(symbols);
if(!CheckRunCriteria())return;
List<String> symbols = WatchListDA.GetWatchList(watchListName);
PricingMarketDataHelper pricingMarketDataHelper=new PricingMarketDataHelper();
pricingMarketDataHelper.UpdateLatestPrices(symbols);
}
catch (Exception exception)
{
@@ -2255,6 +2259,7 @@ namespace MarketData
{
try
{
if(!CheckRunCriteria())return;
PortfolioTrades portfolioTrades=PortfolioDA.GetOpenTrades();
List<String> symbols=(from PortfolioTrade portfolioTrade in portfolioTrades select portfolioTrade.Symbol).Distinct().ToList();
if(symbols.Any(x=>x.Equals("SPY")))symbols.Add("SH");
@@ -3678,6 +3683,7 @@ namespace MarketData
int sleepTime=2000;
PremarketElements premarketElements=null;
if(!CheckRunCriteria())return;
for(int retry=0;retry<retries && (null==premarketElements || 0==premarketElements.Count);retry++,Thread.Sleep(sleepTime))
{
premarketElements=MarketDataHelper.GetPremarketData();
@@ -3694,8 +3700,32 @@ namespace MarketData
}
}
public static bool CheckRunCriteria()
{
DateGenerator dateGenerator = new DateGenerator();
DateTime currentDate = DateTime.Now;
if(!dateGenerator.IsMarketOpen(currentDate))
{
String description="";
if(HolidayDA.IsMarketHoliday(currentDate)) description=HolidayDA.GetHolidayDescription(currentDate);
else description=Utility.DayOfWeekToString(currentDate.DayOfWeek);
Console.WriteLine(String.Format("Market is closed today {0} ({1}), please confirm Y/N:?",currentDate.ToShortDateString(),description));
String result=Console.ReadLine();
if(null==result||!(result.ToUpper().Equals("Y")||result.ToUpper().Equals("YES"))) return false;
}
if(!NetworkStatus.IsInternetConnected())
{
Console.WriteLine(String.Format("The internet is not connected, continue anyway Y/N:?"));
String result=Console.ReadLine();
if(null==result||!(result.ToUpper().Equals("Y")||result.ToUpper().Equals("YES")))return false;
}
return true;
}
private static void LoadHeadlinesWatchList(String watchList)
{
if(!CheckRunCriteria())return;
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("LoadHeadlinesWatchList {0}",watchList));
List<String> symbols = WatchListDA.GetWatchList(watchList);
HeadlinesMarketDataHelper headlinesMarketDataHelper= new HeadlinesMarketDataHelper();