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Add logic to all models to avoid selling and immediately buying back the same security as this is considered a Wash Trade and is illegal.

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This commit is contained in:
Sean
2026-03-19 19:46:19 -04:00
parent 682ba74241
commit 554f577803
7 changed files with 109 additions and 25 deletions
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3
MarketDataLib/Generator/CMMomentum/CMBacktest.cs
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@@ -392,6 +392,7 @@ namespace MarketData.Generator.CMMomentum
else
{
Positions slotPositions = ActivePositions[slotIndex];
List<String> slotSymbols = slotPositions.ConvertAll(x=>x.Symbol); // capture sell symbols to exclude from purchases to eliminate wash trades
SellPositions(slotPositions, TradeDate);
DisplaySales(slotPositions, TradeDate);
MDTrace.WriteLine(LogLevel.DEBUG, "********************* S E L L *********************");
@@ -401,7 +402,7 @@ namespace MarketData.Generator.CMMomentum
ActivePositions[slotIndex].Clear();
DisplayBalance();
double cashAllocation = Math.Min(CashBalance, (ActivePositions.GetExposure() + CashBalance) / HoldingPeriod); // Even out the cash allocation so that no one slot eats up all the cash
Positions positions=BuyPositions(slotIndex,TradeDate,AnalysisDate,cashAllocation,SymbolsHeld());
Positions positions=BuyPositions(slotIndex,TradeDate,AnalysisDate,cashAllocation,new List<String>(SymbolsHeld().Concat(slotSymbols)));
DisplayPurchases(positions, TradeDate);
MDTrace.WriteLine(LogLevel.DEBUG,"********************** B U Y ********************");
positions.Display();

16
MarketDataLib/Generator/CMTrend/CMTTrendModel..cs
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@@ -623,7 +623,7 @@ namespace MarketData.Generator.CMTrend
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("TradeDate ({0}) must be greater than or equal to the max position date ({1}) in the trade file.",TradeDate.ToShortDateString(),ActivePositions.Select(x => x.PurchaseDate).Max().ToShortDateString()));
return result;
}
ManageOpenPositions(TradeDate);
List<String> closedSymbols = ManageOpenPositions(TradeDate); // capture any closed symbols so we don't re-enter immediately (wash trades)
ManageCandidates(TradeDate);
// ************************************************************************************************************************************************************************
// **************************************************************************** N E W P O S I T I O N S *****************************************************************
@@ -641,7 +641,7 @@ namespace MarketData.Generator.CMTrend
result.Success=true;
return result;
}
Positions positions=BuyCandidates(TradeDate,CashBalance,ActivePositions.GetSymbols());
Positions positions=BuyCandidates(TradeDate,CashBalance,new List<String>(ActivePositions.GetSymbols().Concat(closedSymbols)));
if(null != positions && 0!=positions.Count)
{
MDTrace.WriteLine(LogLevel.DEBUG,"******************** B U Y ********************");
@@ -735,7 +735,7 @@ namespace MarketData.Generator.CMTrend
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("TradeDate ({0}) must be greater than or equal to the max position date ({1}) in the trade file.",TradeDate.ToShortDateString(),ActivePositions.Select(x => x.PurchaseDate).Max().ToShortDateString()));
return result;
}
ManageOpenPositions(TradeDate);
List<String> closedSymbols = ManageOpenPositions(TradeDate); // capture any closed symbols so we don't re-enter immediately (wash trades)
ManageCandidates(TradeDate);
if(ActivePositions.PositionsOn(TradeDate)>=Parameters.MaxDailyPositions)
{
@@ -743,7 +743,7 @@ namespace MarketData.Generator.CMTrend
result.Success=true;
continue;
}
Positions positions=BuyCandidates(TradeDate,CashBalance,ActivePositions.GetSymbols());
Positions positions=BuyCandidates(TradeDate,CashBalance,new List<String>(ActivePositions.GetSymbols().Concat(closedSymbols)));
if(null!=positions&&0!=positions.Count)
{
MDTrace.WriteLine(LogLevel.DEBUG,"******************** B U Y ********************");
@@ -884,11 +884,11 @@ namespace MarketData.Generator.CMTrend
// ***********************************************************************************************************************************************************************
// *********************************************************************** M A N A G E O P E N P O S I T I O N S *****************************************************
// ***********************************************************************************************************************************************************************
private void ManageOpenPositions(DateTime tradeDate)
private List<String> ManageOpenPositions(DateTime tradeDate)
{
if(0==ActivePositions.Count) return;
List<String> closedSymbols = new List<String>();
if(0==ActivePositions.Count) return closedSymbols;
Positions closedPositions = new Positions();
// List<Position> closedPositions=new List<Position>();
foreach(Position position in ActivePositions)
{
Price price=GBPriceCache.GetInstance().GetPrice(position.Symbol,tradeDate);
@@ -960,6 +960,8 @@ namespace MarketData.Generator.CMTrend
ActivePositions.Remove(closedPosition);
}
}
if(closedPositions.Count>0)closedSymbols = closedPositions.ConvertAll(x => x.Symbol);
return closedSymbols;
}
// **********************************************************************************************************************************************************

4
MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs
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@@ -509,8 +509,10 @@ namespace MarketData.Generator.MGSHMomentum
public void SellAndBuySlotPositions(int slotIndex)
{
MGSHPositions slotPositions=ActivePositions[slotIndex];
List<String> closedSymbols = new List<string>();
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
{
closedSymbols = slotPositions.ConvertAll(x => x.Symbol);
SellPositions(slotPositions,TradeDate);
DisplaySales(slotPositions, TradeDate);
MDTrace.WriteLine(LogLevel.DEBUG,"********************* S E L L *********************");
@@ -524,7 +526,7 @@ namespace MarketData.Generator.MGSHMomentum
int positionsToFill = MaxPositions-slotPositions.Count;
double cashAllocation = (CashBalance / ((HoldingPeriod * MaxPositions) - ActivePositions.GetCount()))*positionsToFill; // split the cash between the total positions we can own less the number of positions we have
MGSHPositions positions = null;
positions=BuyPositions(slotIndex, TradeDate,AnalysisDate,cashAllocation,SymbolsHeld(TradeDate), positionsToFill);
positions=BuyPositions(slotIndex, TradeDate,AnalysisDate,cashAllocation,new List<String>(SymbolsHeld(TradeDate).Concat(closedSymbols)), positionsToFill);
if(CashBalance-positions.Exposure<=0.00)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("********** Insufficient funds to make additional purchases.**************"));

3
MarketDataLib/Generator/Momentum/Backtest.cs
View File

@@ -380,6 +380,7 @@ namespace MarketData.Generator.Momentum
else
{
Positions slotPositions=ActivePositions[slotIndex];
List<String> closedSymbols = slotPositions.ConvertAll(x => x.Symbol); // capture the closed symbols so we don't re-enter the position (avoid wash trades)
SellPositions(slotPositions,TradeDate);
MDTrace.WriteLine(LogLevel.DEBUG,"********************* S E L L *********************");
slotPositions.Display();
@@ -392,7 +393,7 @@ namespace MarketData.Generator.Momentum
cashAllocation = Math.Min(CashBalance, (ActivePositions.GetExposure() + CashBalance) / (double)HoldingPeriod);
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("CASH ALLOCATION:{0}",Utility.FormatCurrency(cashAllocation)));
Positions positions = null;
positions=BuyPositions(TradeDate,AnalysisDate,cashAllocation,SymbolsHeld(TradeDate));
positions=BuyPositions(TradeDate,AnalysisDate,cashAllocation,new List<String>(SymbolsHeld(TradeDate).Concat(closedSymbols)));
MDTrace.WriteLine(LogLevel.DEBUG,"********************** B U Y ********************");
positions.Display();
if(CashBalance-positions.Exposure<=0.00)

105
MarketDataLib/Helper/MarketDataHelper.cs
View File

@@ -5660,32 +5660,56 @@ namespace MarketData.Helper
return price;
}
/// <summary>
/// GetDailyPrices - Retrieve prices from Yahoo. This feed can retrieve historical prices from Yahoo as well as current day price
/// </summary>
/// <param name="symbol"></param>
/// <param name="startDate"></param>
/// <param name="endDate"></param>
/// <returns></returns>
public static Prices GetDailyPrices(String symbol, DateTime startDate, DateTime endDate)
{
HttpNetResponse httpNetResponse=null;
try
{
if(symbol==null)return null;
CompanyProfile companyProfile=CompanyProfileDA.GetCompanyProfile(symbol);
if(null!=companyProfile && companyProfile.FreezePricing)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Pricing for {0} is frozen.",symbol));
return null;
}
startDate=startDate.Date;
endDate=endDate.Date;
if(startDate>endDate)
if(symbol==null)return null;
CompanyProfile companyProfile=CompanyProfileDA.GetCompanyProfile(symbol);
if(null!=companyProfile && companyProfile.FreezePricing)
{
DateTime tempDate=startDate;
startDate=endDate;
endDate=tempDate;
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Pricing for {0} is frozen.",symbol));
return null;
}
DateTime period1 = startDate.Date;
DateTime period2 = endDate.Date;
if(period1>period2)
{
DateTime tempDate=period1;
period1=period2;
period2=tempDate;
}
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("[MarketDataHelper:GetDailyPrices]{0} start:{1} end:{2}",symbol,Utility.DateTimeToStringMMHDDHYYYY(startDate),Utility.DateTimeToStringMMHDDHYYYY(endDate)));
if(period1.Equals(period2))
{
DateGenerator dateGenerator=new DateGenerator();
period1 = dateGenerator.FindPrevBusinessDay(period2);
}
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("[MarketDataHelper:GetDailyPrices]{0} start:{1} end:{2}",symbol,Utility.DateTimeToStringMMHDDHYYYY(period1),Utility.DateTimeToStringMMHDDHYYYY(period2)));
StringBuilder sb = new StringBuilder();
String strRequest;
Prices prices=null;
sb.Append("https://query1.finance.yahoo.com/v7/finance/chart/").Append(symbol).Append("?period1=").Append(Utility.DateToUnixDate(startDate)).Append("&period2=").Append(Utility.DateToUnixDate(endDate)).Append("&interval=1d&events=history");
sb.Append("https://query1.finance.yahoo.com/v7/finance/chart/").Append(symbol).Append("?period1=").Append(Utility.DateToUnixDate(period1)).Append("&period2=").Append(Utility.DateToUnixDate(period2)).Append("&interval=1d&events=history");
strRequest=sb.ToString();
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Query:{0}",strRequest));
WebProxy webProxy=HttpNetRequest.GetProxy("GetDailyPrices");
@@ -5694,6 +5718,10 @@ namespace MarketData.Helper
if(!httpNetResponse.Success) return null;
JObject json=JObject.Parse(httpNetResponse.ResponseString);
prices=GetPricesFromJSONString(json,symbol);
if(startDate.Date.Equals(endDate.Date))
{
prices = new Prices(prices.Where(x => x.Date.Date.Equals(startDate.Date)).ToList());
}
return prices;
}
catch(Exception exception)
@@ -5706,6 +5734,53 @@ namespace MarketData.Helper
if(null!=httpNetResponse)httpNetResponse.Dispose();
}
}
//public static Prices GetDailyPrices(String symbol, DateTime startDate, DateTime endDate)
//{
// HttpNetResponse httpNetResponse=null;
// try
// {
// if(symbol==null)return null;
// CompanyProfile companyProfile=CompanyProfileDA.GetCompanyProfile(symbol);
// if(null!=companyProfile && companyProfile.FreezePricing)
// {
// MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Pricing for {0} is frozen.",symbol));
// return null;
// }
// startDate=startDate.Date;
// endDate=endDate.Date;
// if(startDate>endDate)
// {
// DateTime tempDate=startDate;
// startDate=endDate;
// endDate=tempDate;
// }
// MDTrace.WriteLine(LogLevel.DEBUG,String.Format("[MarketDataHelper:GetDailyPrices]{0} start:{1} end:{2}",symbol,Utility.DateTimeToStringMMHDDHYYYY(startDate),Utility.DateTimeToStringMMHDDHYYYY(endDate)));
// StringBuilder sb = new StringBuilder();
// String strRequest;
// Prices prices=null;
// sb.Append("https://query1.finance.yahoo.com/v7/finance/chart/").Append(symbol).Append("?period1=").Append(Utility.DateToUnixDate(startDate)).Append("&period2=").Append(Utility.DateToUnixDate(endDate)).Append("&interval=1d&events=history");
// strRequest=sb.ToString();
// MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Query:{0}",strRequest));
// WebProxy webProxy=HttpNetRequest.GetProxy("GetDailyPrices");
// CookieCollection cookieCollection=new CookieCollection();
// httpNetResponse=HttpNetRequest.GetRequestNoEncodingV3B(strRequest,cookieCollection,webProxy);
// if(!httpNetResponse.Success) return null;
// JObject json=JObject.Parse(httpNetResponse.ResponseString);
// prices=GetPricesFromJSONString(json,symbol);
// return prices;
// }
// catch(Exception exception)
// {
// MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Exception:{0}",exception.ToString()));
// return null;
// }
// finally
// {
// if(null!=httpNetResponse)httpNetResponse.Dispose();
// }
//}
private static Prices GetPricesFromJSONString(JObject json,String symbol)
{
Prices prices=new Prices();