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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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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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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;
}
// **********************************************************************************************************************************************************