Add ClosePosition log and fix bug in the initial stop limit adjustment where it was possible to adjust a stop limit downwards.

MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs

@@ -170,6 +170,61 @@ namespace MarketData.Generator.MGSHMomentum
       return true;
     }
 
+    public bool ClosePosition(String symbol,DateTime purchaseDate,DateTime sellDate,double price,String sessionFile)
+    {
+      if (!MGSHSessionManager.IsValidSessionFile(sessionFile))
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Invalid session file '{0}'.", sessionFile));
+        return false;
+      }
+
+      PathSessionFileName = sessionFile;
+      MGSHSessionParams sessionParams=MGSHSessionManager.RestoreSession(PathSessionFileName);
+      Configuration = sessionParams.Configuration;
+      TradeDate = sessionParams.TradeDate;
+      StartDate = sessionParams.StartDate;
+      AnalysisDate = sessionParams.AnalysisDate;
+      Cycle=sessionParams.Cycle;
+      sessionParams.LastUpdated = DateTime.Now;
+      //sessionParams.CMTParams.AnalysisDate=DateTime.Now;
+      StopLimits=sessionParams.StopLimits;
+      ActivePositions=sessionParams.ActivePositions;
+      AllPositions=sessionParams.AllPositions;
+      HedgePositions=sessionParams.HedgePositions;
+      CashBalance=sessionParams.CashBalance;
+      NonTradeableCash=sessionParams.NonTradeableCash;
+      HedgeCashBalance=sessionParams.HedgeCashBalance;
+      PricingExceptions=sessionParams.PricingExceptions;
+      if(!BackupSession())return false;
+
+      MGSHPositions activePositions = ActivePositions.GetPositions();
+      MGSHPosition position=activePositions.Where(x => x.Symbol.Equals(symbol)&&x.PurchaseDate.Equals(purchaseDate)).FirstOrDefault();
+      if(null==position)  // if it is not in the active positions then the position is already closed and we are modifying either the sell date or the sell price
+      {
+        position=AllPositions.Where(x => x.Symbol.Equals(symbol)&&x.PurchaseDate.Equals(purchaseDate)).FirstOrDefault();
+        if(null==position)
+        {
+          MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Cannot locate position for symbol '{0}' purchased on {1}.",symbol,purchaseDate.ToShortDateString()));
+          return false;
+        }
+        position.SellDate=sellDate;
+        CashBalance-=position.MarketValue;
+        position.CurrentPrice=price;
+        CashBalance+=position.MarketValue;
+        SaveSession();
+        return true;
+      }
+      position.SellDate=sellDate;
+      position.CurrentPrice=price;
+      position.Comment="Manual close.";
+      CashBalance+=position.MarketValue;
+      ActivePositions.Remove(position);
+      AllPositions.Add(position);
+      MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Position for symbol '{0}' purchased on {1} is now closed.",symbol,purchaseDate.ToShortDateString()));
+      SaveSession();
+      return true;
+    }
+
   // ******************************************************************************************************************************************************
   // **************************************************************** S T A T I S T I C S ******************************************************************
   // ******************************************************************************************************************************************************
@@ -800,15 +855,15 @@ namespace MarketData.Generator.MGSHMomentum
           }
 
           // This is an older position for which we never set an initial stop.  We will not adjust these
-          if(double.IsNaN(position.R) || double.IsNaN(position.TrailingStopLimit) || double.IsNaN(position.InitialStopLimit))
+          if (double.IsNaN(position.R) || double.IsNaN(position.TrailingStopLimit) || double.IsNaN(position.InitialStopLimit))
           {
-            MDTrace.WriteLine(LogLevel.DEBUG,String.Format("[UpdateStopLimitsForActivePositions] Position {0} on {1} is legacy will not adjust stop limit.",position.Symbol,analysisDate.ToShortDateString()));
+            MDTrace.WriteLine(LogLevel.DEBUG, String.Format("[UpdateStopLimitsForActivePositions] Position {0} on {1} is legacy will not adjust stop limit.", position.Symbol, analysisDate.ToShortDateString()));
             continue;
           }
 
           position.CurrentPrice = price.Close;
           RemovePricingException(position.Symbol);
-          if(price.Low < position.TrailingStopLimit && !position.PurchaseDate.Equals(analysisDate))
+          if (price.Low < position.TrailingStopLimit && !position.PurchaseDate.Equals(analysisDate))
           {
             position.SellDate = analysisDate;
             position.CurrentPrice = position.TrailingStopLimit;
@@ -868,16 +923,19 @@ namespace MarketData.Generator.MGSHMomentum
         {
           trailingStopScaled=GetStopLimitWithScalingAverageTrueRange(analysisDate,currentPrice,position,trailingStop);
           trailingStop=Math.Max(trailingStop,trailingStopScaled);
+
           if(trailingStop>=currentPrice.Low || trailingStop>=currentPrice.Close)
           {
             MDTrace.WriteLine(LogLevel.DEBUG,String.Format("The calculated trailing stop for {0} of {1} would be higher than the Low/Close of {2}.",position.Symbol,Utility.FormatCurrency(trailingStop),Utility.FormatCurrency(currentPrice.Low)));
             return changed;
           }
-          if(Numerics.Round(trailingStop).Equals(Numerics.Round(position.TrailingStopLimit)))
+
+          if(Numerics.Round(trailingStop)<=(Numerics.Round(position.TrailingStopLimit)))
 					{
-            MDTrace.WriteLine(LogLevel.DEBUG,String.Format("The calculated trailing stop for {0} of {1} would be the same as the existing stop limit of {2}.",position.Symbol,Utility.FormatCurrency(trailingStop),Utility.FormatCurrency(position.TrailingStopLimit)));
+            MDTrace.WriteLine(LogLevel.DEBUG,String.Format("The calculated trailing stop for {0} of {1} would be less than or equal to the existing stop limit of {2}.",position.Symbol,Utility.FormatCurrency(trailingStop),Utility.FormatCurrency(position.TrailingStopLimit)));
             return changed;
 					}
+
           MDTrace.WriteLine(LogLevel.DEBUG,String.Format("****************************** A D J U S T   S T O P  L I M I T ************************"));
           MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Adjusting StopLimit after {0} days for {1} from {2} to {3}.  Purchase Price: {4} Current Price:{5} Spread:{6} Shares:{7}",
             daysHeld,
@@ -888,6 +946,7 @@ namespace MarketData.Generator.MGSHMomentum
             Utility.FormatPercent((currentPrice.Close-trailingStop)/trailingStop),
             Utility.FormatNumber(position.Shares,2)));
           MDTrace.WriteLine(LogLevel.DEBUG,String.Format("*****************************************************************************************"));
+
           StopLimit newStopLimit=new StopLimit
           {
             StopLimitId=position.Symbol + Utility.DateTimeToStringYYYYMMDDMMSSTT(position.PurchaseDate),