Add interfaces, add edit position , close position to MG model.

MarketDataLib/Generator/Interface/IPosition.cs

@@ -0,0 +1,13 @@
+using System;
+
+namespace MarketData.Generator.Interface
+{
+  public interface IPosition : IPurePosition
+  {
+    double TrailingStopLimit {get; set;}
+
+    double InitialStopLimit {get; set;}
+
+    double PositionRiskPercentDecimal {get; set;}
+  }
+}

MarketDataLib/Generator/Interface/IPurePosition.cs

@@ -0,0 +1,19 @@
+using System;
+
+namespace MarketData.Generator.Interface
+{
+  public interface IPurePosition
+  {
+    String Symbol {get; set;}
+
+    DateTime PurchaseDate {get; set;}
+
+    DateTime SellDate {get; set;}
+
+    double CurrentPrice {get; set;}
+
+    double PurchasePrice {get; set;}
+
+    double Shares {get; set;}
+  }
+}

MarketDataLib/Generator/MGSHMomentum/MGSHPositions.cs

@@ -74,7 +74,6 @@ namespace MarketData.Generator.MGSHMomentum
     public double Return1D{get;set;}
     public double GainLoss{get{return MarketValue-Exposure;}}
     public double GainLossPcnt{get{return (MarketValue-Exposure)/Exposure;}}
-//    public String ZacksRank{get;set;}
     public double CumReturn252{get;set;}
     public double IDIndicator{get;set;}
     public double Score{get;set;}

MarketDataLib/Generator/Momentum/Backtest.cs

@@ -341,6 +341,90 @@ namespace MarketData.Generator.Momentum
       GBPriceCache.GetInstance().Dispose();
       SaveSession();
     }
+
+    // ******************************************************************************************************************************************************
+    // ****************************************************************** C L O S E    **********************************************************************
+    // ******************************************************************************************************************************************************
+    public bool ClosePosition(String symbol,DateTime purchaseDate,DateTime sellDate,double sellPrice,String pathSessionFile)
+    {
+      if(null==pathSessionFile) return false;
+      MGSessionParams sessionParams=null;
+
+      PathSessionFileName=pathSessionFile;
+      if(null==(sessionParams=RestoreSession()))
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Error loading session file {0}",pathSessionFile));
+        return false;
+      }
+      if(!BackupSession()) return false;
+      Positions activePositions = ActivePositions.GetPositions();
+      Position 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 = sellPrice;
+        CashBalance += position.MarketValue;
+        SaveSession();
+        return true;
+      }
+      position.SellDate = sellDate;
+      position.CurrentPrice = sellPrice;
+      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;
+    }
+
+
+    // ******************************************************************************************************************************************************
+    // *************************************************************************** E D I T ******************************************************************
+    // ******************************************************************************************************************************************************
+    public bool EditPosition(String symbol,DateTime purchaseDate,double purchasePrice,String pathSessionFile)
+    {
+      if(null==pathSessionFile) return false;
+      MGSessionParams sessionParams=null;
+
+      PathSessionFileName=pathSessionFile;
+      if(null==(sessionParams=RestoreSession()))
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Error loading session file {0}",pathSessionFile));
+        return false;
+      }
+      if(!BackupSession()) return false;
+
+      Positions activePositions = ActivePositions.GetPositions();
+
+      Position position=activePositions.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;
+      }
+      if(!position.PurchaseDate.Equals(purchaseDate)) position.PurchaseDate=purchaseDate;
+      if(!position.PurchasePrice.Equals(purchasePrice))
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Adjusting Cash for Position for symbol '{0}' purchased on {1}.  Original Price: {2}  New Price: {3} Change in Cash: {4}",
+          symbol,purchaseDate.ToShortDateString(),
+          Utility.FormatCurrency(position.PurchasePrice),
+          Utility.FormatCurrency(purchasePrice),
+          Utility.FormatCurrency((position.PurchasePrice-purchasePrice)*position.Shares)));
+        CashBalance+=(position.PurchasePrice-purchasePrice)*position.Shares;
+        position.PurchasePrice=purchasePrice;
+      }
+      SaveSession();
+      MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Position for symbol '{0}' purchased on {1} has been modified and saved.",symbol,purchaseDate.ToShortDateString()));
+      return true;
+    }
+
 // ******************************************************************************************************************************************************
 // ****************************************************************** B A C K T E S T   *****************************************************************
 // ******************************************************************************************************************************************************
@@ -702,5 +786,26 @@ namespace MarketData.Generator.Momentum
       sessionParams.NonTradeableCash=NonTradeableCash;
       sessionManager.SaveSession(sessionParams,PathSessionFileName);
     }
+
+    public bool BackupSession()
+    {
+      String[] parts=PathSessionFileName.Split('.');
+      String backupFileName=parts[0]+"_"+Utility.DateTimeToStringYYYYMMDDMMSSTT(DateTime.Now)+".bak";
+      MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Saving session to '{0}'",backupFileName));
+      MGSessionParams sessionParams=new MGSessionParams();
+      MGSessionManager sessionManager=new MGSessionManager();
+      sessionParams.LastUpdated=Today();
+      sessionParams.TradeDate=TradeDate;
+      sessionParams.StartDate=StartDate;
+      sessionParams.AnalysisDate=AnalysisDate;
+      sessionParams.Configuration=Configuration;
+      sessionParams.ActivePositions=ActivePositions;
+      sessionParams.AllPositions=AllPositions;
+      sessionParams.Cycle=Cycle;
+      sessionParams.CashBalance=CashBalance;
+      sessionParams.NonTradeableCash=NonTradeableCash;
+      sessionManager.SaveSession(sessionParams,backupFileName);
+      return true;
+    }
   }
 }

MarketDataLib/Generator/Momentum/Positions.cs

@@ -1,21 +1,18 @@
 using System;
 using System.Collections.Generic;
-using System.Text;
-using MarketData.MarketDataModel;
-using MarketData.DataAccess;
 using MarketData.Utils;
 using System.Linq;
-using MarketData.Helper;
-using MarketData.Numerical;
+using MarketData.Generator.Interface;
 
 namespace MarketData.Generator.Momentum
 {
-  public class Position
+  public class Position : IPurePosition
   {
     public Position()
     {
       CurrentPrice=double.NaN;
     }
+
     public Position(Position position)
     {
       Symbol = position.Symbol;
@@ -37,27 +34,73 @@ namespace MarketData.Generator.Momentum
       Beta = position.Beta;
       SharpeRatio = position.SharpeRatio;
     }
+
+    public static Position Clone(Position position)
+    {
+      Position clonedPosition = new Position();
+      clonedPosition.Symbol = position.Symbol;
+      clonedPosition.PurchaseDate = position.PurchaseDate;
+      clonedPosition.SellDate = position.SellDate;
+      clonedPosition.Shares = position.Shares;
+      clonedPosition.PurchasePrice = position.PurchasePrice;
+      clonedPosition.CurrentPrice = position.CurrentPrice;
+      clonedPosition.Volume = position.Volume;
+      clonedPosition.Return1D = position.Return1D;
+      clonedPosition.ZacksRank = position.ZacksRank;
+      clonedPosition.CumReturn252 = position.CumReturn252;
+      clonedPosition.IDIndicator = position.IDIndicator;
+      clonedPosition.Score = position.Score;
+      clonedPosition.MaxDrawdown = position.MaxDrawdown;
+      clonedPosition.MaxUpside = position.MaxUpside;
+      clonedPosition.Velocity = position.Velocity;
+      clonedPosition.PE = position.PE;
+      clonedPosition.Beta = position.Beta;
+      clonedPosition.SharpeRatio = position.SharpeRatio;
+      return clonedPosition;
+    }
+
     public String Symbol{get;set;}
+
     public DateTime PurchaseDate{get;set;}
+
     public DateTime SellDate{get;set;}
+
     public double Shares{get;set;}
+
     public double PurchasePrice{get;set;}
+
     public double CurrentPrice{get;set;}
+
     public double Exposure{get{return Shares*PurchasePrice;}}
+
     public double MarketValue{get{return Shares*CurrentPrice;}}
+
     public long Volume{get;set;}
+
     public double Return1D{get;set;}
+
     public double GainLoss{get{return MarketValue-Exposure;}}
+
     public double GainLossPcnt{get{return (MarketValue-Exposure)/Exposure;}}
+
     public String ZacksRank{get;set;}
+
     public double CumReturn252{get;set;}
+
     public double IDIndicator{get;set;}
+
     public double Score{get;set;}
+
     public double MaxDrawdown{get;set;}
+
     public double MaxUpside{get;set;}
+
     public double Velocity{get;set;}
+
     public double PE{get;set;}
+
     public double Beta{get;set;}
+
     public double SharpeRatio { get; set; }
 
     public virtual NVPCollection ToNVPCollection()
@@ -83,6 +126,7 @@ namespace MarketData.Generator.Momentum
       nvpCollection.Add(new NVP("SharpeRatio", SharpeRatio.ToString()));
       return nvpCollection;
     }
+
     public static Position FromNVPCollection(NVPCollection nvpCollection)
     {
       Position position=new Position();
@@ -109,10 +153,12 @@ namespace MarketData.Generator.Momentum
       else position.Score=double.NaN;
       return position;
     }
+
     public static void DisplayHeader()
     {
       MDTrace.WriteLine(LogLevel.DEBUG, "Symbol,Purchase Date,Shares,Purchase Price,Exposure,Volume,Return1D,Sell Date,Sell Price,Market Value,Gain Loss,Gain Loss(%),CumReturn252,IDIndicator,Score,MaxDrawdown,MaxUpside,Velocity,PE,Beta,SharpeRatio");
     }
+
     public void Display()
     {
       if (Utility.IsEpoch(SellDate) && double.IsNaN(CurrentPrice))

MarketDataLib/MarketDataLib.csproj

@@ -141,6 +141,7 @@
     <Compile Include="Generator\Indicators\BandBreakIndicator.cs" />
     <Compile Include="Generator\Indicators\MVPIndicator.cs" />
     <Compile Include="Generator\Interface\IPosition.cs" />
+    <Compile Include="Generator\Interface\IPurePosition.cs" />
     <Compile Include="Generator\MGSHMomentum\CandidateSelector.cs" />
     <Compile Include="Generator\MGSHMomentum\CandidateViolation.cs" />
     <Compile Include="Generator\MGSHMomentum\HedgeManager.cs" />