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

HedgeTest

Browse Source
This commit is contained in:
Sean
2025-02-13 15:05:06 -05:00
parent 476105eedb
commit efdb4d4c65
1 changed files with 5 additions and 1 deletions
Download Patch File Download Diff File Expand all files Collapse all files

6
Program.cs
View File

@@ -875,7 +875,11 @@ namespace MarketData
} }
else if(hedgeManager.IsLowerBandBreakIndicator(analysisDate, position)) else if(hedgeManager.IsLowerBandBreakIndicator(analysisDate, position))
{ {
MarketData.Generator.Model.StopLimit stopLimit = hedgeManager.EvaluateStopPriceHedge(analysisDate, position, hedgeStopLimitScalingVolatilityDays, hedgeMinDaysBetweenStopAdjustments); MGSHConfiguration msghConfiguration = new MGSHConfiguration();
msghConfiguration.HedgeMinDaysBetweenStopAdjustments=hedgeMinDaysBetweenStopAdjustments;
msghConfiguration.StopLimitScalingVolatilityDays=hedgeStopLimitScalingVolatilityDays;
msghConfiguration.HedgeATRMultiplier=1.00; // Check this value against what is being used in the actual config. It controls how closely the stop limit trails
MarketData.Generator.Model.StopLimit stopLimit = hedgeManager.EvaluateStopPriceHedge(analysisDate, position, msghConfiguration);
if(null != stopLimit)StopLimits.Add(stopLimit); if(null != stopLimit)StopLimits.Add(stopLimit);
} }
} }