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HedgeTest

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Sean
2025-02-13 15:05:06 -05:00
parent 476105eedb
commit efdb4d4c65
1 changed files with 5 additions and 1 deletions
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6
Program.cs
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@@ -875,7 +875,11 @@ namespace MarketData
}
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);
}
}