#region Namespaces
using System;
using System.IO;
using System.Linq;
#endregion
namespace ScriptCode
{
/// <summary>
/// Dynamic allocation scripts are used for systematically redistributing cash between desktop strategies
/// based on their performance or some other heuristic.
/// </summary>
public partial class MyDynamicAllocation : DynamicAllocationScriptBase // NEVER CHANGE THE CLASS NAME
{
#region Variables
// The day of month in which the cash rebalancing is done. (1 to 31)
private int _day;
// The base currency code to use for transferring cash between strategies.
private string _currencyCode;
#endregion
#region OnInitialize
/// <summary>
/// This function is used for accepting the script parameters and for initializing the script prior to all other function calls.
/// Once the script is assigned to a desktop, its parameter values can be specified by the user and can be selected for optimization.
/// </summary>
/// --------------------------------------------------------------------------------------------------
/// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS
/// --------------------------------------------------------------------------------------------------
/// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION.
/// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION.
/// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS.
/// REQUIRED ATTRIBUTES:
/// (1) name: The exact parameter name.
/// (2) type: The type of data to collect from the user:
/// Set to "Integer" when the data type is 'int'
/// Set to "IntegerArray" when the data type is 'int[]'
/// Set to "DateTime" when the data type is 'long'
/// Set to "DateTimeArray" when the data type is 'long[]'
/// Set to "Boolean" when the data type is 'bool'
/// Set to "BooleanArray" when the data type is 'bool[]'
/// Set to "Double" when the data type is 'double'
/// Set to "DoubleArray" when the data type is 'double[]'
/// Set to "String" when the data type is 'string'
/// Set to "StringArray" when the data type is 'string[]'
/// OPTIONAL ATTRIBUTES:
/// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double, String or an API Type.
/// (4) min: The minimum parameter value is only valid when the type is Integer or Double.
/// (5) max: The maximum parameter value is only valid when the type is Integer or Double.
/// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param>
/// --------------------------------------------------------------------------------------------------
/// <param name="day" type="Integer" default="1"> The day of month in which the cash rebalancing is done. (1 to 31)</param>
/// <param name="currencyCode" type="String" default="USD">The base currency code to use for transferring cash between strategies.</param>
public void OnInitialize(
int day,
string currencyCode)
{
// Set the script parameters
_day = day;
_currencyCode = currencyCode;
}
#endregion
#region OnDynamicAllocation
/// <summary>
/// This function is called daily at the desktop EOD time,
/// at which point it may redistribute cash between desktop strategies (see the StrategyTransfer function).
/// </summary>
public override void OnDynamicAllocation()
{
// Check whether this is not the day for rebalancing.
if (DateTimeDay(DateTimeCurrent()) != _day)
return ;
// Use for counting the number of active strategies.
int activeStrategies = 0;
// The average strategy balance in the specified currency code.
double averageStrategyBalance = 0;
// Use for holding the strategies free cash in the specified currency code indexed by strategy number.
double[] strategiesCash = new double[StrategyCount()];
// Calculate the free cash of each strategy.
for (int i = 0; i < StrategyCount(); i++) {
// Check whether the strategy is active.
if (StrategyIsActive(i)) {
// Advance the number of active strategies.
activeStrategies++;
// Set the cash of the current strategy in the specified currency code.
strategiesCash[i] = StrategyGetExchangeRate(StrategyCurrencyCode(i), _currencyCode) * StrategyCash(i);
// Add the cash of the current strategy to the balance.
averageStrategyBalance += strategiesCash[i];
}
}
// Check whether at least one active strategy exists.
if (activeStrategies > 0)
// Calculate the average strategy balance.
averageStrategyBalance = averageStrategyBalance / activeStrategies;
double fromCredit = 0;
double toDebit = 0;
double debitAmount = 0;
// Iterate over all of the strategies while moving cash from one strategy to the other in order to even them out.
for (int i = 0; i < StrategyCount(); i++) {
// Check whether the strategy is active and it has more cash than the average.
if (StrategyIsActive(i) && strategiesCash[i] > averageStrategyBalance) {
// Calculate the extra cash that can be redistributed.
fromCredit = strategiesCash[i] - averageStrategyBalance;
// Iterate over all the strategies while searching for strategies that have less cash than the average strategy.
for (int j = 0; j < StrategyCount(); j++) {
// Check whether the strategy is active, there is more credit to be redistributed and the current strategy has less cash than the average strategy.
if (StrategyIsActive(j) && fromCredit > 0 && strategiesCash[j] < averageStrategyBalance) {
// Calculate the cash required by the other strategy.
toDebit = averageStrategyBalance - strategiesCash[j];
// Calculate the cash that will be transfered in the specified amount.
debitAmount = Math.Min(fromCredit, toDebit);
// Transfer the cash between the strategies.
StrategyTransferCash(i, j, StrategyGetExchangeRate(_currencyCode, StrategyCurrencyCode(i)) * debitAmount, "Strategy balance");
// Reduce the amount left to distribute.
fromCredit -= debitAmount;
// Reduce the strategy cash from the source strategy.
strategiesCash[i] -= debitAmount;
// Increase the strategy cash of the destination strategy.
strategiesCash[j] += debitAmount;
}
}
}
}
}
#endregion
#region OnShutdown
/// <summary>
/// This function is called when the script is shutdown.
/// </summary>
public override void OnShutdown()
{
}
#endregion
}
}
