Ensure all trades close at the end of the run

scripts/backtestings/aws.sh

@@ -31,7 +31,7 @@ main() {
 
  ######################################
  ### EXPERIMENT DEFINITION
- source $my_dir/experiments/momentum/indices/fixed
+ source $my_dir/experiments/momentum/forex/momentum_14a2da93_focused
  ######################################
 
  # Remove binary files & tests

scripts/backtestings/experiments/momentum/forex/momentum_14a2da93_focused

@@ -0,0 +1,20 @@
+#!/bin/bash
+declare -a strategies=("Momentum_4d991e3b")
+# declare -a symbolsArray=("EURUSD" "USDJPY" "GBPUSD" "NZDUSD" "USDCHF" "USDCAD" "AUDUSD")
+declare -a symbolsArray=("GBPUSD" "NZDUSD" "USDCAD" "AUDUSD")
+
+# Forex from 2004
+yearsStart=2004
+yearsEnd=2023
+
+# These don't mean anything in RandomHHLL as the SL/TP is defined by the highest and lowest value from the last time period
+stopLossInPipsRange="200 1 200" # STOP LOSS Distance in PIPs
+limitInPipsRange="200 1 200" # TAKE PROFIT Distance in PIPs
+
+# Account Equity
+accountEquity=10000
+maximumDrawndownPercentage=75
+fasterProcessingBySkippingSomeTickData=true
+
+# Strategy Variables
+randomStrategyAmountOfHHLLSseq="5 5 15"

src/Interfaces/ICloseOrder.cs

@@ -4,6 +4,7 @@ namespace backtesting_engine.interfaces;
 
 public interface ICloseOrder
 {
+ void Request(RequestObject reqObj, PriceObj priceObj, bool completed);
  void Request(RequestObject reqObj, PriceObj priceObj);
  void PushRequest(PriceObj priceObj);
 }

src/backtesting/Analysis/Reporting.cs

@@ -100,8 +100,8 @@ public void EndOfRunReport(string reason = "")
  elasticClient.Index(report, b => b.Index("report"));
 
  // Give the requests enough time to clean up, probably 
- // not necessary with the above await operators
- System.Threading.Thread.Sleep(3000);
+ // not super necessary with the above await operators
+ Thread.Sleep(4000);
  }
 
  public virtual async Task SendStack(TradingException message)

src/backtesting/Operations/Positions.cs

@@ -9,14 +9,14 @@ namespace backtesting_engine_operations;
 
 public interface IPositions
 {
- void CloseAll();
+ void CloseAll(bool completed);
  IEnumerable<RequestObject> GetOrderBook(string symbol);
  Task Review(PriceObj priceObj);
  void TrailingStopLoss(PriceObj priceObj);
- void UpdateTradeHistory(RequestObject reqObj, PriceObj priceObj);
+ void UpdateTradeHistory(RequestObject reqObj, PriceObj priceObj, bool completed);
  void ReviewEquity();
  void PushRequests(PriceObj priceObj);
-}
+} 
 
 public class Positions : TradingBase, IPositions
 {
@@ -107,11 +107,11 @@ public void ReviewEquity()
  }
  }
 
- public void CloseAll()
+ public void CloseAll(bool completed = false)
  {
  foreach (var item in this.tradingObjects.openTrades)
  {
- UpdateTradeHistory(item.Value, item.Value.priceObj);
+ UpdateTradeHistory(item.Value, item.Value.priceObj, completed);
  }
  }
 
@@ -151,9 +151,9 @@ public IEnumerable<RequestObject> GetOrderBook(string symbol)
  }
  }
 
- public void UpdateTradeHistory(RequestObject reqObj, PriceObj priceObj)
+ public void UpdateTradeHistory(RequestObject reqObj, PriceObj priceObj, bool completed = false)
  {
- closeOrder.Request(reqObj, priceObj);
+ closeOrder.Request(reqObj, priceObj, completed);
  }
 
 

src/backtesting/SystemSetup.cs

@@ -2,6 +2,7 @@
 using System.Net;
 using backtesting_engine.analysis;
 using backtesting_engine.interfaces;
+using backtesting_engine_operations;
 using Microsoft.Extensions.DependencyInjection;
 using Nest;
 using trading_exception;
@@ -15,13 +16,19 @@ public class SystemSetup : ISystemSetup
  readonly IReporting elastic;
  readonly IElasticClient es;
  readonly IServiceProvider provider;
+ readonly IPositions positions;
 
- public SystemSetup(IServiceProvider provider, IReporting elastic, IElasticClient es, IEnvironmentVariables envVariables)
+ public SystemSetup(IServiceProvider provider, 
+ IReporting elastic, 
+ IElasticClient es, 
+ IEnvironmentVariables envVariables,
+ IPositions positions)
  {
  this.envVariables = envVariables;
  this.elastic = elastic;
  this.provider = provider;
  this.es = es;
+ this.positions = positions;
 
  Task<string>.Run(async () =>
  {
@@ -47,6 +54,9 @@ public SystemSetup(IServiceProvider provider, IReporting elastic, IElasticClient
  }).ContinueWith(taskOutput =>
  {
  ConsoleLogger.Log(taskOutput.Result);
+ ConsoleLogger.Log("End of trading run - closing down any open trades");
+ positions.CloseAll(true);
+ Thread.Sleep(500);
  elastic.EndOfRunReport(taskOutput.Result);
  }).Wait();
  }

src/backtesting/TradeManagement/CloseOrder.cs

@@ -35,8 +35,17 @@ public class CloseOrder : TradingBase, ICloseOrder
  }
  }
 
- // Data Update
  public void Request(RequestObject reqObj, PriceObj priceObj)
+ {
+ RequestHandler(reqObj, priceObj, false);
+ }
+
+ public void Request(RequestObject reqObj, PriceObj priceObj, bool completed)
+ {
+ RequestHandler(reqObj, priceObj, completed);
+ }
+ // Data Update
+ private void RequestHandler(RequestObject reqObj, PriceObj priceObj, bool completed)
  {
 
  TradeHistoryObject tradeHistoryObj = new TradeHistoryObject();
@@ -49,7 +58,10 @@ public void Request(RequestObject reqObj, PriceObj priceObj)
 
  PropertyCopier<RequestObject, TradeHistoryObject>.Copy(reqObj, tradeHistoryObj);
 
- if(!cache.ContainsKey(tradeHistoryObj.key)){
+ if(completed) {
+ // Immediately close the trade if we are at the end
+ CloseTrade(tradeHistoryObj);
+ } else if(!cache.ContainsKey(tradeHistoryObj.key)){
  cache.Add(tradeHistoryObj.key, tradeHistoryObj);
  }
  }