Class Account_Default

The Account class maintains the status of the trading account.

Inheritance

object

Account_Default

Implements

IAccount

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.SimulatorV2

Assembly: TuringTrader.Simulator.dll

Syntax

public class Account_Default : IAccount

Constructors

Account_Default(Algorithm)

Create new account.

Declaration

public Account_Default(Algorithm algorithm)

Parameters

Type	Name	Description
Algorithm	algorithm	parent algorithm, to get access to assets and pricing

Properties

AnnualizedReturn

Calculate annualized return over the full simulation range.

Declaration

public double AnnualizedReturn { get; }

Property Value

Type	Description
double

Cash

Return of cash available, as fraction of NAV.

Declaration

public double Cash { get; }

Property Value

Type	Description
double

Friction

Friction to model commissions, fees, and slippage expressed as a fraction of the traded value. A value of 0.01 is equivalent to 1% of friction. Setting Friction to a negative value will reset it to its default setting.

Declaration

public double Friction { get; set; }

Property Value

Type	Description
double

MaxDrawdown

Return maximum drawdown over the full simulation range.

Declaration

public double MaxDrawdown { get; }

Property Value

Type	Description
double

MinPosition

Minimum position size, as fraction of total account value. A value of 0.01 is equivalent to a minimum position of 1% of the account's liquidation value.

Declaration

public double MinPosition { get; set; }

Property Value

Type	Description
double

NetAssetValue

Return net asset value in currency, starting with $1,000 at the beginning of the simulation. Note that currency has no relevance throughout the v2 engine. We use this value to make the NAV more tangible during analysis and debugging.

Declaration

public double NetAssetValue { get; }

Property Value

Type	Description
double

Positions

Return dictionary with currently open positions. The key is the nickname used to load the asset. The value is a floating point number, representing the allocation to the asset as a fraction of the accounts NAV.

Declaration

public Dictionary<string, double> Positions { get; }

Property Value

Type	Description
System.Collections.Generic.Dictionary<TKey, TValue><string, double>

TradeLog

Retrieve trade log. Note that this log only contains trades executed and not orders that were not executed.

Declaration

public List<IAccount.OrderReceipt> TradeLog { get; }

Property Value

Type	Description
System.Collections.Generic.List<T><IAccount.OrderReceipt>

Methods

Deposit(double)

Deposit cash to account.

Declaration

public void Deposit(double cashPcnt)

Parameters

Type	Name	Description
double	cashPcnt	cash deposited as fraction of NAV

ProcessBar()

Process bar. This method will loop through the queued orders, execute them as required, and return a bar representing the strategy's NAV.

Declaration

public OHLCV ProcessBar()

Returns

Type	Description
OHLCV

SubmitOrder(string, double, OrderType, double)

Submit and queue order.

Declaration

public void SubmitOrder(string Name, double weight, OrderType orderType, double orderPrice = 0)

Parameters

Type	Name	Description
string	Name	asset name
double	weight	asset target allocation
OrderType	orderType	order type
double	orderPrice	trigger price for stop and limit orders

Implements

IAccount