Desktop UI now interfaces via REST webservice instead of directly thr…

…ough DLLs
bleunguts · Jan 29, 2024 · 5b847b8 · 5b847b8
1 parent f56a15c
commit 5b847b8
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Showing 13 changed files with 2,848 additions and 50 deletions.
diff --git a/ProjectX.Core/Endpoints.cs b/ProjectX.Core/Endpoints.cs
@@ -14,5 +14,9 @@ public static class Endpoints
         public const string ResultsPlotOptionBS = "PricingResults/bsPlot";
         public const string FXSpotPriceStart = "FXPricing";
         public const string FXSpotPriceEnd = "FXPricing";
+        public const string BacktestLongShortPnlMatrix = "BacktestService/ComputeLongShortPnlMatrix";
+        public const string BacktestLongShortPnl = "BacktestService/ComputeLongShortPnl";
+        public const string StockSignalMovingAverage = "StockSignal/MovingAverageSignals";
+        public const string StockSignalHursts = "StockSignal/Hursts";
     }
 }
diff --git a/ProjectX.Core/Services/BacktestService.cs b/ProjectX.Core/Services/BacktestService.cs
@@ -7,9 +7,9 @@ namespace ProjectX.Core.Services
     public interface IBacktestService
     {
         IEnumerable<StrategyPnl> ComputeLongShortPnl(IEnumerable<PriceSignal> inputSignals, double notional, double signalIn, double signalOut, TradingStrategy strategy);
-        IEnumerable<YearlyStrategyPnl> GetYearlyPnl(List<StrategyPnl> pnls);
+        IEnumerable<YearlyStrategyPnl> GetYearlyPnl(IEnumerable<StrategyPnl> pnls);
         IEnumerable<MatrixStrategyPnl> ComputeLongShortPnlFull(IEnumerable<MarketPrice> inputSignals, double notional, TradingStrategy strategy);
-        IEnumerable<StrategyDrawdown> CalculateDrawdown(List<StrategyPnl> pnls, double notional);
+        IEnumerable<StrategyDrawdown> CalculateDrawdown(IEnumerable<StrategyPnl> pnls, double notional);
     }
 
     [Export(typeof(IBacktestService)), PartCreationPolicy(CreationPolicy.Shared)]
@@ -146,7 +146,7 @@ bool testSignal(double prevSignal_, double signalIn_, out PositionStatus positio
             return (sp, spHolding);
         }
 
-        public IEnumerable<YearlyStrategyPnl> GetYearlyPnl(List<StrategyPnl> pnls)
+        public IEnumerable<YearlyStrategyPnl> GetYearlyPnl(IEnumerable<StrategyPnl> pnls)
         {
             DateTime firstDate = pnls.First().Date;
             DateTime lastDate = pnls.Last().Date;
@@ -218,16 +218,15 @@ public IEnumerable<MatrixStrategyPnl> ComputeLongShortPnlFull(IEnumerable<Market
             return results;
         }
 
-        public IEnumerable<StrategyDrawdown> CalculateDrawdown(List<StrategyPnl> pnls, double notional)
+        public IEnumerable<StrategyDrawdown> CalculateDrawdown(IEnumerable<StrategyPnl> pnls, double notional)
         {
             var results = new List<StrategyDrawdown>();
 
             double max = 0; double maxHold = 0;
             double min = 2.0 * notional; double minHold = 2.0 * notional;
 
-            for (int i = 0; i < pnls.Count; i++)
+            foreach (var current in pnls)
             {
-                var current = pnls[i];
                 double pnl = current.PnLCum + notional;
                 double pnlHold = current.PnLCumHold + notional;
                 max = Math.Max(max, pnl);

diff --git a/ProjectX.Core/Strategy/StrategyPnl.cs b/ProjectX.Core/Strategy/StrategyPnl.cs
@@ -21,6 +21,6 @@ public override string ToString()
             return $"Ticker={Ticker},Date={Date.ToShortDateString()},Price={Price},Signal={Signal},Type={TradeType},NumTrades={NumTrades},DateIn={DateIn},PriceIn={PriceIn},PnlPerTrade={PnlPerTrade},PnlDaily={PnLDaily},PnlCum={PnLCum},PnlDailyHold={PnLDailyHold},PnlCumHold={PnLCumHold}";
         }
     }
-
     public record StrategyDrawdown(DateTime date, double pnl, double drawdown, double drawup, double pnlHold, double drawdownHold, double drawupHold);
+    public record StrategyResults(IEnumerable<StrategyPnl> StrategyPnls, IEnumerable<YearlyStrategyPnl> YearlyStrategyPnls, IEnumerable<StrategyDrawdown> StrategyDrawdowns);
 }
diff --git a/ProjectX.GatewayAPI/Controllers/BacktestServiceController.cs b/ProjectX.GatewayAPI/Controllers/BacktestServiceController.cs
@@ -5,6 +5,7 @@
 using ProjectX.Core;
 using ProjectX.Core.Services;
 using ProjectX.Core.Strategy;
+using System.Reflection.Metadata.Ecma335;
 using static System.Runtime.InteropServices.JavaScript.JSType;
 
 namespace ProjectX.GatewayAPI.Controllers;
@@ -32,23 +33,45 @@ public string Get()
         return "Hello from BacktestServiceController";
     }
 
-    [HttpGet("LongShortPnlStrategyChartData")]
+    [HttpGet("ComputeLongShortPnl")]
+    public async Task<ActionResult<StrategyResults>> ComputeLongShortPnl(string ticker, DateTime fromDate, DateTime toDate, double notional, int movingWindow, double signalIn, double signalOut, MovingAverageImpl movingAverageImpl)
+    {
+        var strategy = new TradingStrategy(TradingStrategyType.MeanReversion, shouldReinvest: false);
+
+        var smoothenedSignals = await _stockSignalService.GetSignalUsingMovingAverageByDefault(ticker, fromDate, toDate, movingWindow, movingAverageImpl);
+        var strategyPnls = _backtestService.ComputeLongShortPnl(smoothenedSignals, notional, signalIn, signalOut, strategy);
+        var yearlyPnls = _backtestService.GetYearlyPnl(strategyPnls);
+        var drawdownPnls = _backtestService.CalculateDrawdown(strategyPnls, notional);
+        return Ok(new StrategyResults(strategyPnls, yearlyPnls, drawdownPnls));
+    }
+
+    [HttpGet("ComputeLongShortPnlMatrix")]
+    public async Task<ActionResult<IEnumerable<MatrixStrategyPnl>>> ComputeLongShortPnlMatrix(string ticker, DateTime fromDate, DateTime toDate, double notional)
+    {
+        var strategy = new TradingStrategy(TradingStrategyType.MeanReversion, shouldReinvest: false);
+
+        var marketPrices = await _stockMarketSource.GetPrices(ticker, fromDate, toDate);
+        var pnls = _backtestService.ComputeLongShortPnlFull(marketPrices, notional, strategy);
+        return Ok(pnls);
+    }
+
+    [HttpGet("ComputeLongShortPnlStrategyChartData")]
     public async Task<ActionResult<IEnumerable<StrategyChartData>>> ComputeLongShortPnlStrategyChartData(string ticker, DateTime fromDate, DateTime toDate, double notional, MovingAverageImpl movingAverageImpl = MovingAverageImpl.BollingerBandsImpl)
     {
-        bool isReinvest = false;
+        var strategy = new TradingStrategy(TradingStrategyType.MeanReversion, shouldReinvest: false);
 
         try
         {
             var marketPrices = await _stockMarketSource.GetPrices(ticker, fromDate, toDate);
-            var pnlRanking = _backtestService.ComputeLongShortPnlFull(marketPrices, notional, new TradingStrategy(TradingStrategyType.MeanReversion, isReinvest));
+            var pnlRanking = _backtestService.ComputeLongShortPnlFull(marketPrices, notional, strategy);
 
             var maximumProfitStrategy = pnlRanking.OrderByDescending(p => p.pnlCum).First();
             int movingWindow = maximumProfitStrategy.movingWindow;
             double signalIn = maximumProfitStrategy.zin;
             double signalOut = maximumProfitStrategy.zout;
 
             var smoothenedSignals = await _stockSignalService.GetSignalUsingMovingAverageByDefault(ticker, fromDate, toDate, movingWindow, movingAverageImpl);
-            List<StrategyPnl> pnlForMaximumProfit = _backtestService.ComputeLongShortPnl(smoothenedSignals, notional, signalIn, signalOut, new TradingStrategy(TradingStrategyType.MeanReversion, isReinvest)).ToList();
+            List<StrategyPnl> pnlForMaximumProfit = _backtestService.ComputeLongShortPnl(smoothenedSignals, notional, signalIn, signalOut, strategy).ToList();
             var data = pnlForMaximumProfit.Select(p => new StrategyChartData(p.Date.ToString("ddMMyy"), p.PnLCum, p.PnLCumHold));
             return Ok(data);
         }

diff --git a/ProjectX.GatewayAPI/Controllers/StockSignalController.cs b/ProjectX.GatewayAPI/Controllers/StockSignalController.cs
@@ -0,0 +1,38 @@
+using Microsoft.AspNetCore.Mvc;
+using ProjectX.Core;
+using ProjectX.Core.Services;
+using ProjectX.Core.Strategy;
+
+namespace ProjectX.GatewayAPI.Controllers;
+
+[ApiController]
+[Route("[controller]")]
+public class StockSignalController : ControllerBase
+{
+    private readonly ILogger<StockSignalController> _logger;
+    private readonly IStockSignalService _stockSignalService;
+    private readonly IStockMarketSource _stockMarketSource;
+
+    public StockSignalController(ILogger<StockSignalController> logger, IStockSignalService stockSignalService, IStockMarketSource stockMarketSource)
+    {
+        _logger = logger;
+        _stockSignalService = stockSignalService;
+        _stockMarketSource = stockMarketSource;
+    }
+
+    [HttpGet("MovingAverageSignals")]
+    public async Task<ActionResult<IEnumerable<PriceSignal>>> MovingAverageSignalAsync(string ticker, DateTime fromDate, DateTime toDate, int movingWindow, MovingAverageImpl movingAverageImpl)
+    {
+        var signals = await _stockSignalService.GetSignalUsingMovingAverageByDefault(ticker, fromDate, toDate, movingWindow, movingAverageImpl);
+
+        return Ok(signals);
+    }
+
+    [HttpGet("Hursts")]
+    public async Task<ActionResult<IEnumerable<double?>>> Hursts(string ticker, DateTime fromDate, DateTime toDate)
+    {
+        var signals = await _stockMarketSource.GetHurst(ticker, fromDate, toDate);
+
+        return Ok(signals); 
+    }
+}
diff --git a/ProjectX.GatewayAPI/ProjectX.GatewayAPI.http b/ProjectX.GatewayAPI/ProjectX.GatewayAPI.http
@@ -39,45 +39,57 @@ GET {{GatewayAPI_HostAddress}}/BacktestService
 Accept: application/json
 ###
 
-GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=AAPL&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnlStrategyChartData?ticker=AAPL&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
 Accept: application/json
 ###
 
-GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=IBM&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnlStrategyChartData?ticker=IBM&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
 Accept: application/json
 ###
 
-GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=BTCUSD&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnlStrategyChartData?ticker=BTCUSD&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
 Accept: application/json
 ###
-GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=CCCC&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnlStrategyChartData?ticker=CCCC&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
 Accept: application/json
 ###
 
-GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=STTK&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnlStrategyChartData?ticker=STTK&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
 Accept: application/json
 ###
 
-GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=CPLS&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnlStrategyChartData?ticker=CPLS&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
 Accept: application/json
 ###
 
-GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=SBNY&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnlStrategyChartData?ticker=SBNY&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
 Accept: application/json
 ###
 
-GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=PHUN&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnlStrategyChartData?ticker=PHUN&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
 Accept: application/json
 ###
 
-GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=SOXS&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnlStrategyChartData?ticker=SOXS&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
 Accept: application/json
 ###
 
-GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=INTC&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnlStrategyChartData?ticker=INTC&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
 Accept: application/json
 ###
 
-GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=IVP&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnlStrategyChartData?ticker=IVP&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+Accept: application/json
+###
+
+GET {{GatewayAPI_HostAddress}}/BacktestService/ComputeLongShortPnl?ticker=AAPL&fromDate=2023-05-01&toDate=2023-09-25&notional=10000&movingWindow=10&signalIn=0.4&signalOut=0.5&movingAverageImpl=1
+Accept: application/json
+###
+
+GET {{GatewayAPI_HostAddress}}/StockSignal/MovingAverageSignals?ticker=AAPL&fromDate=2023-05-01&toDate=2023-09-25&movingWindow=10&movingAverageImpl=1
+Accept: application/json
+###
+
+GET {{GatewayAPI_HostAddress}}/StockSignal/Hursts?ticker=AAPL&fromDate=2023-05-01&toDate=2023-09-25
 Accept: application/json
 ###
diff --git a/ProjectX.GatewayAPI/appsettings.Development.json b/ProjectX.GatewayAPI/appsettings.Development.json
@@ -3,8 +3,8 @@
     "LogLevel": {
       "Default": "Debug",
       "Microsoft.AspNetCore": "Information",
-      "Microsoft.AspNetCore.SignalR": "Information",
-      "Microsoft.AspNetCore.Http.Connections": "Information"
+      "Microsoft.AspNetCore.SignalR": "Warning",
+      "Microsoft.AspNetCore.Http.Connections": "Debug"
     }
   },
   "ExternalServices": {

diff --git a/ProjectX.GatewayAPI/appsettings.json b/ProjectX.GatewayAPI/appsettings.json
@@ -3,8 +3,8 @@
     "LogLevel": {
       "Default": "Information",
       "Microsoft.AspNetCore": "Information",
-      "Microsoft.AspNetCore.SignalR": "Information",
-      "Microsoft.AspNetCore.Http.Connections": "Debug"
+      "Microsoft.AspNetCore.SignalR": "Warning",
+      "Microsoft.AspNetCore.Http.Connections": "Information"
     }
   },
   "AllowedHosts": "*",