Added LongShortStrategy Endpoint

ProjectX.Core/Strategy/StrategyChartData.cs

@@ -0,0 +1,9 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace ProjectX.Core.Strategy;
+
+public record StrategyChartData(string time, double amount, double amountHold);

ProjectX.GatewayAPI/Controllers/BacktestServiceController.cs

@@ -0,0 +1,46 @@
+using Microsoft.AspNetCore.Mvc;
+using Microsoft.OpenApi.Any;
+using Newtonsoft.Json;
+using ProjectX.Core.Services;
+using ProjectX.Core.Strategy;
+using static System.Runtime.InteropServices.JavaScript.JSType;
+
+namespace ProjectX.GatewayAPI.Controllers;
+
+[ApiController]
+[Route("[controller]")]
+public class BacktestServiceController
+{
+    private readonly ILogger<BacktestServiceController> _logger;
+    private readonly IStockSignalService _stockSignalService;
+    private readonly IBacktestService _backtestService;
+
+    public BacktestServiceController(ILogger<BacktestServiceController> logger, IStockSignalService stockSignalService, IBacktestService backtestService)
+    {
+        this._logger = logger;
+        this._stockSignalService = stockSignalService;
+        this._backtestService = backtestService;
+    }
+
+    [HttpGet]
+    public string Get()
+    {
+        return "Hello from BacktestServiceController";
+    }
+
+    [HttpGet("LongShortStrategy")]
+    public async Task<IEnumerable<StrategyChartData>> Get(string ticker, DateTime fromDate, DateTime toDate, double notional)
+    {
+        int movingWindow = 10;
+        double signalIn = 0.5;
+        double signalOut = 0.4;
+
+        bool isReinvest = false;
+        MovingAverageImpl movingAverageImpl = MovingAverageImpl.BollingerBandsImpl;
+
+        var smoothenedSignals = await _stockSignalService.GetSignalUsingMovingAverageByDefault(ticker, fromDate, toDate, movingWindow, movingAverageImpl);
+        List<StrategyPnl> pnls = _backtestService.ComputeLongShortPnl(smoothenedSignals, notional, signalIn, signalOut, new TradingStrategy(TradingStrategyType.MeanReversion, isReinvest)).ToList();
+        var data = pnls.Select(p => new StrategyChartData(p.Date.ToString("ddMMyy"), p.PnLCum, p.PnLCumHold));
+        return data;
+    }
+}

ProjectX.GatewayAPI/Program.cs

@@ -84,6 +84,8 @@ public void ConfigureServices(IServiceCollection services)
             new FMPStockMarketSource(), 
             Options.Create(new FileBackedStoreMarketDataSourceOptions() { Filename = "cache.json"}))
         );
+        services.AddSingleton<IStockSignalService, StockSignalService>();
+        services.AddSingleton<IBacktestService, BacktestService>();
 
         services.AddOptions();        
         services.Configure<ApiClientOptions>(options => options.BaseAddress = Configuration.GetSection("ExternalServices")["ProjectXUrl"]);

ProjectX.GatewayAPI/ProjectX.GatewayAPI.http

@@ -18,7 +18,7 @@ Content-Type: application/json
 {"timeSlices":10,"optionType":0,"spot":100.0,"strike":150.0,"rate":1.0,"carry":1.0,"vol":0.3,"CalculatorType":2}
 ###
 
-POST {{GatewayAPI_HostAddress}}/Pricingtasks/bsPlot
+POST {{GatewayAPI_HostAddress}}/PricingTasks/bsPlot
 Content-Type: application/json
 
 {
@@ -34,4 +34,13 @@ Content-Type: application/json
     "ZTickDecimalPlaces": 0,
     "CalculatorType": 0
  }
+###
+GET {{GatewayAPI_HostAddress}}/BacktestService
+Accept: application/json
+
+###
+
+GET {{GatewayAPI_HostAddress}}/BacktestService/LongShortStrategy?ticker=AAPL&fromDate=2023-05-01&toDate=2023-09-25&notional=10000
+Accept: application/json
+
 ###