managing-apps/src/Managing.Domain/Shared/Helpers/TradingBox.cs

using Managing.Core;
using Managing.Domain.Candles;
using Managing.Domain.MoneyManagements;
using Managing.Domain.Strategies;
using Managing.Domain.Trades;
using static Managing.Common.Enums;

namespace Managing.Domain.Shared.Helpers;

public static class TradingBox
{
    public static Signal GetSignal(HashSet<Candle> newCandles, HashSet<IStrategy> strategies,
        HashSet<Signal> previousSignal)
    {
        var signalOnCandles = new HashSet<Signal>();
        foreach (var strategy in strategies)
        {
            strategy.UpdateCandles(newCandles);
            var signals = strategy.Run();

            if (signals == null || signals.Count == 0) continue;

            foreach (var signal in signals.Where(s => s.Date == newCandles.Last().Date))
            {
                if (previousSignal.SingleOrDefault(s => s.Identifier == signal.Identifier) == null)
                {
                    if (previousSignal.Count == 0 || previousSignal.Last().Date < signal.Date)
                    {
                        signalOnCandles.Add(signal);
                    }
                }
            }
        }

        if (signalOnCandles.Count != strategies.Count)
            return null;

        var data = newCandles.First();
        return ComputeSignals(strategies, signalOnCandles, MiscExtensions.ParseEnum<Ticker>(data.Ticker),
            data.Timeframe);
    }

    public static Signal ComputeSignals(HashSet<IStrategy> strategies, HashSet<Signal> signalOnCandles, Ticker ticker,
        Timeframe timeframe)
    {
        Signal signal = null;
        if (strategies.Count > 1)
        {
            var trendSignal = signalOnCandles.Where(s => s.SignalType == SignalType.Trend).ToList();
            var signals = signalOnCandles.Where(s => s.SignalType == SignalType.Signal).ToList();
            var contextStrategiesCount = strategies.Count(s => s.SignalType == SignalType.Context);
            var validContext = true;

            if (contextStrategiesCount > 0 &&
                signalOnCandles.Count(s => s.SignalType == SignalType.Context) != contextStrategiesCount)
            {
                validContext = false;
            }

            if (signals.All(s => s.Direction == TradeDirection.Long) &&
                trendSignal.All(t => t.Direction == TradeDirection.Long) && validContext)
            {
                signal = new Signal(
                    ticker,
                    TradeDirection.Long,
                    Confidence.High,
                    signals.Last().Candle,
                    signals.Last().Date,
                    signals.Last().Exchange,
                    timeframe,
                    StrategyType.Composite, SignalType.Signal);
            }
            else if (signals.All(s => s.Direction == TradeDirection.Short) &&
                     trendSignal.All(t => t.Direction == TradeDirection.Short) && validContext)
            {
                signal = new Signal(
                    ticker,
                    TradeDirection.Short,
                    Confidence.High,
                    signals.Last().Candle,
                    signals.Last().Date,
                    signals.Last().Exchange,
                    timeframe,
                    StrategyType.Composite, SignalType.Signal);
            }
        }
        else
        {
            // Only one strategy, we just add the single signal to the bot
            signal = signalOnCandles.Single();
        }

        return signal;
    }

    public static MoneyManagement GetBestMoneyManagement(List<Candle> candles, List<Position> positions,
        MoneyManagement originMoneyManagement)
    {
        // Foreach positions, identitify the price when the position is open
        // Then, foreach candles, get the maximum price before the next position
        // Then, identify the lowest price before the maximum price 
        // Base on that, return the best StopLoss and TakeProfit to use and build a 
        var moneyManagement = new MoneyManagement();
        var stoplossPercentage = new List<decimal>();
        var takeProfitsPercentage = new List<decimal>();

        if (positions.Count == 0)
            return null;

        for (var i = 0; i < positions.Count; i++)
        {
            var position = positions[i];
            var nextPosition = i + 1 < positions.Count ? positions[i + 1] : null;
            var (stopLoss, takeProfit) = GetBestSltpForPosition(candles, position, nextPosition);

            stoplossPercentage.Add(stopLoss);
            takeProfitsPercentage.Add(takeProfit);
        }

        moneyManagement.StopLoss = stoplossPercentage.Average();
        moneyManagement.TakeProfit = takeProfitsPercentage.Average();
        moneyManagement.BalanceAtRisk = originMoneyManagement.BalanceAtRisk * 100;
        moneyManagement.Timeframe = originMoneyManagement.Timeframe;
        moneyManagement.Leverage = originMoneyManagement.Leverage;
        moneyManagement.Name = "Optimized";
        return moneyManagement;
    }

    public static (decimal Stoploss, decimal TakeProfit) GetBestSltpForPosition(List<Candle> candles, Position position,
        Position nextPosition)
    {
        var stopLoss = 0M;
        var takeProfit = 0M;
        var candlesBeforeNextPosition = candles.Where(c =>
                c.Date >= position.Date && c.Date <= (nextPosition == null ? candles.Last().Date : nextPosition.Date))
            .ToList();

        if (position.OriginDirection == TradeDirection.Long)
        {
            var maxPrice = candlesBeforeNextPosition.Max(c => c.High);
            var minPrice = candlesBeforeNextPosition.TakeWhile(c => c.High <= maxPrice).Min(c => c.Low);
            stopLoss = GetPercentageFromEntry(position.Open.Price, minPrice);
            takeProfit = GetPercentageFromEntry(position.Open.Price, maxPrice);
        }
        else if (position.OriginDirection == TradeDirection.Short)
        {
            var minPrice = candlesBeforeNextPosition.Min(c => c.Low);
            var maxPrice = candlesBeforeNextPosition.TakeWhile(c => c.Low >= minPrice).Max(c => c.High);
            stopLoss = GetPercentageFromEntry(position.Open.Price, maxPrice);
            takeProfit = GetPercentageFromEntry(position.Open.Price, minPrice);
        }

        return (stopLoss, takeProfit);
    }

    private static decimal GetPercentageFromEntry(decimal entry, decimal price)
    {
        return Math.Abs(100 - ((100 * price) / entry));
    }

    public static ProfitAndLoss GetProfitAndLoss(Position position, decimal quantity, decimal price, decimal leverage)
    {
        var orders = new List<Tuple<decimal, decimal>>
        {
            new Tuple<decimal, decimal>(position.Open.Quantity, position.Open.Price),
            new Tuple<decimal, decimal>(-quantity, price)
        };


        var pnl = new ProfitAndLoss(orders, position.OriginDirection);
        // Apply leverage on the realized pnl
        pnl.Realized = pnl.Realized * leverage;
        return pnl;
    }
}