{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "nil"
      ]
     },
     "execution_count": 1,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(ns clojure-backtesting.demo\n",
    "  (:require [clojure-backtesting.data :refer :all]\n",
    "            [clojure-backtesting.data-management :refer :all]\n",
    "            [clojure-backtesting.portfolio :refer :all]\n",
    "            [clojure-backtesting.order :refer :all]\n",
    "            [clojure-backtesting.evaluate :refer :all]\n",
    "            [clojure-backtesting.plot :refer :all]\n",
    "            [clojure-backtesting.counter :refer :all]\n",
    "            [clojure-backtesting.automation :refer :all]\n",
    "            [clojure-backtesting.parameters :refer :all]\n",
    "            [clojure-backtesting.indicators :refer :all]\n",
    "            [clojure-backtesting.direct :refer :all]\n",
    "            [clojure.string :as str]\n",
    "            [clojure.java.io :as io]\n",
    "            [clojure.pprint :as pprint]\n",
    "  ) ;; require all libriaries from core\n",
    ")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "The dataset is already furnished by add-aprc. No more modification is needed.\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "\"Date: 1986-01-09 Cash: $2000\""
      ]
     },
     "execution_count": 2,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(load-dataset \"/Volumes/T7/CRSP\" \"main\" add-aprc)\n",
    "(init-portfolio \"1986-01-09\" 2000)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "### Limit Order\n",
    "#### Stop Buy"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "1"
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(defn stop-buy\n",
    "  \"This function executes a stop buy order.\"\n",
    "  [tic prc qty]\n",
    "  (set-automation\n",
    "  ; check if ticker adjusted price is greater than prc\n",
    "   (condition #(and (get (deref portfolio) tic) (> (get-in (deref portfolio) [tic :aprc]) prc)))\n",
    "   (action #(order tic qty))\n",
    "   :max-dispatch nil\n",
    "   :expiration nil))\n",
    "\n",
    "(stop-buy \"30154\" 32 10)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "2"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(defn limit-buy\n",
    "  \"This function executes a limit buy order.\"\n",
    "  [tic prc qty]\n",
    "  (set-automation\n",
    "  ; check if ticker adjusted price is smaller than prc\n",
    "   (condition #(and (get (deref portfolio) tic) (< (get-in (deref portfolio) [tic :aprc]) prc)))\n",
    "   (action #(order tic qty))\n",
    "   :max-dispatch nil\n",
    "   :expiration nil))\n",
    "\n",
    "(limit-buy \"30155\" 35 10)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "3"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(defn stop-sell\n",
    "  \"This function executes a stop sell order.\"\n",
    "  [tic prc qty]\n",
    "  (set-automation\n",
    "  ; check if ticker adjusted price is smaller than prc\n",
    "   (condition #(and (get (deref portfolio) tic) (< (get-in (deref portfolio) [tic :aprc]) prc)))\n",
    "   (action #(order tic (- qty)))\n",
    "   :max-dispatch nil\n",
    "   :expiration nil))\n",
    "\n",
    "(stop-sell \"30154\" 35 10)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "4"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(defn limit-sell\n",
    "  \"This function executes a limit sell order.\"\n",
    "  [tic prc qty]\n",
    "  (set-automation\n",
    "  ; check if ticker adjusted price is smaller than prc\n",
    "   (condition #(and (get (deref portfolio) tic) (> (get-in (deref portfolio) [tic :aprc]) prc)))\n",
    "   (action #(order tic (- qty)))\n",
    "   :max-dispatch nil\n",
    "   :expiration nil))\n",
    "\n",
    "(limit-sell \"30155\" 35 10)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "\n",
      "| :id |                                                                                :condition |                      :action | :max-dispatch | :expire-date |\n",
      "|-----+-------------------------------------------------------------------------------------------+------------------------------+---------------+--------------|\n",
      "|   1 | (fn* [] (and (get (deref portfolio) tic) (> (get-in (deref portfolio) [tic :aprc]) prc))) |     (fn* [] (order tic qty)) |     Unlimited |        Never |\n",
      "|   2 | (fn* [] (and (get (deref portfolio) tic) (< (get-in (deref portfolio) [tic :aprc]) prc))) |     (fn* [] (order tic qty)) |     Unlimited |        Never |\n",
      "|   3 | (fn* [] (and (get (deref portfolio) tic) (< (get-in (deref portfolio) [tic :aprc]) prc))) | (fn* [] (order tic (- qty))) |     Unlimited |        Never |\n",
      "|   4 | (fn* [] (and (get (deref portfolio) tic) (> (get-in (deref portfolio) [tic :aprc]) prc))) | (fn* [] (order tic (- qty))) |     Unlimited |        Never |\n"
     ]
    },
    {
     "data": {
      "text/plain": [
       "nil"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(print-automation-list)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "\"1986-01-10\""
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(next-date)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "nil"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(print-order-record)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
 "metadata": {
  "kernelspec": {
   "display_name": "Clojure (backtesting_clojure)",
   "language": "clojure",
   "name": "backtesting_clojure"
  },
  "language_info": {
   "file_extension": ".clj",
   "mimetype": "text/x-clojure",
   "name": "clojure",
   "version": "1.10.1"
  },
  "orig_nbformat": 4,
  "vscode": {
   "interpreter": {
    "hash": "31f2aee4e71d21fbe5cf8b01ff0e069b9275f58929596ceb00d14d90e3e16cd6"
   }
  }
 },
 "nbformat": 4,
 "nbformat_minor": 2
}