Summary:
This dynamic allocation script is used to balance the accounts free cash every month so that all of the accounts have the same amount of cash.

                    
#region Namespaces using System; using System.IO; using System.Linq; #endregion namespace ScriptCode { /// <summary> /// Dynamic allocation scripts are used for systematically redistributing cash between desktop strategies /// based on their performance or some other heuristic. /// </summary> public partial class MyDynamicAllocation : DynamicAllocationScriptBase // NEVER CHANGE THE CLASS NAME { #region Variables // Use for the day of month in which the cash rebalancing is done. (1 to 31) private int _day; // Use for the base currency code to use for transferring cash between strategies. private string _currencyCode; #endregion #region OnInitialize /// <summary> /// This function is used for accepting the script parameters and for initializing the script prior to all other function calls. /// Once the script is assigned to a desktop, its parameter values can be specified by the user and can be selected for optimization. /// </summary> /// -------------------------------------------------------------------------------------------------- /// PLEASE USE THE SCRIPT WIZARD (CTRL+W) TO ADD, EDIT AND REMOVE THE SCRIPT PARAMETERS /// -------------------------------------------------------------------------------------------------- /// YOU MUST SET A PARAM TAG FOR EACH PARAMETER ACCEPTED BY THIS FUNCTION. /// ALL PARAM TAGS SHOULD BE SET IN THE 'OnInitialize' REGION, RIGHT ABOVE THE 'OnInitialize' FUNCTION. /// THE ORDER OF THE TAGS MUST MATCH THE ORDER OF THE ACTUAL PARAMETERS. /// REQUIRED ATTRIBUTES: /// (1) name: The exact parameter name. /// (2) type: The type of data to collect from the user: /// Set to "Integer" when the data type is 'int' /// Set to "IntegerArray" when the data type is 'int[]' /// Set to "DateTime" when the data type is 'long' /// Set to "DateTimeArray" when the data type is 'long[]' /// Set to "Boolean" when the data type is 'bool' /// Set to "BooleanArray" when the data type is 'bool[]' /// Set to "Double" when the data type is 'double' /// Set to "DoubleArray" when the data type is 'double[]' /// Set to "String" when the data type is 'string' /// Set to "StringArray" when the data type is 'string[]' /// OPTIONAL ATTRIBUTES: /// (3) default: The default parameter value is only valid when the type is Integer, Boolean, Double, String or an API Type. /// (4) min: The minimum parameter value is only valid when the type is Integer or Double. /// (5) max: The maximum parameter value is only valid when the type is Integer or Double. /// EXAMPLE: <param name="" type="" default="" min="" max="">Enter the parameter description here.</param> /// -------------------------------------------------------------------------------------------------- /// <param name="day" type="Integer" default="1"> Use for the day of month in which the cash rebalancing is done. (1 to 31)</param> /// <param name="currencyCode" type="String" default="USD">Use for the base currency code to use for transferring cash between strategies.</param> public void OnInitialize( int day, string currencyCode) { // Set the script parameters _day = day; _currencyCode = currencyCode; } #endregion #region OnDynamicAllocation /// <summary> /// This function is called daily at the desktop EOD time, /// at which point it may redistribute cash between desktop strategies (see the StrategyTransfer function). /// </summary> public override void OnDynamicAllocation() { // Check whether this is not the day for rebalancing. if (DateTimeDay(DateTimeCurrent()) != _day) return ; // Use for counting the number of active strategies. int activeStrategies = 0; // Use for the average strategy balance in the specified currency code. double averageStrategyBalance = 0; // Use for holding the strategies free cash in the specified currency code indexed by strategy number. double[] strategiesCash = new double[StrategyCount()]; // Calculate the free cash of each strategy. for (int i = 0; i < StrategyCount(); i++) { // Check whether the strategy is active. if (StrategyIsActive(i)) { // Advance the number of active strategies. activeStrategies++; // Set the cash of the current strategy in the specified currency code. strategiesCash[i] = StrategyGetExchangeRate(StrategyCurrencyCode(i), _currencyCode) * StrategyCash(i); // Add the cash of the current strategy to the balance. averageStrategyBalance += strategiesCash[i]; } } // Check whether at least one active strategy exists. if (activeStrategies > 0) // Calculate the average strategy balance. averageStrategyBalance = averageStrategyBalance / activeStrategies; double fromCredit = 0; double toDebit = 0; double debitAmount = 0; // Iterate over all of the strategies while moving cash from one strategy to the other in order to even them out. for (int i = 0; i < StrategyCount(); i++) { // Check whether the strategy is active and it has more cash than the average. if (StrategyIsActive(i) && strategiesCash[i] > averageStrategyBalance) { // Calculate the extra cash that can be redistributed. fromCredit = strategiesCash[i] - averageStrategyBalance; // Iterate over all the strategies while searching for strategies that have less cash than the average strategy. for (int j = 0; j < StrategyCount(); j++) { // Check whether the strategy is active, there is more credit to be redistributed and the current strategy has less cash than the average strategy. if (StrategyIsActive(j) && fromCredit > 0 && strategiesCash[j] < averageStrategyBalance) { // Calculate the cash required by the other strategy. toDebit = averageStrategyBalance - strategiesCash[j]; // Calculate the cash that will be transfered in the specified amount. debitAmount = Math.Min(fromCredit, toDebit); // Transfer the cash between the strategies. StrategyTransferCash(i, j, StrategyGetExchangeRate(_currencyCode, StrategyCurrencyCode(i)) * debitAmount, "Strategy balance"); // Reduce the amount left to distribute. fromCredit -= debitAmount; // Reduce the strategy cash from the source strategy. strategiesCash[i] -= debitAmount; // Increase the strategy cash of the destination strategy. strategiesCash[j] += debitAmount; } } } } } #endregion #region OnShutdown /// <summary> /// This function is called when the script is shutdown. /// </summary> public override void OnShutdown() { } #endregion } }

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