private void BuildEquityChartUnsafe(AccountStatistics stat)
{
chartProfit.Graphs[0].Series[0].Clear();
//chartProfit.Graphs[0].Series[1].Clear();
chartProfit1000.Graphs[0].Series[0].Clear();
if (stat.listEquity == null || stat.listEquity.Count == 0)
{
return;
}
if (stat.listEquity != null)
{
foreach (var pt in stat.listEquity)
{
chartProfit.Graphs[0].Series[0].Add(new BalanceByDate(pt.time, pt.equity));
}
}
chartProfit.Initialize();
// доход на 1000
foreach (var pt in stat.listProfit1000)
{
chartProfit1000.Graphs[0].Series[0].Add(new BalanceByDate(pt.time, pt.equity));
}
chartProfit1000.Initialize();
}
private StringBuilder GetProfitStatistic(List <EquityOnTime> accountStatistics, decimal accountBalance, decimal accountEquity)
{
var result = new StringBuilder();
var balanceChangesText = "- ";
var balanceChangesPercentText = "- ";
var currentDrawDownText = "- ";
var maxDrawDownText = "- ";
try
{
if (accountStatistics.Count > 1)
{
var equtyByDay = accountStatistics.Skip(Math.Max(0, accountStatistics.Count - 7)).Select(x => x.equity).ToList();
var profitWeek = 0F;
for (int i = 0; i < equtyByDay.Count - 1; i++)
{
profitWeek += (equtyByDay[i + 1] - equtyByDay[i]);
}
var profitWeekPercent
= (equtyByDay.Last() - equtyByDay.First()) / equtyByDay.Last();
var profitToday =
equtyByDay[equtyByDay.Count - 1] - equtyByDay[equtyByDay.Count - 2];
var profitTodayPercent =
(equtyByDay[equtyByDay.Count - 1] - equtyByDay[equtyByDay.Count - 2]) / equtyByDay[equtyByDay.Count - 1];
balanceChangesText = $"{profitToday:F3} / {profitWeek:F3}";
balanceChangesPercentText = $"{profitTodayPercent * 100:F3} % / {profitWeekPercent * 100:F3} %";
var stat = new AccountStatistics();
var maxDrawDown = stat.CalculateMaxDrawdown(accountStatistics);
maxDrawDownText = $"{maxDrawDown:F3} %";
var currentDrawDown = accountEquity < accountBalance
? 100 * (accountEquity - accountBalance) / accountBalance
: 0;
currentDrawDownText = $"{currentDrawDown} %";
}
}
catch (Exception ex)
{
Logger.Error("Ошибка скрипта AccountInfoCommentScript", ex);
}
result.AppendLine($"[b] Баланс {accountBalance}");
result.AppendLine($"[b] Прирост за сутки / неделю: {balanceChangesText}");
result.AppendLine($"[b] Прирост за сутки / неделю (%/%): {balanceChangesPercentText}");
result.AppendLine($"[b] Текущее draw down (%): {currentDrawDownText}");
result.AppendLine($"[b] Max draw down (%): {maxDrawDownText}");
return(result);
}
public void JsonIsReadProperly()
{
string json = ReadDataFile("AccountStatistics.json");
AccountStatistics stat = new AccountStatistics(json, false);
Assert.Equal(1, stat.Memory);
Assert.Equal(2, stat.Storage);
Assert.Equal(3, stat.Streams);
Assert.Equal(4, stat.Consumers);
stat = new AccountStatistics("{}", false);
Assert.Equal(0, stat.Memory);
Assert.Equal(0, stat.Storage);
Assert.Equal(0, stat.Streams);
Assert.Equal(0, stat.Consumers);
}
public string RenderReport(Account account, AccountStatistics stat,
List <MarketOrder> openedOrders, List <MarketOrder> closedOrders,
bool renderClosedDeals)
{
this.account = account;
this.stat = stat;
this.openedOrders = openedOrders;
this.closedOrders = closedOrders;
this.renderClosedDeals = renderClosedDeals;
var sb = new StringBuilder();
RenderDocumentHead(sb);
RenderBody(sb);
RenderDocumentCloseTag(sb);
return(sb.ToString());
}
private void ShowStatistics(AccountStatistics stat)
{
var depoCurx = AccountStatus.Instance.AccountData.Currency;
var statList = new List <StatItem>
{
new StatItem(Localizer.GetString("TitleAccountNumber"),
AccountStatus.Instance.AccountData.ID.ToString()),
new StatItem(Localizer.GetString("TitleDate"), string.Format("{0:dd.MM.yyyy}", DateTime.Now)),
new StatItem(Localizer.GetString("TitleInitialDate"), string.Format("{0:dd.MM.yyyy}",
stat.listEquity.Count > 0
? stat.listEquity[0].time
: cbStartFrom.Checked
? dpStart.Value
: DateTime.Now)),
new StatItem(Localizer.GetString("TitleInitialDeposit"),
stat.InitialBalance.ToStringUniformMoneyFormat(false) + " " + depoCurx),
new StatItem(Localizer.GetString("TitleCurrentDeposit"),
stat.Statistics.Equity.ToStringUniformMoneyFormat(false) + " " + depoCurx),
new StatItem(Localizer.GetString("TitleDealsTotal"), stat.Statistics.DealsCount.ToString()),
new StatItem(Localizer.GetString("TitleOpenedDeals"), stat.DealsStillOpened.ToString()),
new StatItem(Localizer.GetString("TitleSummaryResult"),
(stat.sumClosedResult + stat.sumOpenResult).ToStringUniformMoneyFormat() + " " +
depoCurx),
new StatItem(Localizer.GetString("TitleSummaryResultInClosedDeals"),
stat.sumClosedResult.ToStringUniformMoneyFormat() + " " + depoCurx),
new StatItem(Localizer.GetString("TitleSummaryResultInOpenedDeals"),
stat.sumOpenResult.ToStringUniformMoneyFormat() + " " + depoCurx),
new StatItem(Localizer.GetString("TitleSummaryDepositsAndWithdraws"),
stat.sumDeltaBalance.ToStringUniformMoneyFormat() + " " + depoCurx),
new StatItem(Localizer.GetString("TitleMaximumRelativeDrawdown"),
stat.Statistics.MaxRelDrawDown.ToString("f1") + "%"),
new StatItem(Localizer.GetString("TitleGADailyProfit"),
(100 * stat.ProfitGeomDay).ToStringUniformMoneyFormat() + "%"),
new StatItem(Localizer.GetString("TitleGAMonthlyProfit"),
(100 * stat.ProfitGeomMonth).ToStringUniformMoneyFormat() + "%"),
new StatItem(Localizer.GetString("TitleGAAnnualProfit"),
(100 * stat.ProfitGeomYear).ToStringUniformMoneyFormat() + "%")
};
dgStat.DataBind(statList, typeof(StatItem));
}
private AccountStatistics BuildEquityCurve(
List <MarketOrder> orders,
List <MarketOrder> openOrders,
List <BalanceChange> balanceChanges)
{
var stat = new AccountStatistics
{
Statistics = new PerformerStat
{
DealsCount = orders.Count + openOrders.Count,
},
DealsStillOpened = openOrders.Count,
listEquity = new List <EquityOnTime>()
};
if (worker.CancellationPending)
{
return(stat);
}
SetProgressValueSafe(40, Localizer.GetString("MessageActualizingQuoteHistory") + "...");
if (balanceChanges.Count == 0)
{
MessageBox.Show(Localizer.GetString("MessageNoTransfersData"));
return(stat);
}
var curxDepo = AccountStatus.Instance.AccountData.Currency;
// запросить котировки, если стоит соотв. флаг
var quotesDic = UpdateQuotesForStats(orders, openOrders, curxDepo);
// построить кривую эквити
// отсчет от первого движения на счете либо от стартовой даты
balanceChanges = balanceChanges.OrderBy(bc => bc.ValueDate).ToList();
var startDate = cbStartFrom.Checked ? dpStart.Value : balanceChanges[0].ValueDate;
// начальный баланс
var initialBalance = !cbStartFrom.Checked ? balanceChanges[0].SignedAmountDepo
: balanceChanges.Where(bc => bc.ValueDate <= startDate).Sum(bc => bc.SignedAmountDepo);
// движения от начального баланса с заданным интервалом дискретизации
var dueBalances = balanceChanges.Where(bc => bc.ValueDate > startDate).ToList();
var dueDeals = orders.Union(openOrders).OrderBy(o => o.TimeEnter).ToList();
var endDate = DateTime.Now;
var balance = initialBalance;
var cursor = new BacktestTickerCursor();
var path = ExecutablePath.ExecPath + TerminalEnvironment.QuoteCacheFolder;
if (!cursor.SetupCursor(path, quotesDic.Keys.ToList(), quotesDic.Min(t => t.Value)))
{
MessageBox.Show(Localizer.GetString("MessageErrorGettingQuotesFromFiles"));
return(stat);
}
var currentQuotes = new Dictionary <string, QuoteData>();
var timeframeMinutes = Timeframe;
SetProgressValueSafe(60, Localizer.GetString("MessageCalculationInProcess") + "...");
try
{
for (var time = startDate; time < endDate; time = time.AddMinutes(timeframeMinutes))
{
if (worker.CancellationPending)
{
return(stat);
}
// получить баланс на дату
for (var i = 0; i < dueBalances.Count; i++)
{
if (dueBalances[i].ValueDate > time)
{
break;
}
balance += dueBalances[i].SignedAmountDepo;
dueBalances.RemoveAt(i);
i--;
}
var equity = balance;
// получить текущие котировки
var candles = cursor.MoveToTime(time);
foreach (var candle in candles)
{
var quote = new QuoteData(candle.Value.open,
DalSpot.Instance.GetAskPriceWithDefaultSpread(candle.Key,
candle.Value.open),
candle.Value.timeOpen);
if (currentQuotes.ContainsKey(candle.Key))
{
currentQuotes[candle.Key] = quote;
}
else
{
currentQuotes.Add(candle.Key, quote);
}
}
// уточнить результат по открытым позициям
for (var i = 0; i < dueDeals.Count; i++)
{
if (worker.CancellationPending)
{
return(stat);
}
if (dueDeals[i].TimeExit.HasValue)
{
if (dueDeals[i].TimeExit.Value <= time)
{
dueDeals.RemoveAt(i);
i--;
continue;
}
}
var deal = dueDeals[i];
if (deal.TimeEnter <= time)
{
// посчитать текущий результат сделки
// в контрвалюте
if (!currentQuotes.ContainsKey(deal.Symbol))
{
continue;
}
var dealTickerQuote = currentQuotes[deal.Symbol];
var dealTickerPrice = deal.Side > 0 ? dealTickerQuote.bid : dealTickerQuote.ask;
var dealResult = deal.Volume * deal.Side * (dealTickerPrice - deal.PriceEnter);
// перевод прибыли в валюту депо
bool inverse, areSame;
var dealTransferSymbol = DalSpot.Instance.FindSymbol(deal.Symbol,
false, curxDepo, out inverse,
out areSame);
float?baseDepoRate = null;
if (areSame)
{
baseDepoRate = 1f;
}
else
{
if (!string.IsNullOrEmpty(dealTransferSymbol))
{
if (currentQuotes.ContainsKey(dealTransferSymbol))
{
var quote = currentQuotes[dealTransferSymbol];
if (quote.time >= time)
{
baseDepoRate = !inverse
? (deal.Side > 0 ? quote.bid : quote.ask)
: (deal.Side > 0 ? 1 / quote.ask : 1 / quote.bid);
}
}
}
}
if (!baseDepoRate.HasValue)
{
continue;
}
dealResult *= baseDepoRate.Value;
equity += (decimal)dealResult;
}
} // for (deal ...
// сохранить отметку - время/доходность
stat.listEquity.Add(new EquityOnTime((float)equity, time));
} // for (time ... += Timeframe
}
finally
{
cursor.Close();
}
// если история начинается с пустого депо - изъять эти строки из истории
var firstNotEmpty = stat.listEquity.FindIndex(e => e.equity > 0);
if (firstNotEmpty == stat.listEquity.Count - 1)
{
stat.listEquity.Clear();
}
else
if (firstNotEmpty > 0)
{
stat.listEquity.RemoveRange(0, firstNotEmpty);
}
SetProgressValueSafe(70,
Localizer.GetString("MessageBuildingEquityChart") + "...");
stat.Calculate(balanceChanges, openOrders, startDate);
return(stat);
}
private void BuildEquityChartSafe(AccountStatistics stat)
{
Invoke(new Action <AccountStatistics>(BuildEquityChartUnsafe),
stat);
}
private void UpdateTablesAndCharts(AccountStatistics stat)
{
ShowStatistics(stat);
BuildEquityChartSafe(stat);
}
private void MakeCalculation(object obj, DoWorkEventArgs args)
{
if (AccountStatus.Instance.AccountData == null ||
MainForm.serverProxyTrade.proxy == null)
{
MessageBox.Show(Localizer.GetString("MessageNoConnectionServer"));
return;
}
var accountId = AccountStatus.Instance.AccountData.ID;
// получить сделки за указанный период и эквити на начало периода
// и все пополнения - снятия
SetProgressValueSafe(10, Localizer.GetString("MessageGettingOrderHistory") + "...");
if (worker.CancellationPending)
{
return;
}
List <MarketOrder> orders;
var status = TradeSharpAccount.Instance.GetHistoryOrdersUncompressed(accountId,
cbStartFrom.Checked ? dpStart.Value : (DateTime?)null, out orders);
if (status != RequestStatus.OK || orders == null)
{
MessageBox.Show(string.Format(
Localizer.GetString("MessageUnableToGetOrderHistory") + ": {0}",
EnumFriendlyName <RequestStatus> .GetString(status)));
return;
}
// получить изменения баланса
if (worker.CancellationPending)
{
return;
}
SetProgressValueSafe(20, Localizer.GetString("MessageGettingTransfersHistory") + "...");
List <BalanceChange> balanceChanges;
status = TradeSharpAccount.Instance.proxy.GetBalanceChanges(accountId, null, out balanceChanges);
if (status != RequestStatus.OK || balanceChanges == null)
{
MessageBox.Show(string.Format(Localizer.GetString("MessageUnableToGetTransfersHistory") + ": {0}",
EnumFriendlyName <RequestStatus> .GetString(status)));
return;
}
// получить открытые ордера
if (worker.CancellationPending)
{
return;
}
SetProgressValueSafe(30, Localizer.GetString("MessageGettingOpenPosHistory") + "...");
List <MarketOrder> openOrders;
status = TradeSharpAccount.Instance.proxy.GetMarketOrders(accountId, out openOrders);
if (status != RequestStatus.OK || openOrders == null)
{
MessageBox.Show(string.Format(Localizer.GetString("MessageUnableToGetOpenPosHistory") + ": {0}",
EnumFriendlyName <RequestStatus> .GetString(status)));
return;
}
// построить кривую equity и посчитать характеристики торговли по счету
var stat = BuildEquityCurve(orders, openOrders, balanceChanges);
statistics = stat;
// сохранить доходность в словаре
if (statByAccount.ContainsKey(accountId))
{
statByAccount[accountId] = stat;
}
else
{
statByAccount.Add(accountId, stat);
}
if (worker.CancellationPending)
{
return;
}
// построить график и вывести показатели доходности
SetProgressValueSafe(90, Localizer.GetString("MessageMakingReport") + "...");
SetProgressValueSafe(100, Localizer.GetString("MessageCalculationCompleted") + "...");
Invoke(new Action(() =>
{
UpdateTablesAndCharts(stat);
MessageBox.Show(this,
Localizer.GetString("MessageCalculationCompleted"),
Localizer.GetString("TitleNotice"), MessageBoxButtons.OK,
MessageBoxIcon.Information);
}));
SetProgressValueSafe(0, string.Empty);
}
