public void AggPnL_Equation()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.USD);
pnl.AddTransactions(txL, fxmh);
PnLElement elmt = pnl.ToTable(fxmh)["Total"];
Assert.IsTrue(elmt.Position - elmt.Deposit + elmt.Withdrawal == elmt.TotalPnLWithFees);
}
public void AggPnL_AddTransaction()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.USD);
pnl.AddTransactions(txL, fxmh);
Dictionary <string, PnLElement> table = pnl.ToTable(fxmh);
TestTools <PnLElement> .DictionaryTest(pnlref, table);
}
public void AggPnL_EquationXCCY()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
fxmh.ConstructQuotes(new CurrencyPair(Currency.EUR, Currency.USD));
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.EUR);
pnl.AddTransactions(txL, fxmh);
PnLElement elmt = pnl.ToTable(fxmh)["Total"];
Assert.IsTrue(Math.Abs(elmt.Position - elmt.Deposit + elmt.Withdrawal - elmt.TotalPnLWithFees) < 0.00001);
}
public TimeSeriesManager(Currency fiat, Frequency freq = Frequency.Hour4,
bool useKraken = false, bool useInternet = true,
string path = null, IView view = null)
{
if (view != null)
{
AddLoggingLink(view.PublishLogMessage);
}
Fiat = fiat;
if (path != null)
{
BasePath = path;
}
DataProvider = new DataProvider(BasePath, view, useInternet: useInternet);
SortedList <DateTime, Transaction> txList = DataProvider.GetTransactionList(useKraken: useKraken);
StartDate = txList.First().Key;
FXMH = DataProvider.GetFXMarketHistory(Fiat, DataProvider.GetCurrencyPairs(txList), StartDate, freq);
AH = new AllocationHistory(view);
APnL = new AggregatedPnL(fiat);
APnL.AddTransactions(txList, FXMH);
}
public void Update(Currency fiat, Frequency freq, List <ITimeSeriesKey> tskl, bool useLowerFrequencies)
{
TimeSeriesKeyList = tskl;
DataProvider.LoadPrices(TimeSeriesKeyList, useLowerFrequencies: useLowerFrequencies);
Fiat = fiat;
if (FXMH.Freq != freq || ChangeLedger)
{
SetUpAllHistory(freq);
}
DataProvider.UpdateFXMarketHistory(FXMH, Fiat, StartDate, freq);
APnL.ChangeCcyRef(fiat, FXMH);
bool ReloadAllocationHistory = tskl.Where(x => x.GetKeyType() == TimeSeriesKeyType.AllocationHistory).Count() > 0;
if (ChangeLedger || ReloadAllocationHistory)
{
ChangeLedger = false;
APnL.AddTransactions(DataProvider.GetTransactionList(), FXMH, fullReload: true);
}
if (ReloadAllocationHistory)
{
AH.AddTransactions(fiat, DataProvider.GetTransactionList(), FXMH);
AH.UpdateHistory(fiat, FXMH);
}
}