public SimAccount()
{
log_data = new LogData();
performance_data = new PerformanceData();
order_data = new OrderData();
holding_data = new HoldingData();
total_pl_list = new List <double>();
total_pl_ratio_list = new List <double>();
}
private void process_execution(double exec_price, int order_serial_num, int i, string dt)
{
calc_fee(order_data.order_size[order_serial_num], exec_price, order_data.order_type[order_serial_num] == "limit" ? "maker" : "taker");
if (holding_data.holding_side == "")
{
if (order_data.order_side[order_serial_num] == "buy")
{
performance_data.num_buy++;
}
else
{
performance_data.num_sell++;
}
holding_data.update_holding(order_data.order_side[order_serial_num], exec_price, order_data.order_size[order_serial_num], i);
log_data.add_log_data(i, dt, "New Entry:" + order_data.order_type[order_serial_num], holding_data, order_data, performance_data);
}
else if (holding_data.holding_side == order_data.order_side[order_serial_num])
{
var ave_price = Math.Round(((holding_data.holding_price * holding_data.holding_size) + (exec_price * order_data.order_size[order_serial_num])) / (order_data.order_size[order_serial_num] + holding_data.holding_size), 1);
holding_data.update_holding(holding_data.holding_side, ave_price, order_data.order_size[order_serial_num] + holding_data.holding_size, i);
log_data.add_log_data(i, dt, "Additional Entry.", holding_data, order_data, performance_data);
}
else if (holding_data.holding_size > order_data.order_size[order_serial_num])
{
calc_executed_pl(exec_price, order_data.order_size[order_serial_num], i);
holding_data.update_holding(holding_data.holding_side, holding_data.holding_price, holding_data.holding_size - order_data.order_size[order_serial_num], i);
log_data.add_log_data(i, dt, "Exit Order (h>o)", holding_data, order_data, performance_data);
}
else if (holding_data.holding_size == order_data.order_size[order_serial_num])
{
calc_executed_pl(exec_price, order_data.order_size[order_serial_num], i);
//initialize_holding_data();
holding_data = new HoldingData();
log_data.add_log_data(i, dt, "Exit Order (h=o)", holding_data, order_data, performance_data);
}
else if (holding_data.holding_size < order_data.order_size[order_serial_num])
{
if (order_data.order_side[order_serial_num] == "buy")
{
performance_data.num_buy++;
}
else
{
performance_data.num_sell++;
}
calc_executed_pl(exec_price, holding_data.holding_size, i);
holding_data.update_holding(order_data.order_side[order_serial_num], exec_price, order_data.order_size[order_serial_num] - holding_data.holding_size, i);
log_data.add_log_data(i, dt, "'Exit & Entry Order (h<o)", holding_data, order_data, performance_data);
}
else
{
Console.WriteLine("Unknown situation in process execution !");
}
}
public SimAccount()
{
log_data = new LogData();
performance_data = new PerformanceData();
order_data = new OrderData();
holding_data = new HoldingData();
total_pl_list = new List <double>();
total_pl_ratio_list = new List <double>();
margin_required = 0.0;
leverage = 0.0;
start_ind = 0;
end_ind = 0;
}
public void add_log_data(int i, string dt, string action, HoldingData hd, OrderData od, PerformanceData pd)
{
total_pl_log.Add(pd.total_pl);
if (od.order_serial_list.Count > 0)
{
log_data_table.Rows.Add(pd.total_pl, pd.total_fee, dt, i, od.order_side[od.order_serial_list.Last()], od.order_type[od.order_serial_list.Last()],
od.order_size[od.order_serial_list.Last()], od.order_price[od.order_serial_list.Last()], od.order_message[od.order_serial_list.Last()], hd.holding_side, hd.holding_price, hd.holding_size,
action);
}
else
{
log_data_table.Rows.Add(pd.total_pl, pd.total_fee, dt, i, "", "", 0, 0, "", hd.holding_side, hd.holding_price, hd.holding_size, action);
}
}
public void last_day(int i, string dt, double close)
{
if (holding_data.holding_side != "")
{
calc_executed_pl(close, holding_data.holding_size, i);
holding_data = new HoldingData();
order_data = new OrderData();
performance_data.unrealized_pl = 0;
performance_data.total_pl = performance_data.realized_pl + performance_data.unrealized_pl - performance_data.total_fee;
performance_data.total_pl_ratio = performance_data.total_pl / close;
if (performance_data.num_trade > 0)
{
performance_data.win_rate = Math.Round(Convert.ToDouble(performance_data.num_win) / Convert.ToDouble(performance_data.num_trade), 4);
}
total_pl_list.Add(performance_data.total_pl);
total_pl_ratio_list.Add(performance_data.total_pl_ratio);
}
}