public TradeTracker(Trade trade, decimal optionsCapitalUsageMultiplier)
{
_optionsCapitalUsageMultiplier = optionsCapitalUsageMultiplier;
Positions = new Dictionary <int, Position>()
{
//dummy position used for cash transactions without a related instrument
{ NullInstrumentId, new Position(new Instrument(), _optionsCapitalUsageMultiplier) }
};
CurrencyPositions = new Dictionary <int, CurrencyPosition>();
CumulativeReturns = new SortedList <DateTime, double>();
CumulativePnL = new SortedList <DateTime, decimal>();
Capital = new AllocatedCapital();
_ordersRemaining = trade.Orders?.Count ?? 0;
_cashTransactionsRemaining = trade.CashTransactions?.Count ?? 0;
Trade = trade;
_currentEquity = 1;
_totalPnL = 0;
TodaysPnL = 0;
}
public TradeTracker(Trade trade, decimal optionsCapitalUsageMultiplier)
{
_optionsCapitalUsageMultiplier = optionsCapitalUsageMultiplier;
Positions = new Dictionary<int, Position>()
{
//dummy position used for cash transactions without a related instrument
{ NullInstrumentId, new Position(new Instrument(), _optionsCapitalUsageMultiplier)}
};
CurrencyPositions = new Dictionary<int, CurrencyPosition>();
CumulativeReturns = new SortedList<DateTime, double>();
CumulativePnL = new SortedList<DateTime, decimal>();
Capital = new AllocatedCapital();
_ordersRemaining = trade.Orders == null ? 0 : trade.Orders.Count;
_cashTransactionsRemaining = trade.CashTransactions == null ? 0 : trade.CashTransactions.Count;
Trade = trade;
_currentEquity = 1;
_totalPnL = 0;
TodaysPnL = 0;
}
public TradeTracker(Trade trade)
{
Positions = new Dictionary <int, Position>();
CurrencyPositions = new Dictionary <int, CurrencyPosition>();
CumulativeReturns = new SortedList <DateTime, double>();
CumulativePnL = new SortedList <DateTime, decimal>();
Capital = new AllocatedCapital();
_ordersRemaining = trade.Orders == null ? 0 : trade.Orders.Count;
Trade = trade;
_currentEquity = 1;
_totalPnL = 0;
TodaysPnL = 0;
}
public PortfolioTracker(Dictionary <int, TimeSeries> data, Dictionary <int, TimeSeries> fxData, List <Trade> trades, string name)
{
_data = data;
_fxData = fxData;
Name = name;
Trades = trades;
TradeTrackers = trades.ToDictionary(t => t.ID, t => new TradeTracker(t));
ProfitLossEquityCurve = new EquityCurve(0);
ProfitLossLongEquityCurve = new EquityCurve(0);
ProfitLossShortEquityCurve = new EquityCurve(0);
RoacEquityCurve = new EquityCurve(1);
RotcEquityCurve = new EquityCurve(1);
Capital = new AllocatedCapital();
Positions = new Dictionary <int, Position>
{
//dummy position used for cash transactions without a related instrument
{ NullInstrumentId, new Position(new Instrument()) }
};
//group cash transactions by date so they're easily accessible
_cashTransactionsByDate =
trades
.Where(x => x.CashTransactions != null)
.SelectMany(x => x.CashTransactions)
.Where(x => x.Type != "Deposits & Withdrawals")
.GroupBy(x => x.TransactionDate.Date)
.ToDictionary(x => x.Key, x => x.ToList());
//group fx transactions
_fxTransactionsByDate =
trades
.Where(x => x.FXTransactions != null)
.SelectMany(x => x.FXTransactions)
.GroupBy(x => x.DateTime.Date)
.ToDictionary(x => x.Key, x => x.ToList());
_allOrders = Trades.Where(x => x.Orders != null).SelectMany(x => x.Orders).ToList();
}
public PortfolioTracker(Dictionary<int, TimeSeries> data, Dictionary<int, TimeSeries> fxData, List<Trade> trades, string name, DateTime firstDate, decimal optionsCapitalUsageMultiplier)
{
_data = data;
_fxData = fxData;
Name = name;
_optionsCapitalUsageMultiplier = optionsCapitalUsageMultiplier;
Trades = trades;
TradeTrackers = trades.ToDictionary(t => t.ID, t => new TradeTracker(t, optionsCapitalUsageMultiplier));
ProfitLossEquityCurve = new EquityCurve(0, firstDate);
ProfitLossLongEquityCurve = new EquityCurve(0, firstDate);
ProfitLossShortEquityCurve = new EquityCurve(0, firstDate);
RoacEquityCurve = new EquityCurve(1, firstDate);
RotcEquityCurve = new EquityCurve(1, firstDate);
Capital = new AllocatedCapital();
Positions = new Dictionary<int, Position>
{
//dummy position used for cash transactions without a related instrument
{ NullInstrumentId, new Position(new Instrument(), _optionsCapitalUsageMultiplier)}
};
//group cash transactions by date so they're easily accessible
_cashTransactionsByDate =
trades
.Where(x => x.CashTransactions != null)
.SelectMany(x => x.CashTransactions)
.Where(x => x.Type != "Deposits & Withdrawals")
.GroupBy(x => x.TransactionDate.Date)
.ToDictionary(x => x.Key, x => x.ToList());
//group fx transactions
_fxTransactionsByDate =
trades
.Where(x => x.FXTransactions != null)
.SelectMany(x => x.FXTransactions)
.GroupBy(x => x.DateTime.Date)
.ToDictionary(x => x.Key, x => x.ToList());
_allOrders = Trades.Where(x => x.Orders != null).SelectMany(x => x.Orders).ToList();
}
public Position(Instrument instrument)
{
Instrument = instrument;
Orders = new List <Order>();
_openPositions = new List <Tuple <decimal, int> >();
Capital = new AllocatedCapital();
PnLLong = 0;
PnLShort = 0;
RealizedPnLLong = 0;
RealizedPnLShort = 0;
_unrecognizedPnLLong = 0;
_unrecognizedPnLShort = 0;
_priorPeriodQuantity = 0;
_deferredPnL = 0;
ROAC = 1;
}
public Position(Instrument instrument, decimal optionsCapitalUsageMultiplier = 1)
{
Instrument = instrument;
Orders = new List<Order>();
_openPositions = new List<Tuple<decimal, int>>();
Capital = new AllocatedCapital();
PnLLong = 0;
PnLShort = 0;
RealizedPnLLong = 0;
RealizedPnLShort = 0;
_unrecognizedPnLLong = 0;
_unrecognizedPnLShort = 0;
_priorPeriodQuantity = 0;
_deferredPnL = 0;
ROAC = 1;
_optionsCapitalUsageMultiplier = optionsCapitalUsageMultiplier;
}
