public void AllocationTableUpdate()
{
if (dataGridViewAllocation.InvokeRequired)
{
DelegateTables d = new DelegateTables(AllocationTableUpdate);
this.Invoke(d, new object[] { });
}
else
{
var data = TSP.GetLastAllocationToTable(LiveTxHistory: true);
double position = data["Total"].Position;
dataGridViewAllocation.Rows.Clear();
foreach (var key in data.Keys)
{
PnLElement item = data[key];
Currency ccy = CurrencyPorperties.FromNameToCurrency(key);
if (ccy.IsNone())
{
ccy = Fiat;
}
dataGridViewAllocation.Rows.
Add(key,
item.Presentation_Position(ccy),
item.Presentation_XChangeRate(ccy),
item.Presentation_AverageCost(ccy),
item.Weight.HasValue ? PercentageToString(item.Weight.Value) : "0",
Math.Round(item.OnGoingPnL, 2),
Math.Round(item.Fees, 2),
Math.Round(item.RealizedPnL, 2));
}
TSP.GetOnGoingPnLs();
}
}
public OpenOrder(string refID, OrderInfo orderInfo, FXMarket fxmkt)//, Dictionary<string, PnLElement> pnlInfo)
{
ID = refID;
OrderDescription orderDescr = orderInfo.Descr;
string descrPair = orderDescr.Pair;
var infos = orderDescr.Order.Split(' ');
IsBuyOrder = orderDescr.Type == "buy";
Volume = Convert.ToDouble(infos[1]);
int cryptoLen = descrPair.Length - 3;
Currency ccy1 = CurrencyPorperties.FromNameToCurrency(descrPair.Substring(0, cryptoLen));
Currency ccy2 = CurrencyPorperties.FromNameToCurrency(descrPair.Substring(cryptoLen, 3));
CurrencyPair cp = new CurrencyPair(ccy1, ccy2);
Rate = new XChangeRate((double)orderInfo.Descr.Price, cp);
CurrentRate = fxmkt.GetQuote(cp);
Return = Rate.Rate / CurrentRate.Rate - 1;
PreviouslyExecutedVolume = 0.0;
TotalPnL = 0;
}
public void GetCheckedCurrencyPairs()
{
if (comboBoxFiat.InvokeRequired)
{
DelegateTables d = new DelegateTables(GetCheckedCurrencyPairs);
this.Invoke(d, new object[] { });
}
else
{
TimeSeriesKeyList = new List <ITimeSeriesKey>();
foreach (string item in checkedListBox1.CheckedItems)
{
Currency ccy = CurrencyPorperties.FromNameToCurrency(item);
if (!ccy.IsNone())
{
TimeSeriesKeyList.Add(new CurrencyPairTimeSeries(new CurrencyPair(ccy, Fiat), Frequency));
}
else if (item == "MyStrategy")
{
TimeSeriesKeyList.Add(new AllocationSrategy(item, Fiat, Frequency));
}
}
}
}
/// <summary>
/// Convert the raw Ledger data from Kraken to CryptoSolution objects
/// </summary>
/// <returns></returns>
public SortedList <DateTime, Transaction> GetTransactionList()
{
SortedList <DateTime, Transaction> res = new SortedList <DateTime, Transaction>();
var items = Ledger.Select(x => x.Value).GroupBy(x => x.Refid).ToDictionary(g => g.Key, g => g.ToList());
var sortedKeys = items.Values.Select(x => new Tuple <double, string>(x.First().Time, x.First().Refid))
.OrderBy(x => x.Item1);
foreach (var key in sortedKeys)
{
DateTime dt = StaticLibrary.UnixTimeStampToDateTime(key.Item1);
if (dt < res.LastOrDefault().Key.AddSeconds(1))
{
dt = res.Last().Key.AddSeconds(1);
}
var item = items[key.Item2];
TransactionType ttype = TransactionTypeProperties.ReadTransactionType(item[0].Type);
switch (ttype)
{
case TransactionType.Deposit:
if (item.Count > 1)
{
throw new Exception("One Transaction Only for Deposit");
}
Currency ccyDp = CurrencyPorperties.FromNameToCurrency(item[0].Asset);
Transaction txDepo = new Transaction(
item[0].Refid,
TransactionType.Deposit,
dt,
new Price(0, Currency.None),
new Price((double)item[0].Amount, ccyDp));
res.Add(dt, txDepo);
break;
case TransactionType.WithDrawal:
if (item.Count > 1)
{
throw new Exception("One Transaction Only for Withdrawal");
}
Currency ccyWd = CurrencyPorperties.FromNameToCurrency(item[0].Asset);
Transaction txWd = new Transaction(
item[0].Refid,
TransactionType.WithDrawal,
dt,
new Price((double)-item[0].Amount, ccyWd),
new Price(0, Currency.None),
new Price((double)item[0].Fee, ccyWd));
res.Add(dt, txWd);
break;
case TransactionType.Transfer:
if (item.Count > 1)
{
throw new Exception("One Transaction Only for Transfer");
}
Currency ccyTransfer = CurrencyPorperties.FromNameToCurrency(item[0].Asset);
if (!ccyTransfer.IsNone())
{
res.Add(dt, new Transaction(
item[0].Refid,
TransactionType.Transfer,
dt,
new Price(0, Currency.None),
new Price((double)item[0].Amount,
ccyTransfer)));
}
break;
case TransactionType.Trade:
if (item.Count < 2)
{
break;
}
var itemPay = item.Where(x => x.Amount < 0).ToList();
if (itemPay.Count != 1)
{
throw new Exception("Temp Condition");
}
var itemRec = item.Where(x => x.Amount > 0).ToList();
if (itemRec.Count != 1)
{
throw new Exception("Temp Condition");
}
//if (item.Amount < 0)
//{
Currency ccyTradeM = CurrencyPorperties.FromNameToCurrency(itemPay[0].Asset);
Price paid = new Price(-(double)itemPay[0].Amount, ccyTradeM);
Price fees = new Price((double)itemPay[0].Fee, ccyTradeM);
//i++;
//LedgerInfo nextItem = items[i];
Price received = new Price(itemRec[0].Amount, itemRec[0].Asset);
res.Add(dt, new Transaction(
item[0].Refid,
TransactionType.Trade,
dt,
paid,
received,
fees));
//}
//else
//{
// Price received = new Price(item.Amount, item.Asset);
// i++;
// LedgerInfo nextItem = items[i];
// Currency ccyTradeP = CurrencyPorperties.FromNameToCurrency(nextItem.Asset);
// Price paid = new Price(-(double)nextItem.Amount, ccyTradeP);
// Price fees;
// if (ccyTradeP.IsFiat())
// fees = new Price((double)nextItem.Fee, ccyTradeP);
// else
// {
// Currency ccyFees = CurrencyPorperties.FromNameToCurrency(item.Asset);
// fees = new Price((double)item.Fee, ccyFees);
// }
// res.Add(dt, new Transaction(
// item.Refid,
// TransactionType.Trade,
// dt,
// paid,
// received,
// fees));
//}
break;
}
}
return(res);
}
public void PnLTableUpdate()
{
if (dataGridViewPnL.InvokeRequired)
{
DelegateTables d = new DelegateTables(PnLTableUpdate);
this.Invoke(d, new object[] { });
}
else
{
// start date
DateTime dateStart = PnLExplainStartDateSelector.Date.GetRoundDate(TenorUnit.Day);
var dataStart = TSP.GetAllocationToTable(dateStart);
// end date
DateTime dateEnd = PnLExaplainEndDateSelector.Date.GetRoundDate(TenorUnit.Day);
Dictionary <string, PnLElement> dataEnd;
if (dateEnd == TSP.FXMH.LastRealDate_NoLive.Date)
{
dataEnd = TSP.GetLastAllocationToTable();
}
else
{
dataEnd = TSP.GetAllocationToTable(dateEnd);
}
// Total Statistics
double value1 = dataStart["Total"].Position - (dataStart["Total"].Deposit - dataStart["Total"].Withdrawal);
double value2 = dataEnd["Total"].Position - (dataEnd["Total"].Deposit - dataEnd["Total"].Withdrawal);
double AbsoluteValueChange = value2 - value1;
double RelativeChange = AbsoluteValueChange / dataStart["Total"].Position;
// fill rows
dataGridViewPnL.Rows.Clear();
foreach (var key in dataStart.Keys)
{
PnLElement item = dataStart[key];
PnLElement item2 = dataEnd[key];
Currency ccy = CurrencyPorperties.FromNameToCurrency(key);
if (ccy.IsNone())
{
ccy = Fiat;
}
double depositNetTotal = Math.Round((item2.Deposit - item.Deposit) - (item2.Withdrawal - item.Withdrawal), 2);
double realizedPnLChange = item2.RealizedPnL - item.RealizedPnL;
double onGoingPnLChange = item2.OnGoingPnL - item.OnGoingPnL + realizedPnLChange;
if (key != "Total")
{
dataGridViewPnL.Rows.
Add(key, // Ccy
item.Presentation_Position(ccy), // Position
item.Presentation_XChangeRate(ccy), // Rate
PercentageToString(item.Weight), // Weight
PercentageToString(item2.Position / item.Position - 1), // Delta Pos.
PercentageToString(item2.xChangeRate / item.xChangeRate - 1), // Delta Rate
Math.Round(onGoingPnLChange, 2), // Delta On Going PnL
Math.Round(realizedPnLChange, 2), // Delta Realizes PnL
depositNetTotal); // Deposit Net Total
}
else
{
dataGridViewPnL.Rows.
Add(key, // Ccy
item.Presentation_Position(ccy), // Total
0, // 0
PercentageToString(item.Weight), // Weight (100%)
Math.Round(AbsoluteValueChange, 2), // Delta Pos. (Total Absolute Change)
PercentageToString(RelativeChange), // Delta Rate (Total Relative Change)
Math.Round(onGoingPnLChange, 2), // Delta On Going PnL
Math.Round(realizedPnLChange, 2), // Delta Realized PnL
depositNetTotal); // Deposit Net Total
}
}
}
}
