private void Do(Action <IExcelWorker> action)
{
if (action == null)
{
throw new ArgumentNullException(nameof(action));
}
using (var stream = File.OpenWrite(Path))
using (var worker = _provider.CreateNew(stream))
{
worker
.AddSheet()
.RenameSheet(LocalizedStrings.Export);
action(worker);
}
}
/// <inheritdoc />
public override void Generate()
{
var hasTemplate = !Template.IsEmpty();
if (hasTemplate)
{
File.Copy(Template, FileName);
}
using (var stream = File.OpenWrite(FileName))
using (var worker = hasTemplate ? _provider.OpenExist(stream) : _provider.CreateNew(stream))
{
foreach (var strategy in Strategies)
{
if (Template.IsEmpty())
{
worker.RenameSheet(strategy.Name);
}
else
{
if (!worker.ContainsSheet(strategy.Name))
{
worker.AddSheet().RenameSheet(strategy.Name);
}
}
worker
.SetCell(0, 0, LocalizedStrings.Str1331)
.SetCell(0, 1, LocalizedStrings.Security + ":")
.SetCell(1, 1, strategy.Security != null ? strategy.Security.Id : string.Empty)
.SetCell(0, 2, LocalizedStrings.Portfolio + ":")
.SetCell(1, 2, strategy.Portfolio != null ? strategy.Portfolio.Name : string.Empty)
.SetCell(0, 3, LocalizedStrings.Str1334)
.SetCell(1, 3, Format(strategy.TotalWorkingTime))
.SetCell(0, 4, LocalizedStrings.Str1335)
//.SetCell(1, 4, FormatTime(base.Strategy.TotalCPUTime))
.SetCell(0, 5, LocalizedStrings.Str862 + ":")
.SetCell(1, 5, strategy.Position)
.SetCell(0, 6, LocalizedStrings.PnL + ":")
.SetCell(1, 6, strategy.PnL)
.SetCell(0, 7, LocalizedStrings.Str159 + ":")
.SetCell(1, 7, strategy.Commission)
.SetCell(0, 8, LocalizedStrings.Str163 + ":")
.SetCell(1, 8, strategy.Slippage)
.SetCell(0, 9, LocalizedStrings.Str161 + ":")
.SetCell(1, 9, Format(strategy.Latency));
var rowIndex = 11;
foreach (var parameter in strategy.StatisticManager.Parameters.SyncGet(c => c.ToArray()))
{
var value = parameter.Value;
if (value is TimeSpan ts)
{
value = Format(ts);
}
else if (value is decimal dec)
{
value = dec.Round(Decimals);
}
worker
.SetCell(0, rowIndex, parameter.Name)
.SetCell(1, rowIndex, value);
rowIndex++;
}
rowIndex += 2;
worker.SetCell(0, rowIndex, LocalizedStrings.Str1340);
rowIndex++;
foreach (var strategyParam in strategy.Parameters.CachedValues)
{
var value = strategyParam.Value;
if (value is TimeSpan span)
{
value = Format(span);
}
else if (value is decimal dec)
{
value = dec.Round(Decimals);
}
worker
.SetCell(0, rowIndex, strategyParam.Name)
.SetCell(1, rowIndex, value);
rowIndex++;
}
var columnShift = 3;
worker
.SetCell(columnShift + 0, 0, LocalizedStrings.Str985)
.SetCell(columnShift + 0, 1, LocalizedStrings.Str1192).SetStyle(columnShift + 0, typeof(long))
.SetCell(columnShift + 1, 1, LocalizedStrings.Transaction).SetStyle(columnShift + 1, typeof(long))
.SetCell(columnShift + 2, 1, LocalizedStrings.Time).SetStyle(columnShift + 2, "HH:mm:ss.fff")
.SetCell(columnShift + 3, 1, LocalizedStrings.Price).SetStyle(columnShift + 3, typeof(decimal))
.SetCell(columnShift + 4, 1, LocalizedStrings.Str1341).SetStyle(columnShift + 4, typeof(decimal))
.SetCell(columnShift + 5, 1, LocalizedStrings.Volume).SetStyle(columnShift + 5, typeof(decimal))
.SetCell(columnShift + 6, 1, LocalizedStrings.Str128)
.SetCell(columnShift + 7, 1, LocalizedStrings.Str1190).SetStyle(columnShift + 7, typeof(long))
.SetCell(columnShift + 8, 1, LocalizedStrings.Str163).SetStyle(columnShift + 8, typeof(decimal))
.SetCell(columnShift + 9, 1, LocalizedStrings.Str135)
.SetCell(columnShift + 10, 1, LocalizedStrings.Str1342).SetStyle(columnShift + 11, typeof(decimal))
.SetCell(columnShift + 11, 1, LocalizedStrings.Str1343).SetStyle(columnShift + 12, typeof(decimal))
.SetCell(columnShift + 12, 1, LocalizedStrings.Str1344).SetStyle(columnShift + 13, typeof(decimal))
.SetCell(columnShift + 13, 1, LocalizedStrings.Str1345).SetStyle(columnShift + 14, typeof(decimal))
.SetCell(columnShift + 14, 1, LocalizedStrings.Str862).SetStyle(columnShift + 15, typeof(decimal));
worker
.SetConditionalFormatting(columnShift + 10, ComparisonOperator.Less, "0", null, Colors.Red)
.SetConditionalFormatting(columnShift + 11, ComparisonOperator.Less, "0", null, Colors.Red)
.SetConditionalFormatting(columnShift + 12, ComparisonOperator.Less, "0", null, Colors.Red)
.SetConditionalFormatting(columnShift + 13, ComparisonOperator.Less, "0", null, Colors.Red);
var totalPnL = 0m;
var position = 0m;
var queues = new Dictionary <Security, PnLQueue>();
rowIndex = 2;
foreach (var trade in strategy.MyTrades.ToArray())
{
var tradePnL = strategy.PnLManager.ProcessMessage(trade.ToMessage())?.PnL ?? 0;
totalPnL += tradePnL;
position += trade.GetPosition() ?? 0;
var queue = queues.SafeAdd(trade.Trade.Security, key => new PnLQueue(key.ToSecurityId()));
var localInfo = queue.Process(trade.ToMessage());
worker
.SetCell(columnShift + 0, rowIndex, trade.Trade.Id)
.SetCell(columnShift + 1, rowIndex, trade.Order.TransactionId)
.SetCell(columnShift + 2, rowIndex, Format(trade.Trade.Time))
.SetCell(columnShift + 3, rowIndex, trade.Trade.Price)
.SetCell(columnShift + 4, rowIndex, trade.Order.Price)
.SetCell(columnShift + 5, rowIndex, trade.Trade.Volume)
.SetCell(columnShift + 6, rowIndex, Format(trade.Order.Direction))
.SetCell(columnShift + 7, rowIndex, trade.Order.Id)
.SetCell(columnShift + 8, rowIndex, trade.Slippage)
.SetCell(columnShift + 9, rowIndex, trade.Order.Comment)
.SetCell(columnShift + 10, rowIndex, tradePnL.Round(Decimals))
.SetCell(columnShift + 11, rowIndex, localInfo.PnL.Round(Decimals))
.SetCell(columnShift + 12, rowIndex, totalPnL.Round(Decimals))
.SetCell(columnShift + 13, rowIndex, queue.RealizedPnL.Round(Decimals))
.SetCell(columnShift + 14, rowIndex, position);
rowIndex++;
}
if (IncludeOrders)
{
columnShift += 17;
worker
.SetCell(columnShift + 0, 0, LocalizedStrings.Orders)
.SetCell(columnShift + 0, 1, LocalizedStrings.Str1190).SetStyle(columnShift + 0, typeof(long))
.SetCell(columnShift + 1, 1, LocalizedStrings.Transaction).SetStyle(columnShift + 1, typeof(long))
.SetCell(columnShift + 2, 1, LocalizedStrings.Str128)
.SetCell(columnShift + 3, 1, LocalizedStrings.Str1346).SetStyle(columnShift + 3, "HH:mm:ss.fff")
.SetCell(columnShift + 4, 1, LocalizedStrings.Str1347).SetStyle(columnShift + 4, "HH:mm:ss.fff")
.SetCell(columnShift + 5, 1, LocalizedStrings.Str1348)
.SetCell(columnShift + 6, 1, LocalizedStrings.Price).SetStyle(columnShift + 6, typeof(decimal))
.SetCell(columnShift + 7, 1, LocalizedStrings.Str1324)
.SetCell(columnShift + 8, 1, LocalizedStrings.State)
.SetCell(columnShift + 9, 1, LocalizedStrings.Str1325).SetStyle(columnShift + 10, typeof(decimal))
.SetCell(columnShift + 10, 1, LocalizedStrings.Volume).SetStyle(columnShift + 11, typeof(decimal))
.SetCell(columnShift + 11, 1, LocalizedStrings.Type)
.SetCell(columnShift + 12, 1, LocalizedStrings.Str1326)
.SetCell(columnShift + 13, 1, LocalizedStrings.Str1327)
.SetCell(columnShift + 14, 1, LocalizedStrings.Str135);
worker
.SetConditionalFormatting(columnShift + 8, ComparisonOperator.Equal, "\"{0}\"".Put(LocalizedStrings.Str1329), null, Colors.Green)
.SetConditionalFormatting(columnShift + 8, ComparisonOperator.Equal, "\"{0}\"".Put(LocalizedStrings.Str238), null, Colors.Red);
rowIndex = 2;
foreach (var order in strategy.Orders.ToArray())
{
worker
.SetCell(columnShift + 0, rowIndex, order.Id)
.SetCell(columnShift + 1, rowIndex, order.TransactionId)
.SetCell(columnShift + 2, rowIndex, Format(order.Direction))
.SetCell(columnShift + 3, rowIndex, Format(order.Time))
.SetCell(columnShift + 4, rowIndex, Format(order.LastChangeTime))
.SetCell(columnShift + 5, rowIndex, Format(order.LastChangeTime - order.Time))
.SetCell(columnShift + 6, rowIndex, order.Price)
.SetCell(columnShift + 7, rowIndex, Format(order.State))
.SetCell(columnShift + 8, rowIndex, order.IsMatched() ? LocalizedStrings.Str1328 : (order.IsCanceled() ? LocalizedStrings.Str1329 : LocalizedStrings.Str238))
.SetCell(columnShift + 9, rowIndex, order.Balance)
.SetCell(columnShift + 10, rowIndex, order.Volume)
.SetCell(columnShift + 11, rowIndex, Format(order.Type))
.SetCell(columnShift + 12, rowIndex, Format(order.LatencyRegistration))
.SetCell(columnShift + 13, rowIndex, Format(order.LatencyCancellation))
.SetCell(columnShift + 14, rowIndex, order.Comment);
if (order.Condition != null)
{
var stopParams = order.Condition.Parameters.Keys.ToArray();
for (var i = 0; i < stopParams.Length; i++)
{
worker.SetCell(columnShift + 11 + i, rowIndex, stopParams[i]);
}
}
rowIndex++;
}
}
}
}
}