public void TestTradeCollectionWeightedMean()
{
TradeCollection trades = new TradeCollection();
TimeSpan span1 = new TimeSpan(0, 5, 0); // 5 minutes
TimeSpan span2 = new TimeSpan(0, 10, 0); // 10 minutes
TimeSpan span3 = new TimeSpan(0, 20, 0); // 20 minutes
float vwp;
// no trades => no result
vwp = trades.GetVolumeWeightedPrice(new TimeSpan(0, 15, 0));
Assert.AreEqual(float.NaN, vwp);
int qty1 = 10;
float price1 = 100;
int qty2 = 5;
float price2 = 50;
// Mean based on these
trades.Add(new Trade(DateTime.Now.Subtract(span1), qty1, TRADE_SIGN.Sell, price1));
trades.Add(new Trade(DateTime.Now.Subtract(span2), qty2, TRADE_SIGN.Buy, price2));
trades.Add(new Trade(DateTime.Now.Subtract(span2), qty2, TRADE_SIGN.Sell, price2));
// This must be excluded
trades.Add(new Trade(DateTime.Now.Subtract(span3), 100, TRADE_SIGN.Sell, 1000));
vwp = trades.GetVolumeWeightedPrice(new TimeSpan(0, 15, 0));
Assert.AreEqual((qty1 * price1 + qty2 * price2 * 2) / (qty1 + qty2 * 2), vwp);
}
public void TestTradeCollectionWeightedMean()
{
TradeCollection trades = new TradeCollection();
TimeSpan span1 = new TimeSpan(0, 5, 0); // 5 minutes
TimeSpan span2 = new TimeSpan(0, 10, 0); // 10 minutes
TimeSpan span3 = new TimeSpan(0, 20, 0); // 20 minutes
float vwp;
// no trades => no result
vwp = trades.GetVolumeWeightedPrice(new TimeSpan(0, 15, 0));
Assert.AreEqual(float.NaN, vwp);
int qty1 = 10;
float price1 = 100;
int qty2 = 5;
float price2 = 50;
// Mean based on these
trades.Add(new Trade(DateTime.Now.Subtract(span1), qty1, TRADE_SIGN.Sell, price1));
trades.Add(new Trade(DateTime.Now.Subtract(span2), qty2, TRADE_SIGN.Buy, price2));
trades.Add(new Trade(DateTime.Now.Subtract(span2), qty2, TRADE_SIGN.Sell, price2));
// This must be excluded
trades.Add(new Trade(DateTime.Now.Subtract(span3), 100, TRADE_SIGN.Sell, 1000));
vwp = trades.GetVolumeWeightedPrice(new TimeSpan(0, 15, 0));
Assert.AreEqual((qty1 * price1 + qty2 * price2 * 2) / (qty1 + qty2 * 2), vwp);
}
public void TestTradeCollectionAddTrades()
{
// Collection Order Test
TradeCollection trades = new TradeCollection();
Trade trade1 = new Trade(new DateTime(2015, 10, 2), 1, TRADE_SIGN.Buy, 100);
Trade trade2 = new Trade(new DateTime(2015, 10, 3), 1, TRADE_SIGN.Buy, 100);
Trade trade3 = new Trade(new DateTime(2015, 10, 1), 1, TRADE_SIGN.Buy, 100);
Trade trade4 = new Trade(new DateTime(2015, 10, 4), 1, TRADE_SIGN.Buy, 100);
Trade trade5 = new Trade(new DateTime(2015, 09, 1), 1, TRADE_SIGN.Buy, 100);
trades.Add(trade1);
trades.Add(trade2);
trades.Add(trade3);
trades.Add(trade4);
trades.Add(trade5);
Assert.AreEqual(5, trades.Count);
Assert.AreSame(trades.ElementAt(0), trade4);
Assert.AreSame(trades.ElementAt(1), trade2);
Assert.AreSame(trades.ElementAt(2), trade1);
Assert.AreSame(trades.ElementAt(3), trade3);
Assert.AreSame(trades.ElementAt(4), trade5);
}
public void TestTradeCollectionAddTrades()
{
// Collection Order Test
TradeCollection trades = new TradeCollection();
Trade trade1 = new Trade(new DateTime(2015, 10, 2), 1, TRADE_SIGN.Buy, 100);
Trade trade2 = new Trade(new DateTime(2015, 10, 3), 1, TRADE_SIGN.Buy, 100);
Trade trade3 = new Trade(new DateTime(2015, 10, 1), 1, TRADE_SIGN.Buy, 100);
Trade trade4 = new Trade(new DateTime(2015, 10, 4), 1, TRADE_SIGN.Buy, 100);
Trade trade5 = new Trade(new DateTime(2015, 09, 1), 1, TRADE_SIGN.Buy, 100);
trades.Add(trade1);
trades.Add(trade2);
trades.Add(trade3);
trades.Add(trade4);
trades.Add(trade5);
Assert.AreEqual(5, trades.Count);
Assert.AreSame(trades.ElementAt(0), trade4);
Assert.AreSame(trades.ElementAt(1), trade2);
Assert.AreSame(trades.ElementAt(2), trade1);
Assert.AreSame(trades.ElementAt(3), trade3);
Assert.AreSame(trades.ElementAt(4), trade5);
}
// Standard constructor
protected GenericStock(string Symbol, float LastDividend, float ParValue)
{
m_Trades = new TradeCollection();
m_LastPrice = float.NaN;
m_Symbol = Symbol;
m_LastDividend = LastDividend;
m_ParValue = ParValue;
}
public MainViewModel()
{
OpenFileCommand = new OpenFileCommand(this);
FilterBestTradesCommand = new FilterBestTradesCommand(this);
FilterWorstTradesCommand = new FilterWorstTradesCommand(this);
FilterClearCommand = new FilterClearCommand(this);
Trades = new TradeCollection();
Filters = new ObservableCollection <FilterViewModel>();
Title = "Testing Results Analyzer";
InitFilters();
FilterMax = "10";
}
public void CalculateSummary(TradeCollection trades)
{
_trades = trades;
var includedTrades = trades.Where(x => Filter.IsIncluded(x));
var excludedTrades = trades.Where(x => !Filter.IsIncluded(x));
CalculateSummary(includedTrades, PerformanceData);
CalculateSummary(excludedTrades, ExcludedPerformanceData);
var basicStrategyPerformance = new PerformanceData();
CalculateSummary(trades, basicStrategyPerformance);
CalculateComparisonSummary(basicStrategyPerformance, PerformanceData);
}
public virtual TradeCollection GetTradesToday(PerformanceUnit unit)
{
TradeCollection tdtoday = null;
Dictionary <object, TradeCollection> dt;
DateTime now = Time[0].Date;
if (IsLiveTrading())
{
// foreach(Trade td in SystemPerformance.RealTimeTrades) {
// capTotal = capTotal + td.Entry.Price * td.Entry.Quantity;
// }
dt = SystemPerformance.RealTimeTrades.ByDay;
// foreach(var item in dt){
// Print(string.Format("ByDayRT: k={0}, v={1}", item.Key, item.Value));
// }
}
else
{
// foreach(Trade td in SystemPerformance.AllTrades) {
// capTotal = capTotal + td.Entry.Price * td.Entry.Quantity;
// }
dt = SystemPerformance.AllTrades.ByDay;
// foreach(var item in dt){
// Print(string.Format("ByDay: k={0}, ktype={1}, v={2}, tdtoday={3}",
// item.Key, item.Key.GetType(), item.Value, tdtoday));
// }
}
if (dt != null)
{
dt.TryGetValue(now, out tdtoday);
}
if (tdtoday != null)
{
Print(string.Format("ByDay tdtoday: now={0}, tdtoday={1}, count={2}, TradesCount={3}",
now, tdtoday, tdtoday.Count, tdtoday.TradesCount));
}
return(tdtoday);
}
void OnEntryPositions(IndicatorEventArgs e)
{
TradeCollection tc = GetTradesToday(PerformanceUnit.Currency);
if (tc != null && tc.TradesCount > 0)
{
// Print(string.Format("{0}:TotalQuantity={1}, NetProfit={2}", Time[0].Date, tc.TradesPerformance.TotalQuantity, tc.TradesPerformance.NetProfit));
return;
}
LongBip = giSQRSpd.LongBip;
ShortBip = giSQRSpd.ShortBip;
MidLongBip = giSQRSpd.MidLongBip;
MidShortBip = giSQRSpd.MidShortBip;
int q_Ln = GetTradeQuantity(LongBip, -1);
int q_St = GetTradeQuantity(ShortBip, -1);
int q_midLn = GetTradeQuantity(MidLongBip, -1);
int q_midSt = GetTradeQuantity(MidShortBip, -1);
// Print(String.Format("{0}:OnTradeBySQRSpd Entry Bip={1}: q_Ln={2}, q_St={3}, q_midLn={4}, q_midSt={5}",
// CurrentBars[BarsInProgress], BarsInProgress,
// q_Ln, q_St, q_midLn, q_midSt));
if (LongBip >= 0 && LongBip <= 8 &&
ShortBip >= 0 && ShortBip <= 8 &&
MidLongBip >= 0 && MidLongBip <= 8 &&
MidShortBip >= 0 && MidShortBip <= 8 &&
q_Ln > 0 && q_St > 0 && q_midLn > 0 && q_midSt > 0)
{
EnSQRSpdMA = giSQRSpd.MiddleBB[0];
EnterLong(ShortBip, q_St, SigName_EnSt);
EnterLong(LongBip, q_Ln, SigName_EnLn);
//EnterLong(MidLongBip, q_midLn, SigName_EnMidLn);
//EnterLong(MidShortBip, q_midSt, SigName_EnMidSt);
}
//EnterLong(BipIWMSt, q_iwmSt, "GIEnIWMSt");
}
// Standard constructor
protected GenericStock(string Symbol, float LastDividend, float ParValue)
{
m_Trades = new TradeCollection();
m_LastPrice = float.NaN;
m_Symbol = Symbol;
m_LastDividend = LastDividend;
m_ParValue = ParValue;
}
