public PerformanceResult GetPerformanceResult(TradeSet set = TradeSet.All)
{
List <Trade> tradesList = new List <Trade>();
//get the trades from all test sets
foreach (TestSet testSet in testSets)
{
//can split these into trades from train and test set if TradeSet parameter is passed
if (set == TradeSet.All)
{
tradesList.AddRange(testSet.Trades);
}
else if (set == TradeSet.Test)
{
tradesList.AddRange(testSet.Trades.Where(x => x.OpenTime > EndTrainDate));
}
else if (set == TradeSet.Train)
{
tradesList.AddRange(testSet.Trades.Where(x => x.CloseTime <= EndTrainDate));
}
}
Trade[] trades = tradesList.ToArray();
PerformanceResult pr = new PerformanceResult();
pr.Description = Description + " " + set.ToString();
pr.TradeCount = trades.Count();
pr.TotalProfit = trades.Sum(x => x.Profit);
pr.SpreadCost = trades.Sum(x => x.SpreadCost);
pr.WinPercent = PerformanceResult.CalculateWinPercent(trades);
pr.ProfitFactor = PerformanceResult.CalculateProfitFactor(trades);
return(pr);
}
public Trade[] GetTradeSet(string description, TradeSet set = TradeSet.All)
{
TestSet testSet = testSets.Where(x => x.Description == description).FirstOrDefault();
if (testSet == null)
{
return(null);
}
//can split these into trades from train and test set if TradeSet parameter is passed
if (set == TradeSet.All)
{
return(testSet.Trades);
}
else if (set == TradeSet.Test)
{
return(testSet.Trades.Where(x => x.OpenTime > EndTrainDate).ToArray());
}
else if (set == TradeSet.Train)
{
return(testSet.Trades.Where(x => x.CloseTime <= EndTrainDate).ToArray());
}
return(null);
}
public async Task <Guid> AddTradeSet(TradeSet tradeSet)
{
State.TradeSets[tradeSet.TrackingId] = tradeSet;
await WriteStateAsync();
return(tradeSet.TrackingId);
}
public Transaction CreateTransaction(TradeOrder order, TradeSet ts, Entity.Indicator ind)
{
Share s = new ShareBLL(_unit).GetByID(order.ShareId);
Transaction tr = new Transaction {
Direction = order.Direction,
Message = string.Format("{0} {1} * {2} @ ${3}", order.Direction, s.Symbol, order.Size, order.OrderPrice),
ModifiedBy = order.UpdatedBy,
ModifiedDate = DateTime.Now,
Price = order.OrderPrice,
Size = order.Size,
Fee = order.Fee,
TradingDate = ind.TradingDate,
TradeOrderId = order.Id
//,
//TradeSetID = ts.Id
};
this.Create(tr);
return(tr);
}
public void ToCsv(string filename, TradeSet set = TradeSet.All)
{
Trade[] trades = Trades;
if (set == TradeSet.Test)
{
trades = Trades.Where(x => x.CloseTime > EndTrainDate).ToArray();
}
else if (set == TradeSet.Train)
{
trades = Trades.Where(x => x.CloseTime <= EndTrainDate).ToArray();
}
List <string> tradeStrings = new List <string>();
tradeStrings.Add(Trade.GetCsvHeaders(TradeDataLabels));
foreach (Trade trade in trades)
{
tradeStrings.Add(trade.ToString());
}
File.WriteAllLines(filename, tradeStrings);
}
/// <summary>
/// 修改交易设置信息
/// </summary>
/// <param name="loginID">登陆标识</param>
/// <param name="tradingSettingInfo">修改后的交易设置信息</param>
/// <returns>ErrType</returns>
public ErrType ModifyTradeSet(string loginID, TradeConfigInfo tradingSettingInfo)
{
try
{
TradeSet tradeSet = new TradeSet();
tradeSet.ObjName = tradingSettingInfo.ObjName;
tradeSet.ObjCode = tradingSettingInfo.ObjCode;
tradeSet.ObjValue = tradingSettingInfo.ObjValue;
tradeSet.Remark = tradingSettingInfo.Remark;
ResultDesc result = ManagerService.ModifyTradeSet(tradeSet, loginID);
return result.Result ? GeneralErr.Success : new ErrType(ERR.SERVICE, result.Desc);
}
catch (TimeoutException te)
{
FileLog.WriteLog("", Assembly.GetExecutingAssembly().GetName().Name, this.GetType().Name, new StackTrace().GetFrame(0).GetMethod().Name, te.Message);
return new ErrType(ERR.EXEPTION, ErrorText.TimeoutException);
}
catch (Exception ex)
{
FileLog.WriteLog("", Assembly.GetExecutingAssembly().GetName().Name, this.GetType().Name,
new StackTrace().GetFrame(0).GetMethod().Name, ex.Message);
return new ErrType(ERR.EXEPTION, ErrorText.OperationError);
}
}
/// <summary>
/// Creates the trade position.
/// </summary>
/// <param name="order">The order.</param>
/// <param name="ts">The ts.</param>
/// <returns>is position closed </returns>
public TradePosition CreateTradePosition(Transaction trans, TradeOrder order, TradeSet ts, Entity.Indicator ind, out bool isReverse)
{
TradePosition tp = null;
TradeOrderBLL toBll = new TradeOrderBLL(_unit);
//TradeOrder order = toBll.GetByID(trans.TradeOrderId);
isReverse = false;
tp = _unit.DataContext.TradePosition.Where(p => p.AccountId == order.AccountId && p.ShareId == order.ShareId).SingleOrDefault();
if (tp == null)
{
tp = new TradePosition
{
ShareId = order.ShareId,
AccountId = order.AccountId,
Size = trans.Size * order.Flag,
EntryPrice = (trans.Size * trans.Price + trans.Fee * trans.Flag) / trans.Size,
UpdateDT = DateTime.Now,
CurrentPrice = ind.Close.Value,
CurrentTradingDate = ind.TradingDate,
};
this.Create(tp);
}
else
{
// update the position size
if (toBll.IsReverse(order, tp))
{
isReverse = true;
tp.Size += order.Size * order.Flag;
if (tp.Size != 0)
{
tp.EntryPrice = tp.EntryCost / Math.Abs(tp.Size);
}
tp.UpdateDT = DateTime.Now;
tp.CurrentPrice = ind.Close.Value;
tp.CurrentTradingDate = ind.TradingDate;
this.Update(tp);
}
else
{
tp.Size += order.Size * order.Flag;
if (tp.Size != 0)
{
tp.EntryPrice = tp.EntryCost / Math.Abs(tp.Size);
}
tp.UpdateDT = DateTime.Now;
tp.CurrentPrice = ind.Close.Value;
tp.CurrentTradingDate = ind.TradingDate;
this.Update(tp);
}
}
return(tp);
}
public Task <Guid> AddTradeSet(string tradesetName, params ItemRecipe[] itemRecipes)
{
var tradeSet = new TradeSet(tradesetName, itemRecipes);
return(AddTradeSet(tradeSet));
}
