public void SetAdvisorRankingAndProfit()
{
var advisors = AdvisorBusiness.ListAllAdvisors().Select(c => c.Id).Distinct().ToList();
List <Order> orders = null;
List <AssetCurrentValue> assetsCurrentValues = null;
List <Order> finishedOrders = null;
var now = Data.GetDateTimeNow();
Parallel.Invoke(() => orders = OrderBusiness.ListOrdersForRankingProfitCalculation(advisors),
() => assetsCurrentValues = AssetCurrentValueBusiness.ListAllAssets(true),
() => finishedOrders = OrderBusiness.ListOrders(advisors, null, new OrderStatusType[] { OrderStatusType.Finished }));
var assetsBidValues = assetsCurrentValues.ToDictionary(c => c.Id, c => c.BidValue);
var assetsAskValues = assetsCurrentValues.ToDictionary(c => c.Id, c => c.AskValue);
var groupedOrders = orders.GroupBy(c => c.UserId).ToDictionary(c => c.Key, c => c.ToList());
var advisorRankingAndProfitData = new Dictionary <int, AdvisorRankingAndProfitData>();
foreach (var advisorOrders in groupedOrders)
{
advisorRankingAndProfitData[advisorOrders.Key] = GetAdvisorRankingAndProfitData(now, advisorOrders.Value, assetsBidValues, assetsAskValues);
}
var totalCount = advisorRankingAndProfitData.Sum(c => c.Value.OrderCount);
if (totalCount == 0)
{
return;
}
var totalWeight = advisorRankingAndProfitData.Sum(c => c.Value.RankingWeight);
var generalAvg = totalWeight != 0 ? advisorRankingAndProfitData.Sum(c => c.Value.RankingWeightedProfit) / totalWeight : 0;
var weightedStdDivisor = totalWeight * (totalCount - 1) / totalCount;
var consideredAdvisors = advisorRankingAndProfitData.Where(c => c.Value.RankingWeight != 0 && c.Value.OrderCount > 0);
double weightedStd = 0;
if (weightedStdDivisor != 0)
{
weightedStd = Math.Sqrt(consideredAdvisors
.Sum(c => (Math.Pow((c.Value.RankingWeightedProfit / c.Value.RankingWeight) - generalAvg, 2) * c.Value.RankingWeight) / weightedStdDivisor));
}
var z = new Dictionary <int, double>();
var minZ = 0.0;
var normalizationDivisor = 1.0;
if (weightedStd != 0)
{
z = consideredAdvisors.ToDictionary(c => c.Key, c => ((c.Value.RankingWeightedProfit / c.Value.RankingWeight) - generalAvg) / (weightedStd / Math.Sqrt(c.Value.OrderCount)));
minZ = z.Min(c => c.Value);
normalizationDivisor = z.Max(c => c.Value) - minZ;
}
else
{
var value = 1.0001;
z = consideredAdvisors.OrderByDescending(c => c.Value.OrderCount).ToDictionary(c => c.Key, c =>
{
value -= 0.0001;
return(value);
});
}
var advisorRating = new Dictionary <int, double>();
advisors.ForEach(c =>
{
if (!z.ContainsKey(c))
{
advisorRating[c] = 2.5;
}
else
{
advisorRating[c] = 2.501 + (2.499 * ((z[c] - minZ) / normalizationDivisor));
}
});
var advisorsOrdered = advisorRating.OrderByDescending(c => c.Value).ThenByDescending(c => c.Key);
var advisorsRanking = new List <AdvisorRanking>();
var advisorsProfit = new List <AdvisorProfit>();
for (int i = 0; i < advisorsOrdered.Count(); ++i)
{
var id = advisorsOrdered.ElementAt(i).Key;
advisorsRanking.Add(new AdvisorRanking()
{
Id = id,
UpdateDate = now,
Ranking = i + 1,
Rating = advisorsOrdered.ElementAt(i).Value
});
var usdPosition = AdvisorProfitBusiness.GetBaseUsdAdvisorProfit(id, now);
if (advisorRankingAndProfitData.ContainsKey(id))
{
var advisorProfit = BuildAdvisorsProfit(id, now, advisorRankingAndProfitData[id].AssetProfitData);
if (advisorProfit.Any())
{
var closedPositions = groupedOrders[id].Where(c => c.OrderStatusType == OrderStatusType.Close);
if (closedPositions.Any())
{
usdPosition.TotalDollar += closedPositions.Sum(c => GetExpectedCloseValue(c) - c.Fee.Value);
}
var openOrders = groupedOrders[id].Where(c => c.AssetId != AssetUSDId && (c.OrderStatusType == OrderStatusType.Open));
if (openOrders.Any())
{
usdPosition.TotalDollar -= openOrders.Sum(c => c.Price * c.Quantity);
}
var openPositions = groupedOrders[id].Where(c => c.AssetId != AssetUSDId && (c.OrderStatusType == OrderStatusType.Executed));
if (openPositions.Any())
{
usdPosition.TotalDollar -= openPositions.Sum(c => c.Price * c.Quantity + c.Fee.Value);
}
var userFinishedOrders = finishedOrders.Where(c => c.UserId == id);
if (userFinishedOrders.Any())
{
usdPosition.TotalDollar -= userFinishedOrders.Sum(c => c.Price * c.Quantity + c.Fee.Value);
}
usdPosition.TotalQuantity = usdPosition.TotalDollar;
advisorsProfit.AddRange(advisorProfit);
}
}
advisorsProfit.Add(usdPosition);
}
Parallel.Invoke(() => Data.SetAdvisorRanking(advisorsRanking),
() => AdvisorProfitBusiness.SetAdvisorProfit(advisorsProfit));
UpdateAdvisorsFullDataCache(Data.ListAdvisorsRankingAndProfit(null, null));
}
