public object Clone()
{
var dico = AllocationTools <AllocationElement> .DeepCopy(Data);
var fees = (AllocationElement)Fees.Clone();
Allocation res = new Allocation(CcyRef, dico, fees)
{
Total = (Price)Total.Clone()
};
return(res);
}
private void AddAllocationToHistory(Allocation alloc, FXMarket fx)
{
Allocation newAlloc = (Allocation)alloc.Clone();
newAlloc.CancelFee();
newAlloc.Update(fx);
if (History.ContainsKey(fx.Date))
{
History[fx.Date] = newAlloc;
}
else
{
History.Add(fx.Date, newAlloc);
}
}
public double GetReturn(Allocation prevAlloc, Currency ccy = Currency.None)
{
if (ccy == Currency.None)
{
ccy = CcyRef;
}
double res = 0;
foreach (CurrencyPair cp in prevAlloc.GetCurrencyPairs())
{
double prevXR = prevAlloc.GetImpliedXChangeRate(cp);
double nextXR = GetImpliedXChangeRate(cp);
if (prevXR != 0 && nextXR != 0)
{
res += prevAlloc.GetElement(cp.Ccy1).Share *(nextXR / prevXR - 1);
}
}
return(res);
}
public List <Tuple <DateTime, double> > GetTimeSeries(ITimeSeriesKey itsk, bool isIndex, DateTime startDate)
{
List <Tuple <DateTime, double> > res = new List <Tuple <DateTime, double> >();
if (itsk.GetKeyType() == TimeSeriesKeyType.AllocationHistory)
{
double value;
double lastTSValue = Double.NaN;
Allocation prevAlloc = null;
Currency ccyRef = itsk.GetCurrencyRef();
IEnumerable <DateTime> DateList = History.Keys.Where(x => x >= startDate);
DateList = itsk.GetFrequency().GetSchedule(DateList.First(), DateList.Last(), true);
foreach (DateTime date in DateList)
{
History.TryGetValue(date, out Allocation alloc);
if (alloc != null)
{
if (!isIndex)
{
double amount = History[date].Total.Amount;
value = amount;
}
else
{
if (Double.IsNaN(lastTSValue))
{
value = 10000;
}
else
{
double returnAlloc = History[date].GetReturn(prevAlloc, ccyRef);
value = Double.IsNaN(lastTSValue) ? 10000 : lastTSValue * (1 + returnAlloc);
}
prevAlloc = (Allocation)History[date].Clone();
lastTSValue = value;
}
res.Add(new Tuple <DateTime, double>(date, value));
}
}
}
return(res);
}
private void AddTransaction(Transaction tx, DateTime nextTxDate, FXMarketHistory fxmh)
{
Allocation alloc = GetClosestAllocation(tx.Date, true);
FXMarket FX = fxmh.GetArtificialFXMarket(tx.Date);
alloc = alloc.AddTransaction(tx, FX);
alloc.CalculateTotal(FX);
if (History.ContainsKey(tx.Date))
{
tx.Date = tx.Date.AddSeconds(1);
}
History.Add(tx.Date, alloc);
// update the same allocation for the following days
List <DateTime> datesList = fxmh.ArtificialFXMarkets
.Keys
.Where(x => x > tx.Date && x < nextTxDate)
.Select(x => x).ToList();
foreach (DateTime date in datesList)
{
AddAllocationToHistory(alloc, fxmh.GetArtificialFXMarket(tx.Date));
}
}
public Allocation AddTransaction(Transaction tx)//, FXMarket fxMarket)
{
Allocation res = (Allocation)Clone();
res.CancelFee();
//// Changing the Amounts
// Received
if ((tx.Type == TransactionType.Deposit && tx.Received.Ccy.IsFiat()) || tx.Type == TransactionType.Trade || tx.Type == TransactionType.Transfer)
{
AllocationElement RecElement = res.GetElement(tx.Received.Ccy);
if (RecElement != null)
{
//AllocationElement allocIn = res.Dictionary[tx.Received.Ccy];
RecElement.Price.Amount += tx.Received.Amount;
}
else
{
res.Data.Add(new AllocationElement(tx.Received.Amount, tx.Received.Ccy));
}
}
if (tx.Type == TransactionType.Deposit && !tx.Received.Ccy.IsFiat())
{
//Console.WriteLine("");
}
//TODO: Find Transaction fees
if (tx.Type == TransactionType.WithDrawal && tx.Paid.Ccy.IsFiat())
{
AllocationElement PaidElmt = res.GetElement(tx.Paid.Ccy);
if (PaidElmt != null)
{
PaidElmt.Price.Amount -= tx.Paid.Amount;
}
else
{
throw new Exception("Paid in unavailable currency");
}
if (PaidElmt.Price.Amount < 0)
{
throw new Exception("Paid more than available");
}
}
// Paid
if (tx.Type == TransactionType.Trade && tx.Paid.Ccy != Currency.None)
{
AllocationElement PaidElement = res.GetElement(tx.Paid.Ccy);
if (PaidElement != null)
{
//AllocationElement alloc = res.Dictionary[tx.Paid.Ccy];
PaidElement.Price.Amount -= tx.Paid.Amount;
}
else
{
throw new Exception("Paid in unavailable currency");
}
if (PaidElement.Price.Amount < 0)
{
throw new Exception("Paid more than available");
}
}
// Fees
if (!tx.Fees.IsNull)
{
AllocationElement FeesElement = res.GetElement(tx.Fees.Ccy);
if (FeesElement != null)
{
//AllocationElement fAlloc = res.Dictionary[tx.Fees.Ccy];
FeesElement.Price.Amount -= tx.Fees.Amount;
if (FeesElement.Price.Amount < 0)
{
throw new Exception("Paid more than available (fees)");
}
res.Fees = new AllocationElement(tx.Fees.Amount, tx.Fees.Ccy);
}
else
{
throw new Exception("Paid in unavailable currency (fees)");
}
}
else
{
res.Fees = new AllocationElement(0, Currency.None);
}
//res.Update(fxMarket);
return(res);
}