/// <summary>
/// Gets the point in time portfolio over multiple deployments
/// </summary>
/// <param name="equityCurve">Equity curve series</param>
/// <param name="orders">Orders</param>
/// <returns>Enumerable of <see cref="PointInTimePortfolio"/></returns>
public static IEnumerable <PointInTimePortfolio> FromOrders(Series <DateTime, double> equityCurve, IEnumerable <Order> orders)
{
// Don't do anything if we have no orders or equity curve to process
if (!orders.Any() || equityCurve.IsEmpty)
{
yield break;
}
// Chunk different deployments into separate Lists for separate processing
var portfolioDeployments = new List <List <Order> >();
// Orders are guaranteed to start counting from 1. This ensures that we have
// no collision at all with the start of a deployment
var previousOrderId = 0;
var currentDeployment = new List <Order>();
// Make use of reference semantics to add new deployments to the list
portfolioDeployments.Add(currentDeployment);
foreach (var order in orders)
{
// In case we have two different deployments with only a single
// order in the deployments, <= was chosen because it covers duplicate values
if (order.Id <= previousOrderId)
{
currentDeployment = new List <Order>();
portfolioDeployments.Add(currentDeployment);
}
currentDeployment.Add(order);
previousOrderId = order.Id;
}
PointInTimePortfolio prev = null;
foreach (var deploymentOrders in portfolioDeployments)
{
// For every deployment, we want to start fresh.
var looper = new PortfolioLooper(
equityCurve.Where(kvp => kvp.Key <= deploymentOrders.First().Time).LastValue(),
deploymentOrders
);
foreach (var portfolio in looper.ProcessOrders(deploymentOrders))
{
prev = portfolio;
yield return(portfolio);
}
}
if (prev != null)
{
yield return(new PointInTimePortfolio(prev, equityCurve.LastKey()));
}
}
/// <summary>
/// Gets the point in time portfolio over multiple deployments
/// </summary>
/// <param name="equityCurve">Equity curve series</param>
/// <param name="orders">Orders</param>
/// <param name="liveSeries">Equity curve series originates from LiveResult</param>
/// <returns>Enumerable of <see cref="PointInTimePortfolio"/></returns>
public static IEnumerable <PointInTimePortfolio> FromOrders(Series <DateTime, double> equityCurve, IEnumerable <Order> orders, bool liveSeries = false)
{
// Don't do anything if we have no orders or equity curve to process
if (!orders.Any() || equityCurve.IsEmpty)
{
yield break;
}
// Chunk different deployments into separate Lists for separate processing
var portfolioDeployments = new List <List <Order> >();
// Orders are guaranteed to start counting from 1. This ensures that we have
// no collision at all with the start of a deployment
var previousOrderId = 0;
var currentDeployment = new List <Order>();
// Make use of reference semantics to add new deployments to the list
portfolioDeployments.Add(currentDeployment);
foreach (var order in orders)
{
// In case we have two different deployments with only a single
// order in the deployments, <= was chosen because it covers duplicate values
if (order.Id <= previousOrderId)
{
currentDeployment = new List <Order>();
portfolioDeployments.Add(currentDeployment);
}
currentDeployment.Add(order);
previousOrderId = order.Id;
}
PortfolioLooper looper = null;
PointInTimePortfolio prev = null;
foreach (var deploymentOrders in portfolioDeployments)
{
if (deploymentOrders.Count == 0)
{
Log.Trace($"PortfolioLooper.FromOrders(): Deployment contains no orders");
continue;
}
var startTime = deploymentOrders.First().Time;
var deployment = equityCurve.Where(kvp => kvp.Key <= startTime);
if (deployment.IsEmpty)
{
Log.Trace($"PortfolioLooper.FromOrders(): Equity series is empty after filtering with upper bound: {startTime}");
continue;
}
// Skip any deployments that haven't been ran long enough to be generated in live mode
if (liveSeries && deploymentOrders.First().Time.Date == deploymentOrders.Last().Time.Date)
{
Log.Trace("PortfolioLooper.FromOrders(): Filtering deployment because it has not been deployed for more than one day");
continue;
}
// For every deployment, we want to start fresh.
looper = new PortfolioLooper(deployment.LastValue(), deploymentOrders);
foreach (var portfolio in looper.ProcessOrders(deploymentOrders))
{
prev = portfolio;
yield return(portfolio);
}
}
if (prev != null)
{
yield return(new PointInTimePortfolio(prev, equityCurve.LastKey()));
}
looper.DisposeSafely();
}