private void ProcessTrade(TradeResult tr, Position pos, decimal pospl)
{
//Compare to prevpos
bool initial = false;
if (_prevPos == null)
{
_prevPos = pos;
initial = true;
}
if (_tradecount.ContainsKey(tr.Source.Symbol))
{
_tradecount[tr.Source.Symbol]++;
}
else
{
_tradecount.Add(tr.Source.Symbol, 1);
}
if (!_days.Contains(tr.Source.Xdate))
{
_days.Add(tr.Source.Xdate);
}
int usizebefore = _prevPos.UnsignedSize;
var miubefore = _prevPos.IsFlat ? 0 : _prevPos.UnsignedSize * _prevPos.AvgPrice;
//Use new position from here
bool isroundturn = (usizebefore > 0) && pospl != 0 && !initial && (pos.Direction != _prevPos.Direction);
// get comissions
Commissions += tr.Commission;
// calculate MIU and store on array
var miu = pos.IsFlat ? 0 : pos.AvgPrice * pos.UnsignedSize;
if (miu != 0)
{
_miu.Add(miu);
}
// if we closed something, update return
decimal grosspl = pospl;
decimal netpl = grosspl - tr.Commission;
// count return
_grossreturn.Add(grosspl);
_netreturns.Add(netpl);
// get pct return for portfolio
decimal pctret;
if (miubefore == 0)
{
pctret = netpl / miu;
}
else
{
pctret = netpl / miubefore;
}
_pctrets.Add(pctret);
//adjust initial capital based balance
decimal portfolioreturn = netpl / Balance;
_portfPctreturns.Add(portfolioreturn);
// add to neg returns if negative
if (portfolioreturn < 0)
{
_portfNegpctreturns.Add(portfolioreturn);
}
// adjust current balance
Balance += netpl;
// if it is below our zero, count it as negative return
if (pctret < 0)
{
_negret.Add(pctret);
}
if (isroundturn)
{
RoundTurns++;
if (pospl >= 0)
{
RoundWinners++;
}
else if (pospl < 0)
{
RoundLosers++;
}
}
if (!Symbols.Contains(tr.Source.Symbol))
{
Symbols += tr.Source.Symbol + ",";
SymbolCount++;
}
Trades++;
SharesTraded += Math.Abs(tr.Source.Xsize / tr.Source.Security.LotSize);
GrossPL += tr.ClosedPl;
if ((tr.ClosedPl > 0) && !_exitscounted.Contains(tr.Source.Id))
{
if (tr.Source.Direction == Direction.Long)
{
SellWins++;
SellPL += tr.ClosedPl;
}
else
{
BuyWins++;
BuyPL += tr.ClosedPl;
}
if (tr.Source.Id != 0)
{
_exitscounted.Add(tr.Id);
}
Winners++;
_consecWinners++;
_consecLosers = 0;
}
else if ((tr.ClosedPl < 0) && !_exitscounted.Contains(tr.Source.Id))
{
if (tr.Source.Direction == Direction.Long)
{
SellLosers++;
SellPL += tr.ClosedPl;
}
else
{
BuyLosers++;
BuyPL += tr.ClosedPl;
}
if (tr.Source.Id != 0)
{
_exitscounted.Add(tr.Id);
}
Losers++;
_consecLosers++;
_consecWinners = 0;
}
if (tr.ClosedPl > 0)
{
_winpnl += tr.ClosedPl;
}
else if (tr.ClosedPl < 0)
{
_losepnl += tr.ClosedPl;
}
if (_consecWinners > ConsecWin)
{
ConsecWin = _consecWinners;
}
if (_consecLosers > ConsecLose)
{
ConsecLose = _consecLosers;
}
if ((tr.OpenSize == 0) && (tr.ClosedPl == 0))
{
Flats++;
}
if (tr.ClosedPl > MaxWin)
{
MaxWin = tr.ClosedPl;
}
if (tr.ClosedPl < MaxLoss)
{
MaxLoss = tr.ClosedPl;
}
if (tr.OpenPl > MaxOpenWin)
{
MaxOpenWin = tr.OpenPl;
}
if (tr.OpenPl < MaxOpenLoss)
{
MaxOpenLoss = tr.OpenPl;
}
//set prev position
_prevPos = pos;
}