public static void OrderCalcWorkerOnDoWork(object senderWorker, DoWorkEventArgs argsWithTicker)
{
var worker = (BackgroundWorker) senderWorker;
var ticker = (string) argsWithTicker.Argument;
var account = AccountStatus.Instance.AccountData;
if (account == null) return;
var orders = new List<MarketOrder>();
try
{
// получить закрытые ордера порциями
while (true)
{
if (worker.CancellationPending) return;
var startId = orders.Count == 0 ? 0 : orders.Max(o => o.ID);
var ordersPart = TradeSharpAccount.Instance.proxy.GetClosedOrders(AccountStatus.Instance.accountID,
ticker, startId, 200) ?? new List<MarketOrder>();
if (ordersPart.Count == 0) break;
orders.AddRange(ordersPart);
}
// получить открытые ордера
if (worker.CancellationPending) return;
List<MarketOrder> openedOrders;
TradeSharpAccount.Instance.proxy.GetMarketOrders(AccountStatus.Instance.accountID, out openedOrders);
if (openedOrders != null && openedOrders.Count > 0)
{
openedOrders = openedOrders.Where(o => o.Symbol == ticker).ToList();
if (openedOrders.Count > 0)
{
CalculateOpenedOrdersResult(openedOrders, account.Currency);
orders.AddRange(openedOrders);
}
}
}
catch (Exception ex)
{
Logger.Error("Ошибка получения ордеров", ex);
MessageBox.Show(Localizer.GetString("MessageErrorGettingOrders"),
Localizer.GetString("TitleError"),
MessageBoxButtons.OK, MessageBoxIcon.Error);
return;
}
if (orders.Count == 0) return;
var balanceOnDate = new BalanceAndEquitySeriesData();
var startDate = orders.Min(o => o.TimeEnter).Date;
var endDate = DateTime.Now;
orders.ForEach(o =>
{
o.TimeExit = o.TimeExit ?? endDate;
o.State = PositionState.Opened;
});
orders = orders.Where(o => o.TimeExit.HasValue).OrderBy(o => o.TimeExit).ToList();
var balance = 0f;
// установить "курсор" котировок на начало наблюдаемого отрезка
var cursor = new BacktestTickerCursor();
var tickers = new List<string> {ticker};
// нужна еще валюта пересчета?
bool inverse, pairsEqual;
var tickerCounterDepo = DalSpot.Instance.FindSymbol(ticker, false, account.Currency,
out inverse, out pairsEqual);
if (!string.IsNullOrEmpty(tickerCounterDepo) && tickerCounterDepo != ticker)
tickers.Add(tickerCounterDepo);
cursor.SetupCursor(TerminalEnvironment.QuoteCacheFolder, tickers, startDate);
try
{
for (var date = startDate; ; )
{
if (date != endDate && DaysOff.Instance.IsDayOff(date))
{
date = date.AddDays(1);
continue;
}
for (var i = 0; i < orders.Count; i++)
{
if (orders[i].TimeExit > date) break;
balance += orders[i].ResultDepo;
orders.RemoveAt(i);
i--;
}
// получить текущий результат по открытым на момент ордерам
var equity = balance;
var curDate = date;
var curOrders = orders.Where(o => o.TimeEnter <= curDate).ToList();
if (curOrders.Count > 0)
{
cursor.MoveToTime(date);
var curProfit = DalSpot.Instance.CalculateOpenedPositionsCurrentResult(curOrders,
cursor.GetCurrentQuotes().ToDictionary(c => c.a,
c => new QuoteData(c.b.close, c.b.close, curDate)), account.Currency);
equity += curProfit;
}
balanceOnDate.lstBalance.Add(new TimeBalans(date, balance));
balanceOnDate.lstEquity.Add(new TimeBalans(date, equity));
if (date == endDate) break;
date = date.AddDays(1);
if (date > endDate) date = endDate;
}
}
finally
{
cursor.Close();
}
// сместить последнюю дату кривой баланса
balanceOnDate.ShiftLastDate();
argsWithTicker.Result = balanceOnDate;
}
public static void OrderCalcWorkerOnDoWork(object senderWorker, DoWorkEventArgs argsWithTicker)
{
var worker = (BackgroundWorker)senderWorker;
var ticker = (string)argsWithTicker.Argument;
var account = AccountStatus.Instance.AccountData;
if (account == null)
{
return;
}
var orders = new List <MarketOrder>();
try
{
// получить закрытые ордера порциями
while (true)
{
if (worker.CancellationPending)
{
return;
}
var startId = orders.Count == 0 ? 0 : orders.Max(o => o.ID);
var ordersPart = TradeSharpAccount.Instance.proxy.GetClosedOrders(AccountStatus.Instance.accountID,
ticker, startId, 200) ?? new List <MarketOrder>();
if (ordersPart.Count == 0)
{
break;
}
orders.AddRange(ordersPart);
}
// получить открытые ордера
if (worker.CancellationPending)
{
return;
}
List <MarketOrder> openedOrders;
TradeSharpAccount.Instance.proxy.GetMarketOrders(AccountStatus.Instance.accountID, out openedOrders);
if (openedOrders != null && openedOrders.Count > 0)
{
openedOrders = openedOrders.Where(o => o.Symbol == ticker).ToList();
if (openedOrders.Count > 0)
{
CalculateOpenedOrdersResult(openedOrders, account.Currency);
orders.AddRange(openedOrders);
}
}
}
catch (Exception ex)
{
Logger.Error("Ошибка получения ордеров", ex);
MessageBox.Show(Localizer.GetString("MessageErrorGettingOrders"),
Localizer.GetString("TitleError"),
MessageBoxButtons.OK, MessageBoxIcon.Error);
return;
}
if (orders.Count == 0)
{
return;
}
var balanceOnDate = new BalanceAndEquitySeriesData();
var startDate = orders.Min(o => o.TimeEnter).Date;
var endDate = DateTime.Now;
orders.ForEach(o =>
{
o.TimeExit = o.TimeExit ?? endDate;
o.State = PositionState.Opened;
});
orders = orders.Where(o => o.TimeExit.HasValue).OrderBy(o => o.TimeExit).ToList();
//==============================================
// получить изменения баланса
if (worker.CancellationPending)
{
return;
}
List <BalanceChange> balanceChanges;
var status = TradeSharpAccount.Instance.proxy.GetBalanceChanges(account.ID, null, out balanceChanges);
if (status != RequestStatus.OK || balanceChanges == null)
{
MessageBox.Show(string.Format(Localizer.GetString("MessageUnableToGetTransfersHistory") + ": {0}",
EnumFriendlyName <RequestStatus> .GetString(status)));
return;
}
var dueBalances = balanceChanges.Where(bc =>
bc.ChangeType == BalanceChangeType.Deposit || bc.ChangeType == BalanceChangeType.Withdrawal)
.OrderBy(x => x.ValueDate)
.ToList();
//==============================================
var balance = 0f;
// установить "курсор" котировок на начало наблюдаемого отрезка
var cursor = new BacktestTickerCursor();
var tickers = new List <string> {
ticker
};
// нужна еще валюта пересчета?
bool inverse, pairsEqual;
var tickerCounterDepo = DalSpot.Instance.FindSymbol(ticker, false, account.Currency,
out inverse, out pairsEqual);
if (!string.IsNullOrEmpty(tickerCounterDepo) && tickerCounterDepo != ticker)
{
tickers.Add(tickerCounterDepo);
}
cursor.SetupCursor(ExecutablePath.ExecPath + TerminalEnvironment.QuoteCacheFolder, tickers, startDate);
try
{
for (var date = startDate; ;)
{
if (date != endDate && DaysOff.Instance.IsDayOff(date))
{
date = date.AddDays(1);
continue;
}
for (var i = 0; i < dueBalances.Count; i++)
{
if (dueBalances[i].ValueDate > date)
{
break;
}
balance += (float)dueBalances[i].SignedAmountDepo;
dueBalances.RemoveAt(i);
i--;
}
for (var i = 0; i < orders.Count; i++)
{
if (orders[i].TimeExit > date)
{
break;
}
balance += orders[i].ResultDepo;
orders.RemoveAt(i);
i--;
}
// получить текущий результат по открытым на момент ордерам
var equity = balance;
var curDate = date;
var curOrders = orders.Where(o => o.TimeEnter <= curDate).ToList();
var curProfit = 0f;
if (curOrders.Count > 0)
{
cursor.MoveToTime(date);
var quotes = cursor.GetCurrentQuotes().ToDictionary(c => c.a,
c => new QuoteData(c.b.close, c.b.close, curDate));
curProfit = DalSpot.Instance.CalculateOpenedPositionsCurrentResult(curOrders,
quotes, account.Currency);
equity += curProfit;
var errors = new List <string>();
var exp = DalSpot.Instance.CalculateExposure(curOrders,
quotes, account.Currency, errors);
if (errors.Count == 0)
{
var leverage = (float)Math.Abs(exp) / equity;
balanceOnDate.lstLeverage.Add(new TimeBalans(date, leverage));
}
}
balanceOnDate.lstBalance.Add(new TimeBalans(date, balance));
balanceOnDate.lstEquity.Add(new TimeBalans(date, equity));
balanceOnDate.lstDrawDown.Add(new TimeBalans(date, curProfit < 0 ? curProfit : 0));
if (date == endDate)
{
break;
}
date = date.AddDays(1);
if (date > endDate)
{
date = endDate;
}
}
}
finally
{
cursor.Close();
}
// сместить последнюю дату кривой баланса
balanceOnDate.ShiftLastDate();
argsWithTicker.Result = balanceOnDate;
}
