/// <summary>
/// To calculate trade profitability. If the trade was already processed earlier, previous information returns.
/// </summary>
/// <param name="trade">Trade.</param>
/// <returns>Information on new trade.</returns>
public PnLInfo Process(ExecutionMessage trade)
{
if (trade == null)
{
throw new ArgumentNullException(nameof(trade));
}
var closedVolume = 0m;
var pnl = 0m;
var volume = trade.SafeGetVolume();
var price = trade.GetTradePrice();
_unrealizedPnL = null;
lock (_openedTrades.SyncRoot)
{
if (_openedTrades.Count > 0)
{
var currTrade = _openedTrades.Peek();
if (_openedPosSide != trade.Side)
{
while (volume > 0)
{
if (currTrade == null)
{
currTrade = _openedTrades.Peek();
}
var diff = currTrade.Second.Min(volume);
closedVolume += diff;
pnl += GetPnL(currTrade.First, diff, _openedPosSide, price);
volume -= diff;
currTrade.Second -= diff;
if (currTrade.Second != 0)
{
continue;
}
currTrade = null;
_openedTrades.Pop();
if (_openedTrades.Count == 0)
{
break;
}
}
}
}
if (volume > 0)
{
_openedPosSide = trade.Side;
_openedTrades.Push(RefTuple.Create(price, volume));
}
RealizedPnL += _multiplier * pnl;
}
return(new PnLInfo(trade, closedVolume, pnl));
}
public void TestSynchronizedStack()
{
SynchronizedStack<string> stack = new SynchronizedStack<string>();
stack.Push("one");
stack.Push("two");
Assert.IsTrue(stack.Count == 2);
foreach (string name in stack)
{
Assert.IsTrue(stack.Contains(name));
}
string peeked = stack.Peek();
Assert.AreEqual(peeked, stack.Pop());
Assert.IsTrue(stack.Count == 1);
stack.Clear();
Assert.IsTrue(stack.Count == 0);
}
