public void UpdateTimeIndex(MarketEvent market)
{
var marketHoldings = this.bars.Symbols.ToDictionary(symbol => symbol, cost => decimal.Zero);
var cash = this.currentCash;
var commision = this.currentComission;
var total = this.currentCash;
foreach (var symbol in this.bars.Symbols)
{
var qty = this.currentPositions[symbol];
var closePrice = this.bars.GetLastClosePrice(symbol);
if (closePrice == null)
{
if (qty != 0)
{
throw new InvalidOperationException($"Unknown close price for {symbol} with position qty={qty}.");
}
closePrice = decimal.Zero;
}
var marketValue = qty * closePrice.Value;
marketHoldings[symbol] = marketValue;
total += marketValue;
}
var change = this.initialCapital != decimal.Zero
? ((total - this.initialCapital) / this.initialCapital) * 100
: decimal.Zero;
var holding = new Holding();
foreach (var kvp in marketHoldings)
{
holding.SymbolHoldings.Add(kvp.Key, kvp.Value);
}
holding.Comission = commision;
holding.Cash = cash;
holding.Total = total;
holding.Change = change;
var dateTime = market.CurrentTime;
if (this.HoldingHistory.ContainsKey(dateTime))
{
this.HoldingHistory[dateTime] = holding;
}
else
{
this.HoldingHistory.Add(dateTime, holding);
}
}
