private AdvisorRankingAndProfitData GetAdvisorRankingAndProfitData(DateTime now, List <Order> advisorClosedOpenAndRunningOrders, Dictionary <int, double> assetsBidValues,
Dictionary <int, double> assetsAskValues)
{
var result = new AdvisorRankingAndProfitData();
var advisorClosedOrders = advisorClosedOpenAndRunningOrders.Where(c => c.OrderStatusType == OrderStatusType.Close);
foreach (var order in advisorClosedOrders)
{
var tradeMinutes = Convert.ToInt32(Math.Round(order.StatusDate.Subtract(order.OpenDate.Value).TotalMinutes, 0));
SetAdvisorRankingAndProfitData(ref result, order.OrderStatusType, order.OrderType, order.AssetId, order.Profit.Value, order.Quantity, GetExpectedCloseValue(order) - order.Fee.Value, now, order.StatusDate, tradeMinutes, order.TotalTradeFee);
}
var advisorOpenOrders = advisorClosedOpenAndRunningOrders.Where(c => c.OrderStatusType == OrderStatusType.Open);
foreach (var order in advisorOpenOrders)
{
SetAdvisorRankingAndProfitData(ref result, order.OrderStatusType, order.OrderType, order.AssetId, 0, order.Quantity, order.Price * order.Quantity, now, order.StatusDate, null, order.Fee);
}
var advisorRunningOrders = advisorClosedOpenAndRunningOrders.Where(c => c.OrderStatusType == OrderStatusType.Executed && c.AssetId != AssetUSDId);
if (advisorRunningOrders.Any())
{
var assetsAvgPrice = advisorRunningOrders.GroupBy(c => new { c.AssetId, c.Type }).Select(c => new
{
AssetId = c.Key.AssetId,
OrderType = OrderType.Get(c.Key.Type),
TotalUSD = c.Sum(s => s.RemainingQuantity * s.Price),
TotalQuantity = c.Sum(s => s.RemainingQuantity),
TotalFee = c.Sum(s => s.Fee ?? 0)
});
foreach (var avgPrice in assetsAvgPrice)
{
var price = (avgPrice.TotalUSD / avgPrice.TotalQuantity);
var dictionaryPrice = avgPrice.OrderType == OrderType.Buy ? assetsBidValues : assetsAskValues;
var currentValue = dictionaryPrice.ContainsKey(avgPrice.AssetId) ? dictionaryPrice[avgPrice.AssetId] : price;
var expectedCloseValue = OrderBusiness.GetExpectedCloseValue(avgPrice.OrderType, price, currentValue, avgPrice.TotalQuantity);
var closedFee = expectedCloseValue * OrderFee;
var totalDollar = expectedCloseValue - closedFee;
var feePercentage = avgPrice.TotalFee / (price * avgPrice.TotalQuantity + avgPrice.TotalFee);
var profit = OrderBusiness.GetProfitValue(totalDollar, price, avgPrice.TotalQuantity, feePercentage);
SetAdvisorRankingAndProfitData(ref result, OrderStatusType.Executed, avgPrice.OrderType, avgPrice.AssetId, profit, avgPrice.TotalQuantity, totalDollar, now, now, null, avgPrice.TotalFee);
}
}
return(result);
}
private void SetAdvisorRankingAndProfitData(ref AdvisorRankingAndProfitData advisorRankingAndProfitData, OrderStatusType statusType, OrderType orderType,
int assetId, double profit, double quantity, double totalUSD, DateTime now, DateTime closeDate, int?tradeMinutes, double?fee)
{
var investedDollar = profit != -1 ? (totalUSD / (1 + profit)) : totalUSD;
if (statusType != OrderStatusType.Open)
{
var days = now.Subtract(closeDate).TotalDays;
var weight = (days <= 30 ? 1.0 : Math.Max((Math.Log(days) / -2.5100067169575757) + 2.3550550915595987, 0.0)) * investedDollar;
advisorRankingAndProfitData.RankingWeight += weight;
advisorRankingAndProfitData.RankingWeightedProfit += profit * weight;
if (weight > 0)
{
++advisorRankingAndProfitData.OrderCount;
}
}
if (!advisorRankingAndProfitData.AssetProfitData.ContainsKey(assetId))
{
advisorRankingAndProfitData.AssetProfitData[assetId] = new Dictionary <OrderStatusType, Dictionary <OrderType, AdvisorRankingAndProfitData.ProfitData> >();
}
if (!advisorRankingAndProfitData.AssetProfitData[assetId].ContainsKey(statusType))
{
advisorRankingAndProfitData.AssetProfitData[assetId][statusType] = new Dictionary <OrderType, AdvisorRankingAndProfitData.ProfitData>();
}
if (!advisorRankingAndProfitData.AssetProfitData[assetId][statusType].ContainsKey(orderType))
{
advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType] = new AdvisorRankingAndProfitData.ProfitData();
}
advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].SummedProfitPercentage += profit;
advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].TotalDollar += totalUSD;
advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].TotalQuantity += quantity;
advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].SummedProfitDollar += totalUSD - investedDollar;
++advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].OrderCount;
if (profit > 0)
{
++advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].SuccessCount;
}
if (tradeMinutes.HasValue)
{
if (advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].SummedTradeMinutes.HasValue)
{
advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].SummedTradeMinutes += tradeMinutes.Value;
}
else
{
advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].SummedTradeMinutes = tradeMinutes.Value;
}
}
if (fee.HasValue)
{
if (advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].TotalFee.HasValue)
{
advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].TotalFee += fee.Value;
}
else
{
advisorRankingAndProfitData.AssetProfitData[assetId][statusType][orderType].TotalFee = fee.Value;
}
}
}
