public static double GetWithdrawnByTimeline(int timelineId, DailyEquity dailyEquity, List <TradeRecord> trades)
{
if (trades.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Dates.SecondsToDate(trades[0].OpenTime).Date;
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate);
}
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var withdrawn = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && (x.Cmd == TradeCommand.Balance || x.Cmd == TradeCommand.Credit) && x.Profit < 0).Sum(x => x.Profit);
return(withdrawn);
}
else
{
return(0);
}
}
public static double CalculateNavForTimeline(int timelineId, DailyEquity dailyEquity)
{
if (dailyEquity.EquityByDate.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Convert.ToDateTime(dailyEquity.EquityByDate[0].date);
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate);
}
var endingNav = dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).Select(x => x.Equity).FirstOrDefault() == 0 ? 0 :
dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).Select(x => x.Equity).FirstOrDefault();
return(endingNav);
}
else
{
return(0);
}
}
public object UpdateDailyEquity(DailyEquity existingtDailyEquities)
{
try
{
_unitOfWork.DailyEquityRepository.Update(existingtDailyEquities);
return(true);
}
catch (Exception ex)
{
return(false);
}
}
public static double GetStartingBalanceByTimeline(int timelineId, DailyEquity dailyEquity, List <TradeRecord> trades)
{
if (dailyEquity != null && dailyEquity.EquityByDate.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Dates.SecondsToDate(trades[0].OpenTime).Date;
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
var startingBalance = dailyEquity.EquityByDate.Where(x => x.date == startDate.ToString()).Select(x => x.Equity).FirstOrDefault();
return(startingBalance);
}
else
{
return(0);
}
}
private static void CalculateDailyNav(List <MT4UserRequest> userRequests)
{
try
{
List <DailyEquity> insertDailyEquityOfUser = new List <DailyEquity>();
foreach (var userRequest in userRequests)
{
if (userRequest.Login == 442842)
{
}
var existingtDailyEquities = _eLTService.getDailyEquitiesByAccountNumber(userRequest.Login, userRequest.OrganizationId);
if (existingtDailyEquities == null)
{
if (userRequest.TradesHistories.Count() > 0)
{
var equityByDates = new List <EquityByDate>();
var startDate = Dates.SecondsToDate(userRequest.TradesHistories[0].OpenTime).Date;
var beginingDate = startDate;
var endDate = startDate.AddDays(1);
var balance = new double();
var balanaceWithoutWithdrawn = new double();
var id = 1;
var previousDateNav = new double();
do
{
if (userRequest.Login == 441327)
{
var b = "";
}
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var buyTrades = userRequest.TradesHistories.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy)
.Sum(x => x.Profit);
var sellTrades = userRequest.TradesHistories.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Sell)
.Sum(x => x.Profit);
var balanaceTypeWithWithdrawn = userRequest.TradesHistories.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) &&
(x.Cmd == TradeCommand.Balance || x.Cmd == TradeCommand.Credit)).Sum(x => x.Profit);
var balanaceTypesWithoutWithdrawn = userRequest.TradesHistories.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) &&
(x.Cmd == TradeCommand.Balance || x.Cmd == TradeCommand.Credit) && x.Profit > 0).Sum(x => x.Profit);
balance = balance + balanaceTypeWithWithdrawn + buyTrades + sellTrades;
balanaceWithoutWithdrawn = balanaceWithoutWithdrawn + balanaceTypesWithoutWithdrawn + buyTrades + sellTrades;
if (balance == 0 && startDate == Dates.SecondsToDate(userRequest.TradesHistories[0].OpenTime).Date)
{
}
else
{
var sharpeRatioReturn = new double();
if (startDate != Dates.SecondsToDate(userRequest.TradesHistories[0].OpenTime).Date)
{
sharpeRatioReturn = previousDateNav == 0 ? 0 : (balance - previousDateNav) / previousDateNav;
previousDateNav = balance;
}
else
{
sharpeRatioReturn = 0;
previousDateNav = balance;
}
var equityByDate = new EquityByDate();
equityByDate.date = startDate.ToString();
equityByDate.Equity = Math.Round(balance, 2);
equityByDate.EquityWithoutWithdrawn = Math.Round(balanaceWithoutWithdrawn, 2);
equityByDate.id = id;
equityByDate.SharpeRatioReturn = sharpeRatioReturn;
equityByDates.Add(equityByDate);
}
startDate = startDate.AddDays(1);
endDate = endDate.AddDays(1);
id++;
} while (startDate < DateTime.Today);
DailyEquity dailyEquityOfUser = new DailyEquity();
dailyEquityOfUser.AccountNumber = userRequest.Login;
dailyEquityOfUser.EquityByDate = equityByDates;
dailyEquityOfUser.OrganizationId = userRequest.OrganizationId;
insertDailyEquityOfUser.Add(dailyEquityOfUser);
}
}
else
{
if (userRequest.Login == 456403 || userRequest.Login == 447927 || userRequest.Login == 440010)
{
}
if (userRequest.TradesHistories.Count() > 0)
{
var startDate = Convert.ToDateTime(existingtDailyEquities.EquityByDate[existingtDailyEquities.EquityByDate.Count - 1].date).AddDays(1);
var endDate = startDate.AddDays(1);
var beginingDate = startDate;
var balance = existingtDailyEquities.EquityByDate[existingtDailyEquities.EquityByDate.Count - 1].Equity;
var balanceWithoutWithdrawn = existingtDailyEquities.EquityByDate[existingtDailyEquities.EquityByDate.Count - 1].EquityWithoutWithdrawn;
var id = 1;
var previousDateNav = new double();
if (startDate < DateTime.Today)
{
do
{
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var buyTrades = userRequest.TradesHistories.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy).Sum(x => x.Profit);
var sellTrades = userRequest.TradesHistories.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Sell).Sum(x => x.Profit);
var balanaceTypeWithWithdrawn = userRequest.TradesHistories.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) &&
(x.Cmd == TradeCommand.Balance || x.Cmd == TradeCommand.Credit)).Sum(x => x.Profit);
var balanaceTypesWithoutWithdrawn = userRequest.TradesHistories.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) &&
(x.Cmd == TradeCommand.Balance || x.Cmd == TradeCommand.Credit) && x.Profit > 0).Sum(x => x.Profit);
balance = balance + balanaceTypeWithWithdrawn + buyTrades + sellTrades;
balanceWithoutWithdrawn = balanceWithoutWithdrawn + balanaceTypesWithoutWithdrawn + buyTrades + sellTrades;
var sharpeRatioReturn = new double();
if (startDate != Dates.SecondsToDate(userRequest.TradesHistories[0].OpenTime).Date)
{
previousDateNav = existingtDailyEquities.EquityByDate[existingtDailyEquities.EquityByDate.Count - 1].Equity;
sharpeRatioReturn = (balance - previousDateNav) / previousDateNav;
previousDateNav = balance;
}
else
{
sharpeRatioReturn = 0;
previousDateNav = balance;
}
var equityByDate = new EquityByDate();
equityByDate.date = startDate.ToString();
equityByDate.Equity = Math.Round(balance, 2);
equityByDate.EquityWithoutWithdrawn = Math.Round(balanceWithoutWithdrawn, 2);
equityByDate.id = id;
equityByDate.SharpeRatioReturn = sharpeRatioReturn;
existingtDailyEquities.EquityByDate.Add(equityByDate);
startDate = startDate.AddDays(1);
endDate = endDate.AddDays(1);
id++;
} while (startDate < DateTime.Today);
var result = _eLTService.UpdateDailyEquity(existingtDailyEquities);
}
}
}
}
if (insertDailyEquityOfUser.Any())
{
unitOfWork.DailyEquityRepository.AddMultiple(insertDailyEquityOfUser);
}
}
catch (Exception ex)
{
throw;
}
}
public static double CalculateROIForTimeline(int timelineId, DailyEquity dailyEquity, List <TradeRecord> trades)
{
if (trades.Count > 0 && dailyEquity.EquityByDate.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Convert.ToDateTime(dailyEquity.EquityByDate[0].date);
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate);
}
var startingBalance = new double();
if (dailyEquity.EquityByDate.Where(x => x.date == startDate.AddDays(-1).ToString()).FirstOrDefault() == null)
{
startingBalance = dailyEquity.EquityByDate[0].EquityWithoutWithdrawn;
startDate = Convert.ToDateTime(dailyEquity.EquityByDate[0].date).AddDays(1).Date;
}
else
{
startingBalance = dailyEquity.EquityByDate.Where(x => x.date == startDate.AddDays(-1).ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault();
}
var startSeconds = (uint)(Int32)(startDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var endSeconds = (uint)(Int32)(endDate.Subtract(new DateTime(1970, 1, 1))).TotalSeconds;
var buyTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Buy).Sum(x => x.Profit);
var sellTrades = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && x.Cmd == TradeCommand.Sell).Sum(x => x.Profit);
var Deposits = trades.Where(x => (x.OpenTime >= startSeconds && x.OpenTime < endSeconds) && (x.Cmd == TradeCommand.Balance || x.Cmd == TradeCommand.Credit) &&
x.Profit > 0).Sum(x => x.Profit);
var tradesAndDeposits = Deposits + buyTrades + sellTrades;
var endingBalance = startingBalance + tradesAndDeposits;
var roi = Math.Round(((endingBalance - (startingBalance + Deposits)) / (startingBalance + Deposits)) * 100, 2);
if (startingBalance == 0)
{
return(0);
}
else
{
return(roi);
}
}
else
{
return(0);
}
}
public static double CalculateDDForTimeline(int timelineId, DailyEquity dailyEquity, List <TradeRecord> trades)
{
if (dailyEquity.EquityByDate.Count > 0)
{
if (dailyEquity.AccountNumber == 442842)
{
var a = "";
}
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Convert.ToDateTime(dailyEquity.EquityByDate[0].date);
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate);
}
var firstTradeTime = trades.Where(x => x.Cmd == TradeCommand.Buy || x.Cmd == TradeCommand.Sell).OrderBy(x => x.OpenTime).Select(x => x.OpenTime).FirstOrDefault();
var firstTradeDate = new DateTime(1970, 1, 1, 0, 0, 1, 0).AddSeconds(firstTradeTime).Date;
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
if (startDate != firstTradeDate)
{
startDate = firstTradeDate;
}
}
else
{
if (startDate < firstTradeDate && firstTradeDate < endDate)
{
startDate = firstTradeDate;
}
}
var startIndex = dailyEquity.EquityByDate.Where(x => x.date == startDate.AddDays(-1).ToString()).FirstOrDefault() == null ? 0 :
dailyEquity.EquityByDate.IndexOf(dailyEquity.EquityByDate.Where(x => x.date == startDate.ToString()).FirstOrDefault());
var endIndex = dailyEquity.EquityByDate.IndexOf(dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).FirstOrDefault()) < 0 ? 0 :
dailyEquity.EquityByDate.IndexOf(dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).FirstOrDefault());
var NavsByTimeline = dailyEquity.EquityByDate.Skip(dailyEquity.EquityByDate.Where(x => x.date == startDate.AddDays(-1).ToString()).FirstOrDefault() == null ? 0 : startIndex + 1).Take(endIndex - startIndex).ToList();
var lowestNav = NavsByTimeline.OrderBy(x => x.EquityWithoutWithdrawn).FirstOrDefault();
var lowestIndex = NavsByTimeline.IndexOf(lowestNav);
var dd = new double();
if (lowestIndex > 0)
{
var NAVBeforeLowestIndex = NavsByTimeline.Take(lowestIndex + 1);
var highestNAV = NAVBeforeLowestIndex.OrderByDescending(x => x.EquityWithoutWithdrawn).FirstOrDefault();
if (highestNAV.EquityWithoutWithdrawn != 0)
{
dd = Math.Round(((lowestNav.EquityWithoutWithdrawn - highestNAV.EquityWithoutWithdrawn) / highestNAV.EquityWithoutWithdrawn) * 100, 2);
}
else
{
dd = 0;
}
}
else
{
dd = 0;
}
return(dd);
}
else
{
return(0);
}
}
public static double CalculateSharpRatioForTimeline(int timelineId, DailyEquity dailyEquity, ObjectId datasourceId, Datasource datasource, List <TradeRecord> trades)
{
if (dailyEquity.EquityByDate.Count > 0)
{
var startDate = new DateTime();
var endDate = new DateTime();
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
startDate = Convert.ToDateTime(dailyEquity.EquityByDate[0].date);
}
else
{
startDate = Dates.GetStartDateByTimeLineID(timelineId, DateTime.Today.AddDays(-1).Date);
}
if (Timelines.timelinesTillToday.Contains(timelineId))
{
endDate = DateTime.Today.AddDays(-1).Date;
}
else
{
endDate = Dates.GetEndDateByTimeLineID(timelineId, startDate).AddDays(-1);
}
var firstTradeTime = trades.Where(x => x.Cmd == TradeCommand.Buy || x.Cmd == TradeCommand.Sell).OrderBy(x => x.OpenTime).Select(x => x.OpenTime).FirstOrDefault();
var firstTradeDate = new DateTime(1970, 1, 1, 0, 0, 1, 0).AddSeconds(firstTradeTime).Date;
if (timelineId == (int)TimeLineEnum.Overall) //timelineid= 45
{
if (startDate != firstTradeDate)
{
startDate = firstTradeDate;
}
}
else
{
if (startDate < firstTradeDate && firstTradeDate < endDate)
{
startDate = firstTradeDate;
}
}
var riskFreeRate = Timelines.MasterTimelines.Any(x => x == timelineId) ? datasource.RateOfReturns.Where(x => x.TimelineId == timelineId).FirstOrDefault().RateOfReturn
: Convert.ToDouble(ConfigurationManager.AppSettings["RiskFreeRateForSharpeRatio"]);
var NavsForStatndardDeviaition = dailyEquity.EquityByDate.Where(x => Convert.ToDateTime(x.date) >= startDate && Convert.ToDateTime(x.date) <= endDate)
.Select(x => x.SharpeRatioReturn).ToList();
var startingNav = dailyEquity.EquityByDate.Where(x => x.date == startDate.ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault() == 0 ?
dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault() == 0 ? 0 : dailyEquity.EquityByDate[0].EquityWithoutWithdrawn :
dailyEquity.EquityByDate.Where(x => x.date == startDate.ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault();
var endingNav = dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault() == 0 ? 0 :
dailyEquity.EquityByDate.Where(x => x.date == endDate.ToString()).Select(x => x.EquityWithoutWithdrawn).FirstOrDefault();
if (startingNav == 0 || startingNav == endingNav || NavsForStatndardDeviaition.Count == 0)
{
return(0);
}
else
{
var portfolioReturn = (endingNav - startingNav) / startingNav;
//var standardDev = calculateStandardDeviation(new List<double> { startingNav, endingNav });
var standardDev = calculateStandardDeviation(NavsForStatndardDeviaition);
var sharpeRatio = Math.Round((portfolioReturn - (Convert.ToDouble(riskFreeRate) / 100)) / standardDev, 2);
return(sharpeRatio);
}
}
else
{
return(0);
}
}
