public void AggPnL_AddTransaction()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.USD);
pnl.AddTransactions(txL, fxmh);
Dictionary <string, PnLElement> table = pnl.ToTable(fxmh);
TestTools <PnLElement> .DictionaryTest(pnlref, table);
}
public void AggPnL_Equation()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.USD);
pnl.AddTransactions(txL, fxmh);
PnLElement elmt = pnl.ToTable(fxmh)["Total"];
Assert.IsTrue(elmt.Position - elmt.Deposit + elmt.Withdrawal == elmt.TotalPnLWithFees);
}
public void AggPnL_EquationXCCY()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
fxmh.ConstructQuotes(new CurrencyPair(Currency.EUR, Currency.USD));
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.EUR);
pnl.AddTransactions(txL, fxmh);
PnLElement elmt = pnl.ToTable(fxmh)["Total"];
Assert.IsTrue(Math.Abs(elmt.Position - elmt.Deposit + elmt.Withdrawal - elmt.TotalPnLWithFees) < 0.00001);
}
public TimeSeriesManager(Currency fiat, Frequency freq = Frequency.Hour4,
bool useKraken = false, bool useInternet = true,
string path = null, IView view = null)
{
if (view != null)
{
AddLoggingLink(view.PublishLogMessage);
}
Fiat = fiat;
if (path != null)
{
BasePath = path;
}
DataProvider = new DataProvider(BasePath, view, useInternet: useInternet);
SortedList <DateTime, Transaction> txList = DataProvider.GetTransactionList(useKraken: useKraken);
StartDate = txList.First().Key;
FXMH = DataProvider.GetFXMarketHistory(Fiat, DataProvider.GetCurrencyPairs(txList), StartDate, freq);
AH = new AllocationHistory(view);
APnL = new AggregatedPnL(fiat);
APnL.AddTransactions(txList, FXMH);
}
