public void ReportPatternStats()
{
if (Engine.Transactions.Count() == 0)
{
Engine.MaxProfit = 0;
Engine.MinProfit = 0;
}
string[] stats =
{
Symbol,
Name,
Interval,
Retention.ToString(),
Threshold.ToString(),
DefaultStopLossThreshold.ToString(),
DynamicStopLossThreshold.ToString(),
(Engine.TradeResults.Sum()).ToString(),
Engine.TradeResults.Count().ToString(),
Engine.MaxProfit.ToString(),
Engine.MinProfit.ToString(),
Engine.FirstTransactionTime.ToString(),
Engine.LastTransactionTime.ToString(),
};
string msg = string.Join(",", stats);
logger.Stats(msg);
}
/// <summary>
/// Generate a valuation request for a market and portfolio
/// Include any scenarios requested
/// </summary>
/// <param name="portfolioId"></param>
/// <param name="marketName"></param>
/// <param name="baseParty"></param>
/// <param name="irScenarios">Optional array of IR Stress Scenario names</param>
/// <param name="fxScenarios">optional array of FX Stress Scenario names</param>
/// <returns></returns>
private static PortfolioValuationRequest CreateRequest(string portfolioId, string marketName, string baseParty, string[] irScenarios = null, string[] fxScenarios = null)
{
// create portfolio valuation request
Guid requestId = Guid.NewGuid();
var request = new PortfolioValuationRequest
{
BaseDate = TestBaseDate,
RequestId = requestId.ToString(),
Retention = Retention.ToString(),
SubmitTime = DateTimeOffset.Now.ToString("o"),
RequestDescription = "PV Regression Test",
RequesterId = new UserIdentity
{
Name = Engine.Cache.ClientInfo.Name,
DisplayName = "Unit Test Agent"
},
PortfolioId = portfolioId,
MarketDate = null,
MarketName = marketName,
ReportingCurrency = "AUD",
BaseParty = baseParty,
IRScenarioNames = irScenarios,
FXScenarioNames = fxScenarios
};
return(request);
}
/// <summary>
/// Adds the options to the list.
/// </summary>
public virtual void AddToOptionList(OptionList options)
{
options.Clear();
options["WritingMode"] = WritingMode.ToString();
options["WritingPeriod"] = WritingPeriod.ToString();
options["WritingUnit"] = WritingUnit.ToString();
options["PullToPeriod"] = PullToPeriod.ToString();
options["Retention"] = Retention.ToString();
options["LogEnabled"] = LogEnabled.ToLowerString();
}
/// <summary>
/// Adds the options to the list.
/// </summary>
public virtual void AddToOptionList(OptionList options)
{
options.Clear();
options["Retention"] = Retention.ToString();
options["LogEnabled"] = LogEnabled.ToLowerString();
}
