/// <summary>
/// Calculates things like win/loss percent, gain, etc. for the strategy used on the ticker.
/// </summary>
/// <param name="strategyName">Name of the strategy the statistics are for</param>
/// <param name="orderType">Type of orders placed with this strategy (long or short)</param>
/// <param name="tickerAndExchange">Ticker the strategy used</param>
/// <param name="currentBar">Current bar of the simulation</param>
/// <param name="maxBarsAgo">Maximum number of bars in the past to consider for calculating</param>
/// <returns>Class holding the statistics calculated</returns>
public StrategyStatistics GetStrategyStatistics(string strategyName, double orderType, TickerExchangePair tickerAndExchange, int currentBar, int maxBarsAgo)
{
// Orders that started less than this bar will not be considered.
int cutoffBar = currentBar - maxBarsAgo;
if (cutoffBar < 0)
{
cutoffBar = 0;
}
// Get the list of orders to search.
StrategyStatistics stats = new StrategyStatistics(strategyName, orderType);
List <Order> orderList = null;
if (strategyName.Length > 0 && tickerAndExchange == null)
{
int strategyKey = strategyName.GetHashCode();
if (StrategyDictionary.ContainsKey(strategyKey))
{
orderList = StrategyDictionary[strategyKey].ToList();
}
}
else if (tickerAndExchange != null)
{
int tickerHash = tickerAndExchange.GetHashCode();
if (TickerDictionary.ContainsKey(tickerHash))
{
orderList = TickerDictionary[tickerHash];
}
}
if (orderList != null)
{
for (int i = orderList.Count - 1; i >= 0; i--)
{
Order order = orderList[i];
if (order.IsFinished() &&
order.StrategyName == strategyName &&
order.BuyBar >= cutoffBar &&
order.Type == orderType &&
stats.NumberOfOrders < Simulator.Config.MaxLookBackOrders)
{
stats.AddOrder(order);
}
}
}
if (stats.NumberOfOrders > Simulator.Config.MinRequiredOrders)
{
stats.CalculateStatistics();
}
else
{
stats = new StrategyStatistics(strategyName, orderType);
}
return(stats);
}
/// <summary>
/// Calculates things like win/loss percent, gain, etc. for the ticker.
/// </summary>
/// <param name="tickerAndExchange">Ticker to calculate for</param>
/// <param name="currentBar">Current bar of the simulation</param>
/// <param name="maxBarsAgo">Maximum number of bars in the past to consider for calculating</param>
/// <returns>Class holding the statistics calculated</returns>
public StrategyStatistics GetTickerStatistics(TickerExchangePair tickerAndExchange, int currentBar, int maxBarsAgo)
{
// Orders that started less than this bar will not be considered.
int cutoffBar = currentBar - maxBarsAgo;
if (cutoffBar < 0)
{
cutoffBar = 0;
}
// Order type doesn't matter here since we are just using this class to
// output overall ticker info which could be from any order type. It will
// get ignored on the web output display.
StrategyStatistics stats = new StrategyStatistics(tickerAndExchange.ToString(), Order.OrderType.Long);
int tickerHash = tickerAndExchange.GetHashCode();
if (TickerDictionary.ContainsKey(tickerHash))
{
List <Order> tickerOrders = TickerDictionary[tickerHash];
for (int i = tickerOrders.Count - 1; i >= 0; i--)
{
Order order = tickerOrders[i];
if (order.BuyBar >= cutoffBar)
{
stats.AddOrder(order);
}
}
}
// Only count the statistics if we have a bit more data to deal with.
// We want to avoid having a strategy say it's 100% correct when it
// only has 1 winning trade.
if (stats.NumberOfOrders > Simulator.Config.MinRequiredOrders)
{
stats.CalculateStatistics();
}
else
{
// For the same reasons as earlier in this function, order type doesn't matter here.
stats = new StrategyStatistics(tickerAndExchange.ToString(), Order.OrderType.Long);
}
return(stats);
}
/// <summary>
/// Frees the orders for a ticker when it finished.
/// </summary>
/// <param name="tickerAndExchange">Ticker to free</param>
public void PurgeTickerOrders(TickerExchangePair tickerAndExchange)
{
TickerStrategyOrders[tickerAndExchange.GetHashCode()] = null;
}
/// <summary>
/// Gets the symbol data from either memory, disk, or a server.
/// </summary>
/// <param name="ticker">Ticker to get data for</param>
/// <param name="start">Start date for the data</param>
/// <param name="end">End date for the data</param>
/// <returns>Data (price, volume, etc) for the ticker</returns>
public TickerData GetTickerData(TickerExchangePair ticker, DateTime start, DateTime end)
{
TickerData data = new TickerData(ticker);
// The symbol exists in memory already.
int key = ticker.GetHashCode();
if (_symbolsInMemory.ContainsKey(key))
{
TickerData inMemoryData = _symbolsInMemory[key];
// We don't have all the data in memory past the end, so we need to get that data and append it.
if (end > inMemoryData.End || start < inMemoryData.Start)
{
data = GetDataFromDiskOrServer(ticker, start, end);
// Update the data in memory so it has it next time it runs.
_symbolsInMemory[key] = data;
// Return only the dates requested.
data = data.SubSet(start, end);
}
// Not requesting everything that is in the memory. This is generally the case.
else if (start > inMemoryData.Start || end < inMemoryData.End)
{
data = inMemoryData.SubSet(start, end);
}
// We wanted everything that is memory.
else
{
data = inMemoryData;
}
}
// Symbol isn't in memory so we need to load from the disk or the server.
else
{
// Always start by loading everything we have our earliest date so that
// anytime we eventually will have all the data saved allowing us to
// test lots of different date ranges without having to hit the disk or internet.
data = GetDataFromDiskOrServer(ticker, start, end);
if (data != null)
{
// Save in memory for next time.
_symbolsInMemory[key] = data;
data = data.SubSet(start, end);
}
}
if (data != null)
{
// Save all the dates that this ticker has so that we have a list of dates that we can
// iterate through for trading periods. This is because each ticker can potentially have
// different trading dates but for the main sim we want to go through all dates and if
// the ticker has data for that time, we'll use it.
lock (_dateLock)
{
for (int i = 0; i < data.Dates.Count; i++)
{
if (SimTickerDates.ContainsKey(data.Dates[i]) == false)
{
SimTickerDates[data.Dates[i]] = true;
}
}
}
}
return(data);
}