/// <summary>
/// Calculates the costs.
/// </summary>
/// <param name="statistic">The statistic.</param>
/// <param name="transactions">The transactions.</param>
/// <param name="mathCalculatorService"></param>
public static void CalculateLosses(this Statistic statistic,
IReadOnlyCollection <ITransactionPerformance> transactions,
IMathCalculatorService mathCalculatorService)
{
var lossTransactions = transactions.Where(t => !t.ProfitMade).ToList();
if (!lossTransactions.Any())
{
return;
}
statistic.LossAbsolute = decimal.Round(lossTransactions.Sum(s => s.ProfitAbsolute), 2);
statistic.LossAverage = decimal.Round(lossTransactions.Average(s => s.ProfitAbsolute), 2);
statistic.LossAveragePercentage = mathCalculatorService.CalculateGeometricMean(lossTransactions.Select(t => t.ProfitPercentage));
statistic.PercentageOfLossTransactions = decimal.Round(Convert.ToDecimal(statistic.AmountOfLossTransactions / (decimal)statistic.AmountOfTransactions) * 100, 2);
statistic.LossMaximum = decimal.Round(lossTransactions.Min(s => s.ProfitAbsolute), 2);
}
/// <summary>
/// Initializes a new instance of the <see cref="StatisticService" /> class.
/// </summary>
/// <param name="queryDispatcher">The query dispatcher.</param>
/// <param name="mathCalculatorService">The math calculator service.</param>
public StatisticService(IQueryDispatcher queryDispatcher, IMathCalculatorService mathCalculatorService)
{
_mathCalculatorService = mathCalculatorService;
_transactions = new ReadOnlyCollection <ITransaction>(queryDispatcher.Execute(new TransactionAllQuery()).ToList());
_transactionPerformances = new ReadOnlyCollection <ITransactionPerformance>(queryDispatcher.Execute(new TransactionPerformanceAllQuery()).ToList());
}
public CandelGraphService(VolumeBarArbitrageData arbitrageData)
{
_candleDict = new Dictionary <string, List <FutureKlineData> >();
_pipeSender = new NatsSenderService(arbitrageData.PipeName, arbitrageData);
_mathCalculatorService = new DummyMathCalculatorService();
}
/// <summary>
/// Calculates the costs.
/// </summary>
/// <param name="statistic">The statistic.</param>
/// <param name="transactionPerformances">The transactions performances.</param>
/// <param name="transactions">The original transactions.</param>
/// <param name="mathCalculatorService">Calculation service for complex mathematical formulars.</param>
public static void CalculateEfficiency(this Statistic statistic,
IReadOnlyList <ITransactionPerformance> transactionPerformances,
IReadOnlyList <ITransaction> transactions,
IMathCalculatorService mathCalculatorService)
{
statistic.AvgEntryEfficiency = mathCalculatorService.CalculateGeometricMean(transactionPerformances
.Where(t => t.EntryEfficiency.HasValue).Select(t => t.EntryEfficiency.Value));
statistic.AvgExitEfficiency = mathCalculatorService.CalculateGeometricMean(transactionPerformances
.Where(t => t.ExitEfficiency.HasValue).Select(t => t.ExitEfficiency.Value));
statistic.TradeAveragePercentage =
mathCalculatorService.CalculateGeometricMean(transactionPerformances.Select(t => t.ProfitPercentage));
statistic.TradeAverage = decimal.Round(transactionPerformances.Average(s => s.ProfitAbsolute), 2);
transactions.OfType <IBuyingTransaction>().WhenNotNullOrEmpty(t => statistic.AverageCRV = decimal.Round(t.Average(c => c.CRV), 2));
//Payoff-Ratio
statistic.PayOffRatio = decimal.Round(statistic.ProfitAverage / (statistic.LossAverage == 0 ? -1 : statistic.LossAverage) * -1, 2);
//TODO: Use rule engine builder to make it more readable
if (statistic.PayOffRatio >= 0 && statistic.PayOffRatio < (decimal)0.5)
{
statistic.PayOffRatioDescription = Resources.Display_SQN1;
}
else if (statistic.PayOffRatio >= (decimal)0.5 && statistic.PayOffRatio < (decimal)0.7)
{
statistic.PayOffRatioDescription = Resources.Display_SQN2;
}
else if (statistic.PayOffRatio >= (decimal)0.7 && statistic.PayOffRatio < 1)
{
statistic.PayOffRatioDescription = Resources.Display_SQN4;
}
else if (statistic.PayOffRatio >= 1 && statistic.PayOffRatio < (decimal)1.25)
{
statistic.PayOffRatioDescription = Resources.Display_SQN5;
}
else if (statistic.PayOffRatio >= (decimal)1.25 && statistic.PayOffRatio < (decimal)1.5)
{
statistic.PayOffRatioDescription = Resources.Display_SQN6;
}
else if (statistic.PayOffRatio >= (decimal)1.5 && statistic.PayOffRatio < (decimal)2.0)
{
statistic.PayOffRatioDescription = Resources.Display_SQN7;
}
else if (statistic.PayOffRatio >= (decimal)2.0 && statistic.PayOffRatio < (decimal)3.0)
{
statistic.PayOffRatioDescription = Resources.Display_SQN8;
}
else if (statistic.PayOffRatio >= (decimal)3.0)
{
statistic.PayOffRatioDescription = Resources.Display_SQN9;
}
else
{
statistic.PayOffRatioDescription = Resources.Display_SQN0;
}
//SQN(System quality number)
var tradeAmountSqrt = mathCalculatorService.CalculateSquareRoot(transactionPerformances.Count);
var propability = (double)(transactionPerformances.Sum(t => t.R) / transactionPerformances.Count);
var stDeviation = mathCalculatorService.CalculateStandardDeviation(transactionPerformances.Select(t => (double)t.R).ToList(), 2);
if (Math.Abs(stDeviation) > 0)
{
statistic.Sqn = decimal.Round((decimal)(tradeAmountSqrt * (propability / stDeviation)), 2);
//TODO: Use rule engine builder to make it more readable
if (statistic.Sqn < -1)
{
statistic.SqnDescription = Resources.Display_SQN1;
}
else if (statistic.Sqn >= -1 && statistic.Sqn < 0)
{
statistic.SqnDescription = Resources.Display_SQN2;
}
else if (statistic.Sqn >= 0 && statistic.Sqn < (decimal)1.6)
{
statistic.SqnDescription = Resources.Display_SQN3;
}
else if (statistic.Sqn >= (decimal)1.6 && statistic.Sqn < (decimal)2.0)
{
statistic.SqnDescription = Resources.Display_SQN4;
}
else if (statistic.Sqn >= (decimal)2.0 && statistic.Sqn < (decimal)2.5)
{
statistic.SqnDescription = Resources.Display_SQN5;
}
else if (statistic.Sqn >= (decimal)2.5 && statistic.Sqn < (decimal)3.0)
{
statistic.SqnDescription = Resources.Display_SQN6;
}
else if (statistic.Sqn >= (decimal)3.0 && statistic.Sqn < (decimal)5.0)
{
statistic.SqnDescription = Resources.Display_SQN7;
}
else if (statistic.Sqn >= (decimal)5.0 && statistic.Sqn < (decimal)7.0)
{
statistic.SqnDescription = Resources.Display_SQN8;
}
else if (statistic.Sqn >= (decimal)7.0)
{
statistic.SqnDescription = Resources.Display_SQN9;
}
else
{
statistic.SqnDescription = Resources.Display_SQN0;
}
}
}
