public void OpenBar(DateTime openTime)
{
if (trades == null)
{
trades = new List <_HistoricalTrade>();
}
if (LongExposureBars == null)
{
LongExposureBars = new List <PortfolioBacktestBar>();
ShortExposureBars = new List <PortfolioBacktestBar>();
}
var currentLongExposure = !trades.Any() ? 0 : trades.Select(t => t.Volume * (t.TradeType == TradeType.Buy ? 1 : -1)).Aggregate((x, y) => x + y);
var currentShortExposure = !trades.Any() ? 0 : trades.Select(t => t.Volume * t.EntryPrice * (t.TradeType == TradeType.Sell ? 1 : -1)).Aggregate((x, y) => x + y);
LongExposureBars.Add(new PortfolioBacktestBar(openTime, currentLongExposure));
ShortExposureBars.Add(new PortfolioBacktestBar(openTime, currentShortExposure));
}
public void CloseBar()
{
LongExposureBars.Last().Close = !trades.Any() ? 0 : trades.Select(t => t.Volume * (t.TradeType == TradeType.Buy ? 1 : -1)).Aggregate((x, y) => x + y);
ShortExposureBars.Last().Close = !trades.Any() ? 0 : trades.Select(t => t.Volume * t.EntryPrice * (t.TradeType == TradeType.Sell ? 1 : -1)).Aggregate((x, y) => x + y);
}