public void SetPnLAndCost(PnLElement pnl, OpenOrder oo = null)
{
double initValue = CurrentRate.Rate;
double totPnLReturn = Return;
AverageCost = pnl.AverageCost;
if (oo != null)
{
AverageCost = oo.NewCost;
PreviouslyExecutedVolume = oo.Volume + oo.PreviouslyExecutedVolume;
TotalPnL = oo.TotalPnL;
totPnLReturn = Rate.Rate / oo.Rate.Rate - 1;
initValue = oo.Rate.Rate;
}
double currentPosition = pnl.Position;
NewCost = AverageCost;
if (IsBuyOrder)
{
currentPosition += PreviouslyExecutedVolume;
NewCost = (Volume * Rate.Rate + currentPosition * AverageCost) / (currentPosition + Volume);
}
else
{
currentPosition -= PreviouslyExecutedVolume;
RealizedPnL = (Rate.Rate - AverageCost) * Volume;
}
TotalPnL += totPnLReturn * currentPosition * initValue;
}
public static List <OpenOrder> SortOpenOrders(this List <OpenOrder> list,
Dictionary <string, PnLElement> pnlInfo,
CurrencyPair cp)
{
Currency cryptoCcy = cp.GetCryptoFiatPair.Crypto;
PnLElement pnl = pnlInfo[cryptoCcy.ToFullName()];
List <OpenOrder> res = new List <OpenOrder> {
};
foreach (OpenOrder item in list)
{
if (cp.IsEquivalent(item.CurPair))
{
res.Add(item);
}
}
res.Sort((x, y) => Math.Abs(x.Return).CompareTo(Math.Abs(y.Return)));
OpenOrder lastBuy = null;
OpenOrder lastSell = null;
foreach (var item in res)
{
if (item.Return > 0)
{
item.SetPnLAndCost(pnl, lastSell);
lastSell = item;
}
else
{
item.SetPnLAndCost(pnl, lastBuy);
lastBuy = item;
}
}
return(res);
}
