public void CheckExecutionsInEvents(AlgorithmInfo algo)
{
Debug.WriteLine("Number of alerts: {0}", algo.Alerts.Count);
foreach (var alert in algo.Alerts)
{
DateTime execTime = new DateTime(1970, 1, 1, 0, 0, 0, DateTimeKind.Utc).AddMilliseconds(alert.Timestamp).ToLocalTime();
if (execTime > StartTestTime)
{
if (algo.OrderToSend.Side == Side.BUY)
{
algo.AlgoExecutions.FillSellQty += AlgorithmInfo.GetExecutionSizeFromAlert(alert.Description);
}
if (algo.OrderToSend.Side == Side.SELL)
{
algo.AlgoExecutions.FillBuyQty += AlgorithmInfo.GetExecutionSizeFromAlert(alert.Description);
}
}
}
}
public void CalculateExecutionsFromAlerts(AlgorithmInfo algo)
{
Debug.WriteLine("CalculateExecutionsFromAlerts, Number of alerts for executions : {0}", algo.Alerts.Count);
algo.ChangePositionSize = 0;
DateTime newTime = DateTime.MinValue;
foreach (var alert in algo.Alerts)
{
DateTime execTime = new DateTime(1970, 1, 1, 0, 0, 0, DateTimeKind.Utc).AddMilliseconds(alert.Timestamp).ToLocalTime();
if (execTime > StartTestTime)
{
algo.ChangePositionSize += AlgorithmInfo.GetExecutionSizeFromAlert(alert.Description);
newTime = execTime > newTime ? execTime : newTime;
}
}
CalculateSizeExecutions(algo, newTime);
}
