/// <summary>
/// Основной метод, рассчитыввающий статистику
/// </summary>
public Dictionary <int, AccountPerformanceRaw> GetPerformanceStatistic(BackgroundWorker worker)
{
var accountPerformance = new Dictionary <int, AccountPerformanceRaw>();
const int ProgressForQuotes = 50;
const int ProgressForDeals = 50;
try
{
var dicQuote = new Dictionary <string, List <QuoteData> >();
var symbolsUsed = DalSpot.Instance.GetTickerNames();
var progressCounter = 0;
foreach (var smb in symbolsUsed)
{
if (worker.CancellationPending)
{
return(accountPerformance);
}
dicQuote.Add(smb, LoadTickerQuotesFromFile(smb).Select(q => new QuoteData(q.b, q.b, q.a)).ToList());
var progress = (++progressCounter) * 100 / symbolsUsed.Length * ProgressForQuotes / 100;
worker.ReportProgress(progress);
}
var quoteArc = new QuoteArchive(dicQuote);
AccountDealContainer.SymbolsUsed = symbolsUsed;
var containers = DealFileNames.Select(x => new AccountDealContainer(x)).ToList();
progressCounter = 0;
foreach (var container in containers)
{
if (worker.CancellationPending)
{
return(accountPerformance);
}
accountPerformance.Add(container.Id,
equityCurveCalculator.CalculateEquityCurve(
container.Deals,
DepoCurrency,
quoteArc,
container.Transactions,
container.TimeStart,
container.TimeEnd)
);
var progress = ProgressForQuotes + (++progressCounter) * 100 / containers.Count * ProgressForDeals / 100;
worker.ReportProgress(progress);
}
}
catch (Exception ex)
{
Logger.Error("GetStat()", ex);
}
return(accountPerformance);
}
public void CalculateEquityCurve()
{
var deals = new List <MarketOrder>();
var dealsOpen = TestDataGenerator.GetOpenPosition().Select(LinqToEntity.DecorateOrder).ToList();
var dealsClose = TestDataGenerator.GetClosePosition().Select(LinqToEntity.DecorateOrder).ToList();
deals.AddRange(dealsOpen);
deals.AddRange(dealsClose);
var transfers = TestDataGenerator.GetBalanceChange().Select(LinqToEntity.DecorateBalanceChange).ToList();
var firstDealOpenedTime = deals.Min(d => d.TimeEnter);
transfers.Insert(0, new BalanceChange
{
AccountID = deals[0].AccountID,
ValueDate = firstDealOpenedTime.AddHours(-1),
CurrencyToDepoRate = 1,
ChangeType = BalanceChangeType.Deposit,
Amount = 500000
});
var dicQuote = new Dictionary <string, List <QuoteData> >();
foreach (var smb in DalSpot.Instance.GetTickerNames())
{
dicQuote.Add(smb, dailyQuoteStorage.GetQuotes(smb).Select(q => new QuoteData(q.b, q.b, q.a)).ToList());
}
var quoteArc = new QuoteArchive(dicQuote);
var res = curveCalculator.CalculateEquityCurve(deals, DepoCurrency, quoteArc, transfers);
// сверить точку кривой доходности
CheckEquityCurvePoint(res, transfers, dealsOpen, dealsClose, quoteArc, dicQuote, 0);
CheckEquityCurvePoint(res, transfers, dealsOpen, dealsClose, quoteArc, dicQuote, 10);
CheckEquityCurvePoint(res, transfers, dealsOpen, dealsClose, quoteArc, dicQuote, 40);
}