public void TestPackUnpack()
{
// подготовить липу
var lstEq = new List <EquityOnTime>();
var timeStart = DateTime.Now.Date.AddDays(-190);
var timeEnd = DateTime.Now.Date;
var i = 0;
for (var date = timeStart; date < timeEnd; date = date.AddDays(1))
{
var y = 1.5 + Math.Sin(i++ / 20.0);
lstEq.Add(new EquityOnTime((float)y, date));
}
// упаковать
var chartMini = MiniChartPacker.PackChartInArray(lstEq);
Assert.Greater(chartMini.Length, 0, "Chart is not empty");
var min = chartMini.Min();
var max = chartMini.Max();
Assert.Greater(max - min, 250, "Chart range is close to 255");
// распаковать
var points = MiniChartPacker.MakePolygon(chartMini, 60, 30, 2, 2);
Assert.AreEqual(chartMini.Length + 2, points.Length, "unpacked has the same size");
}
public bool Calculate(AccountEfficiency ef)
{
if (ef == null)
{
throw new ArgumentException("EfficiencyCalculator.Calculate - input ptr is NULL");
}
if (ef.Statistics.Account == 0)
{
throw new ArgumentException("EfficiencyCalculator.Calculate - input_ptr.AccountId is 0");
}
// получить сделки
var deals = DealStorage.Instance.GetDeals(ef.Statistics.Account);
ef.openedDeals = new List <MarketOrder>();
ef.closedDeals = new List <MarketOrder>();
foreach (var deal in deals)
{
if (deal.IsOpened)
{
ef.openedDeals.Add(deal);
}
else
{
ef.closedDeals.Add(deal);
}
}
if (deals.Count == 0)
{
Logger.Info("AccountEfficiency.Calculate - нет сделок");
return(false);
}
ef.Statistics.DealsCount = deals.Count;
ef.DealsStillOpened = ef.openedDeals.Count;
// транзакции
ef.listTransaction = BalanceStorage.Instance.GetBalanceChanges(ef.Statistics.Account);
if (ef.listTransaction == null || ef.listTransaction.Count == 0)
{
Logger.Info("AccountEfficiency.Calculate - нет транзакций");
return(false);
}
Logger.Info("AccountEfficiency.Calculate(" + ef.Statistics.Account + ")");
// время отсчета - время первого заведения средств
var startDate = ef.listTransaction.Min(t => t.ValueDate);
// получить список используемых котировок
var symbolsUsed = ef.closedDeals.Select(d => d.Symbol).Union(ef.openedDeals.Select(o => o.Symbol)).Distinct().ToList();
// ... в т.ч., котировок для перевода базовой валюты в валюту депо (плечо)
// и перевода контрвалюты в валюту депо (профит)
var symbolsMore = new List <string>();
foreach (var smb in symbolsUsed)
{
bool inverse, eq;
var smbBase = DalSpot.Instance.FindSymbol(smb, true, ef.Statistics.DepoCurrency, out inverse, out eq);
if (!string.IsNullOrEmpty(smbBase))
{
symbolsMore.Add(smbBase);
}
var smbCounter = DalSpot.Instance.FindSymbol(smb, false, ef.Statistics.DepoCurrency, out inverse, out eq);
if (!string.IsNullOrEmpty(smbCounter))
{
symbolsMore.Add(smbCounter);
}
}
symbolsUsed.AddRange(symbolsMore);
symbolsUsed = symbolsUsed.Distinct().ToList();
// котировки
var dicQuote = new Dictionary <string, List <QuoteData> >();
foreach (var smb in symbolsUsed)
{
dicQuote.Add(smb,
dailyQuoteStorage.GetQuotes(smb).Select(q => new QuoteData(q.b, q.b, q.a)).ToList());
}
//TickerStorage.Instance.GetQuotes(symbolsUsed.ToDictionary(s => s, s => (DateTime?)null));
if (dicQuote == null || dicQuote.Count == 0)
{
Logger.Info("AccountEfficiency.Calculate - нет котировок");
return(false);
}
if (ef.openedDeals.Count > 0)
{
foreach (var t in ef.openedDeals)
{
List <QuoteData> dicQuoteValue;
if (!dicQuote.TryGetValue(t.Symbol, out dicQuoteValue))
{
Logger.Error(String.Format("Symbol {0} was not found in dicQuote", t.Symbol));
}
else
if (dicQuoteValue.Count == 0)
{
Logger.Error(String.Format("No quote data for symbol {0}", t.Symbol));
}
else
{
t.PriceExit = dicQuoteValue.Last().GetPrice(t.Side == 1
? QuoteType.Bid : QuoteType.Ask);
}
}
}
var quoteArc = new QuoteArchive(dicQuote);
AccountPerformanceRaw performance;
try
{
performance = equityCurveCalculator.CalculateEquityCurve(deals, ef.Statistics.DepoCurrency, quoteArc, ef.listTransaction);
}
catch (Exception ex)
{
Logger.Error("Ошибка в EfficiencyCalculator.CalculateEquityCurve()", ex);
return(false);
}
ef.Statistics.TotalTradedInDepoCurrency = performance.totalTradedVolume;
var lstEquity = performance.equity;
if (lstEquity == null)
{
return(false);
}
ef.listLeverage = performance.leverage;
// исключить пустые значения с начала отсчета
ef.listEquity = new List <EquityOnTime>();
var startCopy = false;
foreach (var eq in lstEquity)
{
if (eq.equity > 0)
{
startCopy = true;
}
if (startCopy)
{
ef.listEquity.Add(eq);
}
}
if (ef.listEquity.Count == 0)
{
return(false);
}
ef.StartDate = startDate;
ef.InitialBalance = ef.listEquity[0].equity;
// рассчитать коэффициенты доходности
CalculateProfitCoeffs(ef);
CalculateRiskCoeffs(ef);
// актуальные котировки
ef.currentQuotes = quoteArc.GetCurrentQuotes();
ef.Statistics.Chart = ef.listProfit1000 == null ||
ef.listProfit1000.Count == 0
? new byte[MiniChartPacker.profitChartPointCount]
: MiniChartPacker.PackChartInArray(ef.listProfit1000);
// дней торгует
var startDayOpen = DateTime.Now;
if (ef.openedDeals.Count > 0)
{
startDayOpen = ef.openedDeals.Max(d => d.TimeEnter);
}
if (ef.closedDeals.Count > 0)
{
var dateClosed = ef.closedDeals.Min(d => d.TimeEnter);
if (dateClosed < startDayOpen)
{
startDayOpen = dateClosed;
}
}
ef.Statistics.DaysTraded = (int)Math.Round((DateTime.Now - startDayOpen).TotalDays);
// сумма профитных сделок (результат) к сумме убыточных сделок
var sumProf = ef.closedDeals.Sum(d => d.ResultDepo > 0 ? d.ResultDepo : 0) +
ef.openedDeals.Sum(d => d.ResultDepo > 0 ? d.ResultDepo : 0);
var sumLoss = ef.closedDeals.Sum(d => d.ResultDepo > 0 ? d.ResultDepo : 0) +
ef.openedDeals.Sum(d => d.ResultDepo > 0 ? d.ResultDepo : 0);
ef.Statistics.AvgWeightedDealProfitToLoss = sumLoss == 0 && sumProf == 0
? 0
: 100 * sumProf / (sumProf + sumLoss);
var dateFirst = DateTime.Now.Date.AddMonths(-3);
ef.Statistics.WithdrawalLastMonths = (float)ef.listTransaction.Sum(t =>
(t.ChangeType ==
BalanceChangeType.Withdrawal &&
t.ValueDate >= dateFirst)
? t.AmountDepo : 0);
// профит в ПП
ef.Statistics.SumProfitPoints = ef.closedDeals.Sum(d => d.ResultPoints);
return(true);
}
