private static object Simulation2JSON(Strategy strategy)
{
TimeSeries ts = strategy.GetTimeSeries(TimeSeriesType.Last, DataProvider.DefaultProvider, true);
int count = ts.Count;
var t0 = ts[Math.Max(0, count - 10000)];
var jres_intraday = new List <object[]>();
if (Instrument.TimeSeriesLoadFromDatabaseIntraday && ts != null && ts.Count != 0)
{
double max = ts[0];
for (int i = Math.Max(0, count - 10000); i < count; i++)
{
DateTime date = ts.DateTimes[i];
double spot = ts[i] - t0;
jres_intraday.Add(new object[] { ToJSTimestamp(ts.DateTimes[i]), spot });
}
}
ts = strategy.GetTimeSeries(TimeSeriesType.Close, DataProvider.DefaultProvider, true);
int days = 20;
var jres = new List <object[]>();
if (ts != null && ts.Count != 0)
{
count = ts.Count;
t0 = ts[Math.Max(0, count - 10000)];
double max = ts[0] - t0;
for (int i = Math.Max(0, count - 10000); i < count; i++)
{
DateTime date = ts.DateTimes[i];
double spot = ts[i] - t0;
double vol = (count > days && i >= days ? ts.GetRange(i - days, i).LogReturn().StdDev *Math.Sqrt(252) : 0);
max = Math.Max(spot, max);
double maxdd = spot - max;
jres.Add(new object[] { ToJSTimestamp(ts.DateTimes[i]), spot, vol * 100, maxdd });
}
}
Dictionary <string, double> total_count_instrument = new Dictionary <string, double>();
Dictionary <string, double> positive_count_instrument = new Dictionary <string, double>();
Dictionary <string, double> negative_count_instrument = new Dictionary <string, double>();
Dictionary <string, double> positive_value_instrument = new Dictionary <string, double>();
Dictionary <string, double> negative_value_instrument = new Dictionary <string, double>();
double total_count = 0.0;
double positive_count = 0.0;
double negative_count = 0.0;
var allOrders = strategy.Portfolio.Orders(true);
var aos = new List <object>();
if (allOrders != null)
{
var date = DateTime.Now;
var pnlDict = new Dictionary <string, double>();
//var revOrderedGroups = allOrders.Where(x => Math.Abs(x.Unit) >= 1 && x.Status == OrderStatus.Booked).OrderBy(x => x.OrderDate).GroupBy(x => x.InstrumentID).Select(grp => new { ID = grp.Key, Orders = grp.ToList() }).ToList();
var revOrderedGroups = allOrders.Where(x => Math.Abs(x.Unit) >= 1 && x.Status == OrderStatus.Booked).GroupBy(x => x.InstrumentID).Select(grp => new { ID = grp.Key, Orders = grp.ToList() }).ToList();
foreach (var grp in revOrderedGroups)
{
var revOrdered = grp.Orders;
for (int i = 0; i < revOrdered.Count; i++)
{
double pnl = 0.0;
var o = revOrdered[i];
if (i == revOrdered.Count - 1)
{
var current_level = o.Instrument[date, TimeSeriesType.Last, TimeSeriesRollType.Last] * (o.Instrument is Security ? (o.Instrument as Security).PointSize : 1);
pnl = o.Unit * (current_level - o.ExecutionLevel);
}
else
{
var o_next = revOrdered[i + 1];
pnl = o.Unit * (o_next.ExecutionLevel - o.ExecutionLevel);
}
if (pnlDict.ContainsKey(o.ID))
{
pnlDict[o.ID] = pnl;
}
else
{
pnlDict.Add(o.ID, pnl);
}
}
}
allOrders = allOrders.OrderByDescending(x => x.OrderDate).ToList();
foreach (var o in allOrders)
{
if (Math.Abs(o.Unit) + Portfolio._tolerance >= 1)
{
string name = o.Instrument.InstrumentType == InstrumentType.Future ? (o.Instrument as Future).Underlying.Name : o.Instrument.Name;
double pnl = pnlDict.ContainsKey(o.ID) ? pnlDict[o.ID] : 0;
total_count++;
if (total_count_instrument.ContainsKey(name))
{
total_count_instrument[name]++;
}
else
{
total_count_instrument.Add(name, 1);
}
Console.WriteLine(o + " ---> " + total_count_instrument[name]);
if (pnl > 0)
{
positive_count++;
if (positive_count_instrument.ContainsKey(name))
{
positive_count_instrument[name]++;
}
else
{
positive_count_instrument.Add(name, 1);
}
if (positive_value_instrument.ContainsKey(name))
{
positive_value_instrument[name] += pnl;
}
else
{
positive_value_instrument.Add(name, pnl);
}
}
else
{
negative_count++;
if (negative_count_instrument.ContainsKey(name))
{
negative_count_instrument[name]++;
}
else
{
negative_count_instrument.Add(name, 1);
}
if (negative_value_instrument.ContainsKey(name))
{
negative_value_instrument[name] += pnl;
}
else
{
negative_value_instrument.Add(name, pnl);
}
}
}
}
}
var jres_stats = new List <object>();
double irr = 0;
//double avg_vol = 0;
if ((ts != null && ts.Count > 1))
{
List <double> vols = new List <double>();
List <double> maxdds = new List <double>();
double last_vol = 0.0;
double last_dd = 0.0;
{
count = ts.Count;
double max = 0;
for (int i = 0; i < ts.Count; i++)
{
double spot = ts[i] - ts[0];
double vol = (count > days && i >= days ? ts.GetRange(i - days, i).DifferenceReturn().StdDev *Math.Sqrt(252) : 0);
last_vol = vol;
max = Math.Max(spot, max);
double maxdd = spot - max;
last_dd = maxdd;
if (ts.Count > days && i >= days)
{
vols.Add(vol);
}
maxdds.Add(maxdd);
}
int ts_count = ts.Count;
//jres.Add(new { Measure = "", Value = "", BenchMark = "" });
if (ts_count - 2 >= 0)
{
jres_stats.Add(new { Measure = "One Day Performance", Value = ts[ts_count - 1] - ts[ts_count - 2] });
}
if (ts_count - 6 >= 0)
{
jres_stats.Add(new { Measure = "Five Day Performance", Value = ts[ts_count - 1] - ts[ts_count - 6] });
}
int idx = ts.GetClosestDateIndex(new DateTime(ts.DateTimes[ts_count - 1].Year, ts.DateTimes[ts_count - 1].Month, 01), TimeSeries.DateSearchType.Previous) + 1;
if (idx > 0)
{
jres_stats.Add(new { Measure = "MTD Performance", Value = ts[ts_count - 1] - ts[idx - 1] });
}
idx = ts.GetClosestDateIndex(new DateTime(ts.DateTimes[ts_count - 1].Year, 01, 01), TimeSeries.DateSearchType.Previous);
if (idx > 0)
{
jres_stats.Add(new { Measure = "YTD Performance", Value = ts[ts_count - 1] - ts[idx] });
}
//jres.Add(new { Measure = "", Value = "", BenchMark = "" });
jres_stats.Add(new { Measure = "Current Volatility", Value = last_vol });
jres_stats.Add(new { Measure = "Average Volatility", Value = vols.Count == 0 ? 0 : vols.Average() });
jres_stats.Add(new { Measure = "Maximum Volatility", Value = vols.Count == 0 ? 0 : vols.Max() });
jres_stats.Add(new { Measure = "Minimum Volatility", Value = vols.Count == 0 ? 0 : vols.Min() });
//jres.Add(new { Measure = "", Value = "", BenchMark = "" });
jres_stats.Add(new { Measure = "Current Drawdown", Value = last_dd });
jres_stats.Add(new { Measure = "Average Drawdown", Value = maxdds.Count == 0 ? 0 : maxdds.Average() });
jres_stats.Add(new { Measure = "Maximum Drawdown", Value = maxdds.Count == 0 ? 0 : maxdds.Min() });
//jres.Add(new { Measure = "", Value = "", BenchMark = "" });
double t = (ts.DateTimes[ts.Count - 1] - ts.DateTimes[0]).TotalDays / 365;
irr = (ts[ts.Count - 1] - ts[0]) / t;
double vol_total = ts.DifferenceReturn().StdDev;// * Math.Sqrt(252.0);
if (double.IsNaN(vol_total) || double.IsInfinity(vol_total) || vol_total == 0)
{
vol_total = 1.0;
}
jres_stats.Add(new { Measure = "Annual Return", Value = irr });
jres_stats.Add(new { Measure = "Sharpe Ratio", Value = irr / vol_total });
//jres_stats.Add(new { Measure = "Sharpe Ratio", Value = (ts[ts.Count - 1] - ts[0]) / vol_total });
jres_stats.Add(new { Measure = "Total Trades", Value = total_count });
jres_stats.Add(new { Measure = "Positive Trades", Value = positive_count / total_count });
jres_stats.Add(new { Measure = "Negative Trades", Value = negative_count / total_count });
foreach (var key in total_count_instrument.Keys)
{
jres_stats.Add(new { Measure = key + " Total Trades", Value = total_count_instrument[key] });
jres_stats.Add(new { Measure = key + " Positive Trades", Value = positive_count_instrument[key] / total_count_instrument[key] });
jres_stats.Add(new { Measure = key + " Negative Trades", Value = negative_count_instrument[key] / total_count_instrument[key] });
jres_stats.Add(new { Measure = key + " Positive Value", Value = positive_value_instrument[key] / positive_count_instrument[key] });
jres_stats.Add(new { Measure = key + " Negative Value", Value = negative_value_instrument[key] / negative_count_instrument[key] });
}
}
}
var jres_monthly = new List <object>();
if (ts != null && ts.Count != 0)
{
DateTime dt_first = ts.DateTimes[0];
DateTime dt_last = ts.DateTimes[ts.Count - 1];
DateTime dt_first_clean = new DateTime(dt_first.Year, dt_first.Month, 1);
DateTime dt_last_clean = new DateTime(dt_last.Year, dt_last.Month, 1);
int year_last = dt_last.Year;
int year_first = dt_first.Year;
for (int year = year_first; year <= year_last; year++)
{
object[] yearly_result = new object[14];
yearly_result[0] = year;
for (int month = 1; month <= 12; month++)
{
DateTime dt1 = new DateTime(year, month, 1);
DateTime dt2 = new DateTime(year, month, 1).AddMonths(1).AddDays(-1);
if (dt1 >= dt_first_clean && dt1 <= dt_last_clean)
{
dt1 = dt1 >= dt_last ? dt_last : dt1.AddDays(-1);
dt1 = dt1 <= dt_first ? dt_first : dt1;
if (dt1.AddDays(1).Month == dt1.Month)
{
dt2 = new DateTime(year, month, 1).AddMonths(1).AddDays(-1);
}
dt2 = dt_last > dt2 ? dt2 : dt_last;
double v1 = ts[dt1, AQI.AQILabs.Kernel.Numerics.Util.TimeSeries.DateSearchType.Previous];
double v2 = ts[dt2, AQI.AQILabs.Kernel.Numerics.Util.TimeSeries.DateSearchType.Previous];
if (!double.IsNaN(v1) && !double.IsNaN(v2) && v1 != 0)
{
yearly_result[month] = (v2 - v1).ToString("##,0.00");
}
else
{
yearly_result[month] = "";
}
}
else
{
yearly_result[month] = "";
}
}
DateTime dt1_y = new DateTime(year, 1, 1).AddDays(-1);
dt1_y = dt_first > dt1_y ? dt_first : dt1_y;
DateTime dt2_y = new DateTime(year, 1, 1).AddYears(1).AddDays(-1);
dt2_y = dt_last > dt2_y ? dt2_y : dt_last;
double yv = Math.Round((ts[dt2_y, AQI.AQILabs.Kernel.Numerics.Util.TimeSeries.DateSearchType.Previous] / ts[dt1_y, AQI.AQILabs.Kernel.Numerics.Util.TimeSeries.DateSearchType.Previous] - 1.0) * 100.0, 1);
double yv_abs = ts[dt2_y, AQI.AQILabs.Kernel.Numerics.Util.TimeSeries.DateSearchType.Previous] - ts[dt1_y, AQI.AQILabs.Kernel.Numerics.Util.TimeSeries.DateSearchType.Previous];
yearly_result[13] = yv_abs.ToString("##,0.00");
//jres.Add(yearly_result);
jres_monthly.Add(new { Year = yearly_result[0], Jan = yearly_result[1], Feb = yearly_result[2], Mar = yearly_result[3], Apr = yearly_result[4], May = yearly_result[5], Jun = yearly_result[6], Jul = yearly_result[7], Aug = yearly_result[8], Sep = yearly_result[9], Oct = yearly_result[10], Nov = yearly_result[11], Dec = yearly_result[12], Yearly = yearly_result[13] });
}
}
object simulation_package = Newtonsoft.Json.JsonConvert.SerializeObject(new
{
ID = System.Guid.NewGuid(),
Name = strategy.Description.Substring(strategy.Description.LastIndexOf("/") + 1).Replace("Account: ", ""),
History = jres,
Intraday = Instrument.TimeSeriesLoadFromDatabaseIntraday ? jres_intraday : null,
Statistics = jres_stats,
Monthly = jres_monthly,
Strategy = strategy is PortfolioStrategy && strategy.Portfolio.ParentPortfolio == null ? (strategy as PortfolioStrategy).Package(false) : null,
//TotalTrades = total_count,
//PositiveTrades = positive_count,
//NegativeTrades = negative_count,
//TotalTradesByInstrument = total_count_instrument,
//PositiveTradesByInstrument = positive_count_instrument,
//NegativeTradesByInstrument = negative_count_instrument,
//PositiveValueByInstrument = positive_value_instrument,
//NegativeValueByInstrument = negative_value_instrument,
});
return(simulation_package);
}
