public double GetTotalEquity(
ITradingDataProvider provider,
DateTime period,
EquityEvaluationMethod method)
{
if (provider == null)
{
throw new ArgumentNullException("provider");
}
double totalEquity = CurrentCapital;
// cash is the core equity
if (method == EquityEvaluationMethod.CoreEquity)
{
// do nothing
}
else
{
foreach (var kvp in _activePositions)
{
string code = kvp.Key;
Bar bar;
if (!provider.GetLastEffectiveBar(code, period, out bar))
{
throw new InvalidOperationException(
string.Format("Can't get data from data provider for code {0}, time {1}", code, period));
}
if (method == EquityEvaluationMethod.TotalEquity)
{
int volume = kvp.Value.Sum(e => e.Volume);
totalEquity += volume * bar.ClosePrice;
}
else if (method == EquityEvaluationMethod.ReducedTotalEquity)
{
foreach (var position in kvp.Value)
{
totalEquity += position.Volume * Math.Min(bar.ClosePrice, position.StopLossPrice);
}
}
}
}
return(totalEquity);
}
public double GetCurrentEquity(DateTime period, EquityEvaluationMethod method)
{
return(_equityManager.GetTotalEquity(_provider, period, method));
}
public double GetTotalEquity(
ITradingDataProvider provider,
DateTime period,
EquityEvaluationMethod method)
{
if (provider == null)
{
throw new ArgumentNullException("provider");
}
if (method == EquityEvaluationMethod.InitialEquity)
{
return(InitialCapital);
}
double equity = CurrentCapital;
// cash is the core equity
if (method == EquityEvaluationMethod.CoreEquity)
{
return(equity);
}
foreach (var kvp in _activePositions)
{
var code = kvp.Key;
Bar bar;
var index = provider.GetIndexOfTradingObject(code);
if (index < 0)
{
throw new InvalidOperationException(string.Format("Can't get index for code {0}", code));
}
if (!provider.GetLastEffectiveBar(index, period, out bar))
{
throw new InvalidOperationException(
string.Format("Can't get data from data provider for code {0}, time {1}", code, period));
}
if (method == EquityEvaluationMethod.TotalEquity ||
method == EquityEvaluationMethod.LossControlTotalEquity ||
method == EquityEvaluationMethod.LossControlInitialEquity)
{
var volume = kvp.Value.Sum(e => e.Volume);
equity += volume * bar.ClosePrice;
}
else if (method == EquityEvaluationMethod.ReducedTotalEquity ||
method == EquityEvaluationMethod.LossControlReducedTotalEquity)
{
equity += kvp.Value.Sum(position => position.Volume * Math.Min(bar.ClosePrice, position.StopLossPrice));
}
}
if (method == EquityEvaluationMethod.TotalEquity ||
method == EquityEvaluationMethod.ReducedTotalEquity)
{
return(equity);
}
else if (method == EquityEvaluationMethod.LossControlInitialEquity)
{
return(equity > InitialCapital
? InitialCapital
: 2 * equity - InitialCapital);
}
else if (method == EquityEvaluationMethod.LossControlTotalEquity)
{
return(equity > InitialCapital
? equity
: 2 * equity - InitialCapital);
}
else if (method == EquityEvaluationMethod.LossControlReducedTotalEquity)
{
return(equity > InitialCapital
? equity
: 2 * equity - InitialCapital);
}
else
{
throw new NotImplementedException();
}
}
