/// <summary>
/// Generates stats based on the difference of the order executions from the reference price and time
/// </summary>
/// <param name="benchmarkPrice"></param>
/// <param name="referenceTime">Null to use QDMS-provided time, the reference time otherwise.</param>
public void GenerateExecutionStats(ExecutionBenchmark benchmarkPrice, TimeSpan? referenceTime)
{
if(Orders == null || Orders.Count == 0)
{
throw new Exception("No orders selected.");
}
_referenceTime = referenceTime;
Stats = new List<ExecutionStats>();
if (referenceTime == null && benchmarkPrice != ExecutionBenchmark.Reference)
{
_instrumentSessions = GetSessionTimes(Orders.Select(x => x.Instrument).Distinct());
}
//if it's at the open we have to grab external data
if(benchmarkPrice == ExecutionBenchmark.Open)
{
//make sure we're connected to external data source
if(_datasourcer.ExternalDataSource == null || !_datasourcer.ExternalDataSource.Connected)
{
throw new Exception("Must be connected to external data source.");
}
//grab the data
RequestRequiredData();
}
//generate the stats
Benchmark(Orders, benchmarkPrice);
}
/// <summary>
/// Generates stats based on the difference of the order executions from the reference price and time
/// </summary>
/// <param name="benchmarkPrice"></param>
/// <param name="referenceTime">Null to use QDMS-provided time, the reference time otherwise.</param>
public void GenerateExecutionStats(ExecutionBenchmark benchmarkPrice, TimeSpan?referenceTime)
{
if (Orders == null || Orders.Count == 0)
{
throw new Exception("No orders selected.");
}
_referenceTime = referenceTime;
Stats = new List <ExecutionStats>();
if (referenceTime == null && benchmarkPrice != ExecutionBenchmark.Reference)
{
_instrumentSessions = GetSessionTimes(Orders.Select(x => x.Instrument).Distinct());
}
//if it's at the open we have to grab external data
if (benchmarkPrice == ExecutionBenchmark.Open)
{
//make sure we're connected to external data source
if (_datasourcer.ExternalDataSource == null || !_datasourcer.ExternalDataSource.Connected)
{
throw new Exception("Must be connected to external data source.");
}
//grab the data
RequestRequiredData();
}
//generate the stats
Benchmark(Orders, benchmarkPrice);
}
/// <summary>
/// Gets the reference price for a particular order, given an execution benchmark.
/// </summary>
private decimal?GetReferencePrice(Order order, ExecutionBenchmark benchmark)
{
if (benchmark == ExecutionBenchmark.Close)
{
return(order.ClosePrice);
}
else if (benchmark == ExecutionBenchmark.Open)
{
//For the open we need to look at the external data
if (!_data.ContainsKey(order.InstrumentID))
{
return(null);
}
var bar = _data[order.InstrumentID].FirstOrDefault(x => x.DT.Date == order.TradeDate.Date);
if (bar == null)
{
return(null);
}
return(bar.Open);
}
else if (benchmark == ExecutionBenchmark.VWAP)
{
throw new NotImplementedException();
}
else if (benchmark == ExecutionBenchmark.Reference)
{
return(order.ReferencePrice);
}
return(0);
}
private DateTime?GetReferenceTime(Order order, ExecutionBenchmark benchmark)
{
//If the user sets a fixed reference time, we use that one in all cases
if (_referenceTime != null)
{
return(order.TradeDate.Date + _referenceTime.Value);
}
//Otherwise use QDMS or the reference time set at the order
if (benchmark == ExecutionBenchmark.Close)
{
var session = _instrumentSessions[order.InstrumentID]
.FirstOrDefault(x => x.IsSessionEnd && (int)x.ClosingDay == order.TradeDate.DayOfWeek.ToInt());
if (session == null)
{
return(null);
}
return(order.TradeDate.Date + session.ClosingTime);
}
else if (benchmark == ExecutionBenchmark.Open)
{
var session = _instrumentSessions[order.InstrumentID]
.Where(x => (int)x.ClosingDay == order.TradeDate.DayOfWeek.ToInt())
.OrderBy(x => x.OpeningTime)
.FirstOrDefault();
if (session == null)
{
return(null);
}
return(order.TradeDate.Date + session.OpeningTime);
}
else if (benchmark == ExecutionBenchmark.VWAP)
{
throw new NotImplementedException();
}
else if (benchmark == ExecutionBenchmark.Reference)
{
return(order.ReferenceTime);
}
return(new DateTime(1, 1, 1));
}
/// <summary>
/// Loop through the orders and benchmark their executions.
/// </summary>
private void Benchmark(IEnumerable <Order> orders, ExecutionBenchmark benchmark)
{
foreach (Order order in orders)
{
decimal?referencePrice = GetReferencePrice(order, benchmark);
if (!referencePrice.HasValue)
{
continue;
}
DateTime?referenceTime = GetReferenceTime(order, benchmark);
if (!referenceTime.HasValue)
{
continue;
}
GenerateStats(order, referenceTime.Value, referencePrice.Value);
}
}
/// <summary>
/// Loop through the orders and benchmark their executions.
/// </summary>
private void Benchmark(IEnumerable<Order> orders, ExecutionBenchmark benchmark)
{
foreach (Order order in orders)
{
decimal? referencePrice = GetReferencePrice(order, benchmark);
if (!referencePrice.HasValue) continue;
DateTime? referenceTime = GetReferenceTime(order, benchmark);
if (!referenceTime.HasValue) continue;
GenerateStats(order, referenceTime.Value, referencePrice.Value);
}
}
private DateTime? GetReferenceTime(Order order, ExecutionBenchmark benchmark)
{
//If the user sets a fixed reference time, we use that one in all cases
if(_referenceTime != null)
{
return order.TradeDate.Date + _referenceTime.Value;
}
//Otherwise use QDMS or the reference time set at the order
if (benchmark == ExecutionBenchmark.Close)
{
var session = _instrumentSessions[order.InstrumentID]
.FirstOrDefault(x => x.IsSessionEnd && (int)x.ClosingDay == order.TradeDate.DayOfWeek.ToInt());
if (session == null) return null;
return order.TradeDate.Date + session.ClosingTime;
}
else if (benchmark == ExecutionBenchmark.Open)
{
var session = _instrumentSessions[order.InstrumentID]
.Where(x => (int)x.ClosingDay == order.TradeDate.DayOfWeek.ToInt())
.OrderBy(x => x.OpeningTime)
.FirstOrDefault();
if (session == null) return null;
return order.TradeDate.Date + session.OpeningTime;
}
else if (benchmark == ExecutionBenchmark.VWAP)
{
throw new NotImplementedException();
}
else if (benchmark == ExecutionBenchmark.Reference)
{
return order.ReferenceTime;
}
return new DateTime(1, 1, 1);
}
/// <summary>
/// Gets the reference price for a particular order, given an execution benchmark.
/// </summary>
private decimal? GetReferencePrice(Order order, ExecutionBenchmark benchmark)
{
if (benchmark == ExecutionBenchmark.Close)
{
return order.ClosePrice;
}
else if (benchmark == ExecutionBenchmark.Open)
{
//For the open we need to look at the external data
if (!_data.ContainsKey(order.InstrumentID)) return null;
var bar = _data[order.InstrumentID].FirstOrDefault(x => x.DT.Date == order.TradeDate.Date);
if (bar == null) return null;
return bar.Open;
}
else if (benchmark == ExecutionBenchmark.VWAP)
{
throw new NotImplementedException();
}
else if (benchmark == ExecutionBenchmark.Reference)
{
return order.ReferencePrice;
}
return 0;
}
