public string GetTransactionReport()
{
string report = "";
for (int i = 0; i < _traderAgent.Agents.Count; i++)
{
AbstractStrategy abstracttrader = (AbstractStrategy)_traderAgent.Agents[i];
//report += "Instrument:\t\t\t\t\t" + abstracttrader._instrument.Name + "\r\n";
report += "Date range:\t\t\t" + GetStartDate().ToShortDateString() + " - " + GetEndDate().ToShortDateString() + "\r\n";
report += "Initial Balance:\t\t\t" + abstracttrader.Account.InitialBalance.ToString() + "\r\n";
report += "Total bars:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getDays().ToString() + "\r\n";
report += "Total transactions:\t\t" + TotalTransactions.ToString() + "\r\n";
report += "Total bars held:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).TotalHeldBars.ToString() + "\r\n";
report += "Total bars won:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getUpPosDays().ToString() + "\r\n";
report += "Total bars even:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getEvenPosDays().ToString() + "\r\n";
report += "Total bars lost:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getDownPosDays().ToString() + "\r\n";
report += "Maximum consecutive wins:\t\t" + ((Statistics)_traderstats[abstracttrader]).MaximumConsectutiveWinBars.ToString() + "\r\n";
report += "Average consecutive wins:\t\t" + ((Statistics)_traderstats[abstracttrader]).AverageConsectutiveWinBars.ToString() + "\r\n";
report += "Maximum consecutive even:\t\t" + ((Statistics)_traderstats[abstracttrader]).MaximumConsectutiveEvenBars.ToString() + "\r\n";
report += "Average consecutive even:\t\t" + ((Statistics)_traderstats[abstracttrader]).AverageConsectutiveEvenBars.ToString() + "\r\n";
report += "Maximum consecutive losses:\t\t" + ((Statistics)_traderstats[abstracttrader]).MaximumConsectutiveLoseBars.ToString() + "\r\n";
report += "Average consecutive losses:\t\t" + ((Statistics)_traderstats[abstracttrader]).AverageConsectutiveLoseBars.ToString() + "\r\n";
report += "Maximum bar profit:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getMaximumPosWin().ToString() + "\r\n";
report += "Maximum bar loss:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getMaximumPosLoss().ToString() + "\r\n";
report += "Total Profit/Loss:\t\t\t" + TotalPnL.ToString() + "\r\n";
report += "Risk:\t\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getMeanRisk().ToString() + "\r\n";
//report += "Score:\t\t\t\t" + TotalScore.ToString() + "\r\n";
report += "Transactions:\t\t\t" + ((Transaction)abstracttrader.Account.Transactions[0]).Date.ToShortDateString() + ", " + ((Transaction)abstracttrader.Account.Transactions[0]).Quantity.ToString() + ", " + ((Transaction)abstracttrader.Account.Transactions[0]).Amount.ToString() + ", " + (double)(Math.Abs(((Transaction)abstracttrader.Account.Transactions[0]).Amount) / Math.Abs(((Transaction)abstracttrader.Account.Transactions[0]).Quantity)) + "\r\n";
for (int x = 1; x < abstracttrader.Account.Transactions.Count; x++)
{
report += "\t\t\t\t" + ((Transaction)abstracttrader.Account.Transactions[x]).Date.ToShortDateString() + ", " + ((Transaction)abstracttrader.Account.Transactions[x]).Quantity.ToString() + ", " + ((Transaction)abstracttrader.Account.Transactions[x]).Amount.ToString() + ", " + (double)(Math.Abs(((Transaction)abstracttrader.Account.Transactions[x]).Amount) / Math.Abs(((Transaction)abstracttrader.Account.Transactions[x]).Quantity)) + "\r\n";
}
}
return(report);
}
public string GetReport()
{
string report = "";
for (int i = 0; i < _traderAgent.Agents.Count; i++)
{
AbstractStrategy abstracttrader = (AbstractStrategy)_traderAgent.Agents[i];
//report += "Instrument:\t\t\t\t\t" + abstracttrader._instrument.Name + "\r\n";
report += "Date range:\t\t\t" + GetStartDate().ToShortDateString() + " - " + GetEndDate().ToShortDateString() + "\r\n";
report += "Total bars:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getDays().ToString() + "\r\n";
report += "Total transactions:\t\t\t" + TotalTransactions.ToString() + "\r\n";
report += "Total bars held:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).TotalHeldBars.ToString() + "\r\n";
report += "Total bars won:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getUpPosDays().ToString() + "\r\n";
report += "Total bars even:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getEvenPosDays().ToString() + "\r\n";
report += "Total bars lost:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getDownPosDays().ToString() + "\r\n";
report += "Maximum consecutive wins:\t\t" + ((Statistics)_traderstats[abstracttrader]).MaximumConsectutiveWinBars.ToString() + "\r\n";
report += "Average consecutive wins:\t\t" + ((Statistics)_traderstats[abstracttrader]).AverageConsectutiveWinBars.ToString() + "\r\n";
report += "Maximum consecutive even:\t\t" + ((Statistics)_traderstats[abstracttrader]).MaximumConsectutiveEvenBars.ToString() + "\r\n";
report += "Average consecutive even:\t\t" + ((Statistics)_traderstats[abstracttrader]).AverageConsectutiveEvenBars.ToString() + "\r\n";
report += "Maximum consecutive losses:\t\t" + ((Statistics)_traderstats[abstracttrader]).MaximumConsectutiveLoseBars.ToString() + "\r\n";
report += "Average consecutive losses:\t\t" + ((Statistics)_traderstats[abstracttrader]).AverageConsectutiveLoseBars.ToString() + "\r\n";
report += "Maximum bar profit:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getMaximumPosWin().ToString() + "\r\n";
report += "Maximum bar loss:\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getMaximumPosLoss().ToString() + "\r\n";
report += "Total Profit/Loss:\t\t\t" + TotalPnL.ToString() + "\r\n";
report += "Risk:\t\t\t\t" + ((Statistics)_traderstats[abstracttrader]).getMeanRisk().ToString() + "\r\n";
//report += "Score:\t\t\t\t" + TotalScore.ToString();
}
return(report);
}
/// <summary>
///
/// </summary>
/// <param name="trader"></param>
internal virtual void AddTrader(AbstractStrategy strategy)
{
Account account = _account;
_agents.Add(strategy);
strategy.Account = account;
_accounts[strategy] = account;
}
private void UpdateStatistics()
{
for (int i = 0; i < _traderAgent.Agents.Count; i++)
{
AbstractStrategy abstracttrader = (AbstractStrategy)_traderAgent.Agents[i];
((Statistics)_traderstats[abstracttrader]).Update(abstracttrader.GetPosition(""), abstracttrader.GetCash(), abstracttrader.GetValue());
}
}
private void pushEval()
{
double[] af = new double[_traders.Count];
for (int i = 0; i < _traders.Count; i++)
{
AbstractStrategy abstracttrader = (AbstractStrategy)_traders[i];
af[i] = abstracttrader.GetPnL();
}
_evalHistory.Insert(0, af);
}
/// <summary>
///
/// </summary>
internal virtual void ClearOrders()
{
for (System.Collections.IEnumerator it = _agents.GetEnumerator(); it.MoveNext();)
{
AbstractStrategy trader = (AbstractStrategy)it.Current;
if (!(trader.GetPendingOrders().Count == 0))
{
trader.GetPendingOrders().Clear();
}
}
}
internal virtual void ClosePosition()
{
for (System.Collections.IEnumerator it = _agents.GetEnumerator(); it.MoveNext();)
{
AbstractStrategy trader = (AbstractStrategy)it.Current;
if (trader.GetPosition(trader._instrument.Name) != 0)
{
trader.AddQuantityOrder(trader._instrument.Name, -trader.GetPosition(trader._instrument.Name));
}
}
}
/// <summary>
///
/// </summary>
public virtual void Initialize()
{
for (System.Collections.IEnumerator it = _agents.GetEnumerator(); it.MoveNext();)
{
AbstractStrategy trader = (AbstractStrategy)it.Current;
Account account = (Account)_accounts[trader];
trader.Market = _market;
account.Market = _market;
account.init();
trader.Initialize();
}
}
private void UpdateCumulative()
{
for (int i = 0; i < _traderAgent.Agents.Count; i++)
{
AbstractStrategy abstracttrader = (AbstractStrategy)_traderAgent.Agents[i];
double score = (abstracttrader.GetTransactionCount() == 0) ? 0 : abstracttrader.GetPnL() / (abstracttrader.GetDaysHeld() / abstracttrader.GetTransactionCount());
double transactions = abstracttrader.GetTransactionCount();
double pnl = abstracttrader.GetPnL();
//double days = abstracttrader.GetDaysHeld();
total += score;
totalpnl += pnl;
totaltransactions += transactions;
//totaldays += days;
}
}
public void onStarted()
{
_dateStart = new DateTime();
_dateCurrent = new DateTime();
_dateEnd = new DateTime();
_year = 0;
for (int i = 0; i < _traderAgent.Agents.Count; i++)
{
AbstractStrategy abstracttrader = (AbstractStrategy)_traderAgent.Agents[i];
((Statistics)_traderstats[abstracttrader]).setLastEval(abstracttrader.GetValue());
}
for (int i = 0; i < _observers.Count; i++)
{
((Observer)_observers[i]).onStarted();
}
}
/// <summary>
///
/// </summary>
internal virtual void ProcessOrders()
{
for (System.Collections.IEnumerator it = _agents.GetEnumerator(); it.MoveNext();)
{
AbstractStrategy trader = (AbstractStrategy)it.Current;
if (!(trader.GetPendingOrders().Count == 0))
{
Account account = (Account)_accounts[trader];
for (System.Collections.IEnumerator itord = trader.GetPendingOrders().GetEnumerator(); itord.MoveNext();)
{
Order order = (Order)itord.Current;
ProcessOrder(trader, account, order);
}
trader.GetPendingOrders().Clear();
}
}
}
/// <summary>
///
/// </summary>
/// <param name="trader"></param>
/// <param name="account"></param>
/// <param name="order"></param>
private void ProcessOrder(AbstractStrategy trader, Account account, Order order)
{
double result = 0;
if (order.Type)
{
result = account.NewQuantityTransaction(order.Instrument, order.Value);
}
else
{
result = account.NewCashTransaction(order.Instrument, order.Value);
}
trader.GetTickEvents().Clear();
if (result == 0)
{
trader.GetTickEvents().Add(new TransactionEvent(TransactionEvent.ORDER_REJECT));
}
else
{
trader.GetTickEvents().Add(new TransactionEvent(TransactionEvent.ORDER_EXEC));
}
}
/// <summary> Adds a new trader to the TraderContainer, it also creates a new IAccount
/// for the trader, this must be use before starting the engine.
///
/// </summary>
/// <param name="">trader
/// </param>
public virtual void register(AbstractStrategy trader)
{
_trader.AddTrader(trader);
}
public Statistics GetStatistics()
{
AbstractStrategy abstracttrader = (AbstractStrategy)_traderAgent.Agents[0];
return((Statistics)_traderstats[abstracttrader]);
}