public ProfitInfo GetTotalReport(ProfitInfo[] profits)
{
var total = new ProfitInfo();
foreach (var profit in profits)
{
total.TradesCount += profit.TradesCount;
total.BuysCount += profit.BuysCount;
total.SellsCount += profit.SellsCount;
total.TotalBought += profit.TotalBought;
total.TotalSold += profit.TotalSold;
total.TotalBoughtQuote += profit.TotalBoughtQuote;
total.TotalSoldQuote += profit.TotalSoldQuote;
total.Pnl += profit.Pnl;
total.PnlNoExcess += profit.PnlNoExcess;
total.PnlWithFee += profit.PnlWithFee;
total.DisplayWithFee = profit.DisplayWithFee;
total.QuoteSymbol = profit.QuoteSymbol;
total.BaseSymbol = profit.BaseSymbol;
total.MaxInventory = profit.MaxInventory;
total.MaxInventoryLimit = profit.MaxInventoryLimit;
total.OrderSize = profit.OrderSize;
}
total.AverageBuyPrice = total.TotalBoughtQuote / total.TotalBought;
total.AverageSellPrice = total.TotalSoldQuote / total.TotalSold;
var formattedTotal = $"{total} with excess";
total.Report = formattedTotal;
total.Day = null;
total.Month = null;
total.Year = null;
return(total);
}
public ProfitInfo[] GetReportPerDays(int year, int month)
{
var grouped = _trades
.Where(x => x.TimestampDate.Month == month)
.GroupBy(x => x.TimestampDate.Day);
var reports = new List <ProfitInfo>();
ProfitInfo total = null;
foreach (var group in grouped)
{
var trades = group.ToArray();
var dayReport = GetReport(trades.ToArray());
var formatted = $"day: {group.Key:00}, {dayReport}";
dayReport.Report = formatted;
dayReport.Day = group.Key;
dayReport.Year = year;
dayReport.Month = month;
reports.Add(dayReport);
if (total == null)
{
total = dayReport.Clone();
total.AverageBuy = 0;
total.AverageSell = 0;
}
else
{
total.TradesCount += dayReport.TradesCount;
total.BuysCount += dayReport.BuysCount;
total.SellsCount += dayReport.SellsCount;
total.TotalBought += dayReport.TotalBought;
total.TotalSold += dayReport.TotalSold;
total.Pnl += dayReport.Pnl;
total.PnlNoExcess += dayReport.PnlNoExcess;
total.PnlWithFee += dayReport.PnlWithFee;
}
}
if (total != null)
{
var formattedTotal = $"total: __, {total}";
total.Report = formattedTotal;
total.Day = null;
reports.Add(total);
}
return(reports.ToArray());
}
private static void Visualize(BacktestConfig backtest, ProfitComputer computer, IStrategy strategy,
int maxInv, ProfitInfo report, ProfitInfo[] days, ProfitInfo[] months)
{
if (computer == null || backtest.Visualize == null || !backtest.Visualize.Value)
{
return;
}
PrepareWebVisualization(backtest, computer, strategy, maxInv, report, report, days, months);
var chart = new ChartVisualizer();
var filename = Path.GetFileName(backtest.DirectoryPath);
var strategyName = strategy.GetType().Name.ToLower();
var pnl = report.Pnl;
var name = $"{pnl:#.00} {backtest.QuoteSymbol} (max inv: {maxInv}) ";
var nameWithFee = $"{report.PnlWithFee:#.00} {backtest.QuoteSymbol} (max inv: {maxInv}) ";
var dir = GetPathToReportDir(backtest);
var pattern = ExtractFromPattern(backtest);
var targetFile = Path.Combine(dir, $"{pattern}__{strategyName}__{maxInv}__{pnl:0}");
if (!Directory.Exists(dir))
{
Directory.CreateDirectory(dir);
}
var bars = computer.Bars;
var totalBars = bars.Length;
if (backtest.VisualizeSkipBars.HasValue)
{
bars = bars.Skip(backtest.VisualizeSkipBars.Value).ToArray();
}
if (backtest.VisualizeLimitBars.HasValue)
{
bars = bars.Take(backtest.VisualizeLimitBars.Value).ToArray();
}
var minIndex = bars.Min(x => x.Index);
var maxIndex = bars.Max(x => x.Index);
var trades = computer.Trades
.Where(x => x.BarIndex >= minIndex && x.BarIndex <= maxIndex)
.ToArray();
chart.Plot(name, nameWithFee, targetFile, totalBars, bars, trades, days, months);
}
public ProfitInfo[] GetReportByMonth()
{
var grouped = _trades.GroupBy(x => new { x.TimestampDate.Year, x.TimestampDate.Month });
var reports = new List <ProfitInfo>();
ProfitInfo total = null;
foreach (var group in grouped)
{
var trades = group.ToArray();
var monthReport = GetReport(trades.ToArray());
var formatted = $"month: {group.Key.Month:00}/{group.Key.Year}, {monthReport}";
monthReport.Report = formatted;
monthReport.Year = group.Key.Year;
monthReport.Month = group.Key.Month;
reports.Add(monthReport);
if (total == null)
{
total = monthReport.Clone();
total.AverageBuy = 0;
total.AverageSell = 0;
}
else
{
total.TradesCount += monthReport.TradesCount;
total.BuysCount += monthReport.BuysCount;
total.SellsCount += monthReport.SellsCount;
total.TotalBought += monthReport.TotalBought;
total.TotalSold += monthReport.TotalSold;
total.Pnl += monthReport.Pnl;
total.PnlNoExcess += monthReport.PnlNoExcess;
total.PnlWithFee += monthReport.PnlWithFee;
}
}
if (total != null)
{
var formattedTotal = $"total: __, {total}";
total.Report = formattedTotal;
total.Month = null;
reports.Add(total);
}
return(reports.ToArray());
}
public static ProfitInfo ComputeProfitComplex(TradeModel[] executedOrders, double fee)
{
double diff = 0;
var bids = executedOrders.Where(x => x.Amount > 0).OrderBy(x => x.Timestamp).ToArray();
var asks = executedOrders.Where(x => x.Amount < 0).OrderBy(x => x.Timestamp).ToArray();
var totalBidAmount = bids.Sum(x => Math.Abs(x.Amount));
var totalAskAmount = asks.Sum(x => Math.Abs(x.Amount));
var excessAmount = totalBidAmount - totalAskAmount;
var totalBidQuote = bids.Sum(x => Math.Abs(x.Amount * x.Price));
var totalAskQuote = asks.Sum(x => Math.Abs(x.Amount * x.Price));
var result = new ProfitInfo()
{
Pnl = 0,
TradesCount = executedOrders.Length,
BuysCount = bids.Length,
SellsCount = asks.Length,
TotalBought = totalBidAmount,
TotalSold = totalAskAmount,
TotalBoughtQuote = totalBidQuote,
TotalSoldQuote = totalAskQuote,
AverageBuyPrice = ComputeAveragePrice(bids),
AverageSellPrice = ComputeAveragePrice(asks),
WinRate = ComputeWinRate(executedOrders),
ExcessAmount = excessAmount
};
if (!bids.Any() || !asks.Any())
{
return(result);
}
var amountForBid = totalBidAmount;
foreach (var bidTrade in bids)
{
var amount = bidTrade.Amount;
var price = bidTrade.Price;
amountForBid -= amount;
if (amountForBid >= 0)
{
diff -= ComputeOrderValue(amount, price, fee, true);
}
else
{
var amountTmp = amount + amountForBid;
diff -= ComputeOrderValue(amountTmp, price, fee, true);
break;
}
}
var amountForSell = totalAskAmount;
foreach (var askTrade in asks)
{
var amount = Math.Abs(askTrade.Amount);
var price = askTrade.Price;
amountForSell -= amount;
if (amountForSell >= 0)
{
diff += ComputeOrderValue(amount, price, fee, false);
}
else
{
var amountTmp = amount + amountForSell;
diff += ComputeOrderValue(amountTmp, price, fee, false);
break;
}
}
double lastTrade;
if (excessAmount > 0)
{
var lastPrice = bids.LastOrDefault()?.Price ?? 0;
lastTrade = excessAmount * lastPrice;
}
else
{
var lastPrice = asks.LastOrDefault()?.Price ?? 0;
lastTrade = excessAmount * lastPrice;
}
var totalDiff = diff + lastTrade;
result.PnlNoExcess = ComputeProfitNoExcess(executedOrders, fee);
result.Pnl = totalDiff;
return(result);
}
public ProfitInfo[] GetReportPerDays(int year, int month, ref double maxTotalPnl, ref double minTotalPnl, ref double totalPnl)
{
var grouped = _trades
.Where(x => x.TimestampDate.Year == year && x.TimestampDate.Month == month)
.GroupBy(x => x.TimestampDate.Day)
.ToArray();
var reports = new List <ProfitInfo>();
ProfitInfo total = null;
for (int i = 0; i < grouped.Length; i++)
{
var group = grouped[i];
var last = group.Last();
var nextTrades = _trades
.Where(x => x.TimestampDate > last.TimestampDate)
.OrderBy(x => x.TimestampDate)
.ToArray();
var trades = group.ToArray();
var dayReport = GetReport(trades.ToArray(), nextTrades);
if (dayReport == ProfitInfo.Empty)
{
continue;
}
if (total == null)
{
total = dayReport.Clone();
total.Pnl += totalPnl;
total.AverageBuyPrice = 0;
total.AverageSellPrice = 0;
}
else
{
total.TradesCount += dayReport.TradesCount;
total.BuysCount += dayReport.BuysCount;
total.SellsCount += dayReport.SellsCount;
total.TotalBought += dayReport.TotalBought;
total.TotalSold += dayReport.TotalSold;
total.TotalBoughtQuote += dayReport.TotalBoughtQuote;
total.TotalSoldQuote += dayReport.TotalSoldQuote;
total.Pnl += dayReport.Pnl;
total.PnlNoExcess += dayReport.PnlNoExcess;
total.PnlWithFee += dayReport.PnlWithFee;
}
var previousMaxPnl = maxTotalPnl;
maxTotalPnl = Math.Max(maxTotalPnl, total.Pnl);
if (maxTotalPnl > previousMaxPnl)
{
minTotalPnl = maxTotalPnl;
}
minTotalPnl = Math.Min(minTotalPnl, total.Pnl);
var drawdown = (minTotalPnl - maxTotalPnl) / maxTotalPnl;
if (drawdown < 0)
{
dayReport.MaxDrawdownPercentage = drawdown;
}
if (totalPnl <= 0)
{
totalPnl = total.Pnl;
}
else
{
dayReport.ProfitPercentage = (total.Pnl - totalPnl) / totalPnl;
totalPnl = total.Pnl;
}
var formatted = $"day: {group.Key:00}, {dayReport}";
dayReport.Report = formatted;
dayReport.Day = group.Key;
dayReport.Year = year;
dayReport.Month = month;
reports.Add(dayReport);
}
//if (total != null)
//{
// var formattedTotal = $"total: __, {total}";
// total.Report = formattedTotal;
// total.Day = null;
// reports.Add(total);
//}
return(reports.ToArray());
}
