Пример #1
0
        public static void Export(filterReportDS ds)
        {
            using (ExcelPackage xlPackage = new ExcelPackage())
            {
                var ws          = xlPackage.Workbook.Worksheets[0];
                var valuesRange = ws.Names[""];
                //ws.Cells[valuesRange.Address].LoadFromDataTable();

                //xlPackage.SaveAs("");
            }
        }
Пример #2
0
        /// <summary>
        ///
        /// </summary>
        /// <param name="ds"></param>
        /// <param name="options"></param>
        /// <returns>The path of the exported file. Empty if not saved.</returns>
        public string Export(filterReportDS ds, ExportOptions options)
        {
            _ds = ds;

            //initialize the package using the template from the resources
            var assembly = Assembly.GetExecutingAssembly();

            using (Stream templateStream = assembly.GetManifestResourceStream("QPAS.Resources.ExportTemplate.xlsx"))
                using (var packageStream = new MemoryStream())
                    using (var xlPackage = new ExcelPackage(packageStream, templateStream))
                    {
                        var wb = xlPackage.Workbook;

                        //Loop through the options. If they're enable, call the exporting function
                        //assigned to it through the _exportMethodMap dictionary
                        var sheetNames = wb.Worksheets.Select(x => x.Name).ToList();
                        foreach (string sheetName in sheetNames)
                        {
                            if (options.SelectedItems.Contains(sheetName))
                            {
                                InsertData(sheetName, wb);
                            }
                            else
                            {
                                //not enabled -- delete the worksheet
                                //wb.Worksheets.Delete(wb.Worksheets[sheetName].Index);
                            }
                        }

                        //save to file
                        var dialog = new Microsoft.Win32.SaveFileDialog();
                        dialog.Filter = "Excel files (.xlxs)|*.xlsx";
                        if (dialog.ShowDialog() == true)
                        {
                            using (var fileStream = new FileStream(dialog.FileName, FileMode.Create, FileAccess.Write))
                            {
                                xlPackage.SaveAs(fileStream);
                            }
                            return(dialog.FileName);
                        }
                    }

            return("");
        }
Пример #3
0
        public PerformanceReportWindow(filterReportDS data, ReportSettings settings)
        {
            InitializeComponent();

            //hiding the tab headers
            Style s = new Style();
            s.Setters.Add(new Setter(VisibilityProperty, Visibility.Collapsed));
            MainTabCtrl.ItemContainerStyle = s;


            ViewModel = new PerformanceReportViewModel(data, settings, DialogCoordinator.Instance);
            DataContext = ViewModel;

            //give instrument pnl chart 30 pixels height for every bar, there's no better way of fitting it to the contents
            RealizedPLByInstrumentChart.Height = 50 + ViewModel.Data.pnlByInstrument.Rows.Count * 30;
            ROACByInstrumentChart.Height = 50 +  ViewModel.Data.instrumentROAC.Rows.Count * 30;
            TotalPLByTagChart.Height = 50 + ViewModel.Data.PLByTag.Rows.Count * 30;
            AvgPLByTagChart.Height = 50 + ViewModel.Data.PLByTag.Rows.Count * 30;
        }
Пример #4
0
        public PerformanceReportWindow(filterReportDS data, ReportSettings settings)
        {
            InitializeComponent();

            //hiding the tab headers
            Style s = new Style();

            s.Setters.Add(new Setter(VisibilityProperty, Visibility.Collapsed));
            MainTabCtrl.ItemContainerStyle = s;

            ViewModel   = new PerformanceReportViewModel(data, settings, DialogCoordinator.Instance);
            DataContext = ViewModel;

            //give instrument pnl chart 30 pixels height for every bar, there's no better way of fitting it to the contents
            RealizedPLByInstrumentChart.Height = 50 + ViewModel.Data.pnlByInstrument.Rows.Count * 30;
            ROACByInstrumentChart.Height       = 50 + ViewModel.Data.instrumentROAC.Rows.Count * 30;
            TotalPLByTagChart.Height           = 50 + ViewModel.Data.PLByTag.Rows.Count * 30;
            AvgPLByTagChart.Height             = 50 + ViewModel.Data.PLByTag.Rows.Count * 30;
        }
Пример #5
0
        /// <summary>
        /// 
        /// </summary>
        /// <param name="ds"></param>
        /// <param name="options"></param>
        /// <returns>The path of the exported file. Empty if not saved.</returns>
        public string Export(filterReportDS ds, ExportOptions options)
        {
            _ds = ds;

            //initialize the package using the template from the resources
            var assembly = Assembly.GetExecutingAssembly();
            using (Stream templateStream = assembly.GetManifestResourceStream("QPAS.Resources.ExportTemplate.xlsx"))
            using (var packageStream = new MemoryStream())
            using (var xlPackage = new ExcelPackage(packageStream, templateStream))
            {
                var wb = xlPackage.Workbook;

                //Loop through the options. If they're enable, call the exporting function
                //assigned to it through the _exportMethodMap dictionary
                var sheetNames = wb.Worksheets.Select(x => x.Name).ToList();
                foreach(string sheetName in sheetNames)
                {
                    if (options.SelectedItems.Contains(sheetName))
                    {
                        InsertData(sheetName, wb);
                    }
                    else
                    {
                        //not enabled -- delete the worksheet
                        //wb.Worksheets.Delete(wb.Worksheets[sheetName].Index);
                    }
                }
                
                //save to file
                var dialog = new Microsoft.Win32.SaveFileDialog();
                dialog.Filter = "Excel files (.xlxs)|*.xlsx";
                if (dialog.ShowDialog() == true)
                {
                    using (var fileStream = new FileStream(dialog.FileName, FileMode.Create, FileAccess.Write))
                    {
                        xlPackage.SaveAs(fileStream);
                    }
                    return dialog.FileName;
                }
            }

            return "";
        }
Пример #6
0
        public PerformanceReportViewModel(filterReportDS data, ReportSettings settings, IDialogCoordinator dialogService) : base(null)
        {
            Data      = data;
            Settings  = settings;
            CopyChart = new RelayCommand <PlotView>(x => x.CopyToClipboard());
            SaveChart = new RelayCommand <PlotView>(x =>
            {
                try
                {
                    x.SaveAsPNG();
                }
                catch (Exception ex)
                {
                    dialogService.ShowMessageAsync(this, "Error saving image", ex.Message);
                }
            });

            //Calculate best fit line for the return vs size scatter chart
            double rsq;

            double[] b;
            MathUtils.MLR(
                Data.positionSizesVsReturns.Select(x => x.size).ToList(),
                Data.positionSizesVsReturns.Select(x => x.ret).ToList(),
                out b,
                out rsq);

            _retVsSizeBestFitLineConstant = b[0];
            _retVsSizeBestFitLineSlope    = b[1];

            //Calculate best fit line for the return vs length scatter chart
            MathUtils.MLR(
                Data.tradeLengthsVsReturns.Select(x => x.ret).ToList(),
                Data.tradeLengthsVsReturns.Select(x => x.length).ToList(),
                out b,
                out rsq);

            _retVsLengthBestFitLineConstant = b[0];
            _retVsLengthBestFitLineSlope    = b[1];

            //Histograms
            try
            {
                var sharpeHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.Sharpe), 20);
                MCSharpeHistogramBuckets = sharpeHistogram.GetBuckets();

                var marHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.MAR), 20);
                MCMARHistogramBuckets = marHistogram.GetBuckets();

                var kRatioHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.KRatio), 20);
                MCKRatioHistogramBuckets = kRatioHistogram.GetBuckets("0");
            }
            catch { } //Yeah this is bad, there's a ton of stupid errors that are not easy to check for...re-do this in the future

            //Benchmark stats
            if (Settings.Benchmark != null)
            {
                BenchmarkAlpha            = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).alpha;
                BenchmarkBeta             = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).beta;
                BenchmarkCorrelation      = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).correlation;
                BenchmarkRSquare          = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).rsquare;
                BenchmarkInformationRatio = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).informationRatio;
                BenchmarkActiveReturn     = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).activeReturn;
                BenchmarkTrackingError    = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).trackingError;
                BenchmarkInstrument       = Settings.Benchmark.Name;
            }

            //avg cumulative winner/loser returns by day in trade
            AvgCumulativeWinnerRets =
                Enumerable.Select(data
                                  .AverageDailyRets
                                  .Where(x => !x.IswinnersRetsNull()), x => new KeyValuePair <int, double>(x.day, x.winnersRets))
                .ToList();

            AvgCumulativeLoserRets =
                Enumerable.Select(data
                                  .AverageDailyRets
                                  .Where(x => !x.IslosersRetsNull()), x => new KeyValuePair <int, double>(x.day, x.losersRets))
                .ToList();

            //build plot models
            CreatePLByStrategyChartModel();
            CreateCapitalUsageByStrategyChartModel();
            CreateRelativeCapitalUsageByStrategyChartModel();
            CreateRoacByStrategyChartModel();
            CreateMdsChartModel();
            CreateTradeRetsByDayAndHourChartModel();
        }
Пример #7
0
        public PerformanceReportViewModel(filterReportDS data, ReportSettings settings, IDialogCoordinator dialogService) : base(null)
        {
            Data = data;
            Settings = settings;
            CopyChart = new RelayCommand<PlotView>(x => x.CopyToClipboard());
            SaveChart = new RelayCommand<PlotView>(x =>
                {
                    try
                    {
                        x.SaveAsPNG();
                    }
                    catch (Exception ex)
                    {
                        dialogService.ShowMessageAsync(this, "Error saving image", ex.Message);
                    }
                });

            //Calculate best fit line for the return vs size scatter chart
            double rsq;
            double[] b;
            MathUtils.MLR(
                Data.positionSizesVsReturns.Select(x => x.size).ToList(),
                Data.positionSizesVsReturns.Select(x => x.ret).ToList(),
                out b,
                out rsq);

            _retVsSizeBestFitLineConstant = b[0];
            _retVsSizeBestFitLineSlope = b[1];

            //Calculate best fit line for the return vs length scatter chart
            MathUtils.MLR(
                Data.tradeLengthsVsReturns.Select(x => x.ret).ToList(),
                Data.tradeLengthsVsReturns.Select(x => x.length).ToList(),
                out b,
                out rsq);

                _retVsLengthBestFitLineConstant = b[0];
                _retVsLengthBestFitLineSlope = b[1];

            //Histograms
            try
            {
                var sharpeHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.Sharpe), 20);
                MCSharpeHistogramBuckets = sharpeHistogram.GetBuckets();

                var marHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.MAR), 20);
                MCMARHistogramBuckets = marHistogram.GetBuckets();

                var kRatioHistogram = new Histogram(Enumerable.Select(Data.MCRatios, x => x.KRatio), 20);
                MCKRatioHistogramBuckets = kRatioHistogram.GetBuckets("0");
            }
            catch { } //Yeah this is bad, there's a ton of stupid errors that are not easy to check for...re-do this in the future

            //Benchmark stats
            if (Settings.Benchmark != null)
            {
                BenchmarkAlpha = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).alpha;
                BenchmarkBeta = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).beta;
                BenchmarkCorrelation = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).correlation;
                BenchmarkRSquare = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).rsquare;
                BenchmarkInformationRatio = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).informationRatio;
                BenchmarkActiveReturn = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).activeReturn;
                BenchmarkTrackingError = ((filterReportDS.benchmarkStatsRow)Data.benchmarkStats.Rows[0]).trackingError;
                BenchmarkInstrument = Settings.Benchmark.Name;
            }

            //avg cumulative winner/loser returns by day in trade
            AvgCumulativeWinnerRets = 
                Enumerable.Select(data
                    .AverageDailyRets
                    .Where(x => !x.IswinnersRetsNull()), x => new KeyValuePair<int, double>(x.day, x.winnersRets))
                .ToList();

            AvgCumulativeLoserRets =
                Enumerable.Select(data
                    .AverageDailyRets
                    .Where(x => !x.IslosersRetsNull()), x => new KeyValuePair<int, double>(x.day, x.losersRets))
                .ToList();

            //build plot models
            CreatePLByStrategyChartModel();
            CreateCapitalUsageByStrategyChartModel();
            CreateRelativeCapitalUsageByStrategyChartModel();
            CreateRoacByStrategyChartModel();
            CreateMdsChartModel();
            CreateTradeRetsByDayAndHourChartModel();
        }