public override T Clone <T>()
{
var result = (Offer)MemberwiseClone();
result.Trades = new List <Trade>();
result.Trades = Trades.Select(t => t.Clone()).ToList();
return((T)((BaseMessage)result));
}
public Offer Convert(decimal price)
{
var result = (Offer)MemberwiseClone();
result.Trades = new List <Trade>();
result.Trades = Trades.Select(t => t.Clone().Convert(price)).ToList();
result.Price = result.Price / price;
return(result);
}
public override void CloseMarketOrder(MarketOrder order, CloseReason closeReason)
{
if (_orders.Contains(order))
{
_orders.Remove(order);
}
var exitPrice = order.TradeType == TradeType.Buy ? order.Symbol.GetPrice(TradeType.Sell) :
order.Symbol.GetPrice(TradeType.Buy);
var barsPeriod = order.Symbol.Bars.Time.Where(iBarTime => iBarTime >= order.OpenTime).Count();
var tradingEvent = new TradingEvent(Server.CurrentTime, TradingEventType.MarketOrderClosed, order, string.Empty);
_journal.Add(tradingEvent);
Account.ChangeMargin(-order.MarginUsed, Server.CurrentTime, string.Empty, AccountChangeType.Trading);
Account.ChangeBalance(order.NetProfit, Server.CurrentTime, string.Empty, AccountChangeType.Trading);
var tradeData = Trades.Select(iTrade => iTrade.Order.NetProfit);
var sharpeRatio = SharpeRatioCalculator.GetSharpeRatio(tradeData);
var sortinoRatio = SortinoRatioCalculator.GetSortinoRatio(tradeData);
var equityMaxDrawDown = MaxDrawdownCalculator.GetMaxDrawdown(Account.EquityChanges);
var balanceMaxDrawDown = MaxDrawdownCalculator.GetMaxDrawdown(Account.BalanceChanges);
var id = _trades.Count + 1;
var tradeParameters = new TradeParameters
{
Id = id,
Order = order,
ExitTime = Server.CurrentTime,
ExitPrice = exitPrice,
Balance = Account.CurrentBalance,
Equity = Account.Equity,
BalanceMaxDrawDown = balanceMaxDrawDown,
EquityMaxDrawDown = equityMaxDrawDown,
BarsPeriod = barsPeriod,
CloseReason = closeReason,
SharpeRatio = sharpeRatio,
SortinoRatio = sortinoRatio
};
var trade = new Trade(tradeParameters);
_trades.Add(trade);
}
