public void CloseOpenRoundTrip(Instrument instrument, double exitPrice, DateTime exitDate)
{
RoundTrip roundTrip = this.openRoundTrips[instrument];
if (roundTrip == null)
{
return;
}
this.openRoundTrips.Remove(instrument);
roundTrip.Close(exitDate);
this.list.Add((object)roundTrip);
}
private void AWvyKropOG([In] RoundTrip obj0)
{
DateTime entryDateTime = obj0.EntryDateTime;
int index = 0;
int num1 = 0;
int num2 = this.KxFygqIpbZ.Count - 1;
bool flag = true;
while (flag)
{
if (num2 < num1)
{
if (num1 == 0)
{
this.KxFygqIpbZ.Insert(0, (object)obj0);
return;
}
else
{
this.KxFygqIpbZ.Insert(this.KxFygqIpbZ.Count, (object)obj0);
return;
}
}
else
{
index = (num1 + num2) / 2;
if ((this.KxFygqIpbZ[index] as RoundTrip).EntryDateTime == entryDateTime && (index + 1 == this.KxFygqIpbZ.Count || (this.KxFygqIpbZ[index + 1] as RoundTrip).EntryDateTime > entryDateTime))
{
flag = false;
}
else if ((this.KxFygqIpbZ[index] as RoundTrip).EntryDateTime > entryDateTime)
{
num2 = index - 1;
}
else if ((this.KxFygqIpbZ[index] as RoundTrip).EntryDateTime <= entryDateTime)
{
num1 = index + 1;
}
}
}
this.KxFygqIpbZ.Insert(index, (object)obj0);
}
public void Add(RoundTrip roundTrip)
{
this.array.Add((object) roundTrip);
}
public bool Contains(RoundTrip roundTrip)
{
return this.array.Contains((object) roundTrip);
}
public void AddOpenRoundTrip(RoundTrip openRoundTrip)
{
this.openRoundTrips.Add(openRoundTrip);
}
public int GetClosedRoundTripIndex(RoundTrip roundTrip)
{
return(this.list.IndexOf((object)roundTrip));
}
public bool IsRoundTripOpen(RoundTrip roundTrip)
{
return(this.openRoundTrips.Contains(roundTrip));
}
public void Test(DateTime firstDateTime, DateTime lastDateTime, bool followChanges)
{
lock (this)
{
this.connected = followChanges;
this.isTested = true;
int local_0 = this.portfolio.Transactions.Count;
this.Reset();
this.Disconnect();
this.Connect();
int local_4 = 0;
for (DateTime local_5 = this.GetIntervalEnd(firstDateTime, this.timeInterval); local_5 <= lastDateTime; local_5 = this.AddInterval(local_5, this.timeInterval))
{
bool local_2 = false;
bool local_3 = false;
for (int local_6 = local_4; local_6 < local_0; ++local_6)
{
Transaction local_1 = this.portfolio.Transactions[local_6];
if (local_1.DateTime <= local_5)
{
switch (local_1.Side)
{
case Side.Buy:
this.currentAccount -= FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
this.allocation += FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
this.allocationLong += FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
local_2 = true;
break;
case Side.Sell:
this.currentAccount += FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
this.allocation -= FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
this.allocationLong -= FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
local_2 = true;
break;
case Side.BuyMinus:
this.currentAccount -= FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
this.allocation += FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
this.allocationShort += FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
local_3 = true;
break;
case Side.SellShort:
this.currentAccount += FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
this.allocation -= FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
this.allocationShort -= FreeQuant.Instruments.Currency.Convert(local_1.Value, local_1.Currency, this.portfolio.Account.Currency);
local_3 = true;
break;
}
if (this.isRoundTripsOnly)
{
if (!this.tempPortfolio.Positions.Contains(local_1.Instrument))
{
this.roundTripList.CloseOpenRoundTrip(local_1.Instrument, local_1.Price, local_1.DateTime);
if (local_1.Side == Side.Buy)
this.shortRoundTripList.CloseOpenRoundTrip(local_1.Instrument, local_1.Price, local_1.DateTime);
else
this.longRoundTripList.CloseOpenRoundTrip(local_1.Instrument, local_1.Price, local_1.DateTime);
}
else if (this.tempPortfolio.Positions[local_1.Instrument].Transactions.Count == 1)
{
PositionSide local_7 = PositionSide.Short;
if (local_1.Side == Side.Buy)
local_7 = PositionSide.Long;
RoundTrip local_8 = new RoundTrip(this.tempPortfolio.Positions[local_1.Instrument], local_1.Instrument, local_7, local_1.Amount, local_1.Price, local_1.Price, local_1.DateTime, local_1.DateTime, RoundTripStatus.Opened);
this.roundTripList.AddOpenRoundTrip(local_8);
if (local_1.Side == Side.Buy)
this.longRoundTripList.AddOpenRoundTrip(local_8);
else
this.shortRoundTripList.AddOpenRoundTrip(local_8);
}
else
{
this.isRoundTripsOnly = false;
this.EmitRoundTripsFinished();
}
}
this.currentAccount -= local_1.Cost;
this.tempPortfolio.Add(local_1);
this.cost += local_1.Cost;
local_4 = local_6 + 1;
}
else if (local_1.DateTime.Date >= local_5)
break;
}
double local_9 = this.currentWealth;
this.currentWealth = this.currentAccount + this.tempPortfolio.GetPositionValue(local_5);
this.pnL = this.currentWealth - local_9;
this.maxPreviousWealth = Math.Max(this.maxPreviousWealth, local_9);
this.drawdown = Math.Min(this.currentWealth - this.maxPreviousWealth, 0.0);
this.percentDrawdown = this.currentWealth / this.maxPreviousWealth - 1.0;
this.returnValue = (this.currentWealth / local_9 - 1.0) * 100.0;
this.totalCost += this.cost;
if (this.businessDaysOnly)
Calendar.IsWeekend(local_5);
if (local_5 >= this.FirstDate.Date)
{
this.wealthSeries.Add(local_5.AddTicks(1L), this.currentWealth);
this.drawdownSeries.Add(local_5.AddTicks(1L), this.drawdown);
this.percentDrawdownSeries.Add(local_5.AddTicks(1L), this.percentDrawdown);
this.pnLSeries.Add(local_5.AddTicks(1L), this.pnL);
this.costSeries.Add(local_5.AddTicks(1L), this.cost);
this.returnSeries.Add(local_5.AddTicks(1L), this.returnValue);
this.EmitPnLSeriesValueAdded();
this.EmitWealthSeriesValueAddedd();
this.EmitDrawdownSeriesValueAdded();
this.EmitCostSeriesValueAdded();
this.EmitReturnSeriesValueAdded();
if (local_2 || local_3)
{
this.allocationSeries.Add(local_5.AddTicks(1L), this.allocation);
this.EmitAllocationSeriesValueAdded();
}
if (local_2)
{
this.allocationLongSeries.Add(local_5.AddTicks(1L), this.allocationLong);
this.EmitAllocationLongSeriesValueAdded();
}
if (local_3)
{
this.allocationShortSeries.Add(local_5.AddTicks(1L), this.allocationShort);
this.EmitAllocationShortSeriesValueAdded();
}
}
}
this.EmitStatisticChanged();
if (!this.isRoundTripsOnly)
return;
this.EmitRoundTripsUpdated();
this.EmitRoundTripStatisticChanged();
}
}
public int GetClosedRoundTripIndex(RoundTrip roundTrip)
{
return this.list.IndexOf((object) roundTrip);
}
public void AddOpenRoundTrip(RoundTrip openRoundTrip)
{
this.openRoundTrips.Add(openRoundTrip);
}
public bool IsRoundTripOpen(RoundTrip roundTrip)
{
return this.openRoundTrips.Contains(roundTrip);
}
public void Remove(RoundTrip roundTrip)
{
this.t3XyVaLbw1.Remove((object)roundTrip.Instrument);
this.KxFygqIpbZ.Remove((object)roundTrip);
}
public void Add(RoundTrip roundTrip)
{
this.t3XyVaLbw1.Add((object)roundTrip.Instrument, (object)roundTrip);
this.AWvyKropOG(roundTrip);
}
public bool Contains(RoundTrip roundTrip)
{
return(this.array.Contains((object)roundTrip));
}
private void o38yaR1giJ(object obj0, TransactionEventArgs obj1)
{
lock (this)
{
if (!this.followChanges)
return;
this.tempPortfolio.Add(obj1.Transaction);
this.tempPortfolio.Monitored = true;
switch (obj1.Transaction.Side)
{
case Side.Buy:
this.currentAccount -= FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.allocation += FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.allocationLong += FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.isAllocationLong = true;
break;
case Side.Sell:
this.currentAccount += FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.allocation -= FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.allocationLong -= FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.isAllocationLong = true;
break;
case Side.BuyMinus:
this.currentAccount -= FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.allocation += FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.allocationShort += FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.isAllocationShort = true;
break;
case Side.SellShort:
this.currentAccount += FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.allocation -= FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.allocationShort -= FreeQuant.Instruments.Currency.Convert(obj1.Transaction.Value, obj1.Transaction.Currency, this.portfolio.Account.Currency);
this.isAllocationShort = true;
break;
}
if (this.isRoundTripsOnly)
{
if (!this.tempPortfolio.Positions.Contains(obj1.Transaction.Instrument))
{
this.roundTripList.CloseOpenRoundTrip(obj1.Transaction.Instrument, obj1.Transaction.Price, obj1.Transaction.DateTime);
if (obj1.Transaction.Side == Side.Buy)
this.shortRoundTripList.CloseOpenRoundTrip(obj1.Transaction.Instrument, obj1.Transaction.Price, obj1.Transaction.DateTime);
else
this.longRoundTripList.CloseOpenRoundTrip(obj1.Transaction.Instrument, obj1.Transaction.Price, obj1.Transaction.DateTime);
}
else if (this.tempPortfolio.Positions[obj1.Transaction.Instrument].Transactions.Count == 1)
{
PositionSide local_0 = PositionSide.Short;
if (obj1.Transaction.Side == Side.Buy)
local_0 = PositionSide.Long;
RoundTrip local_1 = new RoundTrip(this.tempPortfolio.Positions[obj1.Transaction.Instrument], obj1.Transaction.Instrument, local_0, obj1.Transaction.Amount, obj1.Transaction.Price, obj1.Transaction.Price, obj1.Transaction.DateTime, obj1.Transaction.DateTime, RoundTripStatus.Opened);
this.roundTripList.AddOpenRoundTrip(local_1);
if (obj1.Transaction.Side == Side.Buy)
this.longRoundTripList.AddOpenRoundTrip(local_1);
else
this.shortRoundTripList.AddOpenRoundTrip(local_1);
}
else
{
this.isRoundTripsOnly = false;
this.EmitRoundTripsFinished();
}
}
if (this.isRoundTripsOnly)
this.roundTripList.UpdateOpenRoundTrips();
this.currentAccount -= obj1.Transaction.Cost;
this.cost += obj1.Transaction.Cost;
if (this.isRoundTripsOnly)
{
this.EmitRoundTripsUpdated();
this.EmitRoundTripStatisticChanged();
}
if (!this.waitingForStart)
return;
this.waitingForStart = false;
this.awaitTime = this.GetIntervalEnd(obj1.Transaction.DateTime, this.timeInterval);
this.awaitHandler = new ReminderEventHandler(this.JKNyi7SDXu);
Clock.AddReminder(this.awaitHandler, this.awaitTime, (object)null);
}
}
public void Add(RoundTrip roundTrip)
{
this.array.Add((object)roundTrip);
}
public bool Contains(RoundTrip roundTrip)
{
return(this.KxFygqIpbZ.Contains((object)roundTrip));
}
