public void Calculate()
{
// ReSharper disable SuspiciousTypeConversion.Global
((IMockableProxy)fakeTradeAccount).IncludeMockMethod(getHistoryOrdersName, getHistoryOrdersFake);
((IMockableProxy)fakeTradeAccount).IncludeMockMethod(getMarketOrdersName, getMarketOrdersFake);
((IMockableProxy)fakeTradeAccount).IncludeMockMethod(getBalanceChangesName, getBalanceChangesFake);
// ReSharper restore SuspiciousTypeConversion.Global
var accEff = new AccountEfficiency(new PerformerStat
{
Account = AccountId,
DepoCurrency = "USD"
});
//accEff.Statistics.Account = accountId;
efficiencyCalculator = new EfficiencyCalculator(dailyQuoteStorage, new EquityCurveCalculator());
efficiencyCalculator.Calculate(accEff);
}
private void CalcProfit1000(AccountEfficiency ef, List<EquityOnTime> listDatedTWR)
{
const float startBalance = 1000;
if (listDatedTWR.Count == 0) return;
ef.listProfit1000 = new List<EquityOnTime> { new EquityOnTime(startBalance, ef.StartDate) };
var balance = startBalance;
for (var i = 0; i < listDatedTWR.Count; i++)
{
var twr = listDatedTWR[i];
balance = balance * twr.equity;
// Хардкод на последнее число - дублировать запись
if (i == listDatedTWR.Count - 1 && i > 0 &&
listDatedTWR[i].time.Month != listDatedTWR[i - 1].time.Month) // !!
{
var doubleDate = twr.time;
doubleDate = doubleDate.Hour < 12 ? doubleDate.AddHours(1) : doubleDate.AddHours(-1);
ef.listProfit1000.Add(new EquityOnTime(balance, doubleDate));
}
ef.listProfit1000.Add(new EquityOnTime(balance, twr.time));
}
}
private void CalcDrawDown(AccountEfficiency ef)
{
float drawDown = 0;
float drawStart = 0;
for (var i = 0; i < ef.listEquity.Count; i++)
{
var level = ef.listEquity[i].equity;
var curDD = 0f;
var j = i + 1;
var probablyDrawStart = level;
for (; j < ef.listEquity.Count; j++)
{
var cl = ef.listEquity[j].equity;
if (cl >= level) break;
var delta = cl - level;
if (delta < curDD) curDD = delta;
}
i = j;
if (curDD < drawDown)
{
drawDown = curDD;
drawStart = level;
}
}
if (drawStart > 0 && drawDown < 0)
{
ef.Statistics.MaxRelDrawDown = 100 * (-drawDown) / drawStart;
}
}
public void CalculateProfitCoeffs(AccountEfficiency ef)
{
if (ef.listEquity == null) return;
if (ef.listEquity.Count == 0) return;
// посчитать TWR
var lastEq = ef.listEquity[ef.listEquity.Count - 1].equity;
ef.Statistics.Equity = lastEq;
var dueTransactions = ef.listTransaction.Where(t => t.ChangeType == BalanceChangeType.Deposit ||
t.ChangeType == BalanceChangeType.Withdrawal).ToList();
// вычесть стартовый баланс - первую транзакцию
if (dueTransactions.Count > 0)
dueTransactions.RemoveAt(0);
var sumTrans = (float)dueTransactions.Sum(t => t.SignedAmountDepo);
var absTWR = ef.InitialBalance == 0 ? 0 : (lastEq - sumTrans) / ef.InitialBalance;
ef.Statistics.Profit = (absTWR - 1f) * 100f;
// Посчитать относительные доходности на дату
// Pi = 1 + (Di - Di-1 - SUM(T)) / Di
// P - доходность, D - депозит, SUM(T) - сумма транзакций с момента i-1 по i
var listTWR = new List<float>();
var listDatedTWR = new List<EquityOnTime>();
for (var i = 1; i < ef.listEquity.Count; i++)
{
var time = ef.listEquity[i].time;
var sumT = 0f;
for (var j = 0; j < dueTransactions.Count(); j++)
{
var trans = dueTransactions[j];
if (trans.ValueDate > time) continue;
sumT += (float)trans.SignedAmountDepo;
dueTransactions.RemoveAt(j);
j--;
}
var depo = ef.listEquity[i].equity;
var depoPrev = ef.listEquity[i - 1].equity;
if (depoPrev == 0) continue;
var twr = 1 + (depo - depoPrev - sumT) / depoPrev;
listTWR.Add(twr);
listDatedTWR.Add(new EquityOnTime(twr, time));
}
if (listTWR.Count < 2) return;
// Шарп
var sko = 0f;
var avgTWR = listTWR.Average();
for (var i = 0; i < listTWR.Count; i++)
{
var deltaTWR = listTWR[i] - avgTWR;
sko += (deltaTWR * deltaTWR);
}
ef.Statistics.Sharp = sko == 0 ? 0 : (absTWR - 1) / (float)Math.Sqrt(sko);
// макс. проседание
CalcDrawDown(ef);
// доходность на 1000
if (ef.listProfit1000 == null)
CalcProfit1000(ef, listDatedTWR);
// среднегеометрическая
var prodProfit = listTWR.Product(t => t);
if (prodProfit < 0) prodProfit = 0;
ef.ProfitGeomMonth = prodProfit == 0 ? 0 : 100 * ((float)Math.Pow(prodProfit, 20.5f / listDatedTWR.Count) - 1);
ef.ProfitGeomYear = prodProfit == 0 ? 0 : 100 * ((float)Math.Pow(prodProfit, 250f / listDatedTWR.Count) - 1);
ef.Statistics.AvgYearProfit = ef.ProfitGeomYear;
// доходность за последние N месяцев
// по кривой доходности на 1 000 долларов
if (ef.listProfit1000.Count > 1)
{
const int months = -3;
var dateOld = DateTime.Now.Date.AddMonths(months);
var lastEquityDate = ef.listProfit1000[0];
var curEquity = ef.listProfit1000[ef.listProfit1000.Count - 1].equity;
if (lastEquityDate.time.Date < dateOld)
{
lastEquityDate = ef.listProfit1000.FirstOrDefault(p => p.time >= dateOld);
if (lastEquityDate.Equals(default(EquityOnTime)))
lastEquityDate = ef.listProfit1000[0];
}
var delta = curEquity - lastEquityDate.equity;
ef.Statistics.ProfitLastMonths = lastEquityDate.equity == 0
? (curEquity == 0 ? 0 : 100)
: 100 * delta / lastEquityDate.equity;
// доходность за N месяцев, по абс. величине
ef.Statistics.ProfitLastMonthsAbs = (ef.closedDeals == null || ef.closedDeals.Count == 0) ? 0 :
ef.closedDeals.Where(d => d.TimeExit >= dateOld).Sum(d => d.ResultDepo);
}
}
public void CalculateProfitCoeffs()
{
var accEff = new AccountEfficiency(new PerformerStat
{
Account = AccountId,
DepoCurrency = "USD"
})
{
listEquity = TestDataGenerator.GetEquityOnTime(),
listTransaction = TestDataGenerator.GetBalanceChange().Select(LinqToEntity.DecorateBalanceChange).ToList()
};
efficiencyCalculator = new EfficiencyCalculator(dailyQuoteStorage, new EquityCurveCalculator());
efficiencyCalculator.CalculateProfitCoeffs(accEff);
}
// отобразить данные "Совокупные позиции"
public static void BindSummaryPositions(AccountEfficiency efficiency, TickersAndVolumesBarControl tickersAndVolumesBarControl)
{
if (efficiency.openedDeals == null || efficiency.openedDeals.Count == 0)
return;
// исходные объемы валютных инструментов
// ticker, <buy_volume, sell_volume>
var summaryPositions = new Dictionary<string, TradeSharp.Util.Cortege2<int, int>>();
var symbols = efficiency.openedDeals.Select(d => d.Symbol).Distinct().ToList();
foreach (var symbol in symbols)
{
var ticker = symbol;
var deals = efficiency.openedDeals.Where(d => d.Symbol == ticker).ToList();
var buyVolume = deals.Sum(d => d.Side > 0 ? d.Volume : 0);
var sellVolume = deals.Sum(d => d.Side < 0 ? d.Volume : 0);
summaryPositions.Add(ticker, new TradeSharp.Util.Cortege2<int, int>(buyVolume, sellVolume));
}
// оценка исходных объемов в валюте депозита
// ticker, <buy_volume, sell_volume>
var summaryPositionsDepo = new Dictionary<string, TradeSharp.Util.Cortege2<decimal?, decimal?>>();
decimal maxDepoValue = 0; // максимальное значение; исп. для масштабирования
var quotes = QuoteStorage.Instance.ReceiveAllData();
foreach (var sumPos in summaryPositions)
{
string errorString;
var buyDepoVolume = DalSpot.Instance.ConvertToTargetCurrency(sumPos.Key, true,
efficiency.Statistics.DepoCurrency,
sumPos.Value.a, quotes, out errorString);
if (buyDepoVolume.HasValue && buyDepoVolume.Value > maxDepoValue)
maxDepoValue = buyDepoVolume.Value;
var sellDepoVolume = DalSpot.Instance.ConvertToTargetCurrency(sumPos.Key, true,
efficiency.Statistics.DepoCurrency,
sumPos.Value.b, quotes, out errorString);
if (sellDepoVolume.HasValue && sellDepoVolume.Value > maxDepoValue)
maxDepoValue = sellDepoVolume.Value;
summaryPositionsDepo.Add(sumPos.Key, new TradeSharp.Util.Cortege2<decimal?, decimal?>(buyDepoVolume, sellDepoVolume));
}
// визуализация
try
{
var graphics = tickersAndVolumesBarControl.CreateGraphics();
tickersAndVolumesBarControl.Height = summaryPositions.Count * tickersAndVolumesBarControl.RowHeight;
// под центральную надпись выделяем чуть больше расчетного места
tickersAndVolumesBarControl.CenterLabelWidth =
(int) symbols.Max(s => graphics.MeasureString(s, tickersAndVolumesBarControl.Font).Width) + 10;
for (var i = 0; i < summaryPositions.Count; i++)
{
var sumPos = summaryPositions.ElementAt(i);
var sumPosDepo = summaryPositionsDepo[sumPos.Key];
var buyVolumeString = sumPos.Value.a > 1000
? (sumPos.Value.a / 1000).ToStringUniformMoneyFormat() + " K"
: sumPos.Value.a.ToStringUniformMoneyFormat();
var sellVolumeString = sumPos.Value.b > 1000
? (sumPos.Value.b / 1000).ToStringUniformMoneyFormat() + " K"
: sumPos.Value.b.ToStringUniformMoneyFormat();
tickersAndVolumesBarControl.Lines.Add(new TickerVolumes
{
CenterLabel = sumPos.Key,
LeftValue = sumPosDepo.b.HasValue ? (double) (sumPosDepo.b.Value / maxDepoValue) : 0,
RightValue = sumPosDepo.a.HasValue ? (double) (sumPosDepo.a.Value / maxDepoValue) : 0,
LeftLabel = sellVolumeString,
RightLabel = buyVolumeString
});
}
}
catch (Exception ex)
{
Logger.ErrorFormat("PerformerStatistic.BindSummaryPositions", ex);
}
}
public void CalculateProfitCoeffs(AccountEfficiency ef)
{
}
private static PerformerStat GeneratePortfolioAccountEfficiency(AccountEfficiency efficiency)
{
if (!AccountModel.Instance.AccountId.HasValue || efficiency.listProfit1000.Count == 0)
return null;
// pofit calc
efficiency.listEquity = new List<EquityOnTime>();
float equity = 10000;
if (AccountModel.Instance.Account != null && AccountModel.Instance.Account != null)
equity = (float) AccountModel.Instance.Account.Equity;
// пусть performerStat.Equity соответствует последней точке на кривой доходности на 1000
var profitFactor = equity / efficiency.listProfit1000.Last().equity;
foreach (var equityOnTime in efficiency.listProfit1000)
{
efficiency.listEquity.Add(new EquityOnTime(equityOnTime.equity * profitFactor, equityOnTime.time));
}
// stats calc
efficiency.listTransaction = new List<BalanceChange>();
efficiency.InitialBalance = efficiency.listEquity[0].equity;
efficiency.StartDate = efficiency.listEquity[0].time;
new EfficiencyCalculator().CalculateProfitCoeffs(efficiency);
var stat = efficiency.Statistics;
//new PerformerStat
//{
// Profit = efficiency.TWR,
// GreedyRatio = efficiency.GreedyRatio,
// MaxRelDrawDown = efficiency.MaxDrawdown,
// Sharp = efficiency.Sharp
//};
//stat.MaxLeverage = efficiency.MaxLeverage;
return stat;
}
private static AccountEfficiency GeneratePortfolioAccountEfficiency(TopPortfolio portfolio, IAccountStatistics proxy)
{
var portfolioEfficiency = new AccountEfficiency();
var efficiencies = new List<AccountEfficiency>();
// detect beginning
DateTime? beginDate = null;
foreach (var performerStat in portfolio.Managers)
{
var efficiency = proxy.GetAccountEfficiencyShort(performerStat.Account, false, false);
efficiencies.Add(efficiency);
var firstDate = efficiency.listProfit1000.Min(e => e.time);
if (!beginDate.HasValue)
beginDate = firstDate;
else
if (firstDate < beginDate.Value)
beginDate = firstDate;
}
if (!beginDate.HasValue)
return null;
// pofit1000 calc
portfolioEfficiency.listProfit1000 = new List<EquityOnTime>();
portfolioEfficiency.listEquity = new List<EquityOnTime>();
for (var date = beginDate.Value; date < DateTime.Now; date = date.AddDays(1))
{
float equity = 0;
foreach (var efficiency in efficiencies)
{
var equityOnTime = efficiency.listProfit1000.Find(e => e.time == date);
if (equityOnTime.time == default(DateTime))
continue;
equity += equityOnTime.equity;
}
equity /= efficiencies.Count;
portfolioEfficiency.listProfit1000.Add(new EquityOnTime(equity, date));
}
if (!AccountModel.Instance.AccountId.HasValue || portfolioEfficiency.listProfit1000.Count == 0)
return null;
// pofit calc
var stat = proxy.GetPerformerByAccountId(AccountModel.Instance.AccountId.Value);
// пусть performerStat.Equity соответствует последней точке на кривой доходности на 1000
var profitFactor = stat.Equity / portfolioEfficiency.listProfit1000.Last().equity;
foreach (var equityOnTime in portfolioEfficiency.listProfit1000)
{
portfolioEfficiency.listEquity.Add(new EquityOnTime(equityOnTime.equity * profitFactor, equityOnTime.time));
}
// stats calc
portfolioEfficiency.listTransaction = new List<BalanceChange>();
portfolioEfficiency.InitialBalance = portfolioEfficiency.listEquity[0].equity;
portfolioEfficiency.StartDate = portfolioEfficiency.listEquity[0].time;
new EfficiencyCalculator().CalculateProfitCoeffs(portfolioEfficiency);
return portfolioEfficiency;
}
/// <summary>
/// кэш обновляется периодически для заданных акаунтов (accountIDs)
/// </summary>
public void UpdateCache()
{
var performers = TradeSharpServer.Instance.proxy.GetAllManagers(null);
// добавить эталонные счета
var topManagedAccounts = TradeSharpServer.Instance.proxy.GetCompanyTopPortfolioManagedAccounts() ?? new List<PerformerStat>();
var missedAccounts = topManagedAccounts.Where(a => performers.All(p => p.Account != a.Account));
performers.AddRange(missedAccounts);
Logger.InfoFormat("UpdateCache({0})", performers.Count);
// обновить кэш котировок
using (new TimeLogger("Обновление котировок заняло "))
dailyQuoteStorage.UpdateStorageSync();
using (new TimeLogger("Расчет статистики занял "))
foreach (var performer in performers)
{
if (isStopping)
return;
AccountEfficiency efficiency;
try
{
efficiency = new AccountEfficiency(performer);
efficiencyCalculator.Calculate(efficiency);
}
catch (Exception ex)
{
Logger.Error("UpdateCache - ошибка в AccountEfficiency ctor: ", ex);
continue;
}
try
{
dicPerformers.UpdateValues(performer.Account, efficiency);
}
catch (Exception ex)
{
Logger.Error("UpdateCache - ошибка в расчетах PerformerStat: ", ex);
}
}
cacheUpdated = true;
Logger.InfoFormat("UpdateCache() - {0} records OK", performers.Count);
}
public TopPortfolio GetTopPortfolio(int id, out AccountEfficiency userAccountEfficiency)
{
userAccountEfficiency = null;
TopPortfolio result;
try
{
// reading db
using (var context = DatabaseContext.Instance.Make())
{
try
{
var portfolio = context.TOP_PORTFOLIO.FirstOrDefault(p => p.Id == id);
if (portfolio == null)
return null;
result = new TopPortfolio
{
Id = portfolio.Id,
Name = portfolio.Name,
Criteria = portfolio.Criteria,
ParticipantCount = portfolio.ParticipantCount,
DescendingOrder = portfolio.DescendingOrder,
MarginValue = (float?) portfolio.MarginValue,
ManagedAccount = portfolio.ManagedAccount,
OwnerUser = portfolio.OwnerUser
};
}
catch (Exception ex)
{
Logger.Error("AccountEfficiencyCache.GetTopPortfolio.db - read error", ex);
return null;
}
}
// Statistics
if (result.ManagedAccount.HasValue)
result.Statistics = GetPerformerByAccountId(result.ManagedAccount.Value);
// идентификаторы сигнальщиков
// тут будут корректировки, потому что вхождение сигнальщика в топ не всегда на данный момент времени соответствует критерию
// потому что обновление топов и обновлние статистики сигнальщиков выполняются в разное время, а результаты выборки хранятся только run-time
var performers = GetAllPerformersWithCriteria(true, result.Criteria, result.ParticipantCount,
!result.DescendingOrder, result.MarginValue, 0);
if (result.Statistics == null || performers == null)
{
Logger.ErrorFormat("GetTopPortfolio() - статистика / перформеры не получены, кеш обновлен: {0}", cacheUpdated);
return result;
}
// ManagerIds
result.ManagerIds = performers.Select(p => p.Account).ToList();
// Manages
result.Managers = performers;
// Orders
if (result.ManagedAccount.HasValue)
result.Orders = GetAccountDeals(result.ManagedAccount.Value, true);
if (result.IsCompanyPortfolio)
return result;
// ----------------
// 4 user portfolio
// ----------------
if (!cacheUpdated)
return null;
var managersFullStat = new List<AccountEfficiency>();
// beginning of profit1000 chart
if (result.ManagerIds == null)
throw new Exception("GetTopPortfolio(польз. портфель) - список Id менеджеров = null");
DateTime? beginDate = null;
try
{
foreach (var managerId in result.ManagerIds)
{
var stat = dicPerformers.ReceiveValue(managerId);
if (stat == null)
{
Logger.Error("AccountEfficiencyCache.GetTopPortfolio.dicPerformers.TryGetValue returned null");
return null; // ManagerIds.Count != managersFullStat.Count
}
if (stat.listProfit1000 == null || stat.listProfit1000.Count == 0)
continue;
managersFullStat.Add(stat);
// detect beginning
var firstDate = stat.listProfit1000.Min(e => e.time);
if (!beginDate.HasValue)
beginDate = firstDate;
else
if (firstDate < beginDate.Value)
beginDate = firstDate;
}
}
catch (Exception ex)
{
Logger.Error("AccountEfficiencyCache.GetTopPortfolio - stat gen error", ex);
return null;
}
// userAccountEfficiency
userAccountEfficiency = new AccountEfficiency
{
listProfit1000 = new List<EquityOnTime>(),
};
// pofit1000 calc
if (beginDate.HasValue)
for (var date = beginDate.Value.Date; date < DateTime.Now; date = date.AddDays(1))
{
float equity = 0;
var equityCount = 0;
foreach (var fullStat in managersFullStat)
{
var equityOnTime = fullStat.listProfit1000.Find(e => e.time == date);
if (equityOnTime.time == default(DateTime))
continue;
equity += equityOnTime.equity;
equityCount++;
}
if (equityCount == 0) // данных на этот день недостаточно - пропускаем
continue;
equity /= equityCount;
userAccountEfficiency.listProfit1000.Add(new EquityOnTime(equity, date));
}
// stats calc
userAccountEfficiency.Statistics.DealsCount = managersFullStat.Sum(s => s.Statistics.DealsCount);
Logger.InfoFormat("запрошен портфель - GetTopPortfolio({0}, {1} управляющих)", result.Name, result.Managers);
return result;
}
catch (Exception ex)
{
Logger.Error("Ошибка в GetTopPortfolio", ex);
throw;
}
}
public static void RebindStatisticsFastGrid(FastGrid.FastGrid grid, PerformerStat performer, AccountEfficiency efficiency)
{
if (performer == null)
return;
var singleValueData = new List<TradeSharp.Util.Cortege2<string, string>>();
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleProfitInPercents"),
b = performer.Profit.ToString("f2")
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleDealsTotal"),
b = performer.DealsCount.ToStringUniformMoneyFormat()
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleMaximumRelativeDrawdownInPercents"),
b = performer.MaxRelDrawDown.ToString("N2")
});
if (efficiency != null) // при получении всех сделок
{
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleProfitableDealCount"),
b = (efficiency.closedDeals.Count(d => d.ResultDepo > 0) +
efficiency.openedDeals.Count(d => d.ResultDepo > 0)).ToStringUniformMoneyFormat()
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleLosingDealCount"),
b = (efficiency.closedDeals.Count(d => d.ResultDepo < 0) +
efficiency.openedDeals.Count(d => d.ResultDepo < 0)).ToStringUniformMoneyFormat()
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleDealsOpened"),
b = efficiency.DealsStillOpened.ToStringUniformMoneyFormat()
});
}
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleRatioOfAverageProfitToAverageLossShort"),
b = performer.GreedyRatio.ToString("N2")
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleMaximumLeverage"),
b = performer.MaxLeverage.ToString("N2")
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleProfitForNMonthsInPercents"),
b = performer.ProfitLastMonths.ToString("f2")
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleGAAnnualProfitInPercentsShort"),
b = performer.AvgYearProfit.ToString("N3")
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleSharpeRatioShort"),
b = performer.Sharp.ToString("N2")
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleSubscriberCount"),
b = performer.SubscriberCount.ToString("d")
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleFundsUnderManagementShort") + ", " + performer.DepoCurrency,
b = performer.Equity.ToStringUniformMoneyFormat()
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleRatingFS"),
b = performer.Score.ToString("f2")
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleTradeTimeInDays"),
b = performer.DaysTraded.ToString("d")
});
singleValueData.Add(new TradeSharp.Util.Cortege2<string, string>
{
a = Localizer.GetString("TitleProfitInPoints"),
b = performer.SumProfitPoints.ToStringUniformMoneyFormat(false)
});
grid.DataBind(singleValueData);
// для удобочитаемости первая колонка сохраняет первоначальную минимальную ширину
var skippedColumns = grid.Columns.Where(c => c.PropertyName == "a").ToList();
var minWidths = skippedColumns.ToDictionary(c => c, c => c.ColumnMinWidth);
grid.CheckSize(true);
skippedColumns.ForEach(c => c.ColumnMinWidth = minWidths[c]);
grid.Invalidate();
}
/// <summary>
/// Получить статистику распределения сделок по инструментам
/// </summary>
/// <returns></returns>
public static IEnumerable<DealCountBySymbol> GetDealCountBySymbol(AccountEfficiency efficiency)
{
if (efficiency == null) return new List<DealCountBySymbol>();
if (efficiency.closedDeals == null) return new List<DealCountBySymbol>();
var dic = new Dictionary<string, DealCountBySymbol>();
var dealLists = new[] { efficiency.closedDeals, efficiency.openedDeals };
foreach (var dealList in dealLists)
foreach (var deal in dealList)
{
if (dic.ContainsKey(deal.Symbol))
dic[deal.Symbol].DealCount++;
else
dic.Add(deal.Symbol, new DealCountBySymbol { DealCount = 1, Title = deal.Symbol });
}
var result = new List<DealCountBySymbol>();
// calc percentage
var dealsTotal = efficiency.closedDeals.Count + efficiency.openedDeals.Count;
var zeroPercentageSymbols = new List<string>();
var zeroPercentageDealCount = 0;
foreach (var symbol in dic)
{
var percent = symbol.Value.DealCount * 100 / dealsTotal;
if (percent == 0)
{
zeroPercentageSymbols.Add(symbol.Key);
zeroPercentageDealCount += symbol.Value.DealCount;
continue;
}
result.Add(new DealCountBySymbol
{
DealCount = symbol.Value.DealCount,
Title = string.Format("{0}\t({1}%)", symbol.Value.Title, percent)
});
}
if (zeroPercentageSymbols.Count != 0)
result.Add(new DealCountBySymbol
{
DealCount = zeroPercentageDealCount,
Title = string.Format("{0}\t({1}%)", Localizer.GetString("TitleOthers"), zeroPercentageDealCount * 100 / dealsTotal)
});
return result;
}
// отобразить данные суммарной статистики
public static void BindSummaryStatistics(FastGrid.FastGrid gridSummaryStat, PerformerStat performerStat, AccountEfficiency efficiency, bool showFullInfo)
{
if (performerStat == null)
return;
// суммарная статистика
var rowColors = new[] { Color.Red, Color.Blue, Color.Black };
var color = performerStat.Profit >= 0 ? rowColors[1] : rowColors[0];
var statItems = new List<SummaryStatItem>();
if (showFullInfo)
{
statItems.Add(
new SummaryStatItem(
string.Format("{0}\t{1}", Localizer.GetString("TitleSubscriberCount"),
performerStat.SubscriberCount),
rowColors[2]));
statItems.Add(
new SummaryStatItem(string.Format("{0}\t{1}", Localizer.GetString("TitleInvestorCount"), 0),
rowColors[2]));
statItems.Add(new SummaryStatItem(
string.Format("{0}, {1}\t{2}", Localizer.GetString("TitleFundsUnderManagementShort"),
performerStat.DepoCurrency,
performerStat.Equity.ToStringUniformMoneyFormat()), rowColors[2]));
}
statItems.Add(new SummaryStatItem(Localizer.GetString("TitleTotalProfit"), rowColors[2]));
statItems.Add(new SummaryStatItem(string.Format("{0} {1} / {2:f2}% / {3} {4}",
performerStat.ProfitLastMonthsAbs.ToStringUniformMoneyFormat(false),
performerStat.DepoCurrency,
performerStat.Profit,
performerStat.SumProfitPoints.ToStringUniformMoneyFormat(false),
Localizer.GetString("TitlePointsUnits")), color));
if (efficiency != null && efficiency.openedDeals != null && efficiency.openedDeals.Count > 0)
{
var openResultDepo = efficiency.openedDeals.Sum(o => o.ResultDepo);
var openResultPoints = efficiency.openedDeals.Sum(o => o.ResultPoints);
var openResultPercent = performerStat.Equity == 0 ? 0
: 100 * openResultDepo / performerStat.Equity;
var colorOpen = openResultDepo >= 0 ? rowColors[1] : rowColors[0];
statItems.Add(new SummaryStatItem(Localizer.GetString("TitleCurrentProfit"), rowColors[2]));
statItems.Add(new SummaryStatItem(string.Format("{0} {1} / {2:f2}% / {3} {4}",
openResultDepo.ToStringUniformMoneyFormat(),
performerStat.DepoCurrency,
openResultPercent,
openResultPoints.ToStringUniformMoneyFormat(),
Localizer.GetString("TitlePointsUnits")),
colorOpen));
}
gridSummaryStat.DataBind(statItems);
}
/// <summary>
/// считаются по кривой плеча
/// </summary>
private void CalculateRiskCoeffs(AccountEfficiency ef)
{
if (ef.closedDeals.Count == 0 && ef.openedDeals.Count == 0) return;
if (ef.listLeverage == null || ef.listLeverage.Count == 0) return;
// наибольшее плечо в момент
ef.Statistics.MaxLeverage = ef.listLeverage.Max(l => l.equity);
// среднее плечо (без 0-х значений)
var countLev = ef.Statistics.MaxLeverage == 0 ? 0 : ef.listLeverage.Count(l => l.equity > 0);
ef.Statistics.AvgLeverage = countLev == 0 ? 0 : ef.listLeverage.Sum(l => l.equity) / countLev;
// коэффициент жадности - средний профит по сделке, деленный на средний убыток
var countProfit = ef.closedDeals.Count(d => d.ResultDepo > 0);
var countLoss = ef.closedDeals.Count(d => d.ResultDepo > 0);
if (countProfit > 0 || countLoss > 0)
{
var avgProfit = ef.closedDeals.Sum(d => d.ResultDepo > 0 ? d.ResultDepo : 0) / countProfit;
var avgLoss = ef.closedDeals.Sum(d => d.ResultDepo < 0 ? -d.ResultDepo : 0) / countLoss;
ef.Statistics.GreedyRatio = avgLoss == 0 ? 0 : avgProfit / avgLoss;
}
}
public bool Calculate(AccountEfficiency ef)
{
return true;
}
public bool Calculate(AccountEfficiency ef)
{
if (ef == null)
throw new ArgumentException("EfficiencyCalculator.Calculate - input ptr is NULL");
if (ef.Statistics.Account == 0)
throw new ArgumentException("EfficiencyCalculator.Calculate - input_ptr.AccountId is 0");
// получить сделки
var deals = DealStorage.Instance.GetDeals(ef.Statistics.Account);
ef.openedDeals = new List<MarketOrder>();
ef.closedDeals = new List<MarketOrder>();
foreach (var deal in deals)
if (deal.IsOpened)
ef.openedDeals.Add(deal);
else
ef.closedDeals.Add(deal);
if (deals.Count == 0)
{
Logger.Info("AccountEfficiency.Calculate - нет сделок");
return false;
}
ef.Statistics.DealsCount = deals.Count;
ef.DealsStillOpened = ef.openedDeals.Count;
// транзакции
ef.listTransaction = BalanceStorage.Instance.GetBalanceChanges(ef.Statistics.Account);
if (ef.listTransaction == null || ef.listTransaction.Count == 0)
{
Logger.Info("AccountEfficiency.Calculate - нет транзакций");
return false;
}
Logger.Info("AccountEfficiency.Calculate(" + ef.Statistics.Account + ")");
// время отсчета - время первого заведения средств
var startDate = ef.listTransaction.Min(t => t.ValueDate);
// получить список используемых котировок
var symbolsUsed = ef.closedDeals.Select(d => d.Symbol).Union(ef.openedDeals.Select(o => o.Symbol)).Distinct().ToList();
// ... в т.ч., котировок для перевода базовой валюты в валюту депо (плечо)
// и перевода контрвалюты в валюту депо (профит)
var symbolsMore = new List<string>();
foreach (var smb in symbolsUsed)
{
bool inverse, eq;
var smbBase = DalSpot.Instance.FindSymbol(smb, true, ef.Statistics.DepoCurrency, out inverse, out eq);
if (!string.IsNullOrEmpty(smbBase)) symbolsMore.Add(smbBase);
var smbCounter = DalSpot.Instance.FindSymbol(smb, false, ef.Statistics.DepoCurrency, out inverse, out eq);
if (!string.IsNullOrEmpty(smbCounter)) symbolsMore.Add(smbCounter);
}
symbolsUsed.AddRange(symbolsMore);
symbolsUsed = symbolsUsed.Distinct().ToList();
// котировки
var dicQuote = new Dictionary<string, List<QuoteData>>();
foreach (var smb in symbolsUsed)
{
dicQuote.Add(smb,
dailyQuoteStorage.GetQuotes(smb).Select(q => new QuoteData(q.b, q.b, q.a)).ToList());
}
//TickerStorage.Instance.GetQuotes(symbolsUsed.ToDictionary(s => s, s => (DateTime?)null));
if (dicQuote == null || dicQuote.Count == 0)
{
Logger.Info("AccountEfficiency.Calculate - нет котировок");
return false;
}
if (ef.openedDeals.Count > 0)
{
foreach (var t in ef.openedDeals)
{
List<QuoteData> dicQuoteValue;
if (!dicQuote.TryGetValue(t.Symbol, out dicQuoteValue))
Logger.Error(String.Format("Symbol {0} was not found in dicQuote", t.Symbol));
else
if (dicQuoteValue.Count == 0)
Logger.Error(String.Format("No quote data for symbol {0}", t.Symbol));
else
t.PriceExit = dicQuoteValue.Last().GetPrice(t.Side == 1
? QuoteType.Bid : QuoteType.Ask);
}
}
var quoteArc = new QuoteArchive(dicQuote);
AccountPerformanceRaw performance;
try
{
performance = equityCurveCalculator.CalculateEquityCurve(deals, ef.Statistics.DepoCurrency, quoteArc, ef.listTransaction);
}
catch (Exception ex)
{
Logger.Error("Ошибка в EfficiencyCalculator.CalculateEquityCurve()", ex);
return false;
}
ef.Statistics.TotalTradedInDepoCurrency = performance.totalTradedVolume;
var lstEquity = performance.equity;
if (lstEquity == null) return false;
ef.listLeverage = performance.leverage;
// исключить пустые значения с начала отсчета
ef.listEquity = new List<EquityOnTime>();
var startCopy = false;
foreach (var eq in lstEquity)
{
if (eq.equity > 0) startCopy = true;
if (startCopy) ef.listEquity.Add(eq);
}
if (ef.listEquity.Count == 0) return false;
ef.StartDate = startDate;
ef.InitialBalance = ef.listEquity[0].equity;
// рассчитать коэффициенты доходности
CalculateProfitCoeffs(ef);
CalculateRiskCoeffs(ef);
// актуальные котировки
ef.currentQuotes = quoteArc.GetCurrentQuotes();
ef.Statistics.Chart = ef.listProfit1000 == null ||
ef.listProfit1000.Count == 0
? new byte[MiniChartPacker.profitChartPointCount]
: MiniChartPacker.PackChartInArray(ef.listProfit1000);
// дней торгует
var startDayOpen = DateTime.Now;
if (ef.openedDeals.Count > 0)
startDayOpen = ef.openedDeals.Max(d => d.TimeEnter);
if (ef.closedDeals.Count > 0)
{
var dateClosed = ef.closedDeals.Min(d => d.TimeEnter);
if (dateClosed < startDayOpen)
startDayOpen = dateClosed;
}
ef.Statistics.DaysTraded = (int)Math.Round((DateTime.Now - startDayOpen).TotalDays);
// сумма профитных сделок (результат) к сумме убыточных сделок
var sumProf = ef.closedDeals.Sum(d => d.ResultDepo > 0 ? d.ResultDepo : 0) +
ef.openedDeals.Sum(d => d.ResultDepo > 0 ? d.ResultDepo : 0);
var sumLoss = ef.closedDeals.Sum(d => d.ResultDepo > 0 ? d.ResultDepo : 0) +
ef.openedDeals.Sum(d => d.ResultDepo > 0 ? d.ResultDepo : 0);
ef.Statistics.AvgWeightedDealProfitToLoss = sumLoss == 0 && sumProf == 0
? 0
: 100 * sumProf / (sumProf + sumLoss);
var dateFirst = DateTime.Now.Date.AddMonths(-3);
ef.Statistics.WithdrawalLastMonths = (float)ef.listTransaction.Sum(t =>
(t.ChangeType ==
BalanceChangeType.Withdrawal &&
t.ValueDate >= dateFirst)
? t.AmountDepo : 0);
// профит в ПП
ef.Statistics.SumProfitPoints = ef.closedDeals.Sum(d => d.ResultPoints);
return true;
}
private void PerformerEfficiencyWorkerCompleted(object sender, RunWorkerCompletedEventArgs e)
{
efficiency = (AccountEfficiency) e.Result;
if (efficiency == null)
return;
// строим детализированные графики доходности
CreateDetailedCharts();
if (PortfolioChanged != null)
PortfolioChanged(this, new EventArgs());
if (LoadAllData && !openedOrdersWorker.IsBusy)
openedOrdersWorker.RunWorkerAsync(portfolio.ManagedAccount);
}
