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11 Commits

Author SHA1 Message Date
Jhonathan Abreu 5e148a06af Add orders associated with closed trades on streaming (#9282)
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 2026-02-12 12:31:56 -03:00
Jhonathan Abreu d329960e5f Enable trades results streaming (#9234)
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* Add a temporary benchmark stats sample in live

Allow trades to be written to result file on first day of the deployment before the first daily sample is done

* Enable trades results streaming

* Minor changes

* Make Trade.Id a Guid

* Cleanup

* Sample temporary charts once per hour

* Minor change

* Minor fix

* Minor fix

* Minor fix

* Add fix for potential race condition
 2026-02-03 18:46:06 -03:00
Jhonathan Abreu ecb8e8da41 Fix trades drawdown calculation (#9249) 
* Fix trade drawdown calculation

* Cleanup

* Disable MAE. MFE and Drawdown calculation for FlatToFlat and FlatToReduced trade grouping methods

* Minor test fixes
 2026-01-30 15:46:41 -04:00
Jhonathan Abreu 7fb246511a Add total performance statistics to live result files (#9224)
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* Add total performance statistics to live result files

* Truncate closed trades in live results

* Avoid adding totalPerformance to live minute result file

* Deprecated Trade.Symbol in favor of new Trade.Symbols

* Fixes for Trade serialization

* Add trades json serialization tests

* Cleanup
 2026-01-16 15:41:35 -04:00
Jhonathan Abreu 68af7ec15d Expose order ids related to statistics closed trades (#8989)
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* Expose related order IDs in closed trades

TradeBuilder.ClosedTrades[*].OrderIds now have the order ids related to each trade

* Minor fix
 2025-09-26 11:52:37 -04:00
Jhonathan Abreu bc05aa03f9 Fix win/loss count statistics for options assignments (#7354) 
* Add ITM option assignment trade as win in trade statistics

* Add TradeStatistics unit tests

* Add unit tests

* Add OptionTrade class to abstract IsWin method

* Keep track of winning/losing trades

* Add more unit tests

* Change Trade.IsWin to a property calculated by the trade builder

* Improve regression algorithm

* Handle ITM option sell win/loss statistics

* Update regression algorithms statistics

* Revert accidental unwanted changes

* Address peer review

* Keep track of winning and losing transactions for portfolio statistics

* Add more SecurityPortfolioModel unit tests

* Fix failing unit tests

* Minor changes

* Address peer review

* Minor fix
 2023-07-10 10:20:29 -03:00
Martin Molinero b7bcdbef04 Adding OrderFee to OrderEvent 
- Replacing `decimal` for `OrderFee` at the `OrderEvent`.
- Adding `FeeModelNotUsingAccountCurrency` regression test
- Adding unit tests for `CashBuyingPowerModel` and `SecurityMarginModel`
with non account currency fees
 2018-12-10 13:18:41 -03:00
Martin Molinero 75ffa300f1 Adding new IAlgorithm.AccountCurrency 
- Adding new `IAlgorithm.AccountCurrency { get; }` that will point to the
`Portfolio.CashBook.AccountCurrency`. Setter will be added in a
following PR.
- Base `Brokerage` class will now have a `AccountCurrency { get }`
pointing to the `IAccountCurrencyProvider`. Will be used by the different
brokerages implementations.
 2018-12-10 11:59:02 -03:00
jameschch@outlook.com 7763efdc83 Changes related to #330 order quantity decimalized 2016-06-24 11:28:21 +01:00
snugs e29236cc2d Remove reliance on Symbol implcits from core libraries 2015-11-12 13:55:39 -05:00
Stefano Raggi fac6f46a9a New Statistics implementation 
Added Trade and TradeBuilder classes
Added UtcTime and OrderFee property to OrderEvent class
Added AlgorithmPerformance class with a few metrics + tests
Added portfolio statistics + rolling statistics

Closes #30 via PR #164

Thanks @SteffanoRaggi!
 2015-09-16 20:48:02 -04:00