Martin Molinero
bd862cff61
- Live and backtesting will send delta order events updates - Live will store order events every 10 minutes per day - Backtesting will store last 100 order events on every update and will store all order events in the end of the backtest
64 lines
2.3 KiB
C#
64 lines
2.3 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*
|
|
*/
|
|
|
|
using System;
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Orders;
|
|
using QuantConnect.Statistics;
|
|
|
|
namespace QuantConnect.Packets
|
|
{
|
|
/// <summary>
|
|
/// Defines the parameters for <see cref="BacktestResult"/>
|
|
/// </summary>
|
|
public class BacktestResultParameters : BaseResultParameters
|
|
{
|
|
/// <summary>
|
|
/// Rolling window detailed statistics.
|
|
/// </summary>
|
|
public Dictionary<string, AlgorithmPerformance> RollingWindow { get; set; }
|
|
|
|
/// <summary>
|
|
/// Rolling window detailed statistics.
|
|
/// </summary>
|
|
public AlgorithmPerformance TotalPerformance { get; set; }
|
|
|
|
/// <summary>
|
|
/// Creates a new instance
|
|
/// </summary>
|
|
public BacktestResultParameters(IDictionary<string, Chart> charts,
|
|
IDictionary<int, Order> orders,
|
|
IDictionary<DateTime, decimal> profitLoss,
|
|
IDictionary<string, string> statistics,
|
|
IDictionary<string, string> runtimeStatistics,
|
|
Dictionary<string, AlgorithmPerformance> rollingWindow,
|
|
List<OrderEvent> orderEvents,
|
|
AlgorithmPerformance totalPerformance = null,
|
|
AlphaRuntimeStatistics alphaRuntimeStatistics = null)
|
|
{
|
|
Charts = charts;
|
|
Orders = orders;
|
|
ProfitLoss = profitLoss;
|
|
Statistics = statistics;
|
|
RuntimeStatistics = runtimeStatistics;
|
|
RollingWindow = rollingWindow;
|
|
OrderEvents = orderEvents;
|
|
TotalPerformance = totalPerformance;
|
|
AlphaRuntimeStatistics = alphaRuntimeStatistics;
|
|
}
|
|
}
|
|
}
|