Martin Molinero
b7bcdbef04
- Replacing `decimal` for `OrderFee` at the `OrderEvent`. - Adding `FeeModelNotUsingAccountCurrency` regression test - Adding unit tests for `CashBuyingPowerModel` and `SecurityMarginModel` with non account currency fees
98 lines
3.0 KiB
C#
98 lines
3.0 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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namespace QuantConnect.Statistics
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{
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/// <summary>
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/// Represents a closed trade
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/// </summary>
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public class Trade
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{
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/// <summary>
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/// The symbol of the traded instrument
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/// </summary>
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public Symbol Symbol { get; set; }
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/// <summary>
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/// The date and time the trade was opened
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/// </summary>
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public DateTime EntryTime { get; set; }
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/// <summary>
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/// The price at which the trade was opened (or the average price if multiple entries)
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/// </summary>
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public decimal EntryPrice { get; set; }
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/// <summary>
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/// The direction of the trade (Long or Short)
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/// </summary>
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public TradeDirection Direction { get; set; }
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/// <summary>
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/// The total unsigned quantity of the trade
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/// </summary>
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public decimal Quantity { get; set; }
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/// <summary>
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/// The date and time the trade was closed
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/// </summary>
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public DateTime ExitTime { get; set; }
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/// <summary>
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/// The price at which the trade was closed (or the average price if multiple exits)
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/// </summary>
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public decimal ExitPrice { get; set; }
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/// <summary>
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/// The gross profit/loss of the trade (as account currency)
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/// </summary>
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public decimal ProfitLoss { get; set; }
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/// <summary>
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/// The total fees associated with the trade (always positive value) (as account currency)
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/// </summary>
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public decimal TotalFees { get; set; }
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/// <summary>
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/// The Maximum Adverse Excursion (as account currency)
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/// </summary>
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public decimal MAE { get; set; }
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/// <summary>
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/// The Maximum Favorable Excursion (as account currency)
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/// </summary>
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public decimal MFE { get; set; }
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/// <summary>
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/// Returns the duration of the trade
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/// </summary>
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public TimeSpan Duration
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{
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get { return ExitTime - EntryTime; }
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}
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/// <summary>
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/// Returns the amount of profit given back before the trade was closed
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/// </summary>
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public decimal EndTradeDrawdown
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{
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get { return ProfitLoss - MFE; }
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}
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}
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}
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