chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * 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 Newtonsoft.Json;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Statistics
+{
+    /// <summary>
+    /// Represents a closed trade
+    /// </summary>
+    public class Trade
+    {
+        private List<Symbol> _symbols;
+
+        /// <summary>
+        /// A unique identifier for the trade
+        /// </summary>
+        public string Id { get; set; }
+
+        /// <summary>
+        /// The symbol of the traded instrument
+        /// </summary>
+        [Obsolete("Use Symbols property instead")]
+        [JsonIgnore]
+        public Symbol Symbol
+        {
+            get
+            {
+                return _symbols != null && _symbols.Count > 0 ? _symbols[0] : Symbol.Empty;
+            }
+            private set
+            {
+                _symbols = new List<Symbol>() { value };
+            }
+        }
+
+        /// <summary>
+        /// Just needed so that "Symbol" is never serialized but can be deserialized, if present, for backward compatibility
+        /// </summary>
+        [JsonProperty("Symbol")]
+        private Symbol SymbolForDeserialization { set => Symbol = value; }
+
+        /// <summary>
+        /// The symbol associated to the traded instruments
+        /// </summary>
+        public List<Symbol> Symbols
+        {
+            get { return _symbols; }
+            set { _symbols = value; }
+        }
+
+        /// <summary>
+        /// The date and time the trade was opened
+        /// </summary>
+        public DateTime EntryTime { get; set; }
+
+        /// <summary>
+        /// The price at which the trade was opened (or the average price if multiple entries)
+        /// </summary>
+        public decimal EntryPrice { get; set; }
+
+        /// <summary>
+        /// The direction of the trade (Long or Short)
+        /// </summary>
+        public TradeDirection Direction { get; set; }
+
+        /// <summary>
+        /// The total unsigned quantity of the trade
+        /// </summary>
+        public decimal Quantity { get; set; }
+
+        /// <summary>
+        /// The date and time the trade was closed
+        /// </summary>
+        public DateTime ExitTime { get; set; }
+
+        /// <summary>
+        /// The price at which the trade was closed (or the average price if multiple exits)
+        /// </summary>
+        public decimal ExitPrice { get; set; }
+
+        /// <summary>
+        /// The gross profit/loss of the trade (as account currency)
+        /// </summary>
+        public decimal ProfitLoss { get; set; }
+
+        /// <summary>
+        /// The total fees associated with the trade (always positive value) (as account currency)
+        /// </summary>
+        public decimal TotalFees { get; set; }
+
+        /// <summary>
+        /// The Maximum Adverse Excursion (as account currency)
+        /// </summary>
+        public decimal MAE { get; set; }
+
+        /// <summary>
+        /// The Maximum Favorable Excursion (as account currency)
+        /// </summary>
+        public decimal MFE { get; set; }
+
+        /// <summary>
+        /// Returns the duration of the trade
+        /// </summary>
+        public TimeSpan Duration
+        {
+            get { return ExitTime - EntryTime; }
+        }
+
+        /// <summary>
+        /// Returns the amount of profit given back before the trade was closed
+        /// </summary>
+        public decimal EndTradeDrawdown { get; set; }
+
+        /// <summary>
+        /// Returns whether the trade was profitable (is a win) or not (a loss)
+        /// </summary>
+        /// <returns>True if the trade was profitable</returns>
+        /// <remarks>
+        /// Even when a trade is not profitable, it may still be a win:
+        ///     - For an ITM option buyer, an option assignment trade is not profitable (money was paid),
+        ///       but it might count as a win if the ITM amount is greater than the amount paid for the option.
+        ///     - For an ITM option seller, an option assignment trade is profitable (money was received),
+        ///       but it might count as a loss if the ITM amount is less than the amount received for the option.
+        /// </remarks>
+        public bool IsWin { get; set; }
+
+        /// <summary>
+        /// The IDs of the orders related to this trade
+        /// </summary>
+        public HashSet<int> OrderIds { get; init; } = new HashSet<int>();
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="Trade"/> class
+        /// </summary>
+        public Trade()
+        {
+        }
+
+        /// <summary>
+        /// Creates a new instance of the <see cref="Trade"/> class by copying another trade
+        /// </summary>
+        /// <param name="other">The trade to copy</param>
+        public Trade(Trade other)
+        {
+            Id = other.Id;
+            _symbols = other._symbols != null ? [.. other._symbols] : null;
+            EntryTime = other.EntryTime;
+            EntryPrice = other.EntryPrice;
+            Direction = other.Direction;
+            Quantity = other.Quantity;
+            ExitTime = other.ExitTime;
+            ExitPrice = other.ExitPrice;
+            ProfitLoss = other.ProfitLoss;
+            TotalFees = other.TotalFees;
+            MAE = other.MAE;
+            MFE = other.MFE;
+            EndTradeDrawdown = other.EndTradeDrawdown;
+            IsWin = other.IsWin;
+            OrderIds = [.. other.OrderIds];
+        }
+    }
+}