/*
* 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
{
///
/// Represents a closed trade
///
public class Trade
{
private List _symbols;
///
/// A unique identifier for the trade
///
public string Id { get; set; }
///
/// The symbol of the traded instrument
///
[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() { value };
}
}
///
/// Just needed so that "Symbol" is never serialized but can be deserialized, if present, for backward compatibility
///
[JsonProperty("Symbol")]
private Symbol SymbolForDeserialization { set => Symbol = value; }
///
/// The symbol associated to the traded instruments
///
public List Symbols
{
get { return _symbols; }
set { _symbols = value; }
}
///
/// The date and time the trade was opened
///
public DateTime EntryTime { get; set; }
///
/// The price at which the trade was opened (or the average price if multiple entries)
///
public decimal EntryPrice { get; set; }
///
/// The direction of the trade (Long or Short)
///
public TradeDirection Direction { get; set; }
///
/// The total unsigned quantity of the trade
///
public decimal Quantity { get; set; }
///
/// The date and time the trade was closed
///
public DateTime ExitTime { get; set; }
///
/// The price at which the trade was closed (or the average price if multiple exits)
///
public decimal ExitPrice { get; set; }
///
/// The gross profit/loss of the trade (as account currency)
///
public decimal ProfitLoss { get; set; }
///
/// The total fees associated with the trade (always positive value) (as account currency)
///
public decimal TotalFees { get; set; }
///
/// The Maximum Adverse Excursion (as account currency)
///
public decimal MAE { get; set; }
///
/// The Maximum Favorable Excursion (as account currency)
///
public decimal MFE { get; set; }
///
/// Returns the duration of the trade
///
public TimeSpan Duration
{
get { return ExitTime - EntryTime; }
}
///
/// Returns the amount of profit given back before the trade was closed
///
public decimal EndTradeDrawdown { get; set; }
///
/// Returns whether the trade was profitable (is a win) or not (a loss)
///
/// True if the trade was profitable
///
/// 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.
///
public bool IsWin { get; set; }
///
/// The IDs of the orders related to this trade
///
public HashSet OrderIds { get; init; } = new HashSet();
///
/// Creates a new instance of the class
///
public Trade()
{
}
///
/// Creates a new instance of the class by copying another trade
///
/// The trade to copy
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];
}
}
}