quantconnect--lean/Common/Statistics/Trade.cs

/*
 * 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];
        }
    }
}