wehub-resource-sync
640 lines
28 KiB
C#
640 lines
28 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 QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Util;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Statistics
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{
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/// <summary>
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/// The <see cref="TradeBuilder"/> class generates trades from executions and market price updates
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/// </summary>
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public class TradeBuilder : ITradeBuilder
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{
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private class TradeState
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{
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internal Trade Trade { get; set; }
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internal decimal MaxProfit { get; set; }
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internal decimal MaxDrawdown { get; set; }
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/// <summary>
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/// Updates the drawdown state given the current profit
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/// </summary>
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public void UpdateDrawdown(decimal currentProfit)
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{
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if (currentProfit < MaxProfit)
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{
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// There is a drawdown, but we only care about the maximum drawdown
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var drawdown = MaxProfit - currentProfit;
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if (drawdown > MaxDrawdown)
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{
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MaxDrawdown = drawdown;
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}
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}
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else
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{
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// New maximum profit
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MaxProfit = currentProfit;
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}
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}
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}
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/// <summary>
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/// Helper class to manage pending trades and market price updates for a symbol
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/// </summary>
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private class Position
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{
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internal List<TradeState> PendingTrades { get; set; }
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internal List<OrderEvent> PendingFills { get; set; }
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internal decimal TotalFees { get; set; }
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internal decimal MaxPrice { get; set; }
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internal decimal MinPrice { get; set; }
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public Position()
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{
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PendingTrades = new List<TradeState>();
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PendingFills = new List<OrderEvent>();
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}
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}
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private const int LiveModeMaxTradeCount = 10000;
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private const int LiveModeMaxTradeAgeMonths = 12;
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private const int MaxOrderIdCacheSize = 1000;
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private readonly List<Trade> _closedTrades = new List<Trade>();
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private readonly Dictionary<Symbol, Position> _positions = new Dictionary<Symbol, Position>();
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private readonly FixedSizeHashQueue<int> _ordersWithFeesAssigned = new FixedSizeHashQueue<int>(MaxOrderIdCacheSize);
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private readonly FillGroupingMethod _groupingMethod;
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private readonly FillMatchingMethod _matchingMethod;
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private SecurityManager _securities;
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private bool _liveMode;
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/// <summary>
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/// Initializes a new instance of the <see cref="TradeBuilder"/> class
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/// </summary>
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public TradeBuilder(FillGroupingMethod groupingMethod, FillMatchingMethod matchingMethod)
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{
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_groupingMethod = groupingMethod;
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_matchingMethod = matchingMethod;
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}
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/// <summary>
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/// Sets the live mode flag
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/// </summary>
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/// <param name="live">The live mode flag</param>
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public void SetLiveMode(bool live)
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{
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_liveMode = live;
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}
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/// <summary>
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/// Sets the security manager instance
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/// </summary>
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/// <param name="securities">The security manager</param>
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public void SetSecurityManager(SecurityManager securities)
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{
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_securities = securities;
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}
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/// <summary>
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/// The list of closed trades
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/// </summary>
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public List<Trade> ClosedTrades
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{
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get
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{
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lock (_closedTrades)
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{
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return new List<Trade>(_closedTrades);
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}
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}
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}
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/// <summary>
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/// Returns true if there is an open position for the symbol
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/// </summary>
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/// <param name="symbol">The symbol</param>
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/// <returns>true if there is an open position for the symbol</returns>
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public bool HasOpenPosition(Symbol symbol)
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{
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Position position;
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if (!_positions.TryGetValue(symbol, out position)) return false;
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if (_groupingMethod == FillGroupingMethod.FillToFill)
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return position.PendingTrades.Count > 0;
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return position.PendingFills.Count > 0;
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}
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/// <summary>
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/// Sets the current market price for the symbol
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/// </summary>
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/// <param name="symbol"></param>
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/// <param name="price"></param>
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public void SetMarketPrice(Symbol symbol, decimal price)
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{
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Position position;
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if (!_positions.TryGetValue(symbol, out position)) return;
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if (price > position.MaxPrice)
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position.MaxPrice = price;
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else if (price < position.MinPrice)
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position.MinPrice = price;
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for (var i = 0; i < position.PendingTrades.Count; i++)
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{
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var tradeState = position.PendingTrades[i];
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var trade = tradeState.Trade;
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var currentProfit = trade.Direction == TradeDirection.Long ? price - trade.EntryPrice : trade.EntryPrice - price;
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tradeState.UpdateDrawdown(currentProfit);
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}
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}
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/// <summary>
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/// Applies a split to the trade builder
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/// </summary>
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/// <param name="split">The split to be applied</param>
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/// <param name="liveMode">True if live mode, false for backtest</param>
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/// <param name="dataNormalizationMode">The <see cref="DataNormalizationMode"/> for this security</param>
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public void ApplySplit(Split split, bool liveMode, DataNormalizationMode dataNormalizationMode)
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{
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// only apply splits to equities, in live or raw data mode, and for open positions
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if (split.Symbol.SecurityType != SecurityType.Equity ||
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(!liveMode && dataNormalizationMode != DataNormalizationMode.Raw) ||
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!_positions.TryGetValue(split.Symbol, out var position))
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{
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return;
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}
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position.MinPrice *= split.SplitFactor;
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position.MaxPrice *= split.SplitFactor;
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foreach (var tradeState in position.PendingTrades)
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{
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tradeState.Trade.Quantity /= split.SplitFactor;
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tradeState.Trade.EntryPrice *= split.SplitFactor;
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tradeState.Trade.ExitPrice *= split.SplitFactor;
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tradeState.MaxProfit *= split.SplitFactor;
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tradeState.MaxDrawdown *= split.SplitFactor;
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}
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foreach (var pendingFill in position.PendingFills)
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{
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pendingFill.FillQuantity /= split.SplitFactor;
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pendingFill.FillPrice *= split.SplitFactor;
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if (pendingFill.LimitPrice.HasValue)
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{
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pendingFill.LimitPrice *= split.SplitFactor;
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}
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if (pendingFill.StopPrice.HasValue)
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{
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pendingFill.StopPrice *= split.SplitFactor;
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}
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if (pendingFill.TriggerPrice.HasValue)
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{
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pendingFill.TriggerPrice *= split.SplitFactor;
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}
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}
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}
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/// <summary>
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/// Processes a new fill, eventually creating new trades
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/// </summary>
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/// <param name="fill">The new fill order event</param>
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/// <param name="securityConversionRate">The current security market conversion rate into the account currency</param>
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/// <param name="feeInAccountCurrency">The current order fee in the account currency</param>
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/// <param name="multiplier">The contract multiplier</param>
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public void ProcessFill(OrderEvent fill,
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decimal securityConversionRate,
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decimal feeInAccountCurrency,
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decimal multiplier = 1.0m)
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{
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// If we have multiple fills per order, we assign the order fee only to its first fill
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// to avoid counting the same order fee multiple times.
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var orderFee = 0m;
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if (!_ordersWithFeesAssigned.Contains(fill.OrderId))
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{
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orderFee = feeInAccountCurrency;
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_ordersWithFeesAssigned.Add(fill.OrderId);
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}
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switch (_groupingMethod)
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{
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case FillGroupingMethod.FillToFill:
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ProcessFillUsingFillToFill(fill.Clone(), orderFee, securityConversionRate, multiplier);
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break;
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case FillGroupingMethod.FlatToFlat:
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ProcessFillUsingFlatToFlat(fill.Clone(), orderFee, securityConversionRate, multiplier);
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break;
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case FillGroupingMethod.FlatToReduced:
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ProcessFillUsingFlatToReduced(fill.Clone(), orderFee, securityConversionRate, multiplier);
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break;
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}
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}
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private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decimal conversionRate, decimal multiplier)
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{
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Position position;
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if (!_positions.TryGetValue(fill.Symbol, out position) || position.PendingTrades.Count == 0)
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{
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// no pending trades for symbol
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_positions[fill.Symbol] = new Position
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{
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PendingTrades = new List<TradeState>
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{
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new TradeState
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{
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Trade = new Trade
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{
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Symbols = [fill.Symbol],
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EntryTime = fill.UtcTime,
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EntryPrice = fill.FillPrice,
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Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
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Quantity = fill.AbsoluteFillQuantity,
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TotalFees = orderFee,
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OrderIds = new HashSet<int>() { fill.OrderId }
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}
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}
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},
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MinPrice = fill.FillPrice,
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MaxPrice = fill.FillPrice
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};
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return;
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}
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SetMarketPrice(fill.Symbol, fill.FillPrice);
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var index = _matchingMethod == FillMatchingMethod.FIFO ? 0 : position.PendingTrades.Count - 1;
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if (Math.Sign(fill.FillQuantity) == (position.PendingTrades[index].Trade.Direction == TradeDirection.Long ? +1 : -1))
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{
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// execution has same direction of trade
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position.PendingTrades.Add(new TradeState
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{
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Trade = new Trade
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{
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Symbols = [fill.Symbol],
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EntryTime = fill.UtcTime,
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EntryPrice = fill.FillPrice,
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Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
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Quantity = fill.AbsoluteFillQuantity,
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TotalFees = orderFee,
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OrderIds = new HashSet<int>() { fill.OrderId }
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}
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});
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}
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else
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{
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// execution has opposite direction of trade
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var totalExecutedQuantity = 0m;
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var orderFeeAssigned = false;
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while (position.PendingTrades.Count > 0 && Math.Abs(totalExecutedQuantity) < fill.AbsoluteFillQuantity)
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{
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var tradeState = position.PendingTrades[index];
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var trade = tradeState.Trade;
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var absoluteUnexecutedQuantity = fill.AbsoluteFillQuantity - Math.Abs(totalExecutedQuantity);
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if (absoluteUnexecutedQuantity >= trade.Quantity)
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{
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totalExecutedQuantity -= trade.Quantity * (trade.Direction == TradeDirection.Long ? +1 : -1);
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position.PendingTrades.RemoveAt(index);
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trade.OrderIds.Add(fill.OrderId);
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if (index > 0 && _matchingMethod == FillMatchingMethod.LIFO) index--;
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trade.ExitTime = fill.UtcTime;
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trade.ExitPrice = fill.FillPrice;
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trade.ProfitLoss = Math.Round((trade.ExitPrice - trade.EntryPrice) * trade.Quantity * (trade.Direction == TradeDirection.Long ? +1 : -1) * conversionRate * multiplier, 2);
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// if closing multiple trades with the same order, assign order fee only once
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trade.TotalFees += orderFeeAssigned ? 0 : orderFee;
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trade.MAE = Math.Round((trade.Direction == TradeDirection.Long ? position.MinPrice - trade.EntryPrice : trade.EntryPrice - position.MaxPrice) * trade.Quantity * conversionRate * multiplier, 2);
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trade.MFE = Math.Round((trade.Direction == TradeDirection.Long ? position.MaxPrice - trade.EntryPrice : trade.EntryPrice - position.MinPrice) * trade.Quantity * conversionRate * multiplier, 2);
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trade.EndTradeDrawdown = Math.Round(tradeState.MaxDrawdown * trade.Quantity * conversionRate * multiplier, 2);
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AddNewTrade(trade, fill);
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}
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else
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{
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totalExecutedQuantity += absoluteUnexecutedQuantity * (trade.Direction == TradeDirection.Long ? -1 : +1);
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trade.Quantity -= absoluteUnexecutedQuantity;
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var newTrade = new Trade
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{
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Symbols = trade.Symbols,
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EntryTime = trade.EntryTime,
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EntryPrice = trade.EntryPrice,
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Direction = trade.Direction,
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Quantity = absoluteUnexecutedQuantity,
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ExitTime = fill.UtcTime,
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ExitPrice = fill.FillPrice,
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ProfitLoss = Math.Round((fill.FillPrice - trade.EntryPrice) * absoluteUnexecutedQuantity * (trade.Direction == TradeDirection.Long ? +1 : -1) * conversionRate * multiplier, 2),
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TotalFees = trade.TotalFees + (orderFeeAssigned ? 0 : orderFee),
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MAE = Math.Round((trade.Direction == TradeDirection.Long ? position.MinPrice - trade.EntryPrice : trade.EntryPrice - position.MaxPrice) * absoluteUnexecutedQuantity * conversionRate * multiplier, 2),
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MFE = Math.Round((trade.Direction == TradeDirection.Long ? position.MaxPrice - trade.EntryPrice : trade.EntryPrice - position.MinPrice) * absoluteUnexecutedQuantity * conversionRate * multiplier, 2),
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EndTradeDrawdown = Math.Round(tradeState.MaxDrawdown * absoluteUnexecutedQuantity * conversionRate * multiplier, 2),
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OrderIds = new HashSet<int>([..trade.OrderIds, fill.OrderId])
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};
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AddNewTrade(newTrade, fill);
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trade.TotalFees = 0;
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}
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orderFeeAssigned = true;
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}
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if (Math.Abs(totalExecutedQuantity) == fill.AbsoluteFillQuantity && position.PendingTrades.Count == 0)
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{
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_positions.Remove(fill.Symbol);
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}
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else if (Math.Abs(totalExecutedQuantity) < fill.AbsoluteFillQuantity)
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{
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// direction reversal
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fill.FillQuantity -= totalExecutedQuantity;
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position.PendingTrades = new List<TradeState>
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{
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new TradeState
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{
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Trade = new Trade
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{
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Symbols =[fill.Symbol],
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EntryTime = fill.UtcTime,
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EntryPrice = fill.FillPrice,
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Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
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Quantity = fill.AbsoluteFillQuantity,
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TotalFees = 0,
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OrderIds = new HashSet<int>() { fill.OrderId }
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}
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}
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};
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position.MinPrice = fill.FillPrice;
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position.MaxPrice = fill.FillPrice;
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}
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}
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}
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private void ProcessFillUsingFlatToFlat(OrderEvent fill, decimal orderFee, decimal conversionRate, decimal multiplier)
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{
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Position position;
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if (!_positions.TryGetValue(fill.Symbol, out position) || position.PendingFills.Count == 0)
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{
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// no pending executions for symbol
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_positions[fill.Symbol] = new Position
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{
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PendingFills = new List<OrderEvent> { fill },
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TotalFees = orderFee,
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MinPrice = fill.FillPrice,
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MaxPrice = fill.FillPrice
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};
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return;
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}
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SetMarketPrice(fill.Symbol, fill.FillPrice);
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if (Math.Sign(position.PendingFills[0].FillQuantity) == Math.Sign(fill.FillQuantity))
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{
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// execution has same direction of trade
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position.PendingFills.Add(fill);
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position.TotalFees += orderFee;
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}
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else
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{
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// execution has opposite direction of trade
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if (position.PendingFills.Aggregate(0m, (d, x) => d + x.FillQuantity) + fill.FillQuantity == 0 || fill.AbsoluteFillQuantity > Math.Abs(position.PendingFills.Aggregate(0m, (d, x) => d + x.FillQuantity)))
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{
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// trade closed
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position.PendingFills.Add(fill);
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position.TotalFees += orderFee;
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var reverseQuantity = position.PendingFills.Sum(x => x.FillQuantity);
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var index = _matchingMethod == FillMatchingMethod.FIFO ? 0 : position.PendingFills.Count - 1;
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var entryTime = position.PendingFills[0].UtcTime;
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var totalEntryQuantity = 0m;
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var totalExitQuantity = 0m;
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var entryAveragePrice = 0m;
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var exitAveragePrice = 0m;
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var relatedOrderIds = new HashSet<int>();
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while (position.PendingFills.Count > 0)
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{
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var currentFill = position.PendingFills[index];
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if (Math.Sign(currentFill.FillQuantity) != Math.Sign(fill.FillQuantity))
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{
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// entry
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totalEntryQuantity += currentFill.FillQuantity;
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entryAveragePrice += (currentFill.FillPrice - entryAveragePrice) * currentFill.FillQuantity / totalEntryQuantity;
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}
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else
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{
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// exit
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totalExitQuantity += currentFill.FillQuantity;
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exitAveragePrice += (currentFill.FillPrice - exitAveragePrice) * currentFill.FillQuantity / totalExitQuantity;
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}
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relatedOrderIds.Add(currentFill.OrderId);
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position.PendingFills.RemoveAt(index);
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if (_matchingMethod == FillMatchingMethod.LIFO && index > 0) index--;
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}
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var direction = Math.Sign(fill.FillQuantity) < 0 ? TradeDirection.Long : TradeDirection.Short;
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var trade = new Trade
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{
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Symbols = [fill.Symbol],
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EntryTime = entryTime,
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EntryPrice = entryAveragePrice,
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Direction = direction,
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Quantity = Math.Abs(totalEntryQuantity),
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ExitTime = fill.UtcTime,
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ExitPrice = exitAveragePrice,
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ProfitLoss = Math.Round((exitAveragePrice - entryAveragePrice) * Math.Abs(totalEntryQuantity) * Math.Sign(totalEntryQuantity) * conversionRate * multiplier, 2),
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TotalFees = position.TotalFees,
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OrderIds = relatedOrderIds
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// MAE, MFE, EndTradeDrawdown are zero for FlatToFlat grouping method.
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// WE can fix this in the future if needed, but it might require tracking market prices
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// during the life of the trade, so that we can compute these metrics accurately accounting for
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// time, each fill entry price and quantity, which affect profit and drawdown and
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// adds complexity and memory overhead.
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};
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AddNewTrade(trade, fill);
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_positions.Remove(fill.Symbol);
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if (reverseQuantity != 0)
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{
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// direction reversal
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fill.FillQuantity = reverseQuantity;
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_positions[fill.Symbol] = new Position
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{
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PendingFills = new List<OrderEvent> { fill },
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TotalFees = 0,
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MinPrice = fill.FillPrice,
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MaxPrice = fill.FillPrice
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};
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}
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}
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else
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{
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// trade open
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position.PendingFills.Add(fill);
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position.TotalFees += orderFee;
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}
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}
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}
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private void ProcessFillUsingFlatToReduced(OrderEvent fill, decimal orderFee, decimal conversionRate, decimal multiplier)
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{
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Position position;
|
|
if (!_positions.TryGetValue(fill.Symbol, out position) || position.PendingFills.Count == 0)
|
|
{
|
|
// no pending executions for symbol
|
|
_positions[fill.Symbol] = new Position
|
|
{
|
|
PendingFills = new List<OrderEvent> { fill },
|
|
TotalFees = orderFee,
|
|
MinPrice = fill.FillPrice,
|
|
MaxPrice = fill.FillPrice
|
|
};
|
|
return;
|
|
}
|
|
|
|
SetMarketPrice(fill.Symbol, fill.FillPrice);
|
|
|
|
var index = _matchingMethod == FillMatchingMethod.FIFO ? 0 : position.PendingFills.Count - 1;
|
|
|
|
if (Math.Sign(fill.FillQuantity) == Math.Sign(position.PendingFills[index].FillQuantity))
|
|
{
|
|
// execution has same direction of trade
|
|
position.PendingFills.Add(fill);
|
|
position.TotalFees += orderFee;
|
|
}
|
|
else
|
|
{
|
|
// execution has opposite direction of trade
|
|
var entryTime = position.PendingFills[index].UtcTime;
|
|
var totalExecutedQuantity = 0m;
|
|
var entryPrice = 0m;
|
|
position.TotalFees += orderFee;
|
|
var relatedOrderIds = new HashSet<int> { fill.OrderId };
|
|
|
|
while (position.PendingFills.Count > 0 && Math.Abs(totalExecutedQuantity) < fill.AbsoluteFillQuantity)
|
|
{
|
|
var currentFill = position.PendingFills[index];
|
|
var absoluteUnexecutedQuantity = fill.AbsoluteFillQuantity - Math.Abs(totalExecutedQuantity);
|
|
if (absoluteUnexecutedQuantity >= Math.Abs(currentFill.FillQuantity))
|
|
{
|
|
if (_matchingMethod == FillMatchingMethod.LIFO)
|
|
entryTime = currentFill.UtcTime;
|
|
|
|
totalExecutedQuantity -= currentFill.FillQuantity;
|
|
entryPrice -= (currentFill.FillPrice - entryPrice) * currentFill.FillQuantity / totalExecutedQuantity;
|
|
position.PendingFills.RemoveAt(index);
|
|
|
|
if (_matchingMethod == FillMatchingMethod.LIFO && index > 0) index--;
|
|
}
|
|
else
|
|
{
|
|
var executedQuantity = absoluteUnexecutedQuantity * Math.Sign(fill.FillQuantity);
|
|
totalExecutedQuantity += executedQuantity;
|
|
entryPrice += (currentFill.FillPrice - entryPrice) * executedQuantity / totalExecutedQuantity;
|
|
currentFill.FillQuantity += executedQuantity;
|
|
}
|
|
relatedOrderIds.Add(currentFill.OrderId);
|
|
}
|
|
|
|
var direction = totalExecutedQuantity < 0 ? TradeDirection.Long : TradeDirection.Short;
|
|
var trade = new Trade
|
|
{
|
|
Symbols = [fill.Symbol],
|
|
EntryTime = entryTime,
|
|
EntryPrice = entryPrice,
|
|
Direction = direction,
|
|
Quantity = Math.Abs(totalExecutedQuantity),
|
|
ExitTime = fill.UtcTime,
|
|
ExitPrice = fill.FillPrice,
|
|
ProfitLoss = Math.Round((fill.FillPrice - entryPrice) * Math.Abs(totalExecutedQuantity) * Math.Sign(-totalExecutedQuantity) * conversionRate * multiplier, 2),
|
|
TotalFees = position.TotalFees,
|
|
OrderIds = relatedOrderIds
|
|
|
|
// MAE, MFE, EndTradeDrawdown are zero for FlatToReduce grouping method.
|
|
// See comment in FlatToFlat method for more details.541
|
|
};
|
|
|
|
AddNewTrade(trade, fill);
|
|
|
|
if (Math.Abs(totalExecutedQuantity) < fill.AbsoluteFillQuantity)
|
|
{
|
|
// direction reversal
|
|
fill.FillQuantity -= totalExecutedQuantity;
|
|
position.PendingFills = new List<OrderEvent> { fill };
|
|
position.TotalFees = 0;
|
|
position.MinPrice = fill.FillPrice;
|
|
position.MaxPrice = fill.FillPrice;
|
|
}
|
|
else if (Math.Abs(totalExecutedQuantity) == fill.AbsoluteFillQuantity)
|
|
{
|
|
if (position.PendingFills.Count == 0)
|
|
_positions.Remove(fill.Symbol);
|
|
else
|
|
position.TotalFees = 0;
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Adds a trade to the list of closed trades, capping the total number only in live mode
|
|
/// </summary>
|
|
private void AddNewTrade(Trade trade, OrderEvent fill)
|
|
{
|
|
lock (_closedTrades)
|
|
{
|
|
trade.IsWin = _securities != null && _securities.TryGetValue(trade.Symbol, out var security)
|
|
? fill.IsWin(security, trade.ProfitLoss)
|
|
: trade.ProfitLoss > 0;
|
|
|
|
trade.Id = Guid.NewGuid().ToString();
|
|
_closedTrades.Add(trade);
|
|
|
|
// Due to memory constraints in live mode, we cap the number of trades
|
|
if (!_liveMode)
|
|
return;
|
|
|
|
// maximum number of trades
|
|
if (_closedTrades.Count > LiveModeMaxTradeCount)
|
|
{
|
|
_closedTrades.RemoveRange(0, _closedTrades.Count - LiveModeMaxTradeCount);
|
|
}
|
|
|
|
// maximum age of trades
|
|
while (_closedTrades.Count > 0 && _closedTrades[0].ExitTime.Date.AddMonths(LiveModeMaxTradeAgeMonths) < DateTime.Today)
|
|
{
|
|
_closedTrades.RemoveAt(0);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|