wehub-resource-sync
103 lines
4.1 KiB
C#
103 lines
4.1 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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using System.Collections.Generic;
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using QuantConnect.Lean.Engine.Results;
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namespace QuantConnect.Report
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{
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/// <summary>
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/// Utility methods for dealing with the <see cref="Result"/> objects
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/// </summary>
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public static class ResultsUtil
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{
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/// <summary>
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/// Get the points, from the Series name given, in Strategy Equity chart
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/// </summary>
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/// <param name="result">Result object to extract the chart points</param>
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/// <param name="seriesName">Series name from which the points will be extracted. By default is Equity series</param>
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/// <returns></returns>
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public static SortedList<DateTime, double> EquityPoints(Result result, string seriesName = null)
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{
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var points = new SortedList<DateTime, double>();
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seriesName ??= BaseResultsHandler.EquityKey;
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if (result == null || result.Charts == null ||
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!result.Charts.ContainsKey(BaseResultsHandler.StrategyEquityKey) ||
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result.Charts[BaseResultsHandler.StrategyEquityKey].Series == null ||
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!result.Charts[BaseResultsHandler.StrategyEquityKey].Series.ContainsKey(seriesName))
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{
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return points;
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}
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var series = result.Charts[BaseResultsHandler.StrategyEquityKey].Series[seriesName];
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switch (series)
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{
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case Series s:
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foreach (ChartPoint point in s.Values)
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{
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points[point.Time] = Convert.ToDouble(point.y);
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}
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break;
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case CandlestickSeries candlestickSeries:
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foreach (Candlestick candlestick in candlestickSeries.Values)
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{
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points[candlestick.Time] = Convert.ToDouble(candlestick.Close);
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}
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break;
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}
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return points;
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}
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/// <summary>
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/// Gets the points of the benchmark
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/// </summary>
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/// <param name="result">Backtesting or live results</param>
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/// <returns>Sorted list keyed by date and value</returns>
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public static SortedList<DateTime, double> BenchmarkPoints(Result result)
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{
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var points = new SortedList<DateTime, double>();
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if (result == null || result.Charts == null ||
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!result.Charts.ContainsKey(BaseResultsHandler.BenchmarkKey) ||
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result.Charts[BaseResultsHandler.BenchmarkKey].Series == null ||
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!result.Charts[BaseResultsHandler.BenchmarkKey].Series.ContainsKey(BaseResultsHandler.BenchmarkKey))
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{
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return points;
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}
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if (!result.Charts.ContainsKey(BaseResultsHandler.BenchmarkKey))
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{
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return new SortedList<DateTime, double>();
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}
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if (!result.Charts[BaseResultsHandler.BenchmarkKey].Series.ContainsKey(BaseResultsHandler.BenchmarkKey))
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{
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return new SortedList<DateTime, double>();
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}
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// Benchmark should be a Series, so we cast the points directly to ChartPoint
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foreach (ChartPoint point in result.Charts[BaseResultsHandler.BenchmarkKey].Series[BaseResultsHandler.BenchmarkKey].Values)
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{
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points[Time.UnixTimeStampToDateTime(point.x)] = Convert.ToDouble(point.y);
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}
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return points;
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}
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}
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}
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