/*
* 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 System.Collections.Generic;
using System.Linq;
using QuantConnect.Orders;
using QuantConnect.Packets;
namespace QuantConnect.Report.ReportElements
{
internal sealed class TradesPerDayReportElement : ReportElement
{
private LiveResult _live;
private BacktestResult _backtest;
///
/// Estimate the trades per day of the strategy.
///
/// Name of the widget
/// Location of injection
/// Backtest result object
/// Live result object
public TradesPerDayReportElement(string name, string key, BacktestResult backtest, LiveResult live)
{
_live = live;
_backtest = backtest;
Name = name;
Key = key;
}
///
/// Generate trades per day
///
public override string Render()
{
var liveOrders = _live?.Orders?.Values.ToList();
if (liveOrders == null)
{
liveOrders = new List();
}
var orders = _backtest?.Orders?.Values.Concat(liveOrders).OrderBy(x => x.Time);
if (orders == null)
{
return "-";
}
if (!orders.Any())
{
return "-";
}
var days = orders.Last().Time
.Subtract(orders.First().Time)
.TotalDays;
if (days == 0)
{
days = 1;
}
var tradesPerDay = orders.Count() / days;
Result = tradesPerDay;
if (tradesPerDay > 9)
{
return $"{tradesPerDay:F0}";
}
return $"{tradesPerDay:F1}";
}
}
}