Add total performance statistics to live result files

Common/Packets/BacktestResultPacket.cs

@@ -208,11 +208,6 @@ public class BacktestResult : Result
         /// </summary>
         public Dictionary<string, AlgorithmPerformance> RollingWindow { get; set; } = new Dictionary<string, AlgorithmPerformance>();
 
-        /// <summary>
-        /// Rolling window detailed statistics.
-        /// </summary>
-        public AlgorithmPerformance TotalPerformance { get; set; }
-
         /// <summary>
         /// Default Constructor
         /// </summary>
@@ -226,7 +221,6 @@ public BacktestResult()
         public BacktestResult(BacktestResultParameters parameters) : base(parameters)
         {
             RollingWindow = parameters.RollingWindow;
-            TotalPerformance = parameters.TotalPerformance;
         }
     }
 } // End of Namespace:

Common/Packets/BacktestResultParameters.cs

@@ -18,7 +18,6 @@
 using QuantConnect.Orders;
 using QuantConnect.Statistics;
 using System.Collections.Generic;
-using QuantConnect.Securities.Positions;
 
 namespace QuantConnect.Packets
 {
@@ -32,10 +31,6 @@ public class BacktestResultParameters : BaseResultParameters
         /// </summary>
         public Dictionary<string, AlgorithmPerformance> RollingWindow { get; set; }
 
-        /// <summary>
-        /// Rolling window detailed statistics.
-        /// </summary>
-        public AlgorithmPerformance TotalPerformance { get; set; }
         /// <summary>
         /// Creates a new instance
         /// </summary>
@@ -49,10 +44,9 @@ public BacktestResultParameters(IDictionary<string, Chart> charts,
             AlgorithmPerformance totalPerformance = null,
             AlgorithmConfiguration algorithmConfiguration = null,
             IDictionary<string, string> state = null)
-            : base(charts, orders, profitLoss, statistics, runtimeStatistics, orderEvents, algorithmConfiguration, state)
+            : base(charts, orders, profitLoss, statistics, runtimeStatistics, orderEvents, totalPerformance, algorithmConfiguration, state)
         {
             RollingWindow = rollingWindow;
-            TotalPerformance = totalPerformance;
         }
     }
 }

Common/Packets/BaseResultParameters.cs

@@ -14,8 +14,9 @@
  *
 */
 
-using System;
 using QuantConnect.Orders;
+using QuantConnect.Statistics;
+using System;
 using System.Collections.Generic;
 
 namespace QuantConnect.Packets
@@ -65,6 +66,11 @@ public class BaseResultParameters
         /// </summary>
         public AlgorithmConfiguration AlgorithmConfiguration { get; set; }
 
+        /// <summary>
+        /// Rolling window detailed statistics.
+        /// </summary>
+        public AlgorithmPerformance TotalPerformance { get; set; }
+
         /// <summary>
         /// Creates a new instance
         /// </summary>
@@ -74,6 +80,7 @@ public BaseResultParameters(IDictionary<string, Chart> charts,
             IDictionary<string, string> statistics,
             IDictionary<string, string> runtimeStatistics,
             List<OrderEvent> orderEvents,
+            AlgorithmPerformance totalPerformance = null,
             AlgorithmConfiguration algorithmConfiguration = null,
             IDictionary<string, string> state = null)
         {
@@ -85,6 +92,7 @@ public BaseResultParameters(IDictionary<string, Chart> charts,
             OrderEvents = orderEvents;
             AlgorithmConfiguration = algorithmConfiguration;
             State = state;
+            TotalPerformance = totalPerformance;
         }
     }
 }

Common/Packets/LiveResultPacket.cs

@@ -14,13 +14,13 @@
  *
 */
 
-using System;
-using System.Linq;
 using Newtonsoft.Json;
-using QuantConnect.Orders;
 using QuantConnect.Logging;
+using QuantConnect.Orders;
 using QuantConnect.Securities;
+using System;
 using System.Collections.Generic;
+using System.Linq;
 
 namespace QuantConnect.Packets
 {
@@ -109,7 +109,7 @@ public static LiveResultPacket CreateEmpty(LiveNodePacket job)
             return new LiveResultPacket(job, new LiveResult(new LiveResultParameters(
                 new Dictionary<string, Chart>(), new Dictionary<int, Order>(), new Dictionary<DateTime, decimal>(),
                 new Dictionary<string, Holding>(), new CashBook(), new Dictionary<string, string>(),
-                new SortedDictionary<string, string>(), new List<OrderEvent>(), new Dictionary<string, string>(),
+                new SortedDictionary<string, string>(), new List<OrderEvent>(), null, new Dictionary<string, string>(),
                 new AlgorithmConfiguration(), new Dictionary<string, string>())));
         }
     } // End Queue Packet:

Common/Packets/LiveResultParameters.cs

@@ -14,9 +14,10 @@
  *
 */
 
-using System;
 using QuantConnect.Orders;
 using QuantConnect.Securities;
+using QuantConnect.Statistics;
+using System;
 using System.Collections.Generic;
 
 namespace QuantConnect.Packets
@@ -52,10 +53,11 @@ public LiveResultParameters(IDictionary<string, Chart> charts,
             IDictionary<string, string> statistics,
             IDictionary<string, string> runtimeStatistics,
             List<OrderEvent> orderEvents,
+            AlgorithmPerformance totalPerformance = null,
             IDictionary<string, string> serverStatistics = null,
             AlgorithmConfiguration algorithmConfiguration = null,
             IDictionary<string, string> state = null)
-            : base(charts, orders, profitLoss, statistics, runtimeStatistics, orderEvents, algorithmConfiguration, state)
+            : base(charts, orders, profitLoss, statistics, runtimeStatistics, orderEvents, totalPerformance, algorithmConfiguration, state)
         {
             Holdings = holdings;
             CashBook = cashBook;

Common/Result.cs

@@ -13,10 +13,11 @@
  * limitations under the License.
 */
 
-using System;
 using Newtonsoft.Json;
 using QuantConnect.Orders;
 using QuantConnect.Packets;
+using QuantConnect.Statistics;
+using System;
 using System.Collections.Generic;
 
 namespace QuantConnect
@@ -83,6 +84,12 @@ public class Result
         [JsonProperty(NullValueHandling = NullValueHandling.Ignore)]
         public AlgorithmConfiguration AlgorithmConfiguration { get; set; }
 
+        /// <summary>
+        /// Rolling window detailed statistics.
+        /// </summary>
+        [JsonProperty(NullValueHandling = NullValueHandling.Ignore)]
+        public AlgorithmPerformance TotalPerformance { get; set; }
+
         /// <summary>
         /// Creates new empty instance
         /// </summary>
@@ -103,6 +110,7 @@ public Result(BaseResultParameters parameters)
             OrderEvents = parameters.OrderEvents;
             AlgorithmConfiguration = parameters.AlgorithmConfiguration;
             State = parameters.State;
+            TotalPerformance = parameters.TotalPerformance;
         }
     }
 }

Common/Statistics/Trade.cs

@@ -13,6 +13,7 @@
  * limitations under the License.
 */
 
+using Newtonsoft.Json;
 using System;
 using System.Collections.Generic;
 
@@ -23,10 +24,39 @@ namespace QuantConnect.Statistics
     /// </summary>
     public class Trade
     {
+        private List<Symbol> _symbols;
+
         /// <summary>
         /// The symbol of the traded instrument
         /// </summary>
-        public Symbol Symbol { get; set; }
+        [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

Common/Statistics/TradeBuilder.cs

@@ -227,7 +227,7 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
                     {
                         new Trade
                         {
-                            Symbol = fill.Symbol,
+                            Symbols = [fill.Symbol],
                             EntryTime = fill.UtcTime,
                             EntryPrice = fill.FillPrice,
                             Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
@@ -251,7 +251,7 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
                 // execution has same direction of trade
                 position.PendingTrades.Add(new Trade
                 {
-                    Symbol = fill.Symbol,
+                    Symbols = [fill.Symbol],
                     EntryTime = fill.UtcTime,
                     EntryPrice = fill.FillPrice,
                     Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
@@ -295,7 +295,7 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
 
                         var newTrade = new Trade
                         {
-                            Symbol = trade.Symbol,
+                            Symbols = trade.Symbols,
                             EntryTime = trade.EntryTime,
                             EntryPrice = trade.EntryPrice,
                             Direction = trade.Direction,
@@ -329,7 +329,7 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
                     {
                         new Trade
                         {
-                            Symbol = fill.Symbol,
+                            Symbols =[fill.Symbol],
                             EntryTime = fill.UtcTime,
                             EntryPrice = fill.FillPrice,
                             Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
@@ -412,7 +412,7 @@ private void ProcessFillUsingFlatToFlat(OrderEvent fill, decimal orderFee, decim
                     var direction = Math.Sign(fill.FillQuantity) < 0 ? TradeDirection.Long : TradeDirection.Short;
                     var trade = new Trade
                     {
-                        Symbol = fill.Symbol,
+                        Symbols = [fill.Symbol],
                         EntryTime = entryTime,
                         EntryPrice = entryAveragePrice,
                         Direction = direction,
@@ -515,7 +515,7 @@ private void ProcessFillUsingFlatToReduced(OrderEvent fill, decimal orderFee, de
                 var direction = totalExecutedQuantity < 0 ? TradeDirection.Long : TradeDirection.Short;
                 var trade = new Trade
                 {
-                    Symbol = fill.Symbol,
+                    Symbols = [fill.Symbol],
                     EntryTime = entryTime,
                     EntryPrice = entryPrice,
                     Direction = direction,

Engine/Results/LiveTradingResultHandler.cs

@@ -216,9 +216,8 @@ private void Update()
 
                     //Add the algorithm statistics first.
 
-                    var summary = GenerateStatisticsResults(performanceCharts).Summary;
-                    var runtimeStatistics = GetAlgorithmRuntimeStatistics(summary);
-
+                    var statistics = GenerateStatisticsResults(performanceCharts);
+                    var runtimeStatistics = GetAlgorithmRuntimeStatistics(statistics.Summary);
 
                     // since we're sending multiple packets, let's do it async and forget about it
                     // chart data can get big so let's break them up into groups
@@ -248,7 +247,9 @@ private void Update()
 
                         var deltaStatistics = new Dictionary<string, string>();
                         var orders = new Dictionary<int, Order>(TransactionHandler.Orders);
-                        var complete = new LiveResultPacket(_job, new LiveResult(new LiveResultParameters(chartComplete, orders, Algorithm.Transactions.TransactionRecord, holdings, Algorithm.Portfolio.CashBook, deltaStatistics, runtimeStatistics, orderEvents, serverStatistics, state: GetAlgorithmState())));
+                        var complete = new LiveResultPacket(_job, new LiveResult(new LiveResultParameters(chartComplete, orders, 
+                            Algorithm.Transactions.TransactionRecord, holdings, Algorithm.Portfolio.CashBook, deltaStatistics, 
+                            runtimeStatistics, orderEvents, statistics.TotalPerformance, serverStatistics, state: GetAlgorithmState())));
                         StoreResult(complete);
                         _nextChartsUpdate = DateTime.UtcNow.Add(ChartUpdateInterval);
                         Log.Debug("LiveTradingResultHandler.Update(): End-store result");
@@ -761,7 +762,7 @@ protected void SendFinalResult()
                     result = new LiveResultPacket(_job,
                         new LiveResult(new LiveResultParameters(charts, orders, profitLoss, new Dictionary<string, Holding>(),
                             Algorithm.Portfolio.CashBook, statisticsResults.Summary, runtime, GetOrderEventsToStore(),
-                            algorithmConfiguration: AlgorithmConfiguration.Create(Algorithm, null), state: endState)));
+                            algorithmConfiguration: AlgorithmConfiguration.Create(Algorithm, null), state: endState, totalPerformance: statisticsResults.TotalPerformance)));
                 }
                 else
                 {
@@ -854,8 +855,15 @@ protected override void StoreResult(Packet packet)
                     // swap out our charts with the sampled data
                     minuteCharts.Remove(PortfolioMarginKey);
                     live.Results.Charts = minuteCharts;
+
+                    var totalPerformance = live.Results.TotalPerformance;
+                    live.Results.TotalPerformance = null; // we don't need to save this in minute data
+
                     SaveResults(CreateKey("minute"), live.Results);
 
+                    // restore total performance
+                    live.Results.TotalPerformance = totalPerformance;
+
                     // 10 minute resolution data, save today
                     var tenminuteSampler = new SeriesSampler(TimeSpan.FromMinutes(10));
                     var tenminuteCharts = tenminuteSampler.SampleCharts(live.Results.Charts, start, stop);
@@ -983,6 +991,14 @@ private static void Truncate(LiveResult result, DateTime start, DateTime stop)
                 (x.LastUpdateTime != null && x.LastUpdateTime >= start && x.LastUpdateTime <= stop)
             ).ToDictionary(x => x.Id);
 
+            var closedTrades = result.TotalPerformance?.ClosedTrades;
+            if (closedTrades != null && closedTrades.Count > 0)
+            {
+                result.TotalPerformance.ClosedTrades = closedTrades
+                    .Where(x => x.ExitTime >= start && x.ExitTime <= stop)
+                    .ToList();
+            }
+
             //Log.Trace("LiveTradingResultHandler.Truncate: Truncate Outgoing: " + result.Charts["Strategy Equity"].Series["Equity"].Values.Count);
         }
 

Tests/Common/Statistics/PortfolioStatisticsTests.cs

@@ -178,7 +178,7 @@ private List<Trade> CreateITMOptionAssignment(bool win)
             {
                 new Trade
                 {
-                    Symbol = Symbols.SPY_C_192_Feb19_2016,
+                    Symbols = [Symbols.SPY_C_192_Feb19_2016],
                     EntryTime = time,
                     EntryPrice = 80m,
                     Direction = TradeDirection.Long,
@@ -193,7 +193,7 @@ private List<Trade> CreateITMOptionAssignment(bool win)
                 },
                 new Trade
                 {
-                    Symbol = Symbols.SPY,
+                    Symbols =[Symbols.SPY],
                     EntryTime = time.AddMinutes(20),
                     EntryPrice = 192m,
                     Direction = TradeDirection.Long,