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Add PriceCurrency to Trade #9236

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jhonabreul wants to merge 1 commit into from
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Add PriceCurrency to Trade #9236

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5 changes: 5 additions & 0 deletions Common/Statistics/Trade.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -88,6 +88,11 @@ public List<Symbol> Symbols
/// </summary>
public decimal ExitPrice { get; set; }

/// <summary>
/// The currency of the prices (e.g. "USD")
/// </summary>
public string PriceCurrency { get; set; }

/// <summary>
/// The gross profit/loss of the trade (as account currency)
/// </summary>
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18 changes: 12 additions & 6 deletions Common/Statistics/TradeBuilder.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -233,7 +233,8 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
Quantity = fill.AbsoluteFillQuantity,
TotalFees = orderFee,
OrderIds = new HashSet<int>() { fill.OrderId }
OrderIds = new HashSet<int>() { fill.OrderId },
PriceCurrency = fill.FillPriceCurrency
}
},
MinPrice = fill.FillPrice,
Expand All @@ -257,7 +258,8 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
Quantity = fill.AbsoluteFillQuantity,
TotalFees = orderFee,
OrderIds = new HashSet<int>() { fill.OrderId }
OrderIds = new HashSet<int>() { fill.OrderId },
PriceCurrency = fill.FillPriceCurrency
});
}
else
Expand Down Expand Up @@ -306,7 +308,8 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
TotalFees = trade.TotalFees + (orderFeeAssigned ? 0 : orderFee),
MAE = Math.Round((trade.Direction == TradeDirection.Long ? position.MinPrice - trade.EntryPrice : trade.EntryPrice - position.MaxPrice) * absoluteUnexecutedQuantity * conversionRate * multiplier, 2),
MFE = Math.Round((trade.Direction == TradeDirection.Long ? position.MaxPrice - trade.EntryPrice : trade.EntryPrice - position.MinPrice) * absoluteUnexecutedQuantity * conversionRate * multiplier, 2),
OrderIds = new HashSet<int>([..trade.OrderIds, fill.OrderId])
OrderIds = new HashSet<int>([..trade.OrderIds, fill.OrderId]),
PriceCurrency = fill.FillPriceCurrency
};

AddNewTrade(newTrade, fill);
Expand Down Expand Up @@ -335,7 +338,8 @@ private void ProcessFillUsingFillToFill(OrderEvent fill, decimal orderFee, decim
Direction = fill.FillQuantity > 0 ? TradeDirection.Long : TradeDirection.Short,
Quantity = fill.AbsoluteFillQuantity,
TotalFees = 0,
OrderIds = new HashSet<int>() { fill.OrderId }
OrderIds = new HashSet<int>() { fill.OrderId },
PriceCurrency = fill.FillPriceCurrency
}
};
position.MinPrice = fill.FillPrice;
Expand Down Expand Up @@ -423,7 +427,8 @@ private void ProcessFillUsingFlatToFlat(OrderEvent fill, decimal orderFee, decim
TotalFees = position.TotalFees,
MAE = Math.Round((direction == TradeDirection.Long ? position.MinPrice - entryAveragePrice : entryAveragePrice - position.MaxPrice) * Math.Abs(totalEntryQuantity) * conversionRate * multiplier, 2),
MFE = Math.Round((direction == TradeDirection.Long ? position.MaxPrice - entryAveragePrice : entryAveragePrice - position.MinPrice) * Math.Abs(totalEntryQuantity) * conversionRate * multiplier, 2),
OrderIds = relatedOrderIds
OrderIds = relatedOrderIds,
PriceCurrency = fill.FillPriceCurrency
};

AddNewTrade(trade, fill);
Expand Down Expand Up @@ -526,7 +531,8 @@ private void ProcessFillUsingFlatToReduced(OrderEvent fill, decimal orderFee, de
TotalFees = position.TotalFees,
MAE = Math.Round((direction == TradeDirection.Long ? position.MinPrice - entryPrice : entryPrice - position.MaxPrice) * Math.Abs(totalExecutedQuantity) * conversionRate * multiplier, 2),
MFE = Math.Round((direction == TradeDirection.Long ? position.MaxPrice - entryPrice : entryPrice - position.MinPrice) * Math.Abs(totalExecutedQuantity) * conversionRate * multiplier, 2),
OrderIds = relatedOrderIds
OrderIds = relatedOrderIds,
PriceCurrency = fill.FillPriceCurrency
};

AddNewTrade(trade, fill);
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8 changes: 6 additions & 2 deletions Tests/Common/Statistics/TradeTests.cs
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Expand Up @@ -42,6 +42,7 @@ public void JsonSerializationRoundTrip()
Assert.AreEqual(trade.TotalFees, deserializedTrade.TotalFees);
Assert.AreEqual(trade.MAE, deserializedTrade.MAE);
Assert.AreEqual(trade.MFE, deserializedTrade.MFE);
Assert.AreEqual(trade.PriceCurrency, deserializedTrade.PriceCurrency);

// For backwards compatibility, also verify Symbol property is set correctly
Assert.IsNotNull(trade.Symbol);
Expand Down Expand Up @@ -81,7 +82,8 @@ public void CanDeserializeOldFormatWithSymbol()
""Duration"": ""00:20:00"",
""EndTradeDrawdown"": -10.0,
""IsWin"": false,
""OrderIds"": []
""OrderIds"": [],
""PriceCurrency"": ""USD""
}";
var deserializedTrade = JsonConvert.DeserializeObject<Trade>(jsonTrade);
Assert.IsNotNull(deserializedTrade);
Expand All @@ -96,6 +98,7 @@ public void CanDeserializeOldFormatWithSymbol()
Assert.AreEqual(2.5m, deserializedTrade.TotalFees);
Assert.AreEqual(-5m, deserializedTrade.MAE);
Assert.AreEqual(30m, deserializedTrade.MFE);
Assert.AreEqual("USD", deserializedTrade.PriceCurrency);
// For backwards compatibility, also verify Symbol property is set correctly
Assert.IsNotNull(deserializedTrade.Symbol);
Assert.AreEqual(deserializedTrade.Symbols[0], deserializedTrade.Symbol);
Expand All @@ -117,7 +120,8 @@ private static Trade MakeTrade()
ProfitLoss = 20,
TotalFees = 2.5m,
MAE = -5,
MFE = 30
MFE = 30,
PriceCurrency = "USD"
};
return trade;
}
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