Classes
class	AlgorithmPerformance
	The AlgorithmPerformance class is a wrapper for TradeStatistics and PortfolioStatistics More...

interface	IStatisticsService
	This interface exposes methods for accessing algorithm statistics results at runtime. More...

class	PerformanceMetrics
	PerformanceMetrics contains the names of the various performance metrics used for evaluation purposes. More...

class	PortfolioStatistics
	The PortfolioStatistics class represents a set of statistics calculated from equity and benchmark samples More...

class	Statistics
	Calculate all the statistics required from the backtest, based on the equity curve and the profit loss statement. More...

class	StatisticsBuilder
	The StatisticsBuilder class creates summary and rolling statistics from trades, equity and benchmark points More...

class	StatisticsResults
	The StatisticsResults class represents total and rolling statistics for an algorithm More...

class	Trade
	Represents a closed trade More...

class	TradeBuilder
	The TradeBuilder class generates trades from executions and market price updates More...

class	TradeStatistics
	The TradeStatistics class represents a set of statistics calculated from a list of closed trades More...

Enumerations
enum	TradeDirection { TradeDirection.Long, TradeDirection.Short }
	Direction of a trade More...

enum	FillGroupingMethod { FillGroupingMethod.FillToFill, FillGroupingMethod.FlatToFlat, FillGroupingMethod.FlatToReduced }
	The method used to group order fills into trades More...

enum	FillMatchingMethod { FillMatchingMethod.FIFO, FillMatchingMethod.LIFO }
	The method used to match offsetting order fills More...

Enumeration Type Documentation

◆ TradeDirection

strong

Direction of a trade

Enumerator
Long	Long direction (0)
Short	Short direction (1)

Definition at line 21 of file TradeEnums.cs.

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The method used to group order fills into trades

Enumerator
FillToFill	A Trade is defined by a fill that establishes or increases a position and an offsetting fill that reduces the position size (0)
FlatToFlat	A Trade is defined by a sequence of fills, from a flat position to a non-zero position which may increase or decrease in quantity, and back to a flat position (1)
FlatToReduced	A Trade is defined by a sequence of fills, from a flat position to a non-zero position and an offsetting fill that reduces the position size (2)

Definition at line 37 of file TradeEnums.cs.

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The method used to match offsetting order fills

Enumerator
FIFO	First In First Out fill matching method (0)
LIFO	Last In Last Out fill matching method (1)

Definition at line 58 of file TradeEnums.cs.