Strategy Reports

Overview

StockSharp provides a report generation system for strategy trading results. The system is built on two key components:

• IReportSource -- an interface describing the data source for the report (strategy parameters, orders, trades, positions, statistics).
• IReportGenerator -- a report generator interface supporting various formats (CSV, JSON, XML, Excel).

The Strategy class implements the IReportSource interface, so a strategy can be passed directly to the report generator.

IReportSource Interface

The IReportSource interface provides all the data needed to generate a report:

Before reading data, the Prepare() method is called to synchronize the source's internal state.

ReportSource Class

ReportSource is a standalone implementation of IReportSource, not tied to the Strategy class. It allows manually constructing the data source for a report:

var source = new ReportSource();
source.Name = "My strategy";
source.PnL = 15000m;
source.TotalWorkingTime = TimeSpan.FromHours(8);

source.AddParameter("Timeframe", "5 minutes");
source.AddStatisticParameter("Sharpe Ratio", 1.85);

source.AddOrder(new ReportOrder(
    Id: 123,
    TransactionId: 456,
    SecurityId: securityId,
    Side: Sides.Buy,
    Time: DateTime.UtcNow,
    Price: 100m,
    State: OrderStates.Done,
    Balance: 0,
    Volume: 10,
    Type: OrderTypes.Limit
));

Data Aggregation

With a large number of orders and trades, ReportSource automatically aggregates data to reduce the report size:

// Automatic aggregation threshold (default is 10000)
source.MaxOrdersBeforeAggregation = 5000;
source.MaxTradesBeforeAggregation = 5000;

// Grouping interval (default is 1 hour)
source.AggregationInterval = TimeSpan.FromMinutes(30);

// Manual aggregation
source.AggregateOrders(TimeSpan.FromHours(1));
source.AggregateTrades(TimeSpan.FromHours(1));

During aggregation, orders and trades are grouped by time interval, security, and direction. Volumes are summed, and prices are calculated as weighted averages.

PositionLifecycleTracker

PositionLifecycleTracker tracks the lifecycle of positions and generates round-trips -- records of position opening and closing.

A round-trip is recorded when:

• A position is fully closed (the value becomes zero)
• A position reversal occurs (sign change)

In the Strategy class, the tracker is automatically integrated: completed round-trips are added to ReportSource via the RoundTripClosed event.

var tracker = new PositionLifecycleTracker();

// Event on round-trip close
tracker.RoundTripClosed += roundTrip =>
{
    Console.WriteLine($"Position closed: {roundTrip.SecurityId}, " +
        $"Open: {roundTrip.OpenTime} at {roundTrip.OpenPrice}, " +
        $"Close: {roundTrip.CloseTime} at {roundTrip.ClosePrice}, " +
        $"Max volume: {roundTrip.MaxPosition}");
};

// Process position update
tracker.ProcessPosition(position);

// Access round-trip history
IReadOnlyList<ReportPosition> history = tracker.History;

Report Generators

The following generators are available:

All generators inherit from BaseReportGenerator and support configuration of included sections:

var generator = new CsvReportGenerator();

// Configure report sections
generator.IncludeOrders = true;
generator.IncludeTrades = true;
generator.IncludePositions = true;
generator.Encoding = Encoding.UTF8;

Generating a Report from a Strategy

Since Strategy implements IReportSource, a report can be generated directly:

// The strategy itself is the data source
var generator = new JsonReportGenerator();

using var stream = File.Create("report.json");
await generator.Generate(strategy, stream, CancellationToken.None);

For a separate data source:

var source = new ReportSource();
source.Name = strategy.Name;
source.PnL = strategy.PnL;
source.TotalWorkingTime = strategy.TotalWorkingTime;

// Add positions from the tracker
source.AddPositions(tracker.History);

var generator = new CsvReportGenerator();
using var stream = File.Create("report.csv");
await generator.Generate(source, stream, CancellationToken.None);

Example: Strategy with Report Generation on Stop

public class ReportingStrategy : Strategy
{
    private readonly StrategyParam<DataType> _candleType;

    public DataType CandleType
    {
        get => _candleType.Value;
        set => _candleType.Value = value;
    }

    public ReportingStrategy()
    {
        _candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
    }

    protected override void OnStarted2(DateTime time)
    {
        base.OnStarted2(time);

        var subscription = SubscribeCandles(CandleType);

        subscription
            .Bind(ProcessCandle)
            .Start();
    }

    private void ProcessCandle(ICandleMessage candle)
    {
        if (!IsFormedAndOnlineAndAllowTrading())
            return;

        // Trading logic...
    }

    protected override void OnStopped()
    {
        // Generate report when the strategy stops
        var generator = new CsvReportGenerator();

        using var stream = File.Create($"report_{Name}_{DateTime.Now:yyyyMMdd_HHmmss}.csv");
        generator.Generate(this, stream, CancellationToken.None).AsTask().Wait();

        base.OnStopped();
    }
}

In this example, the strategy automatically creates a CSV report when it stops. The report includes strategy parameters, statistics, orders, trades, and position round-trips.