Trade order

The maximum drawdown (the realized equity curve), the winning and losing streaks and the running cumulative return follow the order trades close in. While any of them runs — they all do by default — realized trades must arrive in close-time order: the first one that closed before the trade read ahead of it throws UnorderedTradeSourceException, instead of reporting figures for a sequence that never happened. Sorting inside the engine would mean holding the whole history in memory, which the single pass never does.

• Open trades (no close time) and trades with equal close times may come in any order.
• Order a query with ->orderBy('close_time')->orderBy('id'); sort an in-memory collection with ->sortBy('close_time')->values() first.
• A run without those calculators — except() MaxDrawdown, Streaks, GrossCumulativeReturn and NetCumulativeReturn, or an only() without them — accepts any order. Every other metric, the trading frequency included, is order-independent.

use RoundlyConsulting\TradingAnalytics\Analytics\GrossCumulativeReturn;
use RoundlyConsulting\TradingAnalytics\Analytics\MaxDrawdown;
use RoundlyConsulting\TradingAnalytics\Analytics\NetCumulativeReturn;
use RoundlyConsulting\TradingAnalytics\Analytics\Streaks;

// An in-memory collection: sort it by close time first
TradingAnalytics::calculate(collect($rows)->sortBy('close_time')->values());

// Out of order? The first trade that closed before the one read ahead of it throws:
// UnorderedTradeSourceException: Trade analytics follow the order trades close in, but a trade
// closed at [2024-03-02 12:00:00] arrived after one closed at [2024-03-05 08:00:00]. …

// Without the order-sensitive calculators, any order is accepted
TradingAnalytics::for($rows)
    ->except([MaxDrawdown::class, Streaks::class, GrossCumulativeReturn::class, NetCumulativeReturn::class])
    ->calculate();

The order-sensitive calculators implement the SequentialAnalyticsInterface marker; the engine checks the order only while one of them is active.