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Optimize GetGainLossWithDetailByDateAndAccount

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This commit is contained in:
Sean
2025-04-30 13:00:59 -04:00
parent 38d127d95b
commit 0343dc9d92
4 changed files with 29 additions and 115 deletions
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10
MarketData/MarketDataLib/Cache/DividendHistoryCache.cs
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@@ -44,6 +44,7 @@ namespace MarketData.Cache
private DividendHistoryCache() private DividendHistoryCache()
{ {
} }
public void Dispose() public void Dispose()
{ {
lock(thisLock) lock(thisLock)
@@ -52,6 +53,7 @@ namespace MarketData.Cache
instance=null; instance=null;
} }
} }
public static DividendHistoryCache GetInstance() public static DividendHistoryCache GetInstance()
{ {
lock(typeof(DividendHistoryCache)) lock(typeof(DividendHistoryCache))
@@ -60,6 +62,7 @@ namespace MarketData.Cache
return instance; return instance;
} }
} }
public void ClearCache() public void ClearCache()
{ {
lock(typeof(DividendHistoryCache)) lock(typeof(DividendHistoryCache))
@@ -67,6 +70,7 @@ namespace MarketData.Cache
dividendHistoryCache.Clear(); dividendHistoryCache.Clear();
} }
} }
public void Add(DividendHistory dividendHistory) public void Add(DividendHistory dividendHistory)
{ {
lock(typeof(DividendHistoryCache)) lock(typeof(DividendHistoryCache))
@@ -84,6 +88,7 @@ namespace MarketData.Cache
} }
} }
} }
private void Add(String symbol,int divExYear,DividendHistory dividendHistory) private void Add(String symbol,int divExYear,DividendHistory dividendHistory)
{ {
lock(typeof(DividendHistoryCache)) lock(typeof(DividendHistoryCache))
@@ -104,6 +109,7 @@ namespace MarketData.Cache
} }
} }
} }
public DividendHistory GetDividendHistory(String symbol, int[] divExYears) public DividendHistory GetDividendHistory(String symbol, int[] divExYears)
{ {
DividendHistory dividendHistory=new DividendHistory(); DividendHistory dividendHistory=new DividendHistory();
@@ -123,7 +129,8 @@ namespace MarketData.Cache
} }
} }
return dividendHistory; return dividendHistory;
} }
private DividendHistory GetDividendHistory(String symbol,int divExYear) private DividendHistory GetDividendHistory(String symbol,int divExYear)
{ {
lock(typeof(DividendHistoryCache)) lock(typeof(DividendHistoryCache))
@@ -134,6 +141,7 @@ namespace MarketData.Cache
return dividendHistoryByDixExYear[divExYear]; return dividendHistoryByDixExYear[divExYear];
} }
} }
public bool ContainsDividendHistory(String symbol,int divExYear) public bool ContainsDividendHistory(String symbol,int divExYear)
{ {
lock(typeof(DividendHistoryCache)) lock(typeof(DividendHistoryCache))

2
MarketData/MarketDataLib/Generator/DividendHistoryGenerator.cs
View File

@@ -37,8 +37,6 @@ namespace MarketData.Generator
int priorYear=currentYear-1; int priorYear=currentYear-1;
DividendHistory dividendHistory=DividendHistoryCache.GetInstance().GetDividendHistory(symbol,new int[]{currentYear, priorYear}); DividendHistory dividendHistory=DividendHistoryCache.GetInstance().GetDividendHistory(symbol,new int[]{currentYear, priorYear});
// DividendHistory dividendHistory=DividendHistoryDA.GetDividendHistory(symbol,new int[] { currentYear,priorYear });
if(null==currentPrice||double.IsNaN(currentPrice.Close)||!currentPrice.Date.Year.Equals(currentYear)) return double.NaN; if(null==currentPrice||double.IsNaN(currentPrice.Close)||!currentPrice.Date.Year.Equals(currentYear)) return double.NaN;
DividendHistory lastYearsDividendPayments=new DividendHistory((from DividendHistoryItem item in dividendHistory where item.DivExDate.Year==priorYear&&null!=item.CashAmount select item).ToList()); DividendHistory lastYearsDividendPayments=new DividendHistory((from DividendHistoryItem item in dividendHistory where item.DivExDate.Year==priorYear&&null!=item.CashAmount select item).ToList());
DividendHistory currentYearsDividendPayments=new DividendHistory((from DividendHistoryItem item in dividendHistory where item.DivExDate.Year==currentYear&&null!=item.CashAmount select item).ToList()); DividendHistory currentYearsDividendPayments=new DividendHistory((from DividendHistoryItem item in dividendHistory where item.DivExDate.Year==currentYear&&null!=item.CashAmount select item).ToList());

130
MarketDataServer/Controllers/GainLossController.cs
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@@ -12,6 +12,15 @@ using Microsoft.AspNetCore.Mvc;
namespace MarketDataServer.Controllers namespace MarketDataServer.Controllers
{ {
/// <summary>
/// GainLossController :
/// GetGainLossByDate(String token,DateTime selectedDate)
/// GetGainLossByDateAndAccount(String token,DateTime selectedDate,String account)
/// GetGainLossWithDetailByDate(String token,DateTime selectedDate)
/// GetGainLossWithDetailByDateAndAccount(String token, DateTime selectedDate, String account)
/// GetCompoundGainLoss(String token, int selectedDays, bool includeDividends)
/// </summary>
[ApiController] [ApiController]
[Route("api/[controller]/[action]")] [Route("api/[controller]/[action]")]
public class GainLossController : ControllerBase public class GainLossController : ControllerBase
@@ -158,7 +167,6 @@ namespace MarketDataServer.Controllers
gainLossSummaryItemDetail.AnnualDividend = exposure * weightAdjustedDividendYield; gainLossSummaryItemDetail.AnnualDividend = exposure * weightAdjustedDividendYield;
} }
Prices prices = LocalPriceCache.GetInstance().GetPrices(gainLossSummaryItem.Symbol, currentDate, 3); // cache should be refreshed after GainLossSummaryItemCollection Prices prices = LocalPriceCache.GetInstance().GetPrices(gainLossSummaryItem.Symbol, currentDate, 3); // cache should be refreshed after GainLossSummaryItemCollection
// Prices prices = PricingDA.GetPrices(gainLossSummaryItem.Symbol, currentDate, 2);
Price p1 = prices.Count>0?prices[0]:default; Price p1 = prices.Count>0?prices[0]:default;
Price p2 = prices.Count>1?prices[1]:default; Price p2 = prices.Count>1?prices[1]:default;
PortfolioTrades symbolTrades = new PortfolioTrades(portfolioTrades.Where(x=>x.Symbol.Equals(gainLossSummaryItem.Symbol)).ToList()); PortfolioTrades symbolTrades = new PortfolioTrades(portfolioTrades.Where(x=>x.Symbol.Equals(gainLossSummaryItem.Symbol)).ToList());
@@ -218,105 +226,6 @@ namespace MarketDataServer.Controllers
} }
} }
// [HttpGet]
// public IEnumerable<GainLossSummaryItemDetail> GetGainLossWithDetailByDate(String token,DateTime selectedDate)
// {
// Profiler profiler = new Profiler();
// try
// {
// MDTrace.WriteLine(LogLevel.DEBUG,$"Start");
// if (!Authorizations.GetInstance().IsAuthorized(token)) return null;
// LocalPriceCache.GetInstance().Refresh();
// PortfolioTrades portfolioTrades = PortfolioDA.GetTrades();
// PortfolioTrades tradesOnOrBefore = portfolioTrades.GetTradesOnOrBefore(selectedDate);
// GainLossSummaryItemCollection gainLossSummaryItems = new GainLossSummaryItemCollection(tradesOnOrBefore, selectedDate);
// List<GainLossSummaryItemDetail> gainLossSummaryItemDetailCollection = new List<GainLossSummaryItemDetail>();
// foreach (GainLossSummaryItem gainLossSummaryItem in gainLossSummaryItems)
// {
// GainLossSummaryItemDetail gainLossSummaryItemDetail = new GainLossSummaryItemDetail(gainLossSummaryItem);
// portfolioTrades = PortfolioDA.GetOpenTradesSymbol(gainLossSummaryItem.Symbol);
// double weightAdjustedDividendYield = portfolioTrades.GetWeightAdjustedDividendYield();
// DateTime currentDate = PricingDA.GetLatestDate(gainLossSummaryItem.Symbol);
// if (null == portfolioTrades || 0 == portfolioTrades.Count) continue;
// double shares = (from PortfolioTrade portfolioTrade in portfolioTrades select portfolioTrade.Shares).Sum();
// double exposure = portfolioTrades.Sum(x => x.Exposure());
// if(null==gainLossGenerator) gainLossGenerator=new ActiveGainLossGenerator();
// GainLossCollection gainLoss=gainLossGenerator.GenerateGainLoss(portfolioTrades); // gainLoss contains the gain/loss from active positions. Never includes dividends .. just positions
// GainLossItem gainLossItem = gainLoss.OrderByDescending(x => x.GainLossPercent).FirstOrDefault();
// gainLossSummaryItemDetail.Lots = portfolioTrades.Count;
// gainLossSummaryItemDetail.Shares = shares;
// gainLossSummaryItemDetail.Exposure = exposure;
// if (!double.IsNaN(weightAdjustedDividendYield))
// {
// gainLossSummaryItemDetail.DividendYield = weightAdjustedDividendYield;
// gainLossSummaryItemDetail.AnnualDividend = exposure * weightAdjustedDividendYield;
// }
// ParityElement parityElement = ParityGenerator.GenerateBreakEven(gainLossSummaryItem.Symbol);
// gainLossSummaryItemDetail.ParityElement = parityElement;
// if (null != parityElement)
// {
// gainLossSummaryItemDetail.AllTimeGainLossPercent = gainLossItem.GainLossPercent;
// gainLossSummaryItemDetail.PercentDistanceFromAllTimeGainLossPercent = parityElement.ParityOffsetPercent - (gainLossItem.GainLossPercent / 100);
// }
// DateGenerator dateGenerator = new DateGenerator();
// DateTime priorDate = dateGenerator.FindPrevBusinessDay(currentDate);
// Price p1 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, currentDate);
// Price p2 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, priorDate);
// if (null == p2 && null != p1)
// {
// priorDate = dateGenerator.FindPrevBusinessDay(priorDate);
// p2 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, priorDate);
// }
// if (null != p1 && null != p2)
// {
// double change = (p1.Close - p2.Close) / p2.Close;
// gainLossSummaryItemDetail.LatestPrice = p1;
// gainLossSummaryItemDetail.PriceChange = change;
// }
// gainLossSummaryItemDetailCollection.Add(gainLossSummaryItemDetail);
// }
// // **** Add an aggregate entry
// GainLossSummaryItemDetail gainLossSummaryTotals = new GainLossSummaryItemDetail();
// gainLossSummaryTotals.Symbol = "";
// gainLossSummaryTotals.CompanyName = "Account Summary";
// if (null != gainLossSummaryItemDetailCollection && gainLossSummaryItemDetailCollection.Count > 0)
// {
// gainLossSummaryTotals.Date = gainLossSummaryItemDetailCollection.Min(x => x.Date);
// gainLossSummaryTotals.Exposure = gainLossSummaryItemDetailCollection.Sum(x => x.Exposure);
// gainLossSummaryTotals.Change = gainLossSummaryItemDetailCollection.Sum(x => x.Change);
// gainLossSummaryTotals.CurrentGainLoss = gainLossSummaryItemDetailCollection.Sum(x => x.CurrentGainLoss);
// gainLossSummaryTotals.PreviousGainLoss = gainLossSummaryItemDetailCollection.Sum(x => x.PreviousGainLoss);
// gainLossSummaryTotals.ChangePercent = ((gainLossSummaryTotals.CurrentGainLoss - gainLossSummaryTotals.PreviousGainLoss) / Math.Abs(gainLossSummaryTotals.PreviousGainLoss)) * 100.00;
// gainLossSummaryTotals.LatestPrice = new Price();
// gainLossSummaryTotals.PriceChange = 0;
// }
// else
// {
// gainLossSummaryTotals.Date = selectedDate;
// gainLossSummaryTotals.Change = 0.00;
// gainLossSummaryTotals.CurrentGainLoss = 0.00;
// gainLossSummaryTotals.PreviousGainLoss = 0.00;
// gainLossSummaryTotals.ChangePercent = 0.00;
// gainLossSummaryTotals.LatestPrice = new Price();
// gainLossSummaryTotals.PriceChange = 0;
// }
// gainLossSummaryItemDetailCollection.Insert(0, gainLossSummaryTotals);
// // ****
// return gainLossSummaryItemDetailCollection;
// }
// catch(Exception exception)
// {
// MDTrace.WriteLine(LogLevel.DEBUG,$"Exception:{exception.ToString()}");
// return null;
// }
// finally
// {
// MDTrace.WriteLine(LogLevel.DEBUG,$"Done, total took {profiler.End()} (ms)");
// }
// }
[HttpGet] [HttpGet]
public IEnumerable<GainLossSummaryItemDetail> GetGainLossWithDetailByDateAndAccount(String token, DateTime selectedDate, String account) public IEnumerable<GainLossSummaryItemDetail> GetGainLossWithDetailByDateAndAccount(String token, DateTime selectedDate, String account)
{ {
@@ -330,6 +239,8 @@ namespace MarketDataServer.Controllers
portfolioTrades = new PortfolioTrades(portfolioTrades.Where(x => x.Account.Equals(account)).ToList()); portfolioTrades = new PortfolioTrades(portfolioTrades.Where(x => x.Account.Equals(account)).ToList());
PortfolioTrades tradesOnOrBefore = portfolioTrades.GetTradesOnOrBefore(selectedDate); PortfolioTrades tradesOnOrBefore = portfolioTrades.GetTradesOnOrBefore(selectedDate);
GainLossSummaryItemCollection gainLossSummaryItems = new GainLossSummaryItemCollection(tradesOnOrBefore, selectedDate); GainLossSummaryItemCollection gainLossSummaryItems = new GainLossSummaryItemCollection(tradesOnOrBefore, selectedDate);
List<String> symbols = gainLossSummaryItems.Select(x => x.Symbol).ToList();
Dictionary<String,DateTime> latestDates = PricingDA.GetLatestDates(symbols);
List<GainLossSummaryItemDetail> gainLossSummaryItemDetailCollection=new List<GainLossSummaryItemDetail>(); List<GainLossSummaryItemDetail> gainLossSummaryItemDetailCollection=new List<GainLossSummaryItemDetail>();
foreach(GainLossSummaryItem gainLossSummaryItem in gainLossSummaryItems) foreach(GainLossSummaryItem gainLossSummaryItem in gainLossSummaryItems)
@@ -337,7 +248,7 @@ namespace MarketDataServer.Controllers
GainLossSummaryItemDetail gainLossSummaryItemDetail = new GainLossSummaryItemDetail(gainLossSummaryItem); GainLossSummaryItemDetail gainLossSummaryItemDetail = new GainLossSummaryItemDetail(gainLossSummaryItem);
portfolioTrades = PortfolioDA.GetOpenTradesSymbol(gainLossSummaryItem.Symbol); portfolioTrades = PortfolioDA.GetOpenTradesSymbol(gainLossSummaryItem.Symbol);
double weightAdjustedDividendYield = portfolioTrades.GetWeightAdjustedDividendYield(); double weightAdjustedDividendYield = portfolioTrades.GetWeightAdjustedDividendYield();
DateTime currentDate = PricingDA.GetLatestDate(gainLossSummaryItem.Symbol); DateTime currentDate = latestDates[gainLossSummaryItem.Symbol];
if(null==portfolioTrades||0==portfolioTrades.Count)continue; if(null==portfolioTrades||0==portfolioTrades.Count)continue;
double shares = (from PortfolioTrade portfolioTrade in portfolioTrades select portfolioTrade.Shares).Sum(); double shares = (from PortfolioTrade portfolioTrade in portfolioTrades select portfolioTrade.Shares).Sum();
double exposure = portfolioTrades.Sum(x => x.Exposure()); double exposure = portfolioTrades.Sum(x => x.Exposure());
@@ -352,23 +263,18 @@ namespace MarketDataServer.Controllers
gainLossSummaryItemDetail.DividendYield=weightAdjustedDividendYield; gainLossSummaryItemDetail.DividendYield=weightAdjustedDividendYield;
gainLossSummaryItemDetail.AnnualDividend=exposure * weightAdjustedDividendYield; gainLossSummaryItemDetail.AnnualDividend=exposure * weightAdjustedDividendYield;
} }
ParityElement parityElement = ParityGenerator.GenerateBreakEven(gainLossSummaryItem.Symbol); Prices prices = LocalPriceCache.GetInstance().GetPrices(gainLossSummaryItem.Symbol, currentDate, 3); // cache should be refreshed after GainLossSummaryItemCollection
Price p1 = prices.Count>0?prices[0]:default;
Price p2 = prices.Count>1?prices[1]:default;
PortfolioTrades symbolTrades = new PortfolioTrades(portfolioTrades.Where(x=>x.Symbol.Equals(gainLossSummaryItem.Symbol)).ToList());
ParityElement parityElement = ParityGenerator.GenerateBreakEven(symbolTrades, p1);
gainLossSummaryItemDetail.ParityElement=parityElement; gainLossSummaryItemDetail.ParityElement=parityElement;
if (null != parityElement) if (null != parityElement)
{ {
gainLossSummaryItemDetail.AllTimeGainLossPercent=gainLossItem.GainLossPercent; gainLossSummaryItemDetail.AllTimeGainLossPercent=gainLossItem.GainLossPercent;
gainLossSummaryItemDetail.PercentDistanceFromAllTimeGainLossPercent=parityElement.ParityOffsetPercent - (gainLossItem.GainLossPercent / 100); gainLossSummaryItemDetail.PercentDistanceFromAllTimeGainLossPercent=parityElement.ParityOffsetPercent - (gainLossItem.GainLossPercent / 100);
} }
DateGenerator dateGenerator = new DateGenerator(); if(null!=p1 && null!=p2)
DateTime priorDate = dateGenerator.FindPrevBusinessDay(currentDate);
Price p1 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, currentDate);
Price p2 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, priorDate);
if (null == p2 && null != p1)
{
priorDate = dateGenerator.FindPrevBusinessDay(priorDate);
p2 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, priorDate);
}
if(null!=p1&&null!=p2)
{ {
double change = (p1.Close - p2.Close) / p2.Close; double change = (p1.Close - p2.Close) / p2.Close;
gainLossSummaryItemDetail.LatestPrice=p1; gainLossSummaryItemDetail.LatestPrice=p1;

2
MarketDataServer/MarketDataServer.sln
View File

@@ -4,6 +4,8 @@ VisualStudioVersion = 17.5.2.0
MinimumVisualStudioVersion = 10.0.40219.1 MinimumVisualStudioVersion = 10.0.40219.1
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "MarketDataServer", "MarketDataServer.csproj", "{95632102-7AD8-9B9D-1583-0C986A476083}" Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "MarketDataServer", "MarketDataServer.csproj", "{95632102-7AD8-9B9D-1583-0C986A476083}"
EndProject EndProject
Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "MarketDataLib", "..\MarketData\MarketDataLib\MarketDataLib.csproj", "{40159117-A4E2-F689-5B94-20FB81B71B98}"
EndProject
Global Global
GlobalSection(SolutionConfigurationPlatforms) = preSolution GlobalSection(SolutionConfigurationPlatforms) = preSolution
Debug|Any CPU = Debug|Any CPU Debug|Any CPU = Debug|Any CPU