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Optimizations for CMTrend

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This commit is contained in:
Sean
2025-04-21 18:03:07 -04:00
parent 53e84e765c
commit 14bd7651ca
9 changed files with 302 additions and 34 deletions
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48
MarketData/MarketDataLib/DataAccess/CompanyProfileDA.cs
View File

@@ -69,6 +69,54 @@ namespace MarketData.DataAccess
}
}
public static Dictionary<String,CompanyProfile> GetCompanyProfiles(List<String> symbols)
{
Dictionary<String,CompanyProfile> companyProfiles=new Dictionary<String,CompanyProfile>();
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select sm.symbol,sm.sector,sm.industry,sm.security_type,sm.company,cp.description,cp.pricing_source,cp.can_roll_previous,cp.freeze_pricing from securitymaster sm left outer join companyprofile cp on sm.symbol=cp.symbol").Append(" ");
sb.Append("where sm.symbol in ").Append(SqlUtils.CreateInClause(symbols));
strQuery = sb.ToString();
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while(sqlDataReader.Read())
{
CompanyProfile companyProfile = new CompanyProfile();
companyProfile.Symbol=sqlDataReader.GetString(0);
if (!sqlDataReader.IsDBNull(1)) companyProfile.Sector = sqlDataReader.GetString(1);
if (!sqlDataReader.IsDBNull(2)) companyProfile.Industry = sqlDataReader.GetString(2);
if (!sqlDataReader.IsDBNull(3)) companyProfile.SecurityType = sqlDataReader.GetString(3);
if (!sqlDataReader.IsDBNull(4)) companyProfile.CompanyName = sqlDataReader.GetString(4);
if (!sqlDataReader.IsDBNull(5)) companyProfile.Description = sqlDataReader.GetString(5);
if (!sqlDataReader.IsDBNull(6)) companyProfile.PricingSource = sqlDataReader.GetString(6).ToUpper();
if (!sqlDataReader.IsDBNull(7)) companyProfile.CanRollPrevious = sqlDataReader.GetBoolean(7);
if (!sqlDataReader.IsDBNull(8)) companyProfile.FreezePricing = sqlDataReader.GetBoolean(8);
if(!companyProfiles.ContainsKey(companyProfile.Symbol))companyProfiles.Add(companyProfile.Symbol, companyProfile);
}
return companyProfiles;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return null;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();}
if (null != sqlConnection) sqlConnection.Close();
}
}
public static CompanyProfiles GetCompanyProfiles()
{
CompanyProfiles companyProfiles=new CompanyProfiles();

87
MarketData/MarketDataLib/DataAccess/FundamentalDA.cs
View File

@@ -167,20 +167,31 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
public static TimeSeriesCollection GetEPS(String symbol,DateTime? maxDate=null)
/// <summary>
/// Retrieves a collection of timeseries for the given symbols with each symbol having the specified max asof and no more than maxSeries elements in the series
/// </summary>
/// <param name="symbols"></param>
/// <param name="maxDate"></param>
/// <param name="maxSeries"></param>
/// <returns></returns>
public static Dictionary<String,TimeSeriesCollection> GetEPS(List<String> symbols, DateTime maxDate,int maxSeries)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand = null;
TimeSeriesCollection timeSeriesCollection = new TimeSeriesCollection();
Dictionary<String,TimeSeriesCollection> timeSeriesCollection = new Dictionary<String,TimeSeriesCollection>();
String strQuery = null;
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
if(null==maxDate)sb.Append("select symbol,asof,eps from fundamentals where symbol='").Append(symbol).Append("' order by asof desc");
else sb.Append("select symbol,asof,eps from fundamentals where symbol='").Append(symbol).Append("'").Append(" and asof<=").Append(SqlUtils.AddQuotes(SqlUtils.ToSqlDateTime(maxDate.Value))).Append(" order by asof desc");
sb.Append("SELECT B.symbol, B.asof, B.eps FROM ");
sb.Append("(SELECT symbol, asof, eps, ROW_NUMBER() OVER(PARTITION BY symbol ORDER BY asof desc) AS rownum FROM fundamentals ");
sb.Append($"WHERE symbol IN {SqlUtils.CreateInClause(symbols)} AND asof<={SqlUtils.ToSqlDate(maxDate,true)} )B ");
sb.Append($"WHERE B.rownum<={maxSeries}");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
@@ -195,7 +206,11 @@ namespace MarketData.DataAccess
timeSeriesElement.Type = TimeSeriesElement.ElementType.OTHER;
timeSeriesElement.OtherType = "EPS";
if (double.IsNaN(timeSeriesElement.Value)) continue;
timeSeriesCollection.Add(timeSeriesElement);
if(!timeSeriesCollection.ContainsKey(timeSeriesElement.Symbol))
{
timeSeriesCollection.Add(timeSeriesElement.Symbol,new TimeSeriesCollection());
}
timeSeriesCollection[timeSeriesElement.Symbol].Add(timeSeriesElement);
}
return timeSeriesCollection;
}
@@ -210,7 +225,8 @@ namespace MarketData.DataAccess
if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();}
if (null != sqlConnection) sqlConnection.Close();
}
}
}
public static Fundamental GetFundamental(String symbol)
{
MySqlConnection sqlConnection = null;
@@ -384,6 +400,65 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
/// <summary>
/// Retrieve latest MarketCap, PE, EBITDA, RevenuePerShare for all symbols with aasof being no more recent than the provided date
/// Given a tradeDate of 04/18/2025 this method might return a collection similar to below. The model returned is a subset of the fundamental
/// 07/15/2018 ^FTSE
/// 03/13/2019 ^GSPC
/// 04/17/2025 AA
/// </summary>
/// <param name="tradeDate">The as of date</param>
/// <returns></returns>
public static FundamentalsV2 GetFundamentalsMaxDateV2(DateTime tradeDate)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
FundamentalsV2 fundamentals = new FundamentalsV2();
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("SELECT A.asof,A.symbol, A.market_cap,A.ebitda,A.pe,A.revenue_per_share FROM fundamentals A JOIN ");
sb.Append("(SELECT MAX(asof) asof,symbol FROM fundamentals WHERE asof<=").Append("'");
sb.Append(Utility.DateTimeToStringYYYYHMMHDD(tradeDate.Date));
sb.Append("'");
sb.Append(" GROUP BY symbol ORDER BY symbol ASC)B ");
sb.Append(" ON A.asof=B.asof AND A.symbol=B.symbol ");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while(sqlDataReader.Read())
{
FundamentalV2 fundamental = new FundamentalV2();
fundamental.AsOf = sqlDataReader.GetDateTime(0);
fundamental.Symbol = sqlDataReader.GetString(1);
if(!sqlDataReader.IsDBNull(2)) fundamental.MarketCap = sqlDataReader.GetDouble(2);
if(!sqlDataReader.IsDBNull(3)) fundamental.EBITDA = sqlDataReader.GetDouble(3);
if(!sqlDataReader.IsDBNull(4)) fundamental.PE = sqlDataReader.GetDouble(4);
if(!sqlDataReader.IsDBNull(5)) fundamental.RevenuePerShare = sqlDataReader.GetDouble(5);
if(!fundamentals.ContainsKey(fundamental.Symbol))fundamentals.Add(fundamental.Symbol,fundamental);
}
return fundamentals;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return null;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();}
if (null != sqlConnection) sqlConnection.Close();
}
}
public static Fundamental GetFundamentalMaxDate(String symbol, DateTime asof)
{
MySqlConnection sqlConnection = null;

36
MarketData/MarketDataLib/DataAccess/IncomeStatementDA.cs
View File

@@ -44,6 +44,7 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
public static List<DateTime> GetIncomeStatementDates(String symbol,IncomeStatement.PeriodType periodType)
{
List<DateTime> incomeStatementDates = new List<DateTime>();
@@ -82,6 +83,7 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
public static DateTime? GetLatestIncomeStatementDate(String symbol,IncomeStatement.PeriodType periodType)
{
MySqlConnection sqlConnection = null;
@@ -120,6 +122,7 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
public static IncomeStatement GetIncomeStatement(String symbol,IncomeStatement.PeriodType periodType)
{
MySqlConnection sqlConnection = null;
@@ -172,6 +175,7 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
public static TimeSeriesCollection GetRevenue(String symbol,IncomeStatement.PeriodType period)
{
Profiler profiler = new Profiler();
@@ -215,6 +219,7 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
// Profit Margin is calculated as a percentage.
public static TimeSeriesCollection GetProfitMargin(String symbol,IncomeStatement.PeriodType period=IncomeStatement.PeriodType.Annual)
{
@@ -263,10 +268,10 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
// Profit Margin is calculated as a percentage.
public static TimeSeriesCollection GetProfitMarginMaxAsOf(String symbol,DateTime maxDate, IncomeStatement.PeriodType period = IncomeStatement.PeriodType.Annual)
public static Dictionary<String,TimeSeriesCollection> GetProfitMarginMaxAsOf(List<String> symbols, DateTime maxDate,int maxSeries,IncomeStatement.PeriodType period = IncomeStatement.PeriodType.Annual)
{
TimeSeriesCollection timeSeriesCollection = new TimeSeriesCollection();
Dictionary<String,TimeSeriesCollection> timeSeriesCollection = new Dictionary<String,TimeSeriesCollection>();
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand = null;
@@ -276,9 +281,11 @@ namespace MarketData.DataAccess
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol,asof,total_revenue,gross_profit from incomestatement where symbol='").Append(symbol).Append("'").Append(" ");
sb.Append(" and asof<='").Append(SqlUtils.SqlDate(maxDate)).Append("' ");
sb.Append(" and period=").Append(period.Equals(IncomeStatement.PeriodType.Annual) ? 0 : 1).Append(" order by asof desc;");
sb.Append("SELECT B.symbol, B.asof, B.total_revenue, B.gross_profit FROM ");
sb.Append("(SELECT symbol, asof, total_revenue, gross_profit, period , ROW_NUMBER() OVER(PARTITION BY symbol ORDER BY asof desc) AS rownum FROM incomestatement ");
sb.Append($" WHERE symbol IN {SqlUtils.CreateInClause(symbols)} AND asof<={SqlUtils.ToSqlDate(maxDate.Date,true)}");
sb.Append($" AND period={(period.Equals(IncomeStatement.PeriodType.Annual) ? 0 : 1)} )B ");
sb.Append($" WHERE B.rownum<={maxSeries} ");
strQuery = sb.ToString();
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
@@ -288,15 +295,19 @@ namespace MarketData.DataAccess
TimeSeriesElement timeSeriesElement = new TimeSeriesElement();
timeSeriesElement.Symbol = sqlDataReader.GetString(0);
timeSeriesElement.AsOf = sqlDataReader.GetDateTime(1);
timeSeriesElement.Type = period.Equals(IncomeStatement.PeriodType.Quarterly) ? TimeSeriesElement.ElementType.QuarterlyRevenue : TimeSeriesElement.ElementType.Revenue;
timeSeriesElement.Type = TimeSeriesElement.ElementType.OTHER;
timeSeriesElement.OtherType = "Profit Margin %";
if (sqlDataReader.IsDBNull(2)) continue;
double total_revenue = sqlDataReader.GetDouble(2);
if (sqlDataReader.IsDBNull(3)) continue;
double gross_profit = sqlDataReader.GetDouble(3);
if (0 == gross_profit) continue;
timeSeriesElement.Value = (gross_profit / total_revenue) * 100.00;
timeSeriesCollection.Add(timeSeriesElement);
if(!timeSeriesCollection.ContainsKey(timeSeriesElement.Symbol))
{
timeSeriesCollection.Add(timeSeriesElement.Symbol, new TimeSeriesCollection());
}
timeSeriesCollection[timeSeriesElement.Symbol].Add(timeSeriesElement);
}
return timeSeriesCollection;
}
@@ -311,7 +322,8 @@ namespace MarketData.DataAccess
if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();}
if (null != sqlConnection) sqlConnection.Close();
}
}
}
public static IncomeStatement GetIncomeStatement(String symbol,DateTime asof,IncomeStatement.PeriodType periodType)
{
MySqlConnection sqlConnection = null;
@@ -362,6 +374,7 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
public static IncomeStatement GetIncomeStatementMaxAsOf(String symbol,DateTime asof,IncomeStatement.PeriodType periodType)
{
MySqlConnection sqlConnection = null;
@@ -413,6 +426,7 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
public static bool InsertIncomeStatements(List<IncomeStatement> incomeStatements)
{
MySqlConnection sqlConnection = null;
@@ -479,6 +493,7 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
private static bool DeleteIncomeStatements(List<IncomeStatement> incomeStatements, MySqlConnection sqlConnection, MySqlTransaction sqlTransaction)
{
for (int index = 0; index < incomeStatements.Count; index++)
@@ -487,6 +502,7 @@ namespace MarketData.DataAccess
}
return true;
}
private static bool DeleteIncomeStatement(IncomeStatement incomeStatement, MySqlConnection sqlConnection, MySqlTransaction sqlTransaction)
{
StringBuilder sb = new StringBuilder();

27
MarketData/MarketDataLib/Generator/CMTrend/CMTCandidateGenerator.cs
View File

@@ -16,17 +16,26 @@ namespace MarketData.Generator.CMTrend
public CMTCandidateGenerator()
{
}
// *******************************************************************************************************************************************************************************
// ******************************************************************* G E N E R A T E C A N D I D A T E - M A R C M I N E R V I N I ****************************************
// *******************************************************************************************************************************************************************************
public static CMTCandidate GenerateCandidate(String symbol,DateTime tradeDate,CMTParams cmtParams,List<String> symbolsHeld=null)
public static CMTCandidate GenerateCandidate(
String symbol,
DateTime tradeDate,
CMTParams cmtParams,
FundamentalV2 fundamental,
CompanyProfile companyProfile,
List<DateTime> historicalDates,
TimeSeriesCollection epsTimeSeries,
TimeSeriesCollection profitMarginTimeSeries,
List<String> symbolsHeld=null)
{
CMTCandidate cmtCandidate=new CMTCandidate();
try
{
// Check MarketCap
Fundamental fundamental=FundamentalDA.GetFundamentalMaxDate(symbol,tradeDate);
if(null==fundamental)
{
cmtCandidate.Violation=true;
@@ -54,7 +63,6 @@ namespace MarketData.Generator.CMTrend
return cmtCandidate;
}
// Equity check
CompanyProfile companyProfile=CompanyProfileDA.GetCompanyProfile(symbol);
if(null==companyProfile)
{
cmtCandidate.Violation=true;
@@ -93,7 +101,7 @@ namespace MarketData.Generator.CMTrend
cmtCandidate.Reason=String.Format("Insufficient pricing history, {0} days required.",PRICING_DAYS);
return cmtCandidate;
}
// Current Price Check
// Current Price Check. The current price must be equal to the trade date
Price currentPrice=prices[0];
if(currentPrice.Date.Date!=tradeDate.Date)
{
@@ -205,10 +213,7 @@ namespace MarketData.Generator.CMTrend
// generate a 14 day standard RSI with 30 days of pricing data
Prices rsiPrices=GBPriceCache.GetInstance().GetPrices(symbol,currentPrice.Date,30);
RSICollection rsiCollection=RSIGenerator.GenerateRSI(rsiPrices);
double rsi=rsiCollection[rsiCollection.Count-1].RSI;
// RSICollection rsiCollection=RSIGenerator.GenerateRSI(symbol,currentPrice.Date,30);
// double rsi=rsiCollection[rsiCollection.Count-1].RSI;
double rsi=rsiCollection[rsiCollection.Count-1].RSI;
if(null==rsiCollection||0==rsiCollection.Count||rsi<cmtParams.MinRSI)
{
cmtCandidate.Violation=true;
@@ -220,8 +225,6 @@ namespace MarketData.Generator.CMTrend
// Trend #3 check : check required days of increasing 200 day moving averages
DateGenerator dateGenerator=new DateGenerator();
List<double> dma200List=new List<double>();
DateTime historicalDate=dateGenerator.GenerateHistoricalDate(currentPrice.Date,cmtParams.DMA200Horizon+10);
List<DateTime> historicalDates=PricingDA.GetPricingDatesBetween(historicalDate,currentPrice.Date);
historicalDates=historicalDates.Take(cmtParams.DMA200Horizon).ToList();
if(historicalDates.Count<cmtParams.DMA200Horizon)
{
@@ -324,7 +327,6 @@ namespace MarketData.Generator.CMTrend
double epsSlope=double.NaN;
if(companyProfile.IsEquity&&cmtParams.EPSCheck)
{
TimeSeriesCollection epsTimeSeries=FundamentalDA.GetEPS(symbol,currentPrice.Date);
if(null==epsTimeSeries||epsTimeSeries.Count<3)
{
cmtCandidate.Violation=true;
@@ -350,7 +352,6 @@ namespace MarketData.Generator.CMTrend
// Trend#10 - My check - Increasing profit margin
if(companyProfile.IsEquity&&cmtParams.ProfitMarginCheck)
{
TimeSeriesCollection profitMarginTimeSeries=IncomeStatementDA.GetProfitMarginMaxAsOf(symbol,currentPrice.Date,IncomeStatement.PeriodType.Quarterly);
if(null==profitMarginTimeSeries||profitMarginTimeSeries.Count<3)
{
cmtCandidate.Violation=true;
@@ -362,7 +363,7 @@ namespace MarketData.Generator.CMTrend
minDate=profitMarginTimeSeries.Min(x => x.AsOf);
maxDate=profitMarginTimeSeries.Max(x => x.AsOf);
values=profitMarginTimeSeries.ToFloat();
values=Numerics.Reverse(ref values);
values=Numerics.Reverse(ref values); // because most recent date is in the lowest valued index bucket.
profitMarginSlope=Numerics.Slope(values);
if(profitMarginSlope<=0)
{

35
MarketData/MarketDataLib/Generator/CMTrend/CMTTrendGenerator.cs
View File

@@ -21,13 +21,46 @@ namespace MarketData.Generator.CMTrend
try
{
List<String> symbols=PricingDA.GetSymbols();
// Filter out symbols where we do not have a price on trade date
Dictionary<String,DateTime> latestDates = PricingDA.GetLatestDates(symbols);
symbols=symbols.Where(x => latestDates.ContainsKey(x) && latestDates[x].Date>=tradeDate.Date).ToList();
// Prefetch a subset of fundamentals where each fundamental.asof is no greater than tradeDate
FundamentalsV2 fundamentals = FundamentalDA.GetFundamentalsMaxDateV2(tradeDate);
// Prefetch the Company Profiles
Dictionary<String,CompanyProfile> companyProfiles = CompanyProfileDA.GetCompanyProfiles(symbols);
// Prefetch the pricing dates requires for 200 day moving average.
DateGenerator dateGenerator = new DateGenerator();
DateTime historicalDate=dateGenerator.GenerateHistoricalDate(tradeDate,cmtParams.DMA200Horizon+10);
List<DateTime> historicalDates=PricingDA.GetPricingDatesBetween(historicalDate,tradeDate);
// Prefetch the EPS time series
Dictionary<String,TimeSeriesCollection> epsTimeSeriesCollectionDictionary = FundamentalDA.GetEPS(symbols,tradeDate,3);
// Prefetch the profit margin time series
Dictionary<String,TimeSeriesCollection> profitMarginTimeSeriesCollectionDictionary = IncomeStatementDA.GetProfitMarginMaxAsOf(symbols,tradeDate,3,IncomeStatement.PeriodType.Quarterly);
for(int index=0;index<symbols.Count;index++)
{
String symbol=symbols[index];
if(0==(index%1000)) Console.WriteLine("Processing item {0} of {1}",index+1,symbols.Count);
CMTCandidate cmtCandidate=CMTCandidateGenerator.GenerateCandidate(symbol,tradeDate,cmtParams,symbolsHeld);
FundamentalV2 fundamental = default;
if(fundamentals.ContainsKey(symbol))fundamental=fundamentals[symbol];
CompanyProfile companyProfile = default;
if(companyProfiles.ContainsKey(symbol))companyProfile = companyProfiles[symbol];
TimeSeriesCollection epsTimeSeriesCollection = default;
if(epsTimeSeriesCollectionDictionary.ContainsKey(symbol))epsTimeSeriesCollection=epsTimeSeriesCollectionDictionary[symbol];
TimeSeriesCollection profitMarginTimeSeriesCollection = default;
if(profitMarginTimeSeriesCollectionDictionary.ContainsKey(symbol))profitMarginTimeSeriesCollection=profitMarginTimeSeriesCollectionDictionary[symbol];
CMTCandidate cmtCandidate=CMTCandidateGenerator.GenerateCandidate(symbol,tradeDate,cmtParams,fundamental,companyProfile,historicalDates,epsTimeSeriesCollection,profitMarginTimeSeriesCollection,symbolsHeld);
if(null==cmtCandidate) continue;
if(cmtCandidate.Violation) cmtGeneratorResult.CMTCandidatesWithViolation.Add(cmtCandidate);
else cmtGeneratorResult.CMTCandidates.Add(cmtCandidate);

36
MarketData/MarketDataLib/Generator/CMTrend/CMTTrendModel..cs
View File

@@ -799,11 +799,45 @@ namespace MarketData.Generator.CMTrend
List<CMTCandidate> violations=new List<CMTCandidate>();
List<CMTCandidate> candidates=new List<CMTCandidate>();
// Filter out symbols where we do not have a price on trade date
Dictionary<String,DateTime> latestDates = PricingDA.GetLatestDates(symbols);
symbols=symbols.Where(x => latestDates.ContainsKey(x) && latestDates[x].Date>=analysisDate.Value.Date).ToList();
// Prefetch a subset of fundamentals where each fundamental.asof is no greater than tradeDate
FundamentalsV2 fundamentals = FundamentalDA.GetFundamentalsMaxDateV2(analysisDate.Value);
// Prefetch the company profiles
Dictionary<String,CompanyProfile> companyProfiles = CompanyProfileDA.GetCompanyProfiles(symbols);
// Prefetch the pricing dates requires for 200 day moving average.
DateGenerator dateGenerator = new DateGenerator();
DateTime historicalDate=dateGenerator.GenerateHistoricalDate(analysisDate.Value,cmtParams.DMA200Horizon+10);
List<DateTime> historicalDates=PricingDA.GetPricingDatesBetween(historicalDate,analysisDate.Value);
// Prefetch the EPS time series
Dictionary<String,TimeSeriesCollection> epsTimeSeriesCollectionDictionary = FundamentalDA.GetEPS(symbols,analysisDate.Value,3);
// Prefetch the profit margin time series
Dictionary<String,TimeSeriesCollection> profitMarginTimeSeriesCollectionDictionary = IncomeStatementDA.GetProfitMarginMaxAsOf(symbols,analysisDate.Value,3,IncomeStatement.PeriodType.Quarterly);
for(int index=0;index<symbols.Count;index++)
{
String symbol=symbols[index];
if(0==(index%500)) Console.WriteLine("GenerateCMTCandidates processing item {0} of {1}",index+1,symbols.Count);
CMTCandidate cmtCandidate=CMTCandidateGenerator.GenerateCandidate(symbol,analysisDate.Value,cmtParams);
FundamentalV2 fundamental = default;
if(fundamentals.ContainsKey(symbol))fundamental=fundamentals[symbol];
CompanyProfile companyProfile = default;
if(companyProfiles.ContainsKey(symbol))companyProfile = companyProfiles[symbol];
TimeSeriesCollection epsTimeSeriesCollection = default;
if(epsTimeSeriesCollectionDictionary.ContainsKey(symbol))epsTimeSeriesCollection=epsTimeSeriesCollectionDictionary[symbol];
TimeSeriesCollection profitMarginTimeSeriesCollection = default;
if(profitMarginTimeSeriesCollectionDictionary.ContainsKey(symbol))profitMarginTimeSeriesCollection=profitMarginTimeSeriesCollectionDictionary[symbol];
CMTCandidate cmtCandidate=CMTCandidateGenerator.GenerateCandidate(symbol,analysisDate.Value,cmtParams,fundamental,companyProfile,historicalDates,epsTimeSeriesCollection,profitMarginTimeSeriesCollection);
if(cmtCandidate.Violation) violations.Add(cmtCandidate);
else candidates.Add(cmtCandidate);
}

58
MarketData/MarketDataLib/MarketDataModel/FundamentalV2.cs Normal file
View File

@@ -0,0 +1,58 @@
using System;
using System.Collections.Generic;
using System.Net.Http.Headers;
using System.Text;
using MarketData.Utils;
namespace MarketData.MarketDataModel
{
public class FundamentalsV2 : Dictionary<String,FundamentalV2>
{
public FundamentalsV2()
{
}
}
public class FundamentalV2
{
private String symbol;
private DateTime asOf;
private double marketCap;
private double pe;
private double ebitda;
private double revenuePerShare;
public FundamentalV2()
{
}
public String Symbol
{
get { return symbol; }
set { symbol = value; }
}
public DateTime AsOf
{
get { return asOf; }
set { asOf = value; }
}
public double MarketCap
{
get { return marketCap; }
set { marketCap = value; }
}
public double PE
{
get { return pe; }
set { pe = value; }
}
public double RevenuePerShare
{
get { return revenuePerShare; }
set { revenuePerShare = value; }
}
public double EBITDA
{
get { return ebitda; }
set { ebitda = value; }
}
}
}

4
MarketData/MarketDataLib/Utility/SQLUtils.cs
View File

@@ -220,6 +220,10 @@ namespace MarketData.Utils
if (Utility.IsEpoch(dateTime)) return null;
return addQuotes?AddQuotes(Utility.DateTimeToStringYYYYHMMHDD(dateTime)):Utility.DateTimeToStringYYYYHMMHDD(dateTime);
}
public static String ToSqlDate(DateTime dateTime, bool addQuotes=false)
{
return SqlDate(dateTime, addQuotes);
}
public static String ToSqlDateTime(DateTime dateTime, bool addQuotes=false)
{
return addQuotes?AddQuotes(Utility.DateTimeToStringYYYYHMMHDDHHMMSS(dateTime)):Utility.DateTimeToStringYYYYHMMHDDHHMMSS(dateTime);

5
README.md
View File

@@ -12,10 +12,9 @@ git push origin --delete <branch_name>
git branch -r
git branch -l
Please use the Microsoft.AspNet.WebApi.OwinSelfHost package for new projects.
Microsoft.AspNet.WebApi.OwinSelfHost
You can use the following commands to update the list of local branches from remote:
git fetch --prune
dotnet add package Microsoft.AspNet.WebApi.OwinSelfHost
3) IPMonitor
4) Models