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Optimizations for CMTrend

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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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36
MarketData/MarketDataLib/Generator/CMTrend/CMTTrendModel..cs
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@@ -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);
}