Initial Commit

MarketData/MarketDataLib/MarketDataModel/TimeSeriesElement.cs

@@ -0,0 +1,166 @@
+using System;
+using System.Linq;
+using System.Collections.Generic;
+using System.Text;
+using MarketData.Numerical;
+using MarketData.Utils;
+
+namespace MarketData.MarketDataModel
+{
+  public class TimeSeriesCollection : List<TimeSeriesElement>
+  {
+    public TimeSeriesCollection()
+    {
+    }
+    public TimeSeriesCollection(List<TimeSeriesElement> elements)
+    {
+      if (null == elements) return;
+      foreach (TimeSeriesElement element in elements) Add(element);
+    }
+// Returns the intersection of both sets on the common dates 
+    public static AlignDatesResult AlignDates(TimeSeriesCollection tsA,TimeSeriesCollection tsB)
+    {
+      List<DateTime> tsADates=(from ts in tsA select ts.AsOf).ToList();
+      List<DateTime> tsBDates=(from ts in tsB select ts.AsOf).ToList();
+
+      List<DateTime> tsIntersect=tsADates.Intersect(tsBDates).Distinct().ToList();
+      tsA=new TimeSeriesCollection((from ts in tsA where tsIntersect.Any(x=>x.Equals(ts.AsOf)) select ts).ToList());
+      tsB=new TimeSeriesCollection((from ts in tsB where tsIntersect.Any(x=>x.Equals(ts.AsOf)) select ts).ToList());
+      return new AlignDatesResult(tsA,tsB);
+    }
+
+    public float[] ToFloat()
+    {
+      float[] values = new float[Count];
+      for (int index = 0; index < Count; index++) values[index] = (float)this[index].Value;
+      return values;
+    }
+    public bool ContainsNegativeValues()
+    {
+      int count= (from TimeSeriesElement element in this where element.Value < 0 select element).Count();
+      return count > 0 ? true : false;
+    }
+    public TimeSeriesCollection RemoveNegativeValues()
+    {
+      return new TimeSeriesCollection((from TimeSeriesElement element in this where element.Value >= 0 select element).ToList());
+    }
+    public override String ToString()
+    {
+      StringBuilder sb=new StringBuilder();
+      if(0==this.Count)return null;
+      sb.Append(TimeSeriesElement.StringForType(this[0].Type));
+      sb.Append(",");
+      for(int index=0;index<this.Count;index++)
+      {
+        TimeSeriesElement timeSeriesElement=this[index];
+        String strValue=Utility.AddQuotes(Utility.FormatNumber(timeSeriesElement.Value,2,true));
+        String strAsOf=timeSeriesElement.AsOf.ToShortDateString();
+        String strItem=String.Format("{0}({1})",strAsOf,strValue);
+        sb.Append(strItem);
+        if(index<this.Count-1)sb.Append(",");
+      }
+      return sb.ToString();
+    }
+  }
+  public class TimeSeriesElement
+  {
+    public enum ElementType { INVALID, OTHER,BVPS, EPS, OperatingCashflow,FreeCashflow,Revenue,QuarterlyRevenue,Inventory,QuarterlyInventory,ROIC,OperatingIncome,WorkingCapital,ROA,NetIncomeAvailableToCommonShareholders,TaxRate,InterestExpense,COGS,AccountsReceivable,SGA};
+    private String symbol;
+    private DateTime asof;
+    private ElementType elementType;
+    private double value;
+    private String otherType;
+    private DateTime modified;
+
+    public TimeSeriesElement()
+    {
+    }
+    public String Symbol
+    {
+      get { return symbol; }
+      set { symbol = value; }
+    }
+    public DateTime AsOf
+    {
+      get { return asof; }
+      set { asof = value; }
+    }
+    public double Value
+    {
+      get { return value; }
+      set { this.value = value; }
+    }
+    public String OtherType
+    {
+      get{return otherType;}
+      set{otherType=value;}
+    }
+    public TimeSeriesElement.ElementType Type
+    {
+      get { return elementType; }
+      set { elementType = value; }
+    }
+    public DateTime Modified
+    {
+      get{ return modified;}
+      set{modified=value;}
+    }
+    public static String StringForType(TimeSeriesElement.ElementType type)
+    {
+      switch (type)
+      {
+        case ElementType.INVALID :
+          return "???";
+        case ElementType.BVPS:
+          return "bvps";
+        case ElementType.EPS:
+          return "eps";
+        case ElementType.OperatingCashflow :
+          return "operating_cashflow";
+        case ElementType.FreeCashflow:
+          return "free_cashflow";
+        case ElementType.Revenue:
+          return "revenue";
+        case ElementType.QuarterlyRevenue:
+          return "quarterly_revenue";
+        case ElementType.OperatingIncome:
+          return "operating_income";
+        case ElementType.ROIC:
+          return "roic";
+        case ElementType.WorkingCapital:
+          return "working_capital";
+        case ElementType.ROA:
+          return "roa";
+        case ElementType.TaxRate :
+          return "tax_rate";
+        case ElementType.InterestExpense:
+          return "interest_expense";
+        case ElementType.NetIncomeAvailableToCommonShareholders:
+          return "net_income_available_to_common_shareholders";
+        case ElementType.COGS:
+          return "cogs";
+        case ElementType.Inventory :
+          return "inventory";
+        case ElementType.SGA :
+          return "sg&a";
+        case ElementType.AccountsReceivable :
+          return "accounts receivable";
+        default:
+          return "???";
+      }
+    }
+  }
+  public class AlignDatesResult
+  {
+    public AlignDatesResult()
+    {
+    }
+    public AlignDatesResult(TimeSeriesCollection collectionA,TimeSeriesCollection collectionB)
+    {
+      CollectionA=collectionA;
+      CollectionB=collectionB;
+    }
+    public TimeSeriesCollection CollectionA{get;set;}
+    public TimeSeriesCollection CollectionB{get;set;}
+  }
+}