Add CMTRend

MarketData/MarketDataLib/Generator/CMTrend/CMTTrendGenerator.cs

@@ -0,0 +1,55 @@
+using MarketData.DataAccess;
+using MarketData.MarketDataModel;
+using MarketData.Utils;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+
+namespace MarketData.Generator.CMTrend
+{
+  public class CMTTrendGenerator
+  {
+    private CMTTrendGenerator()
+    {
+    }
+    public static CMTGeneratorResult GenerateCMTCandidates(DateTime tradeDate,CMTParams cmtParams,List<String> symbolsHeld)
+    {
+      CMTGeneratorResult cmtGeneratorResult=new CMTGeneratorResult();
+      try
+      {
+        List<String> symbols=PricingDA.GetSymbols();
+        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);
+          if(null==cmtCandidate) continue;
+          if(cmtCandidate.Violation) cmtGeneratorResult.CMTCandidatesWithViolation.Add(cmtCandidate);
+          else cmtGeneratorResult.CMTCandidates.Add(cmtCandidate);
+        }
+        if(null==cmtGeneratorResult.CMTCandidates||0==cmtGeneratorResult.CMTCandidates.Count)
+        {
+          MDTrace.WriteLine(LogLevel.DEBUG,String.Format("GenerateCMTCandidates.  No candidates generated for trade date: {0}",tradeDate));
+          cmtGeneratorResult.Success=true;
+          return cmtGeneratorResult;
+        }
+        MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Generated {0} candidates.",cmtGeneratorResult.CMTCandidates.Count));
+        cmtGeneratorResult.CMTCandidates.Sort();
+        MDTrace.WriteLine(LogLevel.DEBUG,CMTCandidate.Header());
+        foreach(CMTCandidate candidate in cmtGeneratorResult.CMTCandidates) MDTrace.WriteLine(LogLevel.DEBUG,candidate.ToString());
+        cmtGeneratorResult.Success=true;
+        return cmtGeneratorResult;
+      }
+      catch(Exception exception)
+      {
+        MDTrace.WriteLine(LogLevel.DEBUG,exception.ToString());
+        cmtGeneratorResult.Success=false;
+        cmtGeneratorResult.Messages.Add(exception.ToString());
+        return cmtGeneratorResult;
+      }
+    }
+  }
+}
+