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Sean
2025-03-31 15:23:18 -04:00
parent 5567aa129c
commit 90c4acb55a
3 changed files with 162 additions and 46 deletions
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43
MarketData/MarketDataLib/DataAccess/PortfolioDA.cs
View File

@@ -139,6 +139,48 @@ namespace MarketData.DataAccess
if(null!=sqlTransaction) sqlTransaction.Dispose();
}
}
public static Dictionary<String,bool> HasStopLimit(List<String> symbols)
{
MySqlConnection sqlConnection=null;
MySqlDataReader sqlDataReader=null;
MySqlCommand sqlCommand=null;
Dictionary<String,bool> hasStopLimit = new Dictionary<String,bool>();
try
{
StringBuilder sb=new StringBuilder();
if(null==symbols) return null;
sqlConnection=SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("portfolio_data"));
sb.Append("select symbol, count(*) from stoplimits ");
sb.Append("where symbol in ");
sb.Append(SqlUtils.CreateInClause(symbols));
sb.Append(" and active=1 group by 1");
String strQuery=sb.ToString();
sqlCommand=new MySqlCommand(strQuery,sqlConnection);
sqlCommand.CommandTimeout=SqlUtils.COMMAND_TIMEOUT;
sqlDataReader=sqlCommand.ExecuteReader();
while(sqlDataReader.Read())
{
String symbol = sqlDataReader.GetString(0);
symbol = symbol.ToUpper();
hasStopLimit.Add(symbol, true);
}
return hasStopLimit;
}
catch(Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return null;
}
finally
{
if(null!=sqlCommand) sqlCommand.Dispose();
if(null!=sqlDataReader) sqlDataReader.Close();
if(null!=sqlConnection) sqlConnection.Close();
}
}
public static bool HasStopLimit(String symbol)
{
MySqlConnection sqlConnection=null;
@@ -153,6 +195,7 @@ namespace MarketData.DataAccess
sqlConnection=SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("portfolio_data"));
sb.Append("select count(*) from stoplimits ");
sb.Append("where symbol='").Append(symbol).Append("'");
sb.Append(" and active=1");
strQuery=sb.ToString();
sqlCommand=new MySqlCommand(strQuery,sqlConnection);
sqlCommand.CommandTimeout=SqlUtils.COMMAND_TIMEOUT;

49
MarketData/MarketDataLib/DataAccess/PricingDA.cs
View File

@@ -10,6 +10,7 @@ namespace MarketData.DataAccess
{
public class PricingDA
{
public static readonly int ForwardLookingDays = 90;
private PricingDA()
{
}
@@ -628,6 +629,52 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
public static Dictionary<String,String> GetNamesForSymbols(List<String> symbols)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
Dictionary<String,String> dictionary = new Dictionary<String,String>();
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol, company from securitymaster where symbol in ");
sb.Append(SqlUtils.CreateInClause(symbols));
sb.Append(";");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while (sqlDataReader.Read())
{
String symbol = sqlDataReader.GetString(0);
String companyName = sqlDataReader.GetString(1);
if(null==companyName || null==symbol)continue;
companyName=companyName.ToUpper();
symbol = symbol.ToUpper();
if(dictionary.ContainsKey(symbol))continue;
dictionary.Add(symbol,companyName);
}
return dictionary;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Query was {0}",strQuery));
return null;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) sqlDataReader.Close();
if (null != sqlConnection) sqlConnection.Close();
}
}
public static String GetNameForSymbol(String symbol)
{
MySqlConnection sqlConnection = null;
@@ -1117,6 +1164,7 @@ namespace MarketData.DataAccess
// Get prices starting at "startDate" and "days" number of days going into future
public static Prices GetPricesForward(String symbol,DateTime startDate,int days)
{
Profiler profiler = new Profiler();
MySqlConnection sqlConnection=null;
MySqlDataReader sqlDataReader=null;
MySqlCommand sqlCommand=null;
@@ -1166,6 +1214,7 @@ namespace MarketData.DataAccess
if(null!=sqlCommand) sqlCommand.Dispose();
if(null!=sqlDataReader) sqlDataReader.Close();
if(null!=sqlConnection) sqlConnection.Close();
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("[GetPricesForward] Done, took {0}(ms)",profiler.End()));
}
}
public static Prices GetPricesOnOrBefore(String symbol,DateTime startDate)

116
MarketData/MarketDataLib/MarketDataModel/GainLoss/GainLossSummaryItemCollection.cs
View File

@@ -19,66 +19,89 @@ namespace MarketData.MarketDataModel.GainLoss
}
public GainLossSummaryItemCollection(PortfolioTrades portfolioTrades,ITotalGainLossGenerator gainLossGenerator,IActiveGainLossGenerator activeGainLossGenerator,DateTime? maxDateRef=null)
{
List<String> symbols=portfolioTrades.Symbols;
Profiler profiler = new Profiler();
if(null==gainLossGenerator || null==activeGainLossGenerator)return;
foreach(String symbol in symbols)
try
{
PortfolioTrades portfolioTradesSymbol=portfolioTrades.FilterSymbol(symbol);
GainLossCollection gainLossCollection=activeGainLossGenerator.GenerateGainLoss(portfolioTradesSymbol,maxDateRef);
List<String> symbols=portfolioTrades.Symbols;
if(null==gainLossGenerator || null==activeGainLossGenerator)return;
TotalGainLossCollection totalGainLossCollection=gainLossGenerator.GenerateTotalGainLoss(portfolioTradesSymbol,maxDateRef);
GainLossCompoundModelCollection gainLossCompoundModelCollection=new GainLossCompoundModelCollection(gainLossCollection,totalGainLossCollection);
Dictionary<String,String> companyNames = PricingDA.GetNamesForSymbols(symbols);
Dictionary<String,bool> stopLimits = PortfolioDA.HasStopLimit(symbols);
if(1>gainLossCompoundModelCollection.Count) continue;
GainLossSummaryItem gainLossSummaryItem=new GainLossSummaryItem();
gainLossSummaryItem.Date=gainLossCompoundModelCollection[gainLossCompoundModelCollection.Count-1].Date;
gainLossSummaryItem.Symbol=symbol;
gainLossSummaryItem.CompanyName=PricingDA.GetNameForSymbol(symbol);
gainLossSummaryItem.CurrentGainLoss=gainLossCompoundModelCollection[gainLossCompoundModelCollection.Count-1].ActiveGainLoss;
double previousGainLoss=1==gainLossCompoundModelCollection.Count?0.00:gainLossCompoundModelCollection[gainLossCompoundModelCollection.Count-2].ActiveGainLoss;
gainLossSummaryItem.PreviousGainLoss=previousGainLoss;
gainLossSummaryItem.Change=gainLossSummaryItem.CurrentGainLoss-gainLossSummaryItem.PreviousGainLoss;
if(1==gainLossCollection.Count) gainLossSummaryItem.ChangePercent=0.00;
else
foreach(String symbol in symbols)
{
double currentMarketValue=gainLossCollection[gainLossCollection.Count-1].Exposure+gainLossCollection[gainLossCollection.Count-1].GainLoss;
double previousMarketValue=gainLossCollection[gainLossCollection.Count-2].Exposure+gainLossCollection[gainLossCollection.Count-2].GainLoss;
if(0.00==previousMarketValue) gainLossSummaryItem.ChangePercent=0.00;
else gainLossSummaryItem.ChangePercent=((currentMarketValue-previousMarketValue)/previousMarketValue)*100;
if(gainLossSummaryItem.CurrentGainLoss<0&&gainLossSummaryItem.PreviousGainLoss<0)
{ // if current gainloss is negative and previous gainloss is negative then show change percent as a further dip into negative (i.e.) make sure sign is negative
if(Math.Abs(gainLossSummaryItem.CurrentGainLoss)>Math.Abs(gainLossSummaryItem.PreviousGainLoss)) gainLossSummaryItem.ChangePercent=Math.Abs(gainLossSummaryItem.ChangePercent)*-1.00;
}
else if(gainLossSummaryItem.CurrentGainLoss<0&&gainLossSummaryItem.PreviousGainLoss>0)
PortfolioTrades portfolioTradesSymbol=portfolioTrades.FilterSymbol(symbol);
GainLossCollection gainLossCollection=activeGainLossGenerator.GenerateGainLoss(portfolioTradesSymbol,maxDateRef);
TotalGainLossCollection totalGainLossCollection=gainLossGenerator.GenerateTotalGainLoss(portfolioTradesSymbol,maxDateRef);
GainLossCompoundModelCollection gainLossCompoundModelCollection=new GainLossCompoundModelCollection(gainLossCollection,totalGainLossCollection);
if(1>gainLossCompoundModelCollection.Count) continue;
GainLossSummaryItem gainLossSummaryItem=new GainLossSummaryItem();
gainLossSummaryItem.Date=gainLossCompoundModelCollection[gainLossCompoundModelCollection.Count-1].Date;
gainLossSummaryItem.Symbol=symbol;
if(companyNames.ContainsKey(symbol))
{
gainLossSummaryItem.ChangePercent=Math.Abs(gainLossSummaryItem.ChangePercent)*-1.00;
gainLossSummaryItem.CompanyName=companyNames[symbol];
}
else if(gainLossSummaryItem.CurrentGainLoss>0&&gainLossSummaryItem.PreviousGainLoss>0)
// gainLossSummaryItem.CompanyName=PricingDA.GetNameForSymbol(symbol);
gainLossSummaryItem.CurrentGainLoss=gainLossCompoundModelCollection[gainLossCompoundModelCollection.Count-1].ActiveGainLoss;
double previousGainLoss=1==gainLossCompoundModelCollection.Count?0.00:gainLossCompoundModelCollection[gainLossCompoundModelCollection.Count-2].ActiveGainLoss;
gainLossSummaryItem.PreviousGainLoss=previousGainLoss;
gainLossSummaryItem.Change=gainLossSummaryItem.CurrentGainLoss-gainLossSummaryItem.PreviousGainLoss;
if(1==gainLossCollection.Count) gainLossSummaryItem.ChangePercent=0.00;
else
{
if(gainLossSummaryItem.CurrentGainLoss<gainLossSummaryItem.PreviousGainLoss) gainLossSummaryItem.ChangePercent=Math.Abs(gainLossSummaryItem.ChangePercent)*-1.00;
double currentMarketValue=gainLossCollection[gainLossCollection.Count-1].Exposure+gainLossCollection[gainLossCollection.Count-1].GainLoss;
double previousMarketValue=gainLossCollection[gainLossCollection.Count-2].Exposure+gainLossCollection[gainLossCollection.Count-2].GainLoss;
if(0.00==previousMarketValue) gainLossSummaryItem.ChangePercent=0.00;
else gainLossSummaryItem.ChangePercent=((currentMarketValue-previousMarketValue)/previousMarketValue)*100;
if(gainLossSummaryItem.CurrentGainLoss<0&&gainLossSummaryItem.PreviousGainLoss<0)
{ // if current gainloss is negative and previous gainloss is negative then show change percent as a further dip into negative (i.e.) make sure sign is negative
if(Math.Abs(gainLossSummaryItem.CurrentGainLoss)>Math.Abs(gainLossSummaryItem.PreviousGainLoss)) gainLossSummaryItem.ChangePercent=Math.Abs(gainLossSummaryItem.ChangePercent)*-1.00;
}
else if(gainLossSummaryItem.CurrentGainLoss<0&&gainLossSummaryItem.PreviousGainLoss>0)
{
gainLossSummaryItem.ChangePercent=Math.Abs(gainLossSummaryItem.ChangePercent)*-1.00;
}
else if(gainLossSummaryItem.CurrentGainLoss>0&&gainLossSummaryItem.PreviousGainLoss>0)
{
if(gainLossSummaryItem.CurrentGainLoss<gainLossSummaryItem.PreviousGainLoss) gainLossSummaryItem.ChangePercent=Math.Abs(gainLossSummaryItem.ChangePercent)*-1.00;
}
}
// here we need to check maxDateRef for null and then call appropriate HasOpenPositions() / HasOpenPositionsOn(date) method
if(null!=maxDateRef)
{
if(!portfolioTrades.HasOpenPositionsOn(symbol,maxDateRef.Value)) continue;
}
else
{
if(!portfolioTrades.HasOpenPositions(symbol)) continue;
}
// gainLossSummaryItem.HasStopLimit=PortfolioDA.HasStopLimit(symbol);
gainLossSummaryItem.HasStopLimit=stopLimits.ContainsKey(symbol);
Add(gainLossSummaryItem);
}
// here we need to check maxDateRef for null and then call appropriate HasOpenPositions() / HasOpenPositionsOn(date) method
if(null!=maxDateRef)
{
if(!portfolioTrades.HasOpenPositionsOn(symbol,maxDateRef.Value)) continue;
}
else
{
if(!portfolioTrades.HasOpenPositions(symbol)) continue;
}
gainLossSummaryItem.HasStopLimit=PortfolioDA.HasStopLimit(symbol);
Add(gainLossSummaryItem);
GainLossSummaryItemCollection gainLossSummaryCollection=new GainLossSummaryItemCollection((from GainLossSummaryItem gainLossSummaryItem in this orderby gainLossSummaryItem.Date descending,gainLossSummaryItem.Change descending,gainLossSummaryItem.Symbol descending select gainLossSummaryItem).ToList());
Clear();
AddRange(gainLossSummaryCollection);
}
catch(Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("[GainLossSummaryItemCollection] Exception:{0}",exception.ToString()));
}
finally
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("[GainLossSummaryItemCollection] Done, took {0}(ms)",profiler.End()));
}
GainLossSummaryItemCollection gainLossSummaryCollection=new GainLossSummaryItemCollection((from GainLossSummaryItem gainLossSummaryItem in this orderby gainLossSummaryItem.Date descending,gainLossSummaryItem.Change descending,gainLossSummaryItem.Symbol descending select gainLossSummaryItem).ToList());
Clear();
AddRange(gainLossSummaryCollection);
}
public GainLossSummaryItemCollection(PortfolioTrades portfolioTrades,DateTime? maxDateRef=null)
{
List<String> symbols=portfolioTrades.Symbols;
Dictionary<String,bool> stopLimits = PortfolioDA.HasStopLimit(symbols);
foreach(String symbol in symbols)
{
PortfolioTrades portfolioTradesSymbol=portfolioTrades.FilterSymbol(symbol);
@@ -125,7 +148,8 @@ namespace MarketData.MarketDataModel.GainLoss
{
if(!portfolioTrades.HasOpenPositions(symbol)) continue;
}
gainLossSummaryItem.HasStopLimit=PortfolioDA.HasStopLimit(symbol);
gainLossSummaryItem.HasStopLimit = stopLimits.ContainsKey(symbol);
// gainLossSummaryItem.HasStopLimit=PortfolioDA.HasStopLimit(symbol);
Add(gainLossSummaryItem);
}
GainLossSummaryItemCollection gainLossSummaryCollection=new GainLossSummaryItemCollection((from GainLossSummaryItem gainLossSummaryItem in this orderby gainLossSummaryItem.Date descending,gainLossSummaryItem.Change descending,gainLossSummaryItem.Symbol descending select gainLossSummaryItem).ToList());