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Optimize GainLossController

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Sean
2025-04-29 23:13:41 -04:00
parent a65583955a
commit eff2a7a953
4 changed files with 149 additions and 17 deletions
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12
MarketData/MarketData/.vscode/launch.json vendored
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@@ -5,20 +5,14 @@
"version": "0.2.0",
"configurations": [
{
"name": ".NET Core Launch (console)",
"name": ".NET Core Launch (mk)",
"type": "coreclr",
"request": "launch",
"preLaunchTask": "build",
"program": "${workspaceFolder}/bin/Debug/net8.0/MarketData.dll",
"program": "${workspaceFolder}/bin/Debug/net8.0/mk.dll",
"args": [],
"cwd": "${workspaceFolder}",
"console": "internalConsole",
"stopAtEntry": false
},
{
"name": ".NET Core Attach",
"type": "coreclr",
"request": "attach"
}
]
}
}

31
MarketData/MarketDataLib/Generator/ParityGenerator.cs
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@@ -17,6 +17,37 @@ namespace MarketData.Generator
private ParityGenerator()
{
}
/// <summary>
/// Given PortfolioTrades for a symbol and corresponding latestPrice gives us the breakeven element.
/// This call avoid calling the database. Used by GetGainLossWithDetailByDate in the GainLossController
/// </summary>
/// <param name="symbolTrades"></param>
/// <param name="latestPrice"></param>
/// <returns></returns>
public static ParityElement GenerateBreakEven(PortfolioTrades symbolTrades,Price latestPrice)
{
try
{
ParityElement parityElement=new ParityElement();
Price zeroPrice=null;
if(null==symbolTrades||0==symbolTrades.Count)return null;
PortfolioTrades openTrades=symbolTrades.GetOpenTrades();
GainLossGenerator gainLossGenerator=new GainLossGenerator();
zeroPrice=ParityGenerator.GenerateGainLossValue(openTrades,latestPrice);
parityElement.ParityOffsetPrice=zeroPrice.Close;
parityElement.ParityOffsetPercent=((latestPrice.Close-zeroPrice.Close)/zeroPrice.Close);
parityElement.Symbol=latestPrice.Symbol;
parityElement.PricingDate=latestPrice.Date;
return parityElement;
}
catch(Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("{0}",exception));
return null;
}
}
public static ParityElement GenerateBreakEven(String symbol)
{
try

2
MarketData/MarketDataLib/MarketDataModel/GainLoss/GainLossSummaryItemCollection.cs
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@@ -114,7 +114,6 @@ namespace MarketData.MarketDataModel.GainLoss
GainLossSummaryItem gainLossSummaryItem=new GainLossSummaryItem();
gainLossSummaryItem.Date=gainLossCompoundModelCollection[gainLossCompoundModelCollection.Count-1].Date;
gainLossSummaryItem.Symbol=symbol;
// gainLossSummaryItem.CompanyName=PricingDA.GetNameForSymbol(symbol);
gainLossSummaryItem.CompanyName=namesDictionary.ContainsKey(symbol)?namesDictionary[symbol]:"";
gainLossSummaryItem.CurrentGainLoss=gainLossCompoundModelCollection[gainLossCompoundModelCollection.Count-1].ActiveGainLoss;
double previousGainLoss=1==gainLossCompoundModelCollection.Count?0.00:gainLossCompoundModelCollection[gainLossCompoundModelCollection.Count-2].ActiveGainLoss;
@@ -150,7 +149,6 @@ namespace MarketData.MarketDataModel.GainLoss
if(!portfolioTrades.HasOpenPositions(symbol)) continue;
}
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());

121
MarketDataServer/Controllers/GainLossController.cs
View File

@@ -115,6 +115,12 @@ namespace MarketDataServer.Controllers
}
}
/// <summary>
/// GetGainLossWithDetailByDate - Optimizing calls to DA methods
/// </summary>
/// <param name="token"></param>
/// <param name="selectedDate"></param>
/// <returns></returns>
[HttpGet]
public IEnumerable<GainLossSummaryItemDetail> GetGainLossWithDetailByDate(String token,DateTime selectedDate)
{
@@ -127,6 +133,8 @@ namespace MarketDataServer.Controllers
PortfolioTrades portfolioTrades = PortfolioDA.GetTrades();
PortfolioTrades tradesOnOrBefore = portfolioTrades.GetTradesOnOrBefore(selectedDate);
GainLossSummaryItemCollection gainLossSummaryItems = new GainLossSummaryItemCollection(tradesOnOrBefore, selectedDate);
List<String> symbols = gainLossSummaryItems.Select(x => x.Symbol).ToList();
Dictionary<String,DateTime> latestDates = PricingDA.GetLatestDates(symbols);
List<GainLossSummaryItemDetail> gainLossSummaryItemDetailCollection = new List<GainLossSummaryItemDetail>();
foreach (GainLossSummaryItem gainLossSummaryItem in gainLossSummaryItems)
@@ -134,7 +142,7 @@ namespace MarketDataServer.Controllers
GainLossSummaryItemDetail gainLossSummaryItemDetail = new GainLossSummaryItemDetail(gainLossSummaryItem);
portfolioTrades = PortfolioDA.GetOpenTradesSymbol(gainLossSummaryItem.Symbol);
double weightAdjustedDividendYield = portfolioTrades.GetWeightAdjustedDividendYield();
DateTime currentDate = PricingDA.GetLatestDate(gainLossSummaryItem.Symbol);
DateTime currentDate = latestDates(gainLossSummaryItem.Symbol);
if (null == portfolioTrades || 0 == portfolioTrades.Count) continue;
double shares = (from PortfolioTrade portfolioTrade in portfolioTrades select portfolioTrade.Shares).Sum();
double exposure = portfolioTrades.Sum(x => x.Exposure());
@@ -149,17 +157,19 @@ namespace MarketDataServer.Controllers
gainLossSummaryItemDetail.DividendYield = weightAdjustedDividendYield;
gainLossSummaryItemDetail.AnnualDividend = exposure * weightAdjustedDividendYield;
}
ParityElement parityElement = ParityGenerator.GenerateBreakEven(gainLossSummaryItem.Symbol);
DateGenerator dateGenerator = new DateGenerator();
DateTime priorDate = dateGenerator.FindPrevBusinessDay(currentDate);
Price p1 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, currentDate);
Price p2 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, priorDate);
PortfolioTrades symbolTrades = new PortfolioTrades(portfolioTrades.Where(x=>x.Symbol.Equals(gainLossSummaryItem.Symbol)).ToList());
ParityElement parityElement = ParityGenerator.GenerateBreakEven(symbolTrades, p1);
gainLossSummaryItemDetail.ParityElement = parityElement;
if (null != parityElement)
{
gainLossSummaryItemDetail.AllTimeGainLossPercent = gainLossItem.GainLossPercent;
gainLossSummaryItemDetail.PercentDistanceFromAllTimeGainLossPercent = parityElement.ParityOffsetPercent - (gainLossItem.GainLossPercent / 100);
}
DateGenerator dateGenerator = new DateGenerator();
DateTime priorDate = dateGenerator.FindPrevBusinessDay(currentDate);
Price p1 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, currentDate);
Price p2 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, priorDate);
if (null == p2 && null != p1)
{
priorDate = dateGenerator.FindPrevBusinessDay(priorDate);
@@ -214,6 +224,105 @@ namespace MarketDataServer.Controllers
}
}
// [HttpGet]
// public IEnumerable<GainLossSummaryItemDetail> GetGainLossWithDetailByDate(String token,DateTime selectedDate)
// {
// Profiler profiler = new Profiler();
// try
// {
// MDTrace.WriteLine(LogLevel.DEBUG,$"Start");
// if (!Authorizations.GetInstance().IsAuthorized(token)) return null;
// LocalPriceCache.GetInstance().Refresh();
// PortfolioTrades portfolioTrades = PortfolioDA.GetTrades();
// PortfolioTrades tradesOnOrBefore = portfolioTrades.GetTradesOnOrBefore(selectedDate);
// GainLossSummaryItemCollection gainLossSummaryItems = new GainLossSummaryItemCollection(tradesOnOrBefore, selectedDate);
// List<GainLossSummaryItemDetail> gainLossSummaryItemDetailCollection = new List<GainLossSummaryItemDetail>();
// foreach (GainLossSummaryItem gainLossSummaryItem in gainLossSummaryItems)
// {
// GainLossSummaryItemDetail gainLossSummaryItemDetail = new GainLossSummaryItemDetail(gainLossSummaryItem);
// portfolioTrades = PortfolioDA.GetOpenTradesSymbol(gainLossSummaryItem.Symbol);
// double weightAdjustedDividendYield = portfolioTrades.GetWeightAdjustedDividendYield();
// DateTime currentDate = PricingDA.GetLatestDate(gainLossSummaryItem.Symbol);
// if (null == portfolioTrades || 0 == portfolioTrades.Count) continue;
// double shares = (from PortfolioTrade portfolioTrade in portfolioTrades select portfolioTrade.Shares).Sum();
// double exposure = portfolioTrades.Sum(x => x.Exposure());
// if(null==gainLossGenerator) gainLossGenerator=new ActiveGainLossGenerator();
// GainLossCollection gainLoss=gainLossGenerator.GenerateGainLoss(portfolioTrades); // gainLoss contains the gain/loss from active positions. Never includes dividends .. just positions
// GainLossItem gainLossItem = gainLoss.OrderByDescending(x => x.GainLossPercent).FirstOrDefault();
// gainLossSummaryItemDetail.Lots = portfolioTrades.Count;
// gainLossSummaryItemDetail.Shares = shares;
// gainLossSummaryItemDetail.Exposure = exposure;
// if (!double.IsNaN(weightAdjustedDividendYield))
// {
// gainLossSummaryItemDetail.DividendYield = weightAdjustedDividendYield;
// gainLossSummaryItemDetail.AnnualDividend = exposure * weightAdjustedDividendYield;
// }
// ParityElement parityElement = ParityGenerator.GenerateBreakEven(gainLossSummaryItem.Symbol);
// gainLossSummaryItemDetail.ParityElement = parityElement;
// if (null != parityElement)
// {
// gainLossSummaryItemDetail.AllTimeGainLossPercent = gainLossItem.GainLossPercent;
// gainLossSummaryItemDetail.PercentDistanceFromAllTimeGainLossPercent = parityElement.ParityOffsetPercent - (gainLossItem.GainLossPercent / 100);
// }
// DateGenerator dateGenerator = new DateGenerator();
// DateTime priorDate = dateGenerator.FindPrevBusinessDay(currentDate);
// Price p1 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, currentDate);
// Price p2 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, priorDate);
// if (null == p2 && null != p1)
// {
// priorDate = dateGenerator.FindPrevBusinessDay(priorDate);
// p2 = PricingDA.GetPrice(gainLossSummaryItem.Symbol, priorDate);
// }
// if (null != p1 && null != p2)
// {
// double change = (p1.Close - p2.Close) / p2.Close;
// gainLossSummaryItemDetail.LatestPrice = p1;
// gainLossSummaryItemDetail.PriceChange = change;
// }
// gainLossSummaryItemDetailCollection.Add(gainLossSummaryItemDetail);
// }
// // **** Add an aggregate entry
// GainLossSummaryItemDetail gainLossSummaryTotals = new GainLossSummaryItemDetail();
// gainLossSummaryTotals.Symbol = "";
// gainLossSummaryTotals.CompanyName = "Account Summary";
// if (null != gainLossSummaryItemDetailCollection && gainLossSummaryItemDetailCollection.Count > 0)
// {
// gainLossSummaryTotals.Date = gainLossSummaryItemDetailCollection.Min(x => x.Date);
// gainLossSummaryTotals.Exposure = gainLossSummaryItemDetailCollection.Sum(x => x.Exposure);
// gainLossSummaryTotals.Change = gainLossSummaryItemDetailCollection.Sum(x => x.Change);
// gainLossSummaryTotals.CurrentGainLoss = gainLossSummaryItemDetailCollection.Sum(x => x.CurrentGainLoss);
// gainLossSummaryTotals.PreviousGainLoss = gainLossSummaryItemDetailCollection.Sum(x => x.PreviousGainLoss);
// gainLossSummaryTotals.ChangePercent = ((gainLossSummaryTotals.CurrentGainLoss - gainLossSummaryTotals.PreviousGainLoss) / Math.Abs(gainLossSummaryTotals.PreviousGainLoss)) * 100.00;
// gainLossSummaryTotals.LatestPrice = new Price();
// gainLossSummaryTotals.PriceChange = 0;
// }
// else
// {
// gainLossSummaryTotals.Date = selectedDate;
// gainLossSummaryTotals.Change = 0.00;
// gainLossSummaryTotals.CurrentGainLoss = 0.00;
// gainLossSummaryTotals.PreviousGainLoss = 0.00;
// gainLossSummaryTotals.ChangePercent = 0.00;
// gainLossSummaryTotals.LatestPrice = new Price();
// gainLossSummaryTotals.PriceChange = 0;
// }
// gainLossSummaryItemDetailCollection.Insert(0, gainLossSummaryTotals);
// // ****
// return gainLossSummaryItemDetailCollection;
// }
// catch(Exception exception)
// {
// MDTrace.WriteLine(LogLevel.DEBUG,$"Exception:{exception.ToString()}");
// return null;
// }
// finally
// {
// MDTrace.WriteLine(LogLevel.DEBUG,$"Done, total took {profiler.End()} (ms)");
// }
// }
[HttpGet]
public IEnumerable<GainLossSummaryItemDetail> GetGainLossWithDetailByDateAndAccount(String token, DateTime selectedDate, String account)
{