88 lines
4.4 KiB
C#
Executable File
88 lines
4.4 KiB
C#
Executable File
using System;
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using System.Linq;
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using System.Collections.Generic;
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using MarketData;
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using MarketData.MarketDataModel;
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using MarketData.MarketDataModel.GainLoss;
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using MarketData.Utils;
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using MarketData.DataAccess;
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using MarketData.Cache;
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namespace MarketData.Generator.GainLoss
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{
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// ***************************************************************** G A I N L O S S G E N E R A T O R **********************************************************
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public class ActiveGainLossGenerator : IActiveGainLossGenerator
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{
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public ActiveGainLossGenerator()
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{
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}
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// *****************************************************************************************************************************************************************
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// ************************************************ G E N E R A T E A C T I V E G A I N L O S S / G A I N L O S S P E R C E N T *****************************
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// *****************************************************************************************************************************************************************
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public GainLossCollection GenerateGainLoss(PortfolioTrades portfolioTrades,DateTime? maxDateRef=null)
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{
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if (null == portfolioTrades || 0 == portfolioTrades.Count) return null;
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GLPriceCache.GetInstance().Add(portfolioTrades);
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DateTime minTradeDate = portfolioTrades.GetMinTradeDate();
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DateTime maxDate=GLPriceCache.GetInstance().GetLatestDate();
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if(null!=maxDateRef)maxDate=maxDateRef.Value;
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Dictionary<DateTime,GainLossItem> gainLoss = new Dictionary<DateTime, GainLossItem>();
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DateGenerator dateGenerator = new DateGenerator();
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List<DateTime> holdingDates = dateGenerator.GenerateHistoricalDates(maxDate, minTradeDate);
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for (int index = holdingDates.Count - 1; index >= 0; index--)
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{
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DateTime holdingDate = holdingDates[index];
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double? gainLossHoldings = null;
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double totalExposure = 0.00;
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double totalCostBasis=0.00;
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double totalMarketValue=0.00;
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PortfolioTrades openTrades = portfolioTrades.GetOpenTradesOn(holdingDate);
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if (null == openTrades || 0 == openTrades.Count)
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{
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gainLoss.Add(holdingDate, new GainLossItem(holdingDate, 0,0,false));
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continue;
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}
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if(!GLPriceCache.GetInstance().ContainsPrice(openTrades.Symbols,holdingDate))
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{
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if(holdingDate.Date.Equals(maxDate))
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{
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GLPriceCache.GetInstance().Add(openTrades.Symbols,holdingDate);
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}else continue;
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}
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foreach (PortfolioTrade portfolioTrade in openTrades)
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{
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double? gainLossItem = null;
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double? exposure = null;
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double? costBasis=null;
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double? marketValue=null;
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costBasis=GainLossHelper.GetCostBasis(holdingDate,portfolioTrade);
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gainLossItem=GainLossHelper.GetGainLoss(holdingDate, portfolioTrade);
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marketValue=GainLossHelper.GetMarketValue(holdingDate,portfolioTrade);
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if (null == gainLossItem) continue;
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if (null == gainLossHoldings) gainLossHoldings = gainLossItem;
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else gainLossHoldings += gainLossItem;
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exposure = GainLossHelper.GetExposure(holdingDate,portfolioTrade);
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if (null != exposure) totalExposure += exposure.Value;
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if(null!=costBasis)totalCostBasis+=costBasis.Value;
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if(null!=marketValue)totalMarketValue+=marketValue.Value;
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}
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GainLossItem gainLossElement = null;
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double totalGainLossPercent=0;
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if(0!=totalCostBasis)totalGainLossPercent=((totalMarketValue-totalCostBasis)/totalCostBasis)*100.00;
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if(null==gainLossHoldings)
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{
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("ActiveGainLossGenerator:GenerateGainLoss 'GainLossHoldings' is null for on {0}",Utility.DateTimeToStringMMHDDHYYYY(holdingDate)));
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continue;
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}
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if (null == gainLossHoldings)gainLossElement = new GainLossItem(holdingDate,gainLossHoldings.Value,totalGainLossPercent,totalExposure,false);
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else gainLossElement = new GainLossItem(holdingDate, gainLossHoldings.Value,totalGainLossPercent,totalExposure,false);
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gainLoss.Add(holdingDate, gainLossElement);
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}
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GainLossCollection gainLossList = new GainLossCollection(gainLoss.Values);
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gainLossList.Sort();
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return gainLossList;
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}
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}
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}
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