104 lines
5.3 KiB
C#
Executable File
104 lines
5.3 KiB
C#
Executable File
using Axiom.Interpreter;
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using MarketData.DataAccess;
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using MarketData.MarketDataModel;
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using MarketData.Utils;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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namespace MarketData.Generator.CMTrend
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{
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public class CMTTrendGenerator
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{
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private CMTTrendGenerator()
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{
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}
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public static CMTGeneratorResult GenerateCMTCandidates(DateTime tradeDate,CMTParams cmtParams,List<String> symbolsHeld)
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{
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CMTGeneratorResult cmtGeneratorResult=new CMTGeneratorResult();
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try
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{
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List<String> symbols=PricingDA.GetSymbols();
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// Filter out symbols where we do not have a price on trade date
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Profiler profiler = new Profiler();
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Dictionary<String,DateTime> latestDates = PricingDA.GetLatestDates(symbols);
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symbols=symbols.Where(x => latestDates.ContainsKey(x) && latestDates[x].Date>=tradeDate.Date).ToList();
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MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded pricing dates in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
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// Prefetch a subset of fundamentals where each fundamental.asof is no greater than tradeDate
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profiler.Reset();
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FundamentalsV2 fundamentals = FundamentalDA.GetFundamentalsMaxDateV2(tradeDate);
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MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded fundamentals in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
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// Prefetch the Company Profiles
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profiler.Reset();
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Dictionary<String,CompanyProfile> companyProfiles = CompanyProfileDA.GetCompanyProfiles(symbols);
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MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded company profiles in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
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// Prefetch the pricing dates required for 200 day moving average.
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profiler.Reset();
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DateGenerator dateGenerator = new DateGenerator();
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DateTime historicalDate=dateGenerator.GenerateHistoricalDate(tradeDate,cmtParams.DMA200Horizon+10);
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List<DateTime> historicalDates=PricingDA.GetPricingDatesBetween(historicalDate,tradeDate);
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MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded moving average dates in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
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// Prefetch the EPS time series
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profiler.Reset();
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Dictionary<String,TimeSeriesCollection> epsTimeSeriesCollectionDictionary = FundamentalDA.GetEPS(symbols,tradeDate,3);
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MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded EPS Time Series in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
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// Prefetch the profit margin time series
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profiler.Reset();
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Dictionary<String,TimeSeriesCollection> profitMarginTimeSeriesCollectionDictionary = IncomeStatementDA.GetProfitMarginMaxAsOf(symbols,tradeDate,3,IncomeStatement.PeriodType.Quarterly);
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MDTrace.WriteLine(LogLevel.DEBUG,$"Loaded Profit Margin Time Series in {Utility.FormatNumber(profiler.End(),0,true)} (ms)");
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for(int index=0;index<symbols.Count;index++)
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{
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String symbol=symbols[index];
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if(0==(index%1000)) Console.WriteLine("Processing item {0} of {1}",index+1,symbols.Count);
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FundamentalV2 fundamental = default;
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if(fundamentals.ContainsKey(symbol))fundamental=fundamentals[symbol];
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CompanyProfile companyProfile = default;
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if(companyProfiles.ContainsKey(symbol))companyProfile = companyProfiles[symbol];
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TimeSeriesCollection epsTimeSeriesCollection = default;
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if(epsTimeSeriesCollectionDictionary.ContainsKey(symbol))epsTimeSeriesCollection=epsTimeSeriesCollectionDictionary[symbol];
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TimeSeriesCollection profitMarginTimeSeriesCollection = default;
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if(profitMarginTimeSeriesCollectionDictionary.ContainsKey(symbol))profitMarginTimeSeriesCollection=profitMarginTimeSeriesCollectionDictionary[symbol];
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CMTCandidate cmtCandidate=CMTCandidateGenerator.GenerateCandidate(symbol,tradeDate,cmtParams,fundamental,companyProfile,historicalDates,epsTimeSeriesCollection,profitMarginTimeSeriesCollection,symbolsHeld);
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if(null==cmtCandidate) continue;
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if(cmtCandidate.Violation) cmtGeneratorResult.CMTCandidatesWithViolation.Add(cmtCandidate);
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else cmtGeneratorResult.CMTCandidates.Add(cmtCandidate);
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}
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if(null==cmtGeneratorResult.CMTCandidates||0==cmtGeneratorResult.CMTCandidates.Count)
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{
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("GenerateCMTCandidates. No candidates generated for trade date: {0}",tradeDate));
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cmtGeneratorResult.Success=true;
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return cmtGeneratorResult;
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}
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MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Generated {0} candidates.",cmtGeneratorResult.CMTCandidates.Count));
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cmtGeneratorResult.CMTCandidates.Sort();
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MDTrace.WriteLine(LogLevel.DEBUG,CMTCandidate.Header());
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foreach(CMTCandidate candidate in cmtGeneratorResult.CMTCandidates) MDTrace.WriteLine(LogLevel.DEBUG,candidate.ToString());
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cmtGeneratorResult.Success=true;
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return cmtGeneratorResult;
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}
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catch(Exception exception)
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{
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MDTrace.WriteLine(LogLevel.DEBUG,exception.ToString());
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cmtGeneratorResult.Success=false;
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cmtGeneratorResult.Messages.Add(exception.ToString());
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return cmtGeneratorResult;
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}
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}
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}
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}
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