Init

2024-02-23 06:53:16 -05:00
commit dbdccce727
1094 changed files with 57645 additions and 0 deletions
--- a/MarketDataLib/MarketDataModel/PortfolioTrades.cs
+++ b/MarketDataLib/MarketDataModel/PortfolioTrades.cs
@@ -0,0 +1,179 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using MarketData.Utils;
+
+namespace MarketData.MarketDataModel
+{
+  public class Position
+  {
+    public String Symbol { get; set; }
+    public double Shares{get;set;}
+    public double Exposure { get; set; }
+    public double MarketValue { get; set; }
+  }
+  public class PortfolioTrades : List<PortfolioTrade>
+  {
+    public PortfolioTrades()
+    {
+    }
+    public PortfolioTrades(List<PortfolioTrade> trades)
+    {
+      if(null==trades)return;
+      for (int index = 0; index < trades.Count; index++) Add(trades[index]);
+    }
+    public List<String> Symbols
+    {
+      get
+      {
+        Dictionary<String, String> uniqueSymbols = new Dictionary<String, String>();
+        List<String> symbols = new List<String>();
+        foreach (PortfolioTrade portfolioTrade in this)
+        {
+          if (!uniqueSymbols.ContainsKey(portfolioTrade.Symbol)) uniqueSymbols.Add(portfolioTrade.Symbol, portfolioTrade.Symbol);
+        }
+        symbols = new List<String>(uniqueSymbols.Values);
+        symbols.Sort();
+        return symbols;
+      }
+    }
+    public List<Position> GetPositions(DateTime asOf)
+    {
+      List<Position> positions = new List<Position>();
+      List<String> symbols = Symbols;
+      foreach (String symbol in symbols) positions.Add(GetPosition(symbol, asOf));
+      return positions;
+    }
+    public Position GetPosition(String symbol,DateTime asof)
+    {
+      List<PortfolioTrade> portfolioTrades = new List<PortfolioTrade>();
+      for (int index = 0; index < Count; index++)
+      {
+        PortfolioTrade portfolioTrade = this[index];
+        if (!portfolioTrade.Symbol.Equals(symbol)) continue;
+        if (portfolioTrade.IsOpen && portfolioTrade.TradeDate<=asof) { portfolioTrades.Add(portfolioTrade); continue; }
+        if (portfolioTrade.IsClosed && portfolioTrade.SellDate > asof) { portfolioTrades.Add(portfolioTrade); continue; }
+      }
+      if (0 == portfolioTrades.Count) return null;
+      Position position = new Position();
+      position.Symbol = symbol;
+      position.Shares = portfolioTrades.Sum(x => x.Shares);
+      position.Exposure = portfolioTrades.Sum(x=>x.Shares*x.Price);
+      return position;
+    }
+    public double Exposure(){return this.Sum(x=>x.Exposure());}
+    public List<String> Accounts
+    {
+      get
+      {
+        Dictionary<String, String> uniqueAccounts = new Dictionary<String, String>();
+        List<String> accounts = new List<String>();
+        foreach (PortfolioTrade portfolioTrade in this)
+        {
+          if (!uniqueAccounts.ContainsKey(portfolioTrade.Account)) uniqueAccounts.Add(portfolioTrade.Account, portfolioTrade.Account);
+        }
+        accounts = new List<String>(uniqueAccounts.Values);
+        accounts.Sort();
+        return accounts;
+      }
+    }
+    public DateTime GetMinTradeDate()
+    {
+      DateTime minDate = Utility.Epoch;
+      minDate = (from portfolioTrade in this select portfolioTrade.TradeDate).Min();
+      return minDate;
+    }
+		public DateTime GetMinTradeDate(String symbol)
+		{
+			DateTime minDate=Utility.Epoch;
+			symbol=symbol.ToUpper();
+      minDate = (from portfolioTrade in this where portfolioTrade.Symbol.Equals(symbol) select portfolioTrade.TradeDate).Min();
+      return minDate;
+		}
+
+// We just want the trades (open or closed) on or before the specified date.   This will be used to run a cumulative gain/loss and return
+    public PortfolioTrades GetTradesOnOrBefore(DateTime date)
+    {
+      PortfolioTrades tradesOnOrBefore = new PortfolioTrades();
+      foreach (PortfolioTrade portfolioTrade in this)
+      {
+        if (date >= portfolioTrade.TradeDate) tradesOnOrBefore.Add(portfolioTrade);
+      }
+      return tradesOnOrBefore;
+    }
+// This will remove trades that are status='CLOSED' and SELL_DATE=closingDate
+// The user of this fucntion would be making the inference that a trade that closed on closingDate should not be seen as part of the holdings.
+// For example.  The assumption would be that trades that closed on closingDate would not be a part of the portfolio on closingDate
+    public PortfolioTrades RemoveClosedTradesWhereClosedOn(DateTime closingDate)
+    {
+      PortfolioTrades portfolioTrades;
+      List<PortfolioTrade> removeTrades = (from PortfolioTrade portfolioTrade in this where portfolioTrade.Status.Equals("CLOSED") && portfolioTrade.SellDate.Date.Equals(closingDate.Date) select portfolioTrade).ToList();
+      if (null != removeTrades && 0 != removeTrades.Count) portfolioTrades = new PortfolioTrades(this.Except(removeTrades).ToList());
+      else portfolioTrades = this;
+      return portfolioTrades;
+    }
+    public PortfolioTrades GetOpenTradesOn(DateTime date)
+    {
+      PortfolioTrades openTrades = new PortfolioTrades();
+      foreach (PortfolioTrade portfolioTrade in this)
+      {
+        if (Utility.Epoch.Equals(portfolioTrade.SellDate))  // No sell date so trade is open
+        {
+          if (date >= portfolioTrade.TradeDate) openTrades.Add(portfolioTrade);
+        }
+        else  // sell date is not epoch so see if date is in between tradedate and selldate
+        {    
+          if (date >= portfolioTrade.TradeDate && date < portfolioTrade.SellDate) openTrades.Add(portfolioTrade);  // assume that if the sell date is equal to date then the position is closed
+        }
+      }
+      return openTrades;
+    }
+    public bool HasOpenPositions(String symbol)
+    {
+      int openTrades=(from PortfolioTrade portfolioTrade in this where portfolioTrade.Symbol.Equals(symbol) && portfolioTrade.IsOpen select portfolioTrade).Count();
+      return openTrades>0?true:false;
+    }
+    public bool HasOpenPositionsOn(String symbol,DateTime dateTime)
+    {
+      PortfolioTrades portfolioTrades=GetOpenTradesOn(dateTime);
+      int numTrades=(from PortfolioTrade portfolioTrade in portfolioTrades where portfolioTrade.Symbol.Equals(symbol) select portfolioTrade).Count();
+      return numTrades>0?true:false;
+    }
+// This method relies on the fact that BreakoutTrades method in PortfolioDA.GetTradesSymbol() creates pairs of BUY and SELL legs with paired legs sharing the same TradeId.
+// The open trades will show up with count==1 when we group them by TradeId
+    public PortfolioTrades GetOpenTrades()
+    {
+      if(0==Count)return new PortfolioTrades();
+      PortfolioTrades openTrades=new PortfolioTrades((from PortfolioTrade trade in this select trade).GroupBy(x=>x.TradeId).Where(grouping=>grouping.Count()==1).Select(grouping=>grouping.FirstOrDefault()).ToList());
+      return openTrades;
+    }
+    public PortfolioTrades FilterAccount(String account)
+    {
+      PortfolioTrades portfolioTrades = new PortfolioTrades();
+      foreach (PortfolioTrade portfolioTrade in this)
+      {
+        if (portfolioTrade.Account.Equals(account)) portfolioTrades.Add(portfolioTrade);
+      }
+      return portfolioTrades;
+    }
+    public PortfolioTrades FilterAccount(List<String> accounts)
+    {
+      PortfolioTrades portfolioTrades = new PortfolioTrades();
+      foreach (PortfolioTrade portfolioTrade in this)
+      {
+				if(accounts.Any(x=>x.Equals(portfolioTrade.Account)))portfolioTrades.Add(portfolioTrade);
+      }
+      return portfolioTrades;
+    }
+    public PortfolioTrades FilterSymbol(String symbol)
+    {
+      PortfolioTrades portfolioTrades = new PortfolioTrades();
+      foreach (PortfolioTrade portfolioTrade in this)
+      {
+        if (portfolioTrade.Symbol.Equals(symbol)) portfolioTrades.Add(portfolioTrade);
+      }
+      return portfolioTrades;
+    }
+  }
+}