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Optimizations.

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Sean
2025-03-31 15:37:29 -04:00
parent 508c0bee20
commit 7ca26df565
2 changed files with 13 additions and 94 deletions
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102
Model/ModelPerformanceAggregator.cs
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@@ -40,28 +40,6 @@ namespace TradeBlotter.Model
LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
// Fix purchase date/sell date fall on weekend
//foreach(CMTPositionModel position in positions)
//{
// if(dateGenerator.IsWeekend(position.PurchaseDate))
// {
// while(true)
// {
// position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate);
// if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break;
// }
// }
// if(dateGenerator.IsWeekend(position.SellDate))
// {
// while(true)
// {
// position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate);
// if(!HolidayDA.IsMarketHoliday(position.SellDate)) break;
// }
// }
//}
foreach(DateTime currentDate in historicalDates)
{
IEnumerable<CMTPositionModel> openPositions=positions.Where(x => (x.PurchaseDate<=currentDate&&(!Utility.IsEpoch(x.SellDate)&&x.SellDate>currentDate))||(x.PurchaseDate<=currentDate&&Utility.IsEpoch(x.SellDate))).ToList();
@@ -71,14 +49,14 @@ namespace TradeBlotter.Model
double gainLossClosedPositions=0.00;
double exposure=0.00;
double marketValue=0.00;
if(HolidayDA.IsMarketHoliday(currentDate)) continue;
// if(HolidayDA.IsMarketHoliday(currentDate)) continue;
ModelPerformanceItem performanceItem=new ModelPerformanceItem();
foreach(CMTPositionModel openPosition in openPositions)
{
exposure+=openPosition.Shares*openPosition.PurchasePrice;
if(!LocalPriceCache.GetInstance().ContainsPrice(openPosition.Symbol,currentDate))
{
Prices prices=PricingDA.GetPricesForward(openPosition.Symbol,currentDate,90);
Prices prices=PricingDA.GetPricesForward(openPosition.Symbol,currentDate,PricingDA.ForwardLookingDays);
LocalPriceCache.GetInstance().Add(prices);
}
Price price=LocalPriceCache.GetInstance().GetPrice(openPosition.Symbol,currentDate);
@@ -178,27 +156,6 @@ namespace TradeBlotter.Model
LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
// Fix purchase date/sell date fall on weekend
//foreach(CMPositionModel position in positions)
//{
// if(dateGenerator.IsWeekend(position.PurchaseDate))
// {
// while(true)
// {
// position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate);
// if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break;
// }
// }
// if(dateGenerator.IsWeekend(position.SellDate))
// {
// while(true)
// {
// position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate);
// if(!HolidayDA.IsMarketHoliday(position.SellDate)) break;
// }
// }
//}
foreach(DateTime currentDate in historicalDates)
{
IEnumerable<CMPositionModel> openPositions=positions.Where(x => (x.PurchaseDate<=currentDate&&(!Utility.IsEpoch(x.SellDate)&&x.SellDate>currentDate))||(x.PurchaseDate<=currentDate&&Utility.IsEpoch(x.SellDate))).ToList();
@@ -208,14 +165,14 @@ namespace TradeBlotter.Model
double gainLossClosedPositions=0.00;
double exposure=0.00;
double marketValue=0.00;
if(HolidayDA.IsMarketHoliday(currentDate)) continue;
// if(HolidayDA.IsMarketHoliday(currentDate)) continue;
ModelPerformanceItem performanceItem=new ModelPerformanceItem();
foreach(CMPositionModel openPosition in openPositions)
{
exposure+=openPosition.Shares*openPosition.PurchasePrice;
if(!LocalPriceCache.GetInstance().ContainsPrice(openPosition.Symbol,currentDate))
{
Prices prices=PricingDA.GetPricesForward(openPosition.Symbol,currentDate,90);
Prices prices=PricingDA.GetPricesForward(openPosition.Symbol,currentDate,PricingDA.ForwardLookingDays);
LocalPriceCache.GetInstance().Add(prices);
}
Price price=LocalPriceCache.GetInstance().GetPrice(openPosition.Symbol,currentDate);
@@ -294,27 +251,6 @@ namespace TradeBlotter.Model
LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
// Fix purchase date/sell date fall on weekend
//foreach(MGPositionModel position in positions)
//{
// if(dateGenerator.IsWeekend(position.PurchaseDate))
// {
// while(true)
// {
// position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate);
// if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break;
// }
// }
// if(dateGenerator.IsWeekend(position.SellDate))
// {
// while(true)
// {
// position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate);
// if(!HolidayDA.IsMarketHoliday(position.SellDate)) break;
// }
// }
//}
foreach(DateTime currentDate in historicalDates)
{
IEnumerable<MGPositionModel> openPositions=positions.Where(x => (x.PurchaseDate<=currentDate&&(!Utility.IsEpoch(x.SellDate)&&x.SellDate>currentDate))||(x.PurchaseDate<=currentDate&&Utility.IsEpoch(x.SellDate))).ToList();
@@ -324,14 +260,14 @@ namespace TradeBlotter.Model
double gainLossClosedPositions=0.00;
double exposure=0.00;
double marketValue=0.00;
if(HolidayDA.IsMarketHoliday(currentDate)) continue;
// if(HolidayDA.IsMarketHoliday(currentDate)) continue;
ModelPerformanceItem performanceItem=new ModelPerformanceItem();
foreach(MGPositionModel openPosition in openPositions)
{
exposure+=openPosition.Shares*openPosition.PurchasePrice;
if(!LocalPriceCache.GetInstance().ContainsPrice(openPosition.Symbol,currentDate))
{
Prices prices=PricingDA.GetPricesForward(openPosition.Symbol,currentDate,90);
Prices prices=PricingDA.GetPricesForward(openPosition.Symbol,currentDate,PricingDA.ForwardLookingDays);
LocalPriceCache.GetInstance().Add(prices);
}
Price price=LocalPriceCache.GetInstance().GetPrice(openPosition.Symbol,currentDate);
@@ -407,28 +343,6 @@ namespace TradeBlotter.Model
LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
// Fix purchase date/sell date fall on weekend
//foreach(MGSHPositionModel position in positions)
//{
// if(dateGenerator.IsWeekend(position.PurchaseDate))
// {
// while(true)
// {
// position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate);
// if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break;
// }
// }
// if(dateGenerator.IsWeekend(position.SellDate))
// {
// while(true)
// {
// position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate);
// if(!HolidayDA.IsMarketHoliday(position.SellDate)) break;
// }
// }
//}
foreach(DateTime currentDate in historicalDates)
{
IEnumerable<MGSHPositionModel> openPositions=positions.Where(x => (x.PurchaseDate<=currentDate&&(!Utility.IsEpoch(x.SellDate)&&x.SellDate>currentDate))||(x.PurchaseDate<=currentDate&&Utility.IsEpoch(x.SellDate))).ToList();
@@ -438,14 +352,14 @@ namespace TradeBlotter.Model
double gainLossClosedPositions=0.00;
double exposure=0.00;
double marketValue=0.00;
if(HolidayDA.IsMarketHoliday(currentDate)) continue;
// if(HolidayDA.IsMarketHoliday(currentDate)) continue;
ModelPerformanceItem performanceItem=new ModelPerformanceItem();
foreach(MGSHPositionModel openPosition in openPositions)
{
exposure+=openPosition.Shares*openPosition.PurchasePrice;
if(!LocalPriceCache.GetInstance().ContainsPrice(openPosition.Symbol,currentDate))
{
Prices prices=PricingDA.GetPricesForward(openPosition.Symbol,currentDate,90);
Prices prices=PricingDA.GetPricesForward(openPosition.Symbol,currentDate,PricingDA.ForwardLookingDays);
LocalPriceCache.GetInstance().Add(prices);
}
Price price=LocalPriceCache.GetInstance().GetPrice(openPosition.Symbol,currentDate);