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Remove Fix purchase date/sell date fall on weekend from the aggregators

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This commit is contained in:
Sean
2025-02-25 15:41:51 -05:00
parent 1b56b16a30
commit d17dd3673c
2 changed files with 129 additions and 78 deletions
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47
Model/CMPositionModel.cs
View File

@@ -50,6 +50,7 @@ namespace TradeBlotter.Model
public CMPositionModel()
{
}
public CMPositionModel(Position position, int slot)
{
Slot = slot;
@@ -64,6 +65,7 @@ namespace TradeBlotter.Model
SharpeRatio = position.SharpeRatio;
CNNPrediction = position.CNNPrediction;
}
public CMPositionModel(Position position)
{
slot = -1;
@@ -78,15 +80,32 @@ namespace TradeBlotter.Model
SharpeRatio = position.SharpeRatio;
CNNPrediction = position.CNNPrediction;
}
public Position Position
{
get
{
return position;
}
}
public String Symbol
{
get { return position.Symbol; }
set { position.Symbol = value; base.OnPropertyChanged("Symbol"); }
}
public DateTime PurchaseDate
{
get { return position.PurchaseDate; }
set { position.PurchaseDate = value; base.OnPropertyChanged("PurchaseDate"); }
get
{
return position.PurchaseDate;
}
set
{
position.PurchaseDate = value;
base.OnPropertyChanged("PurchaseDate");
}
}
public Brush PurchaseDateColor
@@ -127,11 +146,13 @@ namespace TradeBlotter.Model
return dateGenerator.DaysBetween(PurchaseDate, SellDate);
}
}
public int Slot
{
get { return slot; }
set { slot = value; base.OnPropertyChanged("Slot"); }
}
public String SlotAsString
{
get
@@ -140,16 +161,19 @@ namespace TradeBlotter.Model
return Slot.ToString();
}
}
public double Shares
{
get { return position.Shares; }
set { position.Shares = value; base.OnPropertyChanged("Shares"); base.OnPropertyChanged("Exposure"); base.OnPropertyChanged("ActiveExposure"); base.OnPropertyChanged("MarketValue"); base.OnPropertyChanged("ActiveMarketValue"); base.OnPropertyChanged("GainLoss"); base.OnPropertyChanged("GainLossPcnt"); }
}
public double PurchasePrice
{
get { return position.PurchasePrice; }
set { position.PurchasePrice = value; base.OnPropertyChanged("PurchasePrice"); base.OnPropertyChanged("Exposure"); base.OnPropertyChanged("ActiveExposure"); base.OnPropertyChanged("GainLoss"); base.OnPropertyChanged("GainLossPcnt"); }
}
public double CurrentPrice
{
get { return position.CurrentPrice; }
@@ -170,6 +194,7 @@ namespace TradeBlotter.Model
base.OnPropertyChanged("CurrentPriceColor");
}
}
public double RSI3
{
get { return rsi3; }
@@ -181,11 +206,13 @@ namespace TradeBlotter.Model
base.OnPropertyChanged("RSI3Color");
}
}
public DateTime LastUpdated
{
get { return lastUpdated; }
set { lastUpdated = value; base.OnPropertyChanged("LastUpdated"); }
}
public Brush CurrentPriceColor
{
get
@@ -196,6 +223,7 @@ namespace TradeBlotter.Model
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public Brush RSI3Color
{
get
@@ -205,14 +233,17 @@ namespace TradeBlotter.Model
return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double Exposure
{
get { return Shares * PurchasePrice; }
}
public double ActiveExposure
{
get { return IsActivePosition ? Exposure : 0.00; }
}
public Brush ActiveExposureColor
{
get
@@ -221,19 +252,23 @@ namespace TradeBlotter.Model
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public bool CNNPrediction
{
get { return position.CNNPrediction; }
set { position.CNNPrediction = value; base.OnPropertyChanged("CNNPrediction"); }
}
public double MarketValue
{
get { return Shares * CurrentPrice; }
}
public double ActiveMarketValue
{
get { return IsActivePosition ? MarketValue : 0.00; }
}
public Brush ActiveMarketValueColor
{
get
@@ -244,10 +279,12 @@ namespace TradeBlotter.Model
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double GainLoss
{
get { return MarketValue - Exposure; }
}
public Brush GainLossColor
{
get
@@ -258,10 +295,12 @@ namespace TradeBlotter.Model
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double GainLossPcnt
{
get { return (MarketValue - Exposure) / Exposure; }
}
public Brush GainLossPcntColor
{
get
@@ -272,21 +311,25 @@ namespace TradeBlotter.Model
else return BrushCollection.GetContextBrush(BrushCollection.BrushColor.Black);
}
}
public double Beta
{
get { return position.Beta; }
set { position.Beta = value; base.OnPropertyChanged("Beta"); }
}
public int BetaMonths
{
get { return position.BetaMonths; }
set { position.BetaMonths = value; base.OnPropertyChanged("BetaMonths"); }
}
public double SharpeRatio
{
get { return position.SharpeRatio; }
set { position.SharpeRatio = value; base.OnPropertyChanged("SharpeRatio"); }
}
public bool IsActivePosition
{
get { return Utility.IsEpoch(SellDate) ? true : false; }

160
Model/ModelPerformanceAggregator.cs
View File

@@ -40,25 +40,27 @@ namespace TradeBlotter.Model
LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
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;
}
}
}
// 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();
@@ -175,25 +177,27 @@ namespace TradeBlotter.Model
LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
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;
}
}
}
// 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();
@@ -289,25 +293,27 @@ namespace TradeBlotter.Model
LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
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;
}
}
}
// 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();
@@ -401,25 +407,27 @@ namespace TradeBlotter.Model
LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
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;
}
}
}
// 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();