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

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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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160
Model/ModelPerformanceAggregator.cs
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@@ -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();