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

160
Model/ModelPerformanceAggregator.cs
View File

@@ -40,25 +40,27 @@ namespace TradeBlotter.Model
LocalPriceCache.GetInstance().RemoveDate(maxDate); LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate); List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
foreach(CMTPositionModel position in positions) // Fix purchase date/sell date fall on weekend
{ //foreach(CMTPositionModel position in positions)
if(dateGenerator.IsWeekend(position.PurchaseDate)) //{
{ // if(dateGenerator.IsWeekend(position.PurchaseDate))
while(true) // {
{ // while(true)
position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate); // {
if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break; // position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate);
} // if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break;
} // }
if(dateGenerator.IsWeekend(position.SellDate)) // }
{ // if(dateGenerator.IsWeekend(position.SellDate))
while(true) // {
{ // while(true)
position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate); // {
if(!HolidayDA.IsMarketHoliday(position.SellDate)) break; // position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate);
} // if(!HolidayDA.IsMarketHoliday(position.SellDate)) break;
} // }
} // }
//}
foreach(DateTime currentDate in historicalDates) 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(); 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); LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate); List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
foreach(CMPositionModel position in positions) // Fix purchase date/sell date fall on weekend
{ //foreach(CMPositionModel position in positions)
if(dateGenerator.IsWeekend(position.PurchaseDate)) //{
{ // if(dateGenerator.IsWeekend(position.PurchaseDate))
while(true) // {
{ // while(true)
position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate); // {
if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break; // position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate);
} // if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break;
} // }
if(dateGenerator.IsWeekend(position.SellDate)) // }
{ // if(dateGenerator.IsWeekend(position.SellDate))
while(true) // {
{ // while(true)
position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate); // {
if(!HolidayDA.IsMarketHoliday(position.SellDate)) break; // position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate);
} // if(!HolidayDA.IsMarketHoliday(position.SellDate)) break;
} // }
} // }
//}
foreach(DateTime currentDate in historicalDates) 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(); 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); LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate); List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
foreach(MGPositionModel position in positions) // Fix purchase date/sell date fall on weekend
{ //foreach(MGPositionModel position in positions)
if(dateGenerator.IsWeekend(position.PurchaseDate)) //{
{ // if(dateGenerator.IsWeekend(position.PurchaseDate))
while(true) // {
{ // while(true)
position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate); // {
if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break; // position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate);
} // if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break;
} // }
if(dateGenerator.IsWeekend(position.SellDate)) // }
{ // if(dateGenerator.IsWeekend(position.SellDate))
while(true) // {
{ // while(true)
position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate); // {
if(!HolidayDA.IsMarketHoliday(position.SellDate)) break; // position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate);
} // if(!HolidayDA.IsMarketHoliday(position.SellDate)) break;
} // }
} // }
//}
foreach(DateTime currentDate in historicalDates) 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(); 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); LocalPriceCache.GetInstance().RemoveDate(maxDate);
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate); List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
foreach(MGSHPositionModel position in positions) // Fix purchase date/sell date fall on weekend
{ //foreach(MGSHPositionModel position in positions)
if(dateGenerator.IsWeekend(position.PurchaseDate)) //{
{ // if(dateGenerator.IsWeekend(position.PurchaseDate))
while(true) // {
{ // while(true)
position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate); // {
if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break; // position.PurchaseDate=dateGenerator.GetNextBusinessDay(position.PurchaseDate);
} // if(!HolidayDA.IsMarketHoliday(position.PurchaseDate)) break;
} // }
if(dateGenerator.IsWeekend(position.SellDate)) // }
{ // if(dateGenerator.IsWeekend(position.SellDate))
while(true) // {
{ // while(true)
position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate); // {
if(!HolidayDA.IsMarketHoliday(position.SellDate)) break; // position.SellDate=dateGenerator.GetNextBusinessDay(position.SellDate);
} // if(!HolidayDA.IsMarketHoliday(position.SellDate)) break;
} // }
} // }
//}
foreach(DateTime currentDate in historicalDates) 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(); IEnumerable<MGSHPositionModel> openPositions=positions.Where(x => (x.PurchaseDate<=currentDate&&(!Utility.IsEpoch(x.SellDate)&&x.SellDate>currentDate))||(x.PurchaseDate<=currentDate&&Utility.IsEpoch(x.SellDate))).ToList();