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Fix GLPriceCache

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This commit is contained in:
Sean
2026-02-26 16:24:35 -05:00
parent d0eb2f38f6
commit 2f9c01e5a0
6 changed files with 497 additions and 18 deletions
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8
MarketDataLib/Generator/GainLoss/ActiveGainLossGenerator.cs
View File

@@ -18,7 +18,7 @@ namespace MarketData.Generator.GainLoss
}
//public void RefreshPriceCache()
//{
// LocalPriceCache.GetInstance().Refresh();
// GLPriceCache.GetInstance().Refresh();
//}
// *****************************************************************************************************************************************************************
// ************************************************ G E N E R A T E A C T I V E G A I N L O S S / G A I N L O S S P E R C E N T *****************************
@@ -26,7 +26,7 @@ namespace MarketData.Generator.GainLoss
public GainLossCollection GenerateGainLoss(PortfolioTrades portfolioTrades,DateTime? maxDateRef=null)
{
if (null == portfolioTrades || 0 == portfolioTrades.Count) return null;
LocalPriceCache.GetInstance().Add(portfolioTrades);
GLPriceCache.GetInstance().Add(portfolioTrades);
DateTime minTradeDate = portfolioTrades.GetMinTradeDate();
DateTime maxDate = PricingDA.GetLatestDate();
if(null!=maxDateRef)maxDate=maxDateRef.Value;
@@ -46,11 +46,11 @@ namespace MarketData.Generator.GainLoss
gainLoss.Add(holdingDate, new GainLossItem(holdingDate, 0,0,false));
continue;
}
if(!LocalPriceCache.GetInstance().ContainsPrice(openTrades.Symbols,holdingDate))
if(!GLPriceCache.GetInstance().ContainsPrice(openTrades.Symbols,holdingDate))
{
if(holdingDate.Date.Equals(maxDate))
{
LocalPriceCache.GetInstance().Add(openTrades.Symbols,holdingDate);
GLPriceCache.GetInstance().Add(openTrades.Symbols,holdingDate);
}else continue;
}
foreach (PortfolioTrade portfolioTrade in openTrades)

8
MarketDataLib/Generator/GainLoss/GainLossGenerator.cs
View File

@@ -22,10 +22,10 @@ namespace MarketData.Generator.GainLoss
public TotalGainLossCollection GenerateTotalGainLoss(PortfolioTrades portfolioTrades,DateTime? maxDateRef=null)
{
if (null == portfolioTrades || 0 == portfolioTrades.Count) return null;
LocalPriceCache.GetInstance().Add(portfolioTrades);
GLPriceCache.GetInstance().Add(portfolioTrades);
DateTime minTradeDate = portfolioTrades.GetMinTradeDate();
// DateTime maxDate = PricingDA.GetLatestDate();
DateTime maxDate=LocalPriceCache.GetInstance().GetLatestDate();
DateTime maxDate=GLPriceCache.GetInstance().GetLatestDate();
if(null!=maxDateRef)maxDate=maxDateRef.Value;
Dictionary<DateTime,TotalGainLossItem> gainLossCollection = new Dictionary<DateTime, TotalGainLossItem>();
DateGenerator dateGenerator = new DateGenerator();
@@ -75,10 +75,10 @@ namespace MarketData.Generator.GainLoss
public TotalGainLossCollection GenerateTotalGainLossWithDividends(PortfolioTrades portfolioTrades,DividendPayments dividendPayments,DateTime? maxDateRef=null)
{
if (null == portfolioTrades || 0 == portfolioTrades.Count) return null;
LocalPriceCache.GetInstance().Add(portfolioTrades);
GLPriceCache.GetInstance().Add(portfolioTrades);
DateTime minTradeDate = portfolioTrades.GetMinTradeDate();
// DateTime maxDate = PricingDA.GetLatestDate();
DateTime maxDate=LocalPriceCache.GetInstance().GetLatestDate();
DateTime maxDate=GLPriceCache.GetInstance().GetLatestDate();
if(null!=maxDateRef)maxDate=maxDateRef.Value;
Dictionary<DateTime,TotalGainLossItem> gainLossCollection = new Dictionary<DateTime, TotalGainLossItem>();
DateGenerator dateGenerator = new DateGenerator();

12
MarketDataLib/Generator/GainLoss/GainLossGeneratorCum.cs
View File

@@ -19,12 +19,12 @@ namespace MarketData.Generator.GainLoss
DateGenerator dateGenerator=new DateGenerator();
ModelPerformanceSeries performanceSeries=new ModelPerformanceSeries();
List<TotalGainLossItem> gainLossList=new List<TotalGainLossItem>();
LocalPriceCache.GetInstance().Add(portfolioTrades);
GLPriceCache.GetInstance().Add(portfolioTrades);
try
{
if(!ValidatePortfolioTrades(portfolioTrades))return null;
DateTime minDate=portfolioTrades.GetMinTradeDate();
DateTime maxDate = LocalPriceCache.GetInstance().GetLatestDate();
DateTime maxDate = GLPriceCache.GetInstance().GetLatestDate();
if(null!=maxDateRef) maxDate=maxDateRef.Value;
double prevGainLoss=double.NaN;
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
@@ -46,7 +46,7 @@ namespace MarketData.Generator.GainLoss
foreach(PortfolioTrade openPosition in openPositions)
{
exposure+=openPosition.Shares*openPosition.Price;
Price price=LocalPriceCache.GetInstance().GetPrice(openPosition.Symbol,currentDate);
Price price=GLPriceCache.GetInstance().GetPrice(openPosition.Symbol,currentDate);
if(null==price)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("No price for {0} on {1}",openPosition.Symbol,currentDate.ToShortDateString()));
@@ -98,12 +98,12 @@ namespace MarketData.Generator.GainLoss
DateGenerator dateGenerator=new DateGenerator();
ModelPerformanceSeries performanceSeries=new ModelPerformanceSeries();
List<TotalGainLossItem> gainLossList=new List<TotalGainLossItem>();
LocalPriceCache.GetInstance().Add(portfolioTrades);
GLPriceCache.GetInstance().Add(portfolioTrades);
try
{
if(!ValidatePortfolioTrades(portfolioTrades)) return null;
DateTime minDate=portfolioTrades.Min(x => x.TradeDate);
DateTime maxDate = LocalPriceCache.GetInstance().GetLatestDate();
DateTime maxDate = GLPriceCache.GetInstance().GetLatestDate();
double prevGainLoss=double.NaN;
List<DateTime> historicalDates=dateGenerator.GenerateHistoricalDates(minDate,maxDate);
@@ -123,7 +123,7 @@ namespace MarketData.Generator.GainLoss
foreach(PortfolioTrade openPosition in openPositions)
{
exposure+=openPosition.Shares*openPosition.Price;
Price price=LocalPriceCache.GetInstance().GetPrice(openPosition.Symbol,currentDate);
Price price=GLPriceCache.GetInstance().GetPrice(openPosition.Symbol,currentDate);
if(null==price)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("No price for {0} on {1}",openPosition.Symbol,currentDate.ToShortDateString()));

8
MarketDataLib/Generator/GainLoss/GainLossHelper.cs
View File

@@ -20,7 +20,7 @@ namespace MarketData.Generator.GainLoss
if(holdingDate<portfolioTrade.TradeDate) return null;
if(portfolioTrade.IsOpen||(portfolioTrade.IsClosed&&portfolioTrade.SellDate>holdingDate))
{
Price price=LocalPriceCache.GetInstance().GetPrice(portfolioTrade.Symbol,holdingDate);
Price price=GLPriceCache.GetInstance().GetPrice(portfolioTrade.Symbol,holdingDate);
if(null==price)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("No price for {0} on {1}",portfolioTrade.Symbol,Utility.DateTimeToStringMMHDDHYYYY(holdingDate)));
@@ -35,7 +35,7 @@ namespace MarketData.Generator.GainLoss
if(holdingDate<portfolioTrade.TradeDate) return null;
if(portfolioTrade.IsOpen||(portfolioTrade.IsClosed&&portfolioTrade.SellDate>holdingDate))
{
Price price=LocalPriceCache.GetInstance().GetPrice(portfolioTrade.Symbol,holdingDate);
Price price=GLPriceCache.GetInstance().GetPrice(portfolioTrade.Symbol,holdingDate);
if(null==price)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("No price for {0} on {1}",portfolioTrade.Symbol,Utility.DateTimeToStringMMHDDHYYYY(holdingDate)));
@@ -69,7 +69,7 @@ namespace MarketData.Generator.GainLoss
{
return (portfolioTrade.SellPrice*portfolioTrade.Shares)-(portfolioTrade.Price*portfolioTrade.Shares);
}
Price price=LocalPriceCache.GetInstance().GetPrice(portfolioTrade.Symbol,holdingDate);
Price price=GLPriceCache.GetInstance().GetPrice(portfolioTrade.Symbol,holdingDate);
if(null==price)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("No price for {0} on {1}",portfolioTrade.Symbol,Utility.DateTimeToStringMMHDDHYYYY(holdingDate)));
@@ -83,7 +83,7 @@ namespace MarketData.Generator.GainLoss
if(!portfolioTrade.SellDate.Equals(Utility.Epoch)&&holdingDate>portfolioTrade.SellDate) return null;
// check to see if we bought and sold on the same date.
if(portfolioTrade.SellDate.Equals(portfolioTrade.TradeDate)) return (portfolioTrade.SellPrice*portfolioTrade.Shares);
Price price=LocalPriceCache.GetInstance().GetPrice(portfolioTrade.Symbol,holdingDate);
Price price=GLPriceCache.GetInstance().GetPrice(portfolioTrade.Symbol,holdingDate);
if(null==price)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("No price for {0} on {1}",portfolioTrade.Symbol,Utility.DateTimeToStringMMHDDHYYYY(holdingDate)));