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Code cleanup and optimization of CMTModel, code cleanup MGSH, added ConsoleColor to MDTrace.

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This commit is contained in:
Sean
2025-04-10 19:15:21 -04:00
parent c407b38e08
commit 93c0642336
7 changed files with 44 additions and 15 deletions
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11
MarketDataLib/Generator/CMTrend/CMTCandidateGenerator.cs
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@@ -95,7 +95,7 @@ namespace MarketData.Generator.CMTrend
}
// Current Price Check
Price currentPrice=prices[0];
if(currentPrice.Date!=tradeDate)
if(currentPrice.Date.Date!=tradeDate.Date)
{
cmtCandidate.Violation=true;
cmtCandidate.Symbol=symbol;
@@ -203,8 +203,13 @@ namespace MarketData.Generator.CMTrend
// Trend #8 check. Evaluate the RSI
// generate a 14 day standard RSI with 30 days of pricing data
RSICollection rsiCollection=RSIGenerator.GenerateRSI(symbol,currentPrice.Date,30);
if(null==rsiCollection||0==rsiCollection.Count||rsiCollection[rsiCollection.Count-1].RSI<cmtParams.MinRSI)
Prices rsiPrices=GBPriceCache.GetInstance().GetPrices(symbol,currentPrice.Date,30);
RSICollection rsiCollection=RSIGenerator.GenerateRSI(rsiPrices);
double rsi=rsiCollection[rsiCollection.Count-1].RSI;
// RSICollection rsiCollection=RSIGenerator.GenerateRSI(symbol,currentPrice.Date,30);
// double rsi=rsiCollection[rsiCollection.Count-1].RSI;
if(null==rsiCollection||0==rsiCollection.Count||rsi<cmtParams.MinRSI)
{
cmtCandidate.Violation=true;
cmtCandidate.Symbol=symbol;

5
MarketDataLib/Generator/CMTrend/CMTSessionManager.cs
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@@ -34,11 +34,8 @@ namespace MarketData.Generator.CMTrend
}
}
// *****************************************************************************
public class CMTSessionManager
public static class CMTSessionManager
{
private CMTSessionManager()
{
}
public static bool SaveSession(CMTSessionParams sessionParams,String pathSessionFile)
{
try

2
MarketDataLib/Generator/CMTrend/CMTTrendGenerator.cs
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@@ -20,6 +20,8 @@ namespace MarketData.Generator.CMTrend
try
{
List<String> symbols=PricingDA.GetSymbols();
Dictionary<String,DateTime> latestDates = PricingDA.GetLatestDates(symbols);
symbols=symbols.Where(x => latestDates.ContainsKey(x) && latestDates[x].Date>=tradeDate.Date).ToList();
for(int index=0;index<symbols.Count;index++)
{
String symbol=symbols[index];

16
MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs
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@@ -536,8 +536,8 @@ namespace MarketData.Generator.MGSHMomentum
AnalysisDate=analysisDate;
if(startDate != TradeDate)
{
MDTrace.WriteLine(LogLevel.DEBUG,$"Unexpectd StartDate. Start Date:{startDate.ToShortDateString()} Trade Date:{TradeDate.ToShortDateString()}");
{
MDTrace.WriteLine(LogLevel.DEBUG,ConsoleColor.Red,$"Unexpectd StartDate. Start Date:{startDate.ToShortDateString()} Trade Date:{TradeDate.ToShortDateString()}");
return new MGSHBacktestResult(false, CashBalance);
}
@@ -826,6 +826,14 @@ namespace MarketData.Generator.MGSHMomentum
{
EvaluateStopPrice(analysisDate, price, position);
}
else
{
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("[UpdateStopLimitsForActivePositions] No stop adjustment for {0} on {1} because low price {2} is less then or equal to the purchase price {3}.",
position.Symbol,
analysisDate.ToShortDateString(),
Utility.FormatCurrency(price.Low),
Utility.FormatCurrency(position.PurchasePrice)));
}
}
}
if(0!=closedPositions.Count)
@@ -1063,8 +1071,8 @@ namespace MarketData.Generator.MGSHMomentum
{
List<MGSHPosition> positions=ActivePositions[slotIndex];
if(null==positions||0==positions.Count)continue;
exposure+=(from Position position in positions select position.Exposure).Sum();
marketValue+=(from Position position in positions select position.MarketValue).Sum();
exposure+=(from MGSHPosition position in positions select position.Exposure).Sum();
marketValue+=(from MGSHPosition position in positions select position.MarketValue).Sum();
}
gainLoss.Exposure=exposure;
gainLoss.MarketValue=marketValue;

9
MarketDataLib/Generator/RSIGenerator.cs
View File

@@ -66,13 +66,19 @@ namespace MarketData.Generator
}
rsiCollection=new RSICollection(rsiCollection.Skip(rsiDayCount).ToList());
return rsiCollection;
// return rsiCollection;
}
public static RSICollection GenerateRSI(String symbol,DateTime analysisDate,int priceCount,int rsiDayCount=14)
{
if(priceCount<rsiDayCount)priceCount=(rsiDayCount*2)+1;
Prices prices=PricingDA.GetPrices(symbol,analysisDate,priceCount);
if(null==prices||priceCount!=prices.Count)return null;
return GenerateRSI(prices, rsiDayCount);
}
public static RSICollection GenerateRSI(Prices prices,int rsiDayCount=14)
{
if(null==prices || prices.Count<(rsiDayCount*2))return null;
RSICollection rsiCollection=new RSICollection();
for(int index=prices.Count-1;index>=0;index--)
{
@@ -119,7 +125,6 @@ namespace MarketData.Generator
}
rsiCollection=new RSICollection(rsiCollection.Skip(rsiDayCount).ToList());
return rsiCollection;
// return rsiCollection;
}
}
}

14
MarketDataLib/MDTrace.cs
View File

@@ -80,6 +80,20 @@ namespace MarketData
Console.WriteLine(message);
Flush();
}
/// <summary>WriteLine - Writes a line of text to trace log.</summary>
/// <param name="message">string content of message to write.</param>
/// <returns>void</returns>
public static void WriteLine(LogLevel logLevel,ConsoleColor consoleColor,string message)
{
if(MDTrace.logLevel<logLevel)return;
Trace.WriteLine(GetCallerIP()+GetThreadRep()+GetLogLevelRep()+"["+DateTime.Now.ToString()+"]"+" "+GetMethodInfo()+message);
ConsoleColor currentColor=Console.ForegroundColor;
Console.ForegroundColor = consoleColor;
Console.WriteLine(message);
Console.ForegroundColor=currentColor;
Flush();
}
/// <summary>Indent - set trace log indentation.</summary>
/// <returns>void</returns>
// [Conditional("TRACE")]