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

MarketDataLib/Generator/CMTrend/CMTCandidateGenerator.cs

@@ -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);                          
+        Prices rsiPrices=GBPriceCache.GetInstance().GetPrices(symbol,currentPrice.Date,30);
-        if(null==rsiCollection||0==rsiCollection.Count||rsiCollection[rsiCollection.Count-1].RSI<cmtParams.MinRSI)
+        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;

MarketDataLib/Generator/CMTrend/CMTSessionManager.cs

@@ -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

MarketDataLib/Generator/CMTrend/CMTTrendGenerator.cs

@@ -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];

MarketDataLib/Generator/MGSHMomentum/MGSHBacktest.cs

@@ -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();
+        exposure+=(from MGSHPosition position in positions select position.Exposure).Sum();
-        marketValue+=(from Position position in positions select position.MarketValue).Sum();
+        marketValue+=(from MGSHPosition position in positions select position.MarketValue).Sum();
       }
       gainLoss.Exposure=exposure;
       gainLoss.MarketValue=marketValue;

MarketDataLib/Generator/RSIGenerator.cs

@@ -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;
     }
   }
 }

MarketDataLib/MDTrace.cs

@@ -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")]

Program.cs

@@ -1030,8 +1030,6 @@ namespace MarketData
         Trace.Listeners.Add(new TextWriterTraceListener(strLogFile));
         DateTime currentDate=DateTime.Now;
 
-        Environment.OSVersion.VersionString;
-
 //        CheckPricesForHoldings();
 
 //        Price price = MarketDataHelper.GetLatestPriceBigCharts("NVDA");