90 lines
3.3 KiB
C#
90 lines
3.3 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Runtime.Serialization;
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using System.Text;
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using System.Threading.Tasks;
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using MarketData.MarketDataModel;
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using MarketData.Utils;
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using MarketData.DataAccess;
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using MarketData.Numerical;
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using MarketData.Cache;
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namespace MarketData.Generator.ModelGenerators
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{
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public class EdgeRatioGenerator
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{
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private EdgeRatioGenerator()
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{
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}
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public static EdgeRatioResult CalculateEdgeRatio(String symbol,DateTime purchaseDate,double purchasePrice,DateTime asOf)
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{
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EdgeRatioResult edgeRatioResult=new EdgeRatioResult();
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DateGenerator dateGenerator=new DateGenerator();
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DateTime lastBusinesDate=dateGenerator.GetPrevBusinessDay(asOf);
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Dictionary<DateTime,TrueRangeResult> trueRangeResults=new Dictionary<DateTime,TrueRangeResult>();
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double[] mae=null;
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double[] mfe=null;
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double[] atr=null;
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try
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{
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List<DateTime> seriesDates=dateGenerator.GenerateHistoricalDates(purchaseDate,asOf);
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mae=new double[seriesDates.Count];
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mfe=new double[seriesDates.Count];
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atr=new double[seriesDates.Count];
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double sumMAEPlusATR=0.00;
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double sumMFEPlusATR=0.00;
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double averageMAE=0.00;
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double averageMFE=0.00;
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asOf=dateGenerator.GetPrevBusinessDay(asOf);
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for(int index=0;index<seriesDates.Count;index++)
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{
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DateTime seriesDate=seriesDates[index];
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Price seriesPrice=null;
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if(seriesDate.Date.Equals(lastBusinesDate.Date))seriesPrice=PricingDA.GetPrice(symbol,seriesDate); // ensure we always get a hot price for last business date, other price may originate from cache
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else seriesPrice=GBPriceCache.GetInstance().GetPrice(symbol,seriesDate);
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if(null==seriesPrice)
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{
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edgeRatioResult.Message=String.Format("Price not available for {0} on {1}",symbol,seriesDate.ToShortDateString());
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return edgeRatioResult;
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}
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mfe[index]=(seriesPrice.High-purchasePrice)<0.00?0.00:(seriesPrice.High-purchasePrice);
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mae[index]=(purchasePrice-seriesPrice.Low)<0.00?0.00:(purchasePrice-seriesPrice.Low);
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atr[index]=TrueRangeGenerator.GenerateAverageTrueRange(symbol,seriesDate).AverageTrueRange;
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}
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for(int index=0;index<seriesDates.Count;index++)
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{
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sumMAEPlusATR+=(mae[index]+atr[index]);
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sumMFEPlusATR+=(mfe[index]+atr[index]);
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}
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averageMAE=sumMAEPlusATR/(double)seriesDates.Count;
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averageMFE=sumMFEPlusATR/(double)seriesDates.Count;
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edgeRatioResult.EdgeRatio=averageMFE/averageMAE;
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edgeRatioResult.Success=true;
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edgeRatioResult.Message=String.Format("EdgeRatio for {0} purchased on {1} @ {2} from {3} -> {4}",symbol,purchaseDate.ToShortDateString(),Utility.FormatCurrency(purchasePrice),purchaseDate.ToShortDateString(),asOf.ToShortDateString());
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return edgeRatioResult;
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}
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catch(Exception exception)
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{
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edgeRatioResult.Message=exception.ToString();
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return edgeRatioResult;
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}
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}
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}
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public class EdgeRatioResult
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{
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public EdgeRatioResult()
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{
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Success=false;
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EdgeRatio=double.NaN;
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Message=null;
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}
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public double EdgeRatio{get;set;}
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public bool Success{get;set;}
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public String Message{get;set;}
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}
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}
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