/// <summary>
/// Determines whether or not this context/alpha can be analyzed for the specified score type
/// </summary>
/// <param name="scoreType">The type of alpha score</param>
/// <returns>True to proceed with analyzing this alpha for the specified score type, false to skip analysis of the score type</returns>
public bool ShouldAnalyze(AlphaScoreType scoreType)
{
if (scoreType == AlphaScoreType.Magnitude)
{
return(Alpha.Magnitude.HasValue);
}
return(true);
}
/// <summary>
/// Gets the specified score
/// </summary>
/// <param name="type">The type of score to get, Direction/Magnitude</param>
/// <returns>The requested score</returns>
public double GetScore(AlphaScoreType type)
{
switch (type)
{
case AlphaScoreType.Direction:
return(Direction);
case AlphaScoreType.Magnitude:
return(Magnitude);
default:
throw new ArgumentOutOfRangeException(nameof(type), type, null);
}
}
/// <summary>
/// Sets the specified score type with the value
/// </summary>
/// <param name="type">The score type to be set, Direction/Magnitude</param>
/// <param name="value">The new value for the score</param>
/// <param name="algorithmUtcTime">The algorithm's utc time at which time the new score was computed</param>
internal void SetScore(AlphaScoreType type, double value, DateTime algorithmUtcTime)
{
UpdatedTimeUtc = algorithmUtcTime;
switch (type)
{
case AlphaScoreType.Direction:
Direction = Math.Max(0, Math.Min(1, value));
break;
case AlphaScoreType.Magnitude:
Magnitude = Math.Max(0, Math.Min(1, value));
break;
default:
throw new ArgumentOutOfRangeException(nameof(type), type, null);
}
}
/// <inheritdoc />
public double Evaluate(AlphaAnalysisContext context, AlphaScoreType scoreType)
{
var alpha = context.Alpha;
var startingValue = context.InitialValues.Get(alpha.Type);
var currentValue = context.CurrentValues.Get(alpha.Type);
switch (alpha.Direction)
{
case AlphaDirection.Down:
return(currentValue < startingValue ? 1 : 0);
case AlphaDirection.Flat:
// can't really do percent changes with zero
if (startingValue == 0)
{
return(currentValue == startingValue ? 1 : 0);
}
// TODO : Re-evaluate flat predictions, potentially adding IAlpha.Tolerance to say 'how flat'
var deltaPercent = Math.Abs(currentValue - startingValue) / startingValue;
if (alpha.Magnitude.HasValue)
{
return(Math.Abs(deltaPercent) < (decimal)Math.Abs(alpha.Magnitude.Value) ? 1 : 0);
}
// this is pretty much impossible, I suppose unless the ticks are large and/or volumes are small
return(currentValue == startingValue ? 1 : 0);
case AlphaDirection.Up:
return(currentValue > startingValue ? 1 : 0);
default:
throw new ArgumentOutOfRangeException();
}
}
/// <inheritdoc />
public IAlphaScoreFunction GetScoreFunction(AlphaType alphaType, AlphaScoreType scoreType)
{
return(Function);
}
