public void Create(ConstructGen<double> wts_, FXGroup[] groups_)
{
ConstructGen<double> groupConv = new ConstructGen<double>(groups_.Length);
groupConv.ColumnHeadings = groups_.Select(x => x.ToString()).ToArray();
Currency[] ccys = wts_.ColumnHeadings.Select(x => Singleton<FXIDs>.Instance[x]).ToArray();
List<int[]> indicies =new List<int[]>();
foreach(FXGroup group in groups_)
{
List<int> groupIndicies=new List<int>();
for(int i=0;i<ccys.Length;++i)
if(ccys[i].IsGroup(group))
groupIndicies.Add(i);
indicies.Add(groupIndicies.ToArray());
}
foreach (DateTime date in wts_.Dates)
{
double[] dateWeights = wts_.GetValues(date);
double[] buckets = new double[groups_.Length];
for(int g=0;g<groups_.Length;++g)
foreach (int index in indicies[g])
buckets[g] += dateWeights[index];
groupConv.SetValues(date, buckets);
}
DataTable dt1 = groupConv.ToDataTable(groupConv.ColumnHeadings, "Date", "dd-MMM-yyyy");
Chart.ChartType = Infragistics.UltraChart.Shared.Styles.ChartType.Composite;
ChartArea area = new ChartArea();
Chart.CompositeChart.ChartAreas.Add(area);
AxisItem axisY = new AxisItem();
axisY.Extent = 50;
axisY.DataType = AxisDataType.Numeric;
axisY.OrientationType = AxisNumber.Y_Axis;
axisY.LineColor = Color.Blue;
axisY.Labels.Visible = true;
area.Axes.Add(axisY);
AxisItem axisX = new AxisItem();
axisX.DataType = AxisDataType.String;
axisX.Extent = 80;
axisX.SetLabelAxisType = Infragistics.UltraChart.Core.Layers.SetLabelAxisType.GroupBySeries;
axisX.OrientationType = AxisNumber.X_Axis;
axisX.LineColor = Color.Blue;
axisX.Labels.Orientation = TextOrientation.VerticalLeftFacing;
axisX.Labels.SeriesLabels.Orientation = TextOrientation.VerticalLeftFacing;
area.Axes.Add(axisX);
AxisItem axisX2 = new AxisItem();
axisX2.DataType = AxisDataType.String;
axisX2.Extent = 80;
axisX2.OrientationType = AxisNumber.X_Axis;
axisX2.LineColor = Color.Blue;
axisX2.Labels.Orientation = TextOrientation.VerticalLeftFacing;
axisX2.Labels.SeriesLabels.Orientation = TextOrientation.VerticalLeftFacing;
axisX2.SetLabelAxisType = SetLabelAxisType.ContinuousData;
area.Axes.Add(axisX2);
ChartLayerAppearance myColumnLayer = new ChartLayerAppearance();
myColumnLayer.ChartType = ChartType.StackColumnChart;
myColumnLayer.ChartArea = area;
foreach (FXGroup group in groups_)
{
NumericSeries series1 = new NumericSeries();
series1.Key = group.ToString();
series1.DataBind(dt1, group.ToString(), "Date");
series1.PEs.Add(new PaintElement(ColorAttribute.GetAttribute(group).Color));
myColumnLayer.Series.Add(series1);
Chart.CompositeChart.Series.Add(series1);
}
DataTable dt2 = wts_.SumRows().ToDataTable(format_:"dd-MMM-yyyy");
ChartLayerAppearance myColumnLayer2 = new ChartLayerAppearance();
myColumnLayer2.ChartType = ChartType.LineChart;
myColumnLayer2.ChartArea = area;
NumericSeries seriesA = new NumericSeries();
seriesA.Key = "Sum of Wts";
seriesA.DataBind(dt2, "Value", "Date");
seriesA.PEs.Add(new PaintElement(Color.Orange));
myColumnLayer2.Series.Add(seriesA);
Chart.CompositeChart.Series.Add(seriesA);
LineChartAppearance la = new LineChartAppearance();
la.Thickness = 4;
myColumnLayer2.ChartTypeAppearance = la;
myColumnLayer.AxisX = axisX;
myColumnLayer.AxisY = axisY;
myColumnLayer2.AxisX = axisX2;
myColumnLayer2.AxisY = axisY;
myColumnLayer.SwapRowsAndColumns = true;
this.Chart.CompositeChart.ChartLayers.Add(myColumnLayer);
this.Chart.CompositeChart.ChartLayers.Add(myColumnLayer2);
EstablishDefaultTooltip();
m_wts = wts_;
m_groups = groups_;
pbSplitIntoYears.BringToFront();
}
public static void Test()
{
const int lookback = 5;
const WeightGeneratorType genType = WeightGeneratorType.LongestZScoreOverThreshold;
SpreadWeightGenerator[] arr = new[]
{
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 50,
ZScoreThreshold = 1.3d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Sugar, 0, MonthCode.V),
new MonthYearOffset(ComIDs.Sugar, 1, MonthCode.K),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Sugar, 0, MonthCode.V),
// new MonthYearOffset(ComIDs.Sugar, 1, MonthCode.K),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1.5d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.H),
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.X),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 60,
ZScoreThreshold = 1.2d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.NymexGas, 0, MonthCode.H),
new MonthYearOffset(ComIDs.NymexGas, 0, MonthCode.X),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 90,
// ZScoreThreshold = 1.7d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.H),
// new MonthYearOffset(ComIDs.NatGas, 0, MonthCode.X),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 40,
// ZScoreThreshold = 1.6d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 60,
ZScoreThreshold = 1.3d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 90,
// ZScoreThreshold = 0.8d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Corn, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 40,
ZScoreThreshold = 1.5d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 50,
// ZScoreThreshold = 1.3d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
// false)),
//new SpreadWeightGenerator(
// new WeightGeneratorArgs()
// {
// Lookback = lookback,
// WeightGenerationType = genType,
// MinWindowLength = 70,
// ZScoreThreshold = 1.1d
// },
// new SpreadDefinition(
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.U),
// new MonthYearOffset(ComIDs.Wheat, 0, MonthCode.Z),
// false)),
new SpreadWeightGenerator(
new WeightGeneratorArgs()
{
Lookback = lookback,
WeightGenerationType = genType,
MinWindowLength = 50,
ZScoreThreshold = 1.6d
},
new SpreadDefinition(
new MonthYearOffset(ComIDs.RBOB, 0, MonthCode.J),
new MonthYearOffset(ComIDs.RBOB, 0, MonthCode.U),
false)),
};
var comb = new SpreadWeightGeneratorCombiner(arr) {NumDaysForCovariance = 42, TargetVol = 0.06};
comb.Go();
{
var combinedPnl = new ConstructGen<double>(arr.Length);
combinedPnl.ColumnHeadings =
arr.Select(x => string.Format("{0} / {1} / {2}", x.Spread, x.Args.MinWindowLength, x.Args.ZScoreThreshold))
.ToArray();
for (int i = 0; i < arr.Length; ++i)
combinedPnl.SetColumnValues(i, arr[i].GetCombinedPnl());
if (combinedPnl.NeedsToSortKeys())
combinedPnl.SortKeys();
var eval = new ReturnsEval.DataSeriesEvaluator("Combined", ReturnsEval.DataSeriesType.Returns);
eval.AddInnerSeries(combinedPnl.Dates.ToArray(), combinedPnl.ToArray(), combinedPnl.ColumnHeadings);
eval.Display("Combined");
combinedPnl.SumRows().ToCumulative().DisplayLineChart("combined pnl of scaled weights");
}
}
public ChartData GetData()
{
var enabled = Components.Where(x => x.IsReady()).ToList();
if (!enabled.Any())
return null;
DateTime[] oldDates, rollDates;
DatedDataCollectionGen<double> primary, old, oldold, ooo, oooo, smthd, oldsmthd, oosmthd, ooosmthd;
{
ConstructGen<double> con = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOld = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOldOld = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOOO = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOOOO = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conSmoothed = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOldSmoothed = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOOSmoothed = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOOOSmoothed = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOOOOSmoothed = new ConstructGen<double>(enabled.Count());
var listofAllRollDates = new List<DateTime>();
var listOfAllOldDates = new List<DateTime>();
for (int i = 0; i < con.ArrayLength; ++i)
{
var currentTuple = getItems(enabled[i], CTDValueGeneration.Current);
var oldTuple = getItems(enabled[i], CTDValueGeneration.Old);
var oldOldTuple = getItems(enabled[i], CTDValueGeneration.OldOld);
var oooTuple = getItems(enabled[i], CTDValueGeneration.OOO);
var ooooTuple = getItems(enabled[i], CTDValueGeneration.OOOO);
con.SetColumnValues(i, currentTuple.Item2);
conOld.SetColumnValues(i, oldTuple.Item2);
conOldOld.SetColumnValues(i, oldOldTuple.Item2);
conOOO.SetColumnValues(i, oooTuple.Item2);
conOOOO.SetColumnValues(i, ooooTuple.Item2);
{
var smoothed = new double[con.Dates.Count];
var oldSmoothed = new double[con.Dates.Count];
var ooSmoothed = new double[con.Dates.Count];
var oooSmoothed = new double[con.Dates.Count];
var ooooSmoothed = new double[con.Dates.Count];
smoothed[0] = currentTuple.Item2.Data[0];
oldSmoothed[0] = oldTuple.Item2.Data[0];
ooSmoothed[0] = oldOldTuple.Item2.Data[0];
oooSmoothed[0] = oooTuple.Item2.Data[0];
ooooSmoothed[0] = ooooTuple.Item2.Data[0];
for (int j = 1; j < smoothed.Length; ++j)
{
// if the bond hasn't changed, then just adjust the previous value by change in the bond
if (String.CompareOrdinal(currentTuple.Item1.Data[j].SymmetryCode, currentTuple.Item1.Data[j - 1].SymmetryCode) == 0)
{
smoothed[j] = smoothed[j - 1] + (currentTuple.Item2.Data[j] - currentTuple.Item2.Data[j - 1]);
oldSmoothed[j] = oldSmoothed[j - 1] + (oldTuple.Item2.Data[j] - oldTuple.Item2.Data[j - 1]);
ooSmoothed[j] = ooSmoothed[j - 1] + (oldOldTuple.Item2.Data[j] - oldOldTuple.Item2.Data[j - 1]);
oooSmoothed[j] = oooSmoothed[j - 1] + (oooTuple.Item2.Data[j] - oooTuple.Item2.Data[j - 1]);
}
// the bond has changed... yesterday's [current bond] has become the new [old bond], so adjust previous value by [old bond] value today - the [current bond] value yesterday
else
{
smoothed[j] = smoothed[j - 1] + (oldTuple.Item2.Data[j] - currentTuple.Item2.Data[j - 1]);
oldSmoothed[j] = oldSmoothed[j - 1] + (oldOldTuple.Item2.Data[j] - oldTuple.Item2.Data[j - 1]);
ooSmoothed[j] = ooSmoothed[j - 1] + (oooTuple.Item2.Data[j] - oldOldTuple.Item2.Data[j - 1]);
oooSmoothed[j] = oooSmoothed[j - 1] + (ooooTuple.Item2.Data[j] - oooTuple.Item2.Data[j - 1]);
listofAllRollDates.Add(currentTuple.Item1.Dates[j]);
listOfAllOldDates.Add(currentTuple.Item1.Dates[j - 1]);
}
}
conSmoothed.SetColumnValues(i, new DatedDataCollectionGen<double>(currentTuple.Item2.Dates, smoothed));
conOldSmoothed.SetColumnValues(i, new DatedDataCollectionGen<double>(currentTuple.Item2.Dates, oldSmoothed));
conOOSmoothed.SetColumnValues(i, new DatedDataCollectionGen<double>(currentTuple.Item2.Dates, ooSmoothed));
conOOOSmoothed.SetColumnValues(i, new DatedDataCollectionGen<double>(currentTuple.Item2.Dates, oooSmoothed));
}
}
primary = con.SumRows();
old = conOld.SumRows();
oldold = conOldOld.SumRows();
ooo = conOOO.SumRows();
oooo = conOOOO.SumRows();
smthd = conSmoothed.SumRows();
oldsmthd = conOldSmoothed.SumRows();
oosmthd = conOOSmoothed.SumRows();
ooosmthd = conOOOSmoothed.SumRows();
oldDates = listOfAllOldDates.Distinct().OrderBy(x => x).ToArray();
rollDates = listofAllRollDates.Distinct().OrderBy(x => x).ToArray();
}
return new ChartData()
{
OriginalData=primary,
OldData=old,
OldOldData = oldold,
OOOData = ooo,
OOOOData = oooo,
SmoothedData=smthd,
OldSmoothedData=oldsmthd,
OOSmoothedData = oosmthd,
OOOSmoothedData = ooosmthd,
NewDates=rollDates,
OldDates=oldDates
};
}
public void ShowPortfolioPnlProgression()
{
var pnl = new ConstructGen<double>(Positions.Select(x=>x.Security).ToArray());
var flp = new System.Windows.Forms.FlowLayoutPanel();
var listOfInfraBoxes = new List<Infragistics.Win.Misc.UltraGroupBox>();
for (int i = 0; i < pnl.ArrayLength; ++i)
{
var posPnl = Positions[i].GeneratePnlSinceFix();
for (int d = 0; d < posPnl.Length; ++d)
{
pnl.SetValue(posPnl.Dates[d], i, posPnl.Data[d].Close);
}
{
Infragistics.Win.Misc.UltraGroupBox box = new Infragistics.Win.Misc.UltraGroupBox();
box.Text = string.Format("{0} {1}", Positions[i].Security, Positions[i].Pnl.ToString("###0.0#;(###0.0#);-"));
box.Tag = Positions[i].Pnl;
box.Size = new System.Drawing.Size(250, 250);
var chart = new SI.Controls.BarDataPointChart();
chart.SetYAxisFormat("##0.0#");
chart.Dock = System.Windows.Forms.DockStyle.Fill;
chart.Create(posPnl);
box.Controls.Add(chart);
listOfInfraBoxes.Add(box);
}
}
Infragistics.Win.Misc.UltraGroupBox[] boxArr = listOfInfraBoxes.OrderByDescending(x => (double)x.Tag).ToArray();
{
double max = 0d;
foreach (Infragistics.Win.Misc.UltraGroupBox box in boxArr)
{
max = Math.Max(max, ((SI.Controls.BarDataPointChart)box.Controls[0]).YAxisAbsoluteMax);
}
foreach (Infragistics.Win.Misc.UltraGroupBox box in boxArr)
{
((SI.Controls.BarDataPointChart)box.Controls[0]).SetMaxMinYAxisRange(max);
}
}
foreach (Infragistics.Win.Misc.UltraGroupBox box in boxArr)
{
flp.Controls.Add(box);
}
pnl.SortKeys();
for (int i = 0; i < pnl.ArrayLength; ++i)
{
DatedDataCollectionGen<double> col = pnl.GetColumnValuesAsDDC(i);
double last = col.Data[0];
for (int j = 1; j < col.Length; ++j)
{
double val = col.Data[j];
if (val == 0d)
{
if (last != 0d)
{
pnl.SetValue(col.Dates[j], i, last);
}
}
else
last = val;
}
}
DatedDataCollectionGen<double> total = pnl.SumRows();
KeyValuePair<string, System.Windows.Forms.Control>[] cons = new KeyValuePair<string, System.Windows.Forms.Control>[3];
var stack = new Controls.SimpleStackedColumnChart();
stack.Create<string, string>(
pnl.Dates.Select(x => x.ToString("HH:mm")).ToArray(),
Positions.Select(x => x.Security).ToArray(),
pnl.ToArray());
cons[0] = new KeyValuePair<string, System.Windows.Forms.Control>("position attributed", stack);
//stack.DisplayInShowForm(string.Format("{0} pnl progression, position attributed", this.Name));
var lcdd = new SI.Controls.LineChartDataDisplay();
lcdd.AddSeries(total.Dates, total.Data, Name, 40, "#0.0#");
lcdd.SetXAxisFormat("HH:mm");
//lcdd.DisplayInShowForm(string.Format("{0} total pnl progression", m_p.DisplayName));
cons[1] = new KeyValuePair<string, Control>("total", lcdd);
cons[2] = new KeyValuePair<string, Control>("comp", flp);
cons.DisplayInShowForm(string.Format("{0} pnl progression", Name));
}
public ChartData GetDataFromCarbonFrame()
{
var enabled = Components.Where(x => x.IsReady()).ToList();
if (!enabled.Any())
return null;
var listofAllRollDates = new Dictionary<CTCTDType, Tuple<string, DateTime>[]>();
var listOfAllOldDates = new Dictionary<CTCTDType, Tuple<string, DateTime>[]>();
ConstructGen<double> con = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOld = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conOldOld = new ConstructGen<double>(enabled.Count());
ConstructGen<double> conSmoothed = new ConstructGen<double>(enabled.Count());
for (int i = 0; i < con.ArrayLength; ++i)
{
var curDataTuple = ChartComponentCarbonMediator.GetItemsFromCarbonFrame(enabled[i], g => g.CurrentResult, r => r.TrueSpread);
con.SetColumnValues(i, curDataTuple.Item2);
var oDataTuple = ChartComponentCarbonMediator.GetItemsFromCarbonFrame(enabled[i], g => g.OResult, r => r.TrueSpread);
conOld.SetColumnValues(i, oDataTuple.Item2);
var ooDataTuple = ChartComponentCarbonMediator.GetItemsFromCarbonFrame(enabled[i], g => g.OOResult, r => r.TrueSpread);
conOldOld.SetColumnValues(i, ooDataTuple.Item2);
var smoothDataTuple = ChartComponentCarbonMediator.GetItemsFromCarbonFrame(enabled[i], g => g.SmoothResult, r => r.TrueSpread);
conSmoothed.SetColumnValues(i, smoothDataTuple.Item2);
for (int j = 1; j < con.Dates.Count; ++j)
{
// if the bond hasn't changed, then just adjust the previous value by change in the bond
if (j < curDataTuple.Item1.Data.Length)
{
if (String.CompareOrdinal(curDataTuple.Item1.Data[j], curDataTuple.Item1.Data[j - 1]) != 0)
{
listofAllRollDates.AddOrAppendDictionaryValueArray(enabled[i].CTCTDType, new Tuple<string, DateTime>(enabled[i].Component + "\n" + curDataTuple.Item1.Data[j], curDataTuple.Item1.Dates[j]));
listOfAllOldDates.AddOrAppendDictionaryValueArray(enabled[i].CTCTDType, new Tuple<string, DateTime>(enabled[i].Component + "\n" + curDataTuple.Item1.Data[j - 1], curDataTuple.Item1.Dates[j - 1]));
}
}
}
}
return new ChartData
{
OriginalData = con.SumRows(),
OldData = conOld.SumRows(),
OldOldData = conOldOld.SumRows(),
SmoothedData = conSmoothed.SumRows(),
NewDates = listofAllRollDates.SelectMany(d => d.Value.Select(v => v.Item2)).Distinct().OrderBy(x => x).ToArray(),
OldDates = listOfAllOldDates.SelectMany(d => d.Value.Select(v => v.Item2)).Distinct().OrderBy(x => x).ToArray(),
OldRollTypeDates = listOfAllOldDates.Select(k => new {k.Key, v = k.Value.Distinct().OrderBy(x => x).ToArray() } ).ToDictionary(k => k.Key, k => k.v),
NewRollTypeDates = listofAllRollDates.Select(k => new { k.Key, v = k.Value.Distinct().OrderBy(x => x).ToArray() }).ToDictionary(k => k.Key, k => k.v),
};
}