public static Dictionary<string, CTDItem[]> GetCTDOverrideFromFile(string ctdOverridePath)
{
Log.InfoFormat("Reading ctd override from {0}", ctdOverridePath);
string[] lines = System.IO.File.ReadAllLines(ctdOverridePath);
var overrides = new Dictionary<string, CTDItem[]>();
foreach (string line in lines)
{
// Use a tab to indent each line of the file.
Log.Info("\t" + line);
var items = line.Split('\t');
if (items.Length > 2)
{
CTDItem ctdItem = null;
var ctdEffectiveDate = DateTime.ParseExact(items[2], "yyyy-MM-dd", CultureInfo.InvariantCulture);
ctdItem = new CTDItem()
{
Ticker = items[0],
Isin = items[1],
EffFrom = ctdEffectiveDate,
EffTo = DateTime.MaxValue,
};
if (items.Length > 3)
{
var ctdToDate = DateTime.ParseExact(items[3], "yyyy-MM-dd", CultureInfo.InvariantCulture);
ctdItem = new CTDItem()
{
Ticker = items[0],
Isin = items[1],
EffFrom = ctdEffectiveDate,
EffTo = ctdToDate,
};
}
overrides.AddOrAppendDictionaryValueArray(items[0], ctdItem);
}
}
return overrides;
}
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),
};
}
public ChartData GetData2()
{
var enabled = Components.Where(x => x.IsReady()).ToList();
if (!enabled.Any())
return null;
Dictionary<CTCTDType, Tuple<string, DateTime>[]> oldDates, rollDates;
DatedDataCollectionGen<double> primary, old, smthd, oldsmthd;
{
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());
ConstructGen<double> conOldSmoothed = new ConstructGen<double>(enabled.Count());
var listofAllRollDates = new Dictionary<CTCTDType, Tuple<string, DateTime>[]>();
var listOfAllOldDates = new Dictionary<CTCTDType, Tuple<string, 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);
con.SetColumnValues(i, currentTuple.Item2);
conOld.SetColumnValues(i, oldTuple.Item2);
conOldOld.SetColumnValues(i, oldOldTuple.Item2);
{
var smoothed = new double[con.Dates.Count];
var oldSmoothed = new double[con.Dates.Count];
smoothed[0] = currentTuple.Item2.Data[0];
oldSmoothed[0] = oldTuple.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]);
}
// 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]);
listofAllRollDates.AddOrAppendDictionaryValueArray(enabled[i].CTCTDType, new Tuple<string, DateTime>(currentTuple.Item1.Data[j].SymmetryCode, currentTuple.Item1.Dates[j]));
listOfAllOldDates.AddOrAppendDictionaryValueArray(enabled[i].CTCTDType, new Tuple<string, DateTime>(currentTuple.Item1.Data[j-1].SymmetryCode, 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));
}
}
primary = con.SumRows();
old = conOld.SumRows();
smthd = conSmoothed.SumRows();
oldsmthd = conOldSmoothed.SumRows();
oldDates = listOfAllOldDates.Select(k => new {k.Key, v = k.Value.Distinct().OrderBy(x => x).ToArray() } ).ToDictionary(k => k.Key, k => k.v);
rollDates = listofAllRollDates.Select(k => new { k.Key, v = k.Value.Distinct().OrderBy(x => x).ToArray() }).ToDictionary(k => k.Key, k => k.v);
}
return new ChartData()
{
OriginalData = primary,
OldData = old,
SmoothedData = smthd,
OldSmoothedData = oldsmthd,
NewRollTypeDates = rollDates,
OldRollTypeDates = oldDates
};
}
