/// <summary>
/// Determines whether or not this context/insight can be analyzed for the specified score type
/// </summary>
/// <param name="scoreType">The type of insight score</param>
/// <returns>True to proceed with analyzing this insight for the specified score type, false to skip analysis of the score type</returns>
public bool ShouldAnalyze(InsightScoreType scoreType)
{
if (scoreType == InsightScoreType.Magnitude)
{
return(Insight.Magnitude.HasValue);
}
return(true);
}
/// <summary>
/// Determines whether or not this context/insight can be analyzed for the specified score type
/// </summary>
/// <param name="scoreType">The type of insight score</param>
/// <returns>True to proceed with analyzing this insight for the specified score type, false to skip analysis of the score type</returns>
public bool ShouldAnalyze(InsightScoreType scoreType)
{
if (scoreType == InsightScoreType.Magnitude)
{
return(Insight.Magnitude.HasValue);
}
else if (scoreType == InsightScoreType.Direction)
{
return(Insight.Direction != InsightDirection.Flat);
}
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(InsightScoreType type)
{
switch (type)
{
case InsightScoreType.Direction:
return(Direction);
case InsightScoreType.Magnitude:
return(Magnitude);
default:
throw new ArgumentOutOfRangeException(nameof(type), type, null);
}
}
public void IgnoresFlatInsightsWithScore(InsightScoreType scoreType, InsightType insightType, double?magnitude)
{
var time = new DateTime(2000, 01, 01);
var stats = new StatisticsInsightManagerExtension(new TestAccountCurrencyProvider());
var insight = new Insight(Symbols.SPY, TimeSpan.FromDays(1), insightType, InsightDirection.Flat, magnitude, null);
var spySecurityValues = new SecurityValues(insight.Symbol, time, SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), 100m, 1m, 125000, 1m);
var context = new InsightAnalysisContext(insight, spySecurityValues, insight.Period);
context.Score.SetScore(InsightScoreType.Direction, .55, time);
context.Score.SetScore(InsightScoreType.Magnitude, .25, time);
stats.OnInsightAnalysisCompleted(context);
Assert.AreEqual(0.0, stats.Statistics.RollingAveragedPopulationScore.Direction);
Assert.AreEqual(0.0, stats.Statistics.RollingAveragedPopulationScore.Magnitude);
}
public void ShouldAnalyzeInsight(InsightScoreType scoreType,
InsightType insightType,
double?magnitude)
{
var context = new InsightAnalysisContext(
new Insight(Symbols.SPY,
TimeSpan.FromDays(1),
insightType,
InsightDirection.Flat,
magnitude,
null),
new SecurityValues(Symbols.SPY,
new DateTime(2013, 1, 1),
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
1, 1, 1, 1),
TimeSpan.FromDays(1));
Assert.AreEqual(false, context.ShouldAnalyze(scoreType));
}
/// <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(InsightScoreType type, double value, DateTime algorithmUtcTime)
{
if (IsFinalScore)
{
return;
}
UpdatedTimeUtc = algorithmUtcTime;
switch (type)
{
case InsightScoreType.Direction:
Direction = Math.Max(0, Math.Min(1, value));
break;
case InsightScoreType.Magnitude:
Magnitude = Math.Max(0, Math.Min(1, value));
break;
default:
throw new ArgumentOutOfRangeException(nameof(type), type, null);
}
}
/// <inheritdoc />
public double Evaluate(InsightAnalysisContext context, InsightScoreType scoreType)
{
var insight = context.Insight;
var startingValue = context.InitialValues.Get(insight.Type);
var currentValue = context.CurrentValues.Get(insight.Type);
switch (insight.Direction)
{
case InsightDirection.Down:
return(currentValue < startingValue ? 1 : 0);
case InsightDirection.Flat:
// can't really do percent changes with zero
if (startingValue == 0)
{
return(currentValue == startingValue ? 1 : 0);
}
// TODO : Re-evaluate flat predictions, potentially adding Insight.Tolerance to say 'how flat'
var deltaPercent = Math.Abs(currentValue - startingValue) / startingValue;
if (insight.Magnitude.HasValue)
{
return(Math.Abs(deltaPercent) < (decimal)Math.Abs(insight.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 InsightDirection.Up:
return(currentValue > startingValue ? 1 : 0);
default:
throw new ArgumentOutOfRangeException();
}
}
/// <inheritdoc />
public IInsightScoreFunction GetScoreFunction(InsightType insightType, InsightScoreType scoreType)
{
return(Function);
}
