public static MarketDataSet GetMarketDataSet(SimInputData input)
{
List<MarketData> l = new List<MarketData>();
MarketData mdKospiFuture = DataUtil.LoadDataAndAddToList("KM1 R:00_0_R Index", input.StartDate, input.EndDate, l);
MarketData mdBond = DataUtil.LoadDataAndAddToList("KE1 R:00_0_R Comdty", input.ReadStartDate, input.EndDate, l);
MarketData mdDollar = DataUtil.LoadDataAndAddToList("KU1 R:00_0_R Curncy", input.ReadStartDate, input.EndDate, l);
MarketData mdKrxCreditDepositRate = DataUtil.LoadDataAndAddToList("KrxCreditDepositRate", input.ReadStartDate, input.EndDate, l);
MarketData mdUsdKrwCurncy = DataUtil.LoadDataAndAddToList("USDKRW Curncy", input.ReadStartDate, input.EndDate, l);
MarketData mdBokRate = DataUtil.LoadDataAndAddToList("KORP7D Index", input.ReadStartDate, input.EndDate, l);
MarketData mdKospiIndex = DataUtil.LoadDataAndAddToList("KOSPI Index", input.ReadStartDate, input.EndDate, l);
MarketData mdKtbSpotRate = DataUtil.LoadDataAndAddToList("KOTB3YR Index", input.ReadStartDate, input.EndDate, l);
MarketData mdCycleLeadingIndex = DataUtil.LoadDataAndAddToList("SKLILY Index", input.ReadStartDate, input.EndDate, l);
MarketData mdConsumerPriceIndex = DataUtil.LoadDataAndAddToList("KOCPI Index", input.ReadStartDate, input.EndDate, l);
List<MarketData> alignedData = DataUtil.FillByPivotData(mdKospiFuture, l);
Boolean arranged = DataUtil.IsArrangedDateAndIndex(alignedData);
Trace.Assert(arranged);
//Set data
MarketDataSet data = new MarketDataSet();
data.Add(MarketDataSetKey.KospiFuture, alignedData[0]);
data.Add(MarketDataSetKey.KtbFuture, alignedData[1]);
data.Add(MarketDataSetKey.DollarFuture, alignedData[2]);
data.Add(MarketDataSetKey.KrxCreditDepositRate, alignedData[3]);
data.Add(MarketDataSetKey.DollarSpot, alignedData[4]);
data.Add(MarketDataSetKey.BokRate, alignedData[5]);
data.Add(MarketDataSetKey.KospiSpot, alignedData[6]);
data.Add(MarketDataSetKey.KtbSpot, alignedData[7]);
data.Add(MarketDataSetKey.CycleLeadingIndex, alignedData[8]);
data.Add(MarketDataSetKey.ConsumerPriceIndex, alignedData[9]);
data.RegisterPivotData(alignedData[0]);
return data;
}
MarketDataSet GetNewMarketDataSet(DateTime curDate, Dictionary<string, double> priceData)
{
DateTime StartDate = EquityVolPredefinedVariables.ReadStartDate;
DateTime EndDate = EquityVolPredefinedVariables.ReadEndDate;
MarketDataSet mds = new MarketDataSet();
double curPrice = 0;
foreach (KeyValuePair<string, double> pair in priceData)
{
curPrice = pair.Value;
MarketDataSetKey key = DataUtil.GetMarketDataKeyFromTicker(pair.Key);
if (EquityMarketDataManager.Ins().ContainsMarketPriceData(key))
{
MarketData mdCache = EquityMarketDataManager.Ins().GetMarketPriceData(key);
MarketData md = GetNewMarketData(StartDate, EndDate, mdCache);
if (!md.IsExistDate(curDate))
{
md.AddDatum(curDate, new OHLC(0, 0, 0, curPrice));
mds.Add(key, md);
}
}
}
MarketData mdKospi =
DataUtil.GetKeyMarketData(MarketDataSetKey.KospiFuture, StartDate, EndDate);
if (!mdKospi.IsExistDate(curDate))
{
DOHLC lastPrice = mdKospi.GetByIndex((int)mdKospi.GetTotalCount() - 1);
mdKospi.AddDatum(curDate, lastPrice.OHLC);
}
mds.RegisterPivotData(mdKospi);
return mds;
}
