public double[] getInstrumentReturns(string instrumentID, DateTime startDate, DateTime endDate)
{
double[] returnsArray = null;
try
{
Series <DateTime, double> instrumentPricesColumn = instrumentPricesHistory.GetColumn <double>(instrumentID);
Series <DateTime, double> instrumentPrices = instrumentPricesColumn.Between(startDate, endDate);
Series <DateTime, double> instrumentReturns = (instrumentPrices.Diff(1) / instrumentPrices).DropMissing();
returnsArray = new double[instrumentReturns.ValueCount];
int i = 0;
foreach (double instrumentReturn in instrumentReturns.Values)
{
returnsArray[i] = instrumentReturn;
i++;
}
}
catch (Exception ex)
{
throw new DAOException(DAOException.UNKNOWN_ERROR, "Unknown error occurred when trying to obatain returns", ex);
}
return(returnsArray);
}
public static Series <DateTime, MarketDataElement> getLastNMarketData(Series <DateTime, MarketDataElement> series, int n)
{
MarketDataElement lastItem = series.GetAt(series.KeyCount - 1);
DateTime tempStartTime = lastItem.time.AddMinutes(-n + 1);
Series <DateTime, MarketDataElement> tempSeries = series.Between(tempStartTime, lastItem.time);
if (tempSeries.KeyCount == n)
{
return(tempSeries);
}
//bool found=false;
while (true)
{
//log.Info("testing 3");
tempStartTime = tempStartTime.AddMinutes(-1);
tempSeries = series.Between(tempStartTime, lastItem.time);
if (tempSeries.KeyCount == n)
{
return(tempSeries);
}
}
}
public DeedleControl()
{
var xx = dict[nameof(Data)]
.CombineLatest(
dict[nameof(Date)].StartWith("Date"),
dict[nameof(Value)].StartWith("Value"),
(data, date, value) => Task.Run(() => GetData(data, (string)date, (string)value)))
.Subscribe(async _ =>
{
data = await _;
await ChangePlotModel(data);
});
var xx2 = dict[nameof(Upper)].CombineLatest(dict[nameof(Lower)], (upper, lower) => Task.Run(() => data?.Between((DateTime)lower, (DateTime)upper)))
.Subscribe(async _ => await ChangePlotModel(await _));
var xx3 = dict[nameof(DiffIndex)].Select(_ => Task.Run(() => data?.Diff((int)_)))
.Subscribe(async _ => await ChangePlotModel(await _));
}