public object Clone()
{
PortfolioRawItem p = new PortfolioRawItem();
p.Equity.AddRange(this.Equity);
p.Margin.AddRange(this.Margin);
p.StrategyParameter = this.StrategyParameter;
return(p);
}
public PortfolioRawData(SortedDictionary <string, Tuple <StrategyParameter, double[], double[]> > dictEquityAndMargin)
{
// calculate common length
int length = int.MaxValue;
foreach (var element in dictEquityAndMargin)
{
length = Math.Min(element.Value.Item2.Length, length);
}
// create two-dimensions array
int count = dictEquityAndMargin.Count;
double[,] rawEquity = new double[count, length];
double[,] rawMargin = new double[count, length];
var it = dictEquityAndMargin.GetEnumerator();
for (int row = 0; it.MoveNext(); ++row)
{
double[] sourceEquity = it.Current.Value.Item2;
double[] sourceMargin = it.Current.Value.Item3;
for (int column = 0; column < length; ++column)
{
rawEquity[row, column] = sourceEquity[column];
rawMargin[row, column] = sourceMargin[column];
}
}
IEnumerable <string> symbols = dictEquityAndMargin.Select(s => s.Key);
IEnumerable <StrategyParameter> sParams = dictEquityAndMargin.Select(s => s.Value.Item1);
double[,] equity = rawEquity;
double[,] margin = rawMargin;
for (int i = 0; i < equity.GetLength(0); i++)
{
PortfolioRawItem pri = new PortfolioRawItem();
pri.Symbol = symbols.ElementAt(i);
pri.StrategyParameter = sParams.ElementAt(i);
for (int j = 0; j < equity.GetLength(1); j++)
{
pri.Equity.Add(equity[i, j]);
pri.Margin.Add(margin[i, j]);
}
portfolioRawItems.Add(pri);
}
}
public void AddInversePortfolioRawItem()
{
List <PortfolioRawItem> newListItems = new List <PortfolioRawItem>();
foreach (PortfolioRawItem currPortfolioRawItem in portfolioRawItems)
{
PortfolioRawItem newItem = currPortfolioRawItem.Clone() as PortfolioRawItem;
double baseEquity = currPortfolioRawItem.Equity[0];
for (int i = 0; i < currPortfolioRawItem.Equity.Count; i++)
{
newItem.Equity[i] = 2 * baseEquity - currPortfolioRawItem.Equity[i];
}
newItem.Symbol = currPortfolioRawItem.Symbol + "Inverse";
newListItems.Add(newItem);
}
portfolioRawItems.AddRange(newListItems);
}
