public static ConstructGen<double> getOHLCSeriesFromBbg(DateTime firstDate_, string ticker_, bool insertNan_ = true)
{
var ret = new ConstructGen<double>(new string[] { "PX_OPEN", "PX_HIGH", "PX_LOW", "PX_CLOSE_1D" });
DateTime[] bbgDates = null;
for (int i = 0; i < ret.ColumnHeadings.Length; ++i)
{
DateTime start;
if (i == 3)
start = firstDate_.AddDays(1);
else
start = firstDate_;
var b = BbgTalk.HistoryRequester.GetHistory(start, ticker_, ret.ColumnHeadings[i], false);
if (b == null || b.Length == 0)
{
throw new Exception(string.Format("No data retrieved for given ticker '{0}'", ticker_.ToUpper()));
}
else
b = HelperMethods.ensureAllWeekdays(b, insertNan_);
if (i == 3)
{
var closeData = bbgDates.Length > b.Dates.Length ? b.Data : b.Data.Skip(1).ToArray();
ret.SetColumnValues(i, bbgDates.SkipLast().ToArray(), closeData);
}
else
{
ret.SetColumnValues(i, b.Dates, b.Data);
bbgDates = b.Dates;
}
}
foreach (var d in ret.Dates.OrderByDescending(d => d))
{
if (ret.GetValue(d, 3) == 0)
{
ret.RemoveValues(d);
}
else break;
}
return ret;
}
public static void processToTrigger(ConstructGen<double> wts_, TraderArgs args_, Trader trader_)
{
if (wts_.Dates.Count == 0)
return;
if (args_.TriggerArgs == null)
return;
List<int> datesIndicesToRemove=new List<int>();
List<int> varContTopIndices = new List<int>();
List<int> topWtPos = new List<int>();
double[] before = wts_.GetValues(wts_.Dates[0]);
double[] varContBefore = (args_.TriggerArgs.DoVarFlipsTrigger) ? trader_.GetContToVar(before, wts_.Dates[0], args_) : null;
if (args_.TriggerArgs.DoVarFlipsTrigger)
getTopVarIndicies(varContTopIndices, varContBefore, args_.TriggerArgs.VarFlipsTrigger.ConsiderTopVarNumber);
if (args_.TriggerArgs.DoTopInSizeTrigger)
getTopPosSizeIndicies(topWtPos, before, args_.TriggerArgs.TopInSizeTrigger.ConsiderTopInSizeNumber);
List<DateTime> removeTheseDates = new List<DateTime>();
int daysSinceRebal = 0;
List<DateTime> includeTheseDates = new List<DateTime>();
if (args_.TriggerArgs.AlwayRebalFrequencyEnabled)
{
// get the dates of rebal the rebalfrequency implies
includeTheseDates = GenerateRebalDates(args_.TriggerArgs.AlwaysRebalFrequency, wts_.Dates[0]);
}
for (int i = 1; i < wts_.Dates.Count; ++i)
{
double[] wtsToday = wts_.GetValues(wts_.Dates[i]);
bool remove=true;
++daysSinceRebal;
// have we exceeded the maximum number of specified days without a rebal?
if (remove && args_.TriggerArgs.MaxDaysWithoutRebalEnabled && args_.TriggerArgs.MaxDaysWithoutRebal <= daysSinceRebal)
{
remove = false;
}
// do we want to always rebal on a particular day of the week
if (remove && args_.TriggerArgs.AlwaysRebalOnDayOfWeekEnabled && args_.TriggerArgs.AlwayRebalOnThisDayOfWeek == wts_.Dates[i].DayOfWeek)
{
remove = false;
}
// is the date in the list of dates that we always want to maintain
if (remove && includeTheseDates.Contains(wts_.Dates[i]))
{
remove = false;
}
// positions that have changed signs must be greater than NUM_CHANGE_FREQ in order for the day to be kept
if (remove && (args_.TriggerArgs.ChangeSignEnabled || args_.TriggerArgs.ChangeSignOnProportionEnabled))
{
int countChanged = 0;
for (int j = 0; j < wts_.ArrayLength; ++j)
{
// change sign in position means keep
if (Statistics.AreSameSign(before[j], wtsToday[j]) == false)
++countChanged;
}
int changeOnThisNumber = int.MaxValue;
// if have decided to change on number of positions that have changed sign...
if (args_.TriggerArgs.ChangeSignEnabled)
changeOnThisNumber = Math.Min(changeOnThisNumber, args_.TriggerArgs.MinNumberOfItemsToChange);
// if have decided to change on proportion of tradeable products to change sign
if (args_.TriggerArgs.ChangeSignOnProportionEnabled)
{
int validCount = numValidProductsOnDate(wts_.Dates[i], args_);
int numProp = Convert.ToInt32(Convert.ToDouble(validCount) * args_.TriggerArgs.ChangeSignOnThisProportion);
changeOnThisNumber = Math.Min(changeOnThisNumber, numProp);
}
if (countChanged >= changeOnThisNumber)
remove = false;
}
// proportion of portfolio turnover
if (remove && args_.TriggerArgs.TurnoverEnabled)
{
double sumOfTurnover = 0.0;
double sumOfPositions = 0.0;
for (int j = 0; j < wts_.ArrayLength; ++j)
{
sumOfTurnover += Math.Abs(wtsToday[j] - (before[j]));
sumOfPositions += Math.Abs(before[j]);
}
double propChanged = sumOfTurnover / sumOfPositions;
if (propChanged >= args_.TriggerArgs.TurnoverThreshold/* TAG:MA32DaysMin && daysSinceRebal>1*/)
remove = false;
}
// trade the flipped positions but don't re-scale everything else
if (remove==false &&
args_.TriggerArgs.DontTopLevelScaleIntraWeek == true &&
args_.TriggerArgs.AlwaysRebalOnDayOfWeekEnabled && args_.TriggerArgs.AlwayRebalOnThisDayOfWeek != wts_.Dates[i].DayOfWeek)
{
double[] newArray = new double[before.Length];
for (int j = 0; j < wts_.ArrayLength; ++j)
{
if (Statistics.AreSameSign(before[j], wtsToday[j]))
newArray[j] = before[j];
else
newArray[j] = wtsToday[j];
}
wts_.SetValues(wts_.Dates[i], newArray);
wtsToday = newArray;
}
// var flips
if (remove &&
args_.TriggerArgs.DoVarFlipsTrigger)
{
int numFlipped = 0;
foreach (int index in varContTopIndices)
if (Statistics.AreSameSign(before[index], wtsToday[index]) == false)
++numFlipped;
if (numFlipped >= args_.TriggerArgs.VarFlipsTrigger.NumFlipsTrigger)
remove = false;
}
// top in size flips
if (remove &&
args_.TriggerArgs.DoTopInSizeTrigger)
{
int numFlipped = 0;
foreach (int index in topWtPos)
if (Statistics.AreSameSign(before[index], wtsToday[index]) == false)
++numFlipped;
if (numFlipped >= args_.TriggerArgs.TopInSizeTrigger.NumFlipsTrigger)
remove = false;
}
if (remove)
{
removeTheseDates.Add(wts_.Dates[i]);
++daysSinceRebal;
}
else
{
before = wtsToday;
//varContBefore = (trader_ == null || args_.TriggerArgs.VarFlipsTrigger == null || args_.TriggerArgs.VarFlipsTrigger.Enabled == false) ? null : trader_.GetContToVar(before, wts_.Dates[i], args_);
daysSinceRebal = 0;
if (args_.TriggerArgs.DoVarFlipsTrigger)
{
varContBefore = trader_.GetContToVar(before, wts_.Dates[i], args_);
getTopVarIndicies(varContTopIndices, varContBefore, args_.TriggerArgs.VarFlipsTrigger.ConsiderTopVarNumber);
}
if (args_.TriggerArgs.DoTopInSizeTrigger)
getTopPosSizeIndicies(topWtPos, before, args_.TriggerArgs.TopInSizeTrigger.ConsiderTopInSizeNumber);
}
}
foreach (DateTime date in removeTheseDates)
wts_.RemoveValues(date);
}
private void removeDate(ConstructGen<double> con_, DateTime date_)
{
if (con_ != null)
con_.RemoveValues(date_);
}