public void ApplyData(DataAroundEvent[] data_, int numberAroundEvent_, DataAroundEventField field_)
{
var con = Helper.TransformToCon(data_, numberAroundEvent_, field_);
if (con == null) return;
for (int i = 0; i < con.Dates.Count; i++)
{
ApplyData(con.Dates[i].ToString("dd-MM-yy") + " " + data_[i].EventCode /*+ ": \n" + data_[i].Instrument*/, con.ColumnHeadings, con.GetValues(con.Dates[i]));
}
}
private DataAroundEvent[] ComputeOffsetBetweenEvents(IGrouping<string, DataAroundEvent>[] orderEventGroups, IGrouping<string, DataAroundEvent> midGroup)
{
// compute offset between each event to center group
DataAroundEvent[] repivotEvents;
repivotEvents = orderEventGroups.SelectMany(@group =>
@group.Select(d =>
{
var eventPicked = @group.OrderByDescending(e => e.EventDate).FirstOrDefault(g => g.EventDate > DateTime.Today.AddDays(-numberOfPointsAroundEvent));
int busDayDiff = 0;
if (eventPicked != null)
{
busDayDiff = BusDayDiff(midGroup.OrderByDescending(e => e.EventDate).First(x => x.EventDate > DateTime.Today.AddDays(-numberOfPointsAroundEvent)).EventDate, eventPicked.EventDate);
}
var ar = new DataAroundEvent(d.EventDate, d.Instrument, d.RawData, d.NumPointsAroundEvent, d.EventCode, busDayDiff)
{
PivotIndex = pivotIndex,
};
return ar;
})).ToArray();
return repivotEvents;
}
/// <summary>
/// |______|______|_____|_____|
/// -3 0 3
/// if event numbers are odd numbers, we would have one in the middle and even on two sides
///
/// |___|____|___|__|____|
/// -3 0 2 3
/// if event numbers are even numbers, we would have one in the middle, one more event on the right side
/// </summary>
private void ComputePivotIndexAndOffset()
{
var eventGroups = data.GroupBy(d => d.EventCode).ToArray();
repivotEvents = data;
var orderEventGroups = eventGroups.OrderBy(
g =>
{
var groupItems = g.OrderBy(e => e.EventDate)
.FirstOrDefault(x => x.EventDate > DateTime.Today.AddDays(-numberOfPointsAroundEvent));
return groupItems != null ? groupItems.EventDate : DateTime.MinValue;
})
.Where(o => o.Any(x => x.EventDate > DateTime.Today.AddDays(-numberOfPointsAroundEvent))).ToArray();
var eventCount = orderEventGroups.Count();
var rightCount = (int)(eventCount/2);
var leftCount = (int) (eventCount - rightCount - 1);
if (eventCount == 0) return;
var leftGroup = orderEventGroups.Take(leftCount);
var rightGroup = orderEventGroups.TakeLast(rightCount);
var midGroup = orderEventGroups[leftCount];
// we only need to repivot to yesterday close when all events are in future, otherwise, we can pivot from the first event.
if (eventGroups.All(g => g.Any(e => e.DaysToEvents.HasValue)))
{
// all events in future
// find out the days to event to the first event
var daysToEvent = orderEventGroups.First().Select(g => g.DaysToEvents).First();
pivotIndex = numberOfPointsAroundEvent - (daysToEvent + 1 ?? 0);
if (pivotIndex == -1) return;
}
else
{
// we need to find the first event and pivot from there
var firstEvent = orderEventGroups.First().OrderBy(e => e.EventDate).FirstOrDefault(x => x.EventDate > DateTime.Today.AddDays(-numberOfPointsAroundEvent));
if (firstEvent != null)
{
var busDayDiff = BusDayDiff(firstEvent.EventDate, midGroup.OrderByDescending(e => e.EventDate).First(x => x.EventDate > DateTime.Today.AddDays(-numberOfPointsAroundEvent)).EventDate);
pivotIndex = numberOfPointsAroundEvent + busDayDiff;
}
}
MidEvent = midGroup.First();
MidEvent.PivotIndex = pivotIndex;
repivotEvents = ComputeOffsetBetweenEvents(orderEventGroups, midGroup);
}
public MultiEventDisplayOrganiser(DataAroundEvent[] data, int numberOfPointsAroundEvent)
{
this.data = data;
this.numberOfPointsAroundEvent = numberOfPointsAroundEvent;
pivotIndex = numberOfPointsAroundEvent;
}
public static Tuple<ConstructGen<double>, int, DateTime> TransformToCompoChartDataAndShift(DataAroundEvent[] data_, int numberAroundEvents_, DataAroundEventField field_)
{
ConstructGen<double> ret = new ConstructGen<double>(numberAroundEvents_ + 1);
ret.ColumnHeadings = new string[ret.ArrayLength];
//ret.ColumnHeadings[0] = DateTime.Today.ToString("dd-MMM-yyyy");
for (int i = 0; i <= numberAroundEvents_; ++i)
{
ret.ColumnHeadings[i] = i.ToString();
}
var headings = new List<string>(ret.ColumnHeadings);
int dayShift=0;
DateTime closestEvent=DateTime.MinValue;
if (data_ != null)
{
var eventdates = data_.Select(d => d.EventDate).ToArray();
// first find out any events falls within next 15 days
var maxAllowEventDate = DateTime.Today.AddDays(numberAroundEvents_);
var includeEvents = eventdates
.Where(newEvent => newEvent >= DateTime.Today && newEvent <= maxAllowEventDate);
if (includeEvents.Any())
{
closestEvent = includeEvents.OrderBy(e => e).First();
dayShift = (int)(closestEvent -DateTime.Today).TotalDays;
int firstDataIndex = numberAroundEvents_ - dayShift;
foreach (var eve in data_.OrderBy(x => x.EventDate))
{
// initialise to NaN
ret.SetValues(eve.EventDate, Utils.GetArrayOfValue<double>(double.NaN, ret.ArrayLength));
var subData = eve[field_];
if (subData != null)
for (int i = 0; i <= numberAroundEvents_; i++)
{
if (firstDataIndex + i > subData.Data.Length -1) continue;
if (subData.Data[firstDataIndex+i] == null) continue;
ret.SetValue(eve.EventDate, i, subData.Data[firstDataIndex+i].Value);
}
}
}
}
return new Tuple<ConstructGen<double>, int, DateTime>(ret, dayShift, closestEvent);
}
public static ConstructGen<double> TransformToCon(DataAroundEvent[] data_, int numberAroundEvents_, DataAroundEventField field_)
{
ConstructGen<double> ret = new ConstructGen<double>((numberAroundEvents_ * 2) + 1);
ret.ColumnHeadings = new string[ret.ArrayLength];
ret.ColumnHeadings[numberAroundEvents_] = "0";
for (int i = 1; i <= numberAroundEvents_; ++i)
{
ret.ColumnHeadings[numberAroundEvents_ - i] = (-i).ToString();
ret.ColumnHeadings[numberAroundEvents_ + i] = i.ToString();
}
var headings = new List<string>(ret.ColumnHeadings);
if(data_!=null)
foreach (var eve in data_.OrderBy(x => x.EventDate))
{
// initialise to NaN
ret.SetValues(eve.EventDate, Utils.GetArrayOfValue<double>(double.NaN, ret.ArrayLength));
var subData = eve[field_];
if(subData!=null)
foreach (var point in subData.Data)
{
if (point == null) continue;
var index = headings.IndexOf((point.Index - data_.First().Offset).ToString());
ret.SetValue(eve.EventDate, index, point.Value);
}
}
return ret;
}
public void ApplyStats(DataAroundEvent[] data_, int numberAroundEvent_, DataAroundEventField field_)
{
var con = Helper.TransformToCon(data_, numberAroundEvent_, field_);
if (con == null) return;
var avgs = new double[con.ArrayLength];
var zscore = new double[con.ArrayLength];
for (int i = 0; i < avgs.Length; ++i)
{
var validNumberSeries = con.GetColumnValues(i).Where(x => double.IsNaN(x) == false);
if (!validNumberSeries.Any()) continue;
avgs[i] = validNumberSeries.ToArray().Average();
var sd = Statistics.Stdev(validNumberSeries.ToArray());
zscore[i] = avgs[i]/sd;
}
ApplyData("Average", con.ColumnHeadings, avgs);
ApplyData("Avg/S.d.", con.ColumnHeadings, zscore);
}
private void BuildCurrentVsHistchart(DataAroundEvent[] data_)
{
scsHistVsCurrent.ClearData();
lock (lockobj)
{
ViewModel.LiveIndex = -1;
}
var histAvgs = new List<double[]>();
string[] headings = null;
var multiEventOrganiser = new MultiEventDisplayOrganiser(data_, m_displayOptions.NumberOfPointsAroundEvent);
var repivotEvents = multiEventOrganiser.RepivotEvents;
var eventGroups = repivotEvents.GroupBy(d => d.EventCode).ToArray();
int idx = 0;
var offsetsToAdd = new Dictionary<string,string>();
int pivotIndex = 0;
//var daysToEvent = data_.OrderBy(e => e.EventDate).FirstOrDefault(x => x.DaysToEvents.HasValue);
foreach (var @group in eventGroups)
{
//var eventDataTup = new List<Tuple<string, DataAroundEvent[]>>();
var histEvents = @group.Where(e => e.EventDate < DateTime.Today.AddDays(-m_displayOptions.NumberOfPointsAroundEvent)).ToArray();
// eventDataTup.Add(new Tuple<string, DataAroundEvent[]>("Past Avg", histEvents));
// hist events
var con = Helper.TransformToCon(histEvents, m_displayOptions.NumberOfPointsAroundEvent, m_displayOptions.FieldToShow);
headings = con.ColumnHeadings;
double[] avgs = new double[con.ArrayLength];
for (int i = 0; i < avgs.Length; ++i)
{
var validNumberSeries = con.GetColumnValues(i).Where(x => double.IsNaN(x) == false).ToArray();
if (!validNumberSeries.Any()) { avgs[i] = double.NaN; continue; }
avgs[i] = validNumberSeries.ToArray().Average();
}
if (offsetsToAdd.ContainsKey(([email protected]().Offset).ToString()))
offsetsToAdd[([email protected]().Offset).ToString()] =
offsetsToAdd[([email protected]().Offset).ToString()] + "\n" + @group.Key;
else
offsetsToAdd.Add(([email protected]().Offset).ToString(), @group.Key);
histAvgs.Add(avgs);
idx++;
}
if (headings != null)
{
// Hist series
// average of all the hist average
double[] avgs = new double[histAvgs.First().Length];
foreach (var avg in histAvgs)
{
for (int i = 0; i < avgs.Length; i++)
{
avgs[i] += avg[i];
}
}
var avgavg = avgs.Select(a => a/histAvgs.Count).ToArray();
scsHistVsCurrent.ApplyData("Past Avg", headings, avgavg);
scsHistVsCurrent.Chart.VerticalLinesXValuesLabels = offsetsToAdd;
// set seconardy y-axis
var axisValues = avgavg.Where(a => !double.IsNaN(a)).ToArray();
if (axisValues.Any())
{
if (m_displayOptions.YAXesSymmetric)
{
var largerValue = Math.Max(Math.Abs(axisValues.Max()), Math.Abs(axisValues.Min()));
scsHistVsCurrent.Chart.SetSecondaryYAxis("Past Avg", largerValue, -largerValue);
}
else
{
scsHistVsCurrent.Chart.SetSecondaryYAxis("Past Avg", axisValues.Max(), axisValues.Min());
}
}
if (!data_.First().IsIntraday)
{
// Current series
//var curEvents = repivotEvents.OrderBy(x => x.EventDate).FirstOrDefault(e => e.EventDate > DateTime.Today.AddDays(-m_displayOptions.NumberOfPointsAroundEvent));
var curEvents = multiEventOrganiser.MidEvent;
//if (eventData.Item1 == "Current")
if (curEvents != null)
{
// current level
var currentCon = Helper.TransformToCon(new[] {curEvents},
m_displayOptions.NumberOfPointsAroundEvent, DataAroundEventField.Filled_Level);
var currentPivot = currentCon.GetColumnValues(repivotEvents.First().PivotIndex).Average();
ViewModel.Pivot = currentPivot;
var con = Helper.TransformToCon(new[] {curEvents}, m_displayOptions.NumberOfPointsAroundEvent,
m_displayOptions.FieldToShow);
if (curEvents != null)
{
double busday;
if (curEvents.EventDate > DateTime.Today)
busday = -1*(MyCalendar.NumBusinessDaysBetween(DateTime.Today, curEvents.EventDate) - 1);
else
busday = MyCalendar.NumBusinessDaysBetween(curEvents.EventDate, DateTime.Today) - 1;
//ViewModel.PivotIndex = repivotEvents.First().PivotIndex;
ViewModel.LiveIndex = m_displayOptions.NumberOfPointsAroundEvent + (int) busday;
scsHistVsCurrent.ApplyData("Current", headings, con.LastValues());
}
}
ViewModel.Headings = headings;
var todayPts = ExtensionMethods.CreateArrayRep<double>(double.NaN, headings.Length);
if (ViewModel.LiveIndex > 0)
{
todayPts[ViewModel.LiveIndex] = avgavg[ViewModel.LiveIndex];
// mark today's point
scsHistVsCurrent.ApplyScatterData("Now",
headings,
todayPts);
var axisValues2 = avgavg.Where(a => !double.IsNaN(a)).ToArray();
if (axisValues2.Any())
{
if (m_displayOptions.YAXesSymmetric)
{
var largerValue = Math.Max(Math.Abs(axisValues2.Max()), Math.Abs(axisValues2.Min()));
scsHistVsCurrent.Chart.SetSecondaryYAxis("Now", largerValue, -largerValue);
}
else
{
scsHistVsCurrent.Chart.SetSecondaryYAxis("Now", axisValues2.Max(), axisValues2.Min());
}
}
}
}
}
scsHistVsCurrent.SetupForDataType(m_displayOptions.FieldToShow);
}
internal void Apply(DataAroundEvent[] data_)
{
try
{
chartScaleLimit = 0.0;
// recent
{
scsRecent.ClearData();
var recentEvents = data_.GroupBy(d => d.EventDate).Select(g => new DataAroundEvent(g.First().EventDate,
g.Select(x => x.Instrument).Aggregate((a, b) => a + "\n" + b),
g.First().RawData,
g.First().NumPointsAroundEvent,
g.Select(x => x.EventCode).Aggregate((a, b) => a + "\n" + b)))
.OrderByDescending(x => x.EventDate)
.Where(ev => ev.EventDate <= DateTime.Today.AddDays(m_displayOptions.NumberOfRecentQuartersToShow))
.Take(m_displayOptions.NumberOfRecentEventsToShow).ToArray();
scsRecent.ApplyData(recentEvents, m_displayOptions.NumberOfPointsAroundEvent, m_displayOptions.FieldToShow);
scsRecent.SetupForDataType(m_displayOptions.FieldToShow);
scsRecent.ApplyStats(recentEvents, m_displayOptions.NumberOfPointsAroundEvent, m_displayOptions.FieldToShow);
updateRecentChartSeries();
}
// quarters
{
scsQuarterly.ClearData();
var quarters = data_.Select(x => getQuarterEnd(x.EventDate)).Distinct().OrderByDescending(x => x).ToList();
quarters = quarters.Count > m_displayOptions.NumberOfRecentQuartersToShow ? quarters.Take(m_displayOptions.NumberOfRecentQuartersToShow).ToList() : quarters;
foreach (var quarterEnd in quarters)
{
var des = data_.Where(x => quarterEnd == getQuarterEnd(x.EventDate)).OrderBy(x => x.EventDate).ToArray();
var con = Helper.TransformToCon(des, m_displayOptions.NumberOfPointsAroundEvent, m_displayOptions.FieldToShow);
double[] avgs = new double[con.ArrayLength];
for (int i = 0; i < avgs.Length; ++i)
{
var validNumberSeries = con.GetColumnValues(i).Where(x => double.IsNaN(x) == false);
if (!validNumberSeries.Any()) continue;
avgs[i] = validNumberSeries.ToArray().Average();
}
scsQuarterly.ApplyData(getQuarterHeading(quarterEnd), con.ColumnHeadings, avgs);
}
scsQuarterly.SetupForDataType(m_displayOptions.FieldToShow);
}
// year-on-year
{
scsYearly.ClearData();
var years = data_.Select(x => x.EventDate.Year).Distinct().OrderByDescending(x => x).ToList();
// going to use -1 for 'all'
if (m_displayOptions.AddLineForAllToYearly)
years.Add(-1);
var currentYearlyProbComboText = cmbYearlyProb.Text;
m_reloadingCombo = true;
cmbYearlyProb.Items.Clear();
cmbYearlyProb.Items.Add("None");
m_yearlyProbs.Clear();
foreach (var year in years)
{
// default combo to last year if not previously set
if (string.Compare(string.Empty, currentYearlyProbComboText) == 0)
currentYearlyProbComboText = year.ToString();
var yearString = year == -1 ? "All" : year.ToString();
cmbYearlyProb.Items.Add(yearString);
// get dataaroundevent that is within this year
var des = year == -1 ? data_ : data_.Where(x => x.EventDate.Year == year).OrderBy(x => x.EventDate).ToArray();
var con = Helper.TransformToCon(des, m_displayOptions.NumberOfPointsAroundEvent, m_displayOptions.FieldToShow);
var conForProbability = Helper.TransformToCon(des, m_displayOptions.NumberOfPointsAroundEvent, DataAroundEventField.RawDataAroundEvent_Diffs);
double[] avgs = new double[con.ArrayLength];
double[] yearlyProbs = new double[conForProbability.ArrayLength];
for (int i = 0; i < avgs.Length; ++i)
{
var validNumberSeries = con.GetColumnValues(i).Where(x => double.IsNaN(x) == false);
if (!validNumberSeries.Any()) continue;
avgs[i] = validNumberSeries.ToArray().Average();
{
var alldiffs = conForProbability.GetColumnValues(i).Where(x => double.IsNaN(x) == false).ToList();
yearlyProbs[i] = ProbabilityCalc.CalcProb(alldiffs, m_displayOptions.ProbCalcMethod);
}
}
m_yearlyProbs.Add(yearString, new Tuple<string[], double[]>(conForProbability.ColumnHeadings, yearlyProbs));
scsYearly.ApplyData(yearString, con.ColumnHeadings, avgs);
}
m_lastLoadedMaxProbability = ProbabilityCalc.GetMaxValue(m_displayOptions.ProbCalcMethod);
// re-set the selected combobox to its original value if it's there
if (!string.IsNullOrEmpty(currentYearlyProbComboText))
{
for (int i = 0; i < cmbYearlyProb.Items.Count; ++i)
if (string.Compare(currentYearlyProbComboText, cmbYearlyProb.Items[i].ToString()) == 0)
{
cmbYearlyProb.SelectedIndex = i;
break;
}
}
m_reloadingCombo = false;
reloadYearlyProbability();
scsYearly.SetupForDataType(m_displayOptions.FieldToShow);
}
// current vs hist chart
BuildCurrentVsHistchart(data_);
// hist chart
// filter n/a for chart series
var rawData = data_.First().EODData ?? data_.First().RawData;
var filteredData = rawData.Dates.Where(d => !double.IsNaN(rawData.ValueOnDate(d)))
.Select(date =>
new
{
d = date,
data = rawData.ValueOnDate(date)
}).ToArray();
if (filteredData.Any())
{
var filteredSeries = new DatedDataCollectionGen<double>(filteredData.Select(x => x.d).ToArray(),
filteredData.Select(x => x.data).ToArray());
AddChartSeries(filteredSeries, "Time Series");
var eventdates = data_.Select(d => new {d.EventCode, d.EventDate}).ToArray();
var eventGroup = eventdates.GroupBy(ev => ev.EventCode).ToArray();
var eventDateList = eventGroup.Select(g => g.Select(x => x.EventDate).ToArray()).ToList();
var desc = eventGroup.Select((g,i) => string.IsNullOrEmpty(g.Key) ? "test"+ i+1 : g.Key).ToArray();
EventHistChart.SetScatterValues(eventDateList, desc);
//AddScatterSeries(eventdates, eventdates.Select(x => data_.First().RawData.ValueOnDate(x)).ToArray(), "Events", Color.GreenYellow, 40, "##0.000", null, Infragistics.UltraChart.Shared.Styles.NullHandling.DontPlot, null, SymbolIcon.Triangle);
}
// scale y-axis
{
var ctrls = new[] {scsRecent.Chart, scsYearly.Chart, scsQuarterly.Chart, scsHistVsCurrent.Chart};
Rescale(ctrls);
}
}
catch (Exception ex_)
{
Logger.Error("Error loading charts", typeof (SeasonalityCharts), ex_);
}
}