public static List<MarketData> FillByPivotData(MarketData pivotData, List<MarketData> inputData)
{
// pivotData의 datetime에 맞추어서 나머지 데이터를 채운다.
DateTime curDateTime = pivotData.StartDate;
List<MarketData> outputData = new List<MarketData>();
Dictionary<String, MarketDataTrace> trace = new Dictionary<string, MarketDataTrace>();
// init variables
foreach (MarketData md in inputData)
{
String ticker = md.Ticker;
DOHLC firstData = md.GetByIndex(0);
trace.Add(md.Ticker, new MarketDataTrace(ticker, firstData));
outputData.Add(new MarketData(md));
}
while (curDateTime <= pivotData.EndDate)
{
if (pivotData.IsExistDate(curDateTime))
{
// update trace
foreach (MarketData md in inputData)
{
String ticker = md.Ticker;
if (md.IsExistDate(curDateTime))
{
trace[ticker].CurData = md.GetData(curDateTime);
}
}
// set data
foreach (MarketData md in outputData)
{
String ticker = md.Ticker;
MarketDataTrace tr = trace[ticker];
// 기준 데이터보다 전 데이터이어야 한다.
Trace.Assert(tr.CurData.CurDate <= curDateTime, String.Format("{0}, {1}, {2}", tr.Ticker, tr.CurData.CurDate, curDateTime));
md.AddDatum(curDateTime, tr.CurData.OHLC);
if (tr.CurData.CurDate != curDateTime)
{
md.SetPrevDataUsedDate(curDateTime);
}
}
}
curDateTime = curDateTime.AddDays(1);
}
return outputData;
}
SinglePnLResult SingleSimulate(MarketData md)
{
List<RawTradingData> tradingList = new List<RawTradingData>();
MarketDataSetKey key= (DataUtil.GetMarketDataKeyFromTicker(md.Ticker));
DateTime curDate = _startDate;
int index = 0;
double curSize = 0;
while (curDate <= _endDate)
{
if (md.IsExistDate(curDate))
{
double curPrice = md.GetData(curDate).OHLC.Close;
if (index % _rebalancingPeriod == 0)
{
curSize = _baseInvest / curPrice;
}
if (curPrice < 50000)
{
curSize = Math.Round(curSize / 10, 0) * 10;
}
RawTradingData tradingData = new RawTradingData(key, curDate, curPrice, curSize);
tradingData.AddDelta(curSize * curPrice / _baseInvest);
tradingList.Add(tradingData);
index++;
}
curDate = curDate.AddDays(1);
}
SinglePnLResult profitAndLossResult =
new SinglePnLResult(key, key.ToString(), TradingDirection.Long, true, tradingList);
profitAndLossResult.CalculatePnL();
return profitAndLossResult;
}
public static DateTime GetPivotTradingDate(int pivot, DateTime curDate, MarketData pivotData)
{
DateTime pivotDate = curDate;
while (pivot > 0)
{
pivotDate = pivotDate.AddDays(1);
if (pivotData.IsExistDate(pivotDate))
{
pivot--;
}
}
while (pivot < 0)
{
pivotDate = pivotDate.AddDays(-1);
if (pivotData.IsExistDate(pivotDate))
{
pivot++;
}
}
return pivotDate;
}
