/// <summary>
/// Function: Internal function to executed the logic for each strategy and its sub-nodes
/// </summary>
/// <param name="orderDate">reference day</param>
/// /// <param name="recursive">true if recursive</param>
private void ExecuteLogic_internal(DateTime orderDate, bool recursive, bool force)
{
if (_parentStrategy.Portfolio != null)
{
DateTime executionDate = orderDate.AddDays(1);
ConcurrentQueue <Strategy> recalcs = new ConcurrentQueue <Strategy>();
Parallel.ForEach(_strategyDB.Values, strat =>
//foreach(var strat in _strategyDB.Values)
{
if (strat.InitialDate <= orderDate && strat.FinalDate >= executionDate && strat.Portfolio != null && !strat.IsResidual)
{
//double oldAUM = strat.GetSODAUM(orderDate, TimeSeriesType.Last);
double oldAUM = strat.GetAUM(orderDate, TimeSeriesType.Last);
if (double.IsNaN(oldAUM) || oldAUM == 0.0)
{
double old_strat_aum = strat.GetAUM(orderDate, TimeSeriesType.Last);
double old_port_aum = strat.Portfolio[orderDate, TimeSeriesType.Last, TimeSeriesRollType.Last];
Console.WriteLine("ENQUEUE: " + strat + " " + oldAUM + " " + old_strat_aum + " " + old_port_aum);
recalcs.Enqueue(strat);
}
//else
// strat.Tree.ExecuteLogic(orderDate, false);
//if
strat.Tree.ExecuteLogic_internal(orderDate, false, force);
}
});
//BusinessDay orderDate_local = _parentStrategy.Calendar.GetBusinessDay(orderDate);
BusinessDay orderDate_local = Calendar.FindCalendar("All").GetBusinessDay(orderDate);
//
if (_parentStrategy.Initialized && orderDate_local != null && !_parentStrategy.IsResidual)
{
_parentStrategy.ExecuteLogic(_parentStrategy.ExecutionContext(orderDate_local), force);
if (!recursive)
{
return;
}
double newAUM = _parentStrategy.GetSODAUM(orderDate, TimeSeriesType.Last);
if (!double.IsNaN(newAUM))
{
Boolean recalc = false;
Parallel.ForEach(recalcs, strat =>
{
if (strat.InitialDate <= orderDate_local.DateTime && strat.FinalDate >= orderDate_local.AddBusinessDays(1).DateTime&& !strat.IsResidual)
{
//double oldAUM = strat.GetNextAUM(orderDate, TimeSeriesType.Last);
double oldAUM = strat.GetSODAUM(orderDate, TimeSeriesType.Last);
if (!double.IsNaN(oldAUM))
{
recalc = true;
}
}
});
if (recalc)
{
_parentStrategy.ClearMemory(orderDate_local.DateTime);
_parentStrategy.Tree.ClearOrders(orderDate_local.DateTime, true);
_parentStrategy.Tree.ExecuteLogic_internal(orderDate_local.DateTime, false, force);
}
}
}
}
}
/// <summary>
/// Function: Internal function to executed the logic for each strategy and its sub-nodes
/// </summary>
/// <param name="orderDate">reference day</param>
/// /// <param name="recursive">true if recursive</param>
private void ExecuteLogic(DateTime orderDate, bool recursive)
{
if (_parentStrategy.Portfolio != null)
{
DateTime executionDate = orderDate.AddDays(1);
List <Strategy> recalcs = new List <Strategy>();
Parallel.ForEach(_strategyDB.Values, strat =>
{
if (strat.InitialDate <= orderDate && strat.FinalDate >= executionDate && strat.Portfolio != null)
{
double oldAUM = strat.GetNextAUM(orderDate, TimeSeriesType.Last);
if (double.IsNaN(oldAUM) || oldAUM == 0.0)
{
recalcs.Add(strat);
}
else
{
strat.Tree.ExecuteLogic(orderDate, false);
}
}
});
BusinessDay orderDate_local = _parentStrategy.Calendar.GetBusinessDay(orderDate);
if (_parentStrategy.Initialized && orderDate_local != null)
{
_parentStrategy.ExecuteLogic(_parentStrategy.ExecutionContext(orderDate_local));
if (!recursive)
{
return;
}
double newAUM = _parentStrategy.GetNextAUM(orderDate, TimeSeriesType.Last);
if (!double.IsNaN(newAUM))
{
Boolean recalc = false;
Parallel.ForEach(recalcs, strat =>
{
if (strat.InitialDate <= orderDate_local.DateTime && strat.FinalDate >= orderDate_local.AddBusinessDays(1).DateTime)
{
double oldAUM = strat.GetNextAUM(orderDate, TimeSeriesType.Last);
if (!double.IsNaN(oldAUM))
{
recalc = true;
}
}
});
if (recalc)
{
_parentStrategy.ClearMemory(orderDate_local.DateTime);
_parentStrategy.Tree.ClearOrders(orderDate_local.DateTime, true);
_parentStrategy.Tree.ExecuteLogic(orderDate_local.DateTime, false);
}
}
}
}
}
