Tuple<double, double, double> CalculatePpm(
G20_TickerInfo tickerInfo, DateTime from, DateTime until)
{
if (StringUtil.IsEmpty(tickerInfo.TbrTicker))
{
logger.Warn("{0} is empty", tickerInfo.TbrTicker);
return new Tuple<double, double, double>(0, 0, 0);
}
SortedList<DateTime, double> tbrMarketData =
MarketDataManager.Ins().Get_PX_LAST_Data(tickerInfo.TbrTicker, "USD");
SortedList<DateTime, double> indexMarketData =
MarketDataManager.Ins().Get_PX_LAST_Data(tickerInfo.StockTicker, tickerInfo.Currency);
ZooData zoo = new ZooData();
zoo.SetPivot(tickerInfo.StockTicker, indexMarketData);
zoo.Append(tickerInfo.TbrTicker, tbrMarketData);
zoo.ToCsv(String.Format("C:\\tbr_{0}.csv", tickerInfo.Country));
//일단 보류한다. 특별한 성질을 찾지는 못했다. 특히 각 국가에 적용할 경우에 더욱 그렇다
//TbrAdj adj = new TbrAdj(tickerInfo, from, until);
//String tradingTicker = tickerInfo.StockTicker;
//String currency = tickerInfo.Currency;
//SortedList<DateTime, double> tradingTargetData = ExperimentUtil.GetTradingTargetData(
// tradingTicker, currency);
//SortedList<DateTime, double> adjPnls =
// MathUtil.GetAdjIncCum(adj.AdjIndex, tradingTargetData);
//SortedList<DateTime, double> pnls =
// MathUtil.GetIncCum(tradingTargetData, adjPnls.Keys[0].AddDays(-5));
//ZooData zoo = new ZooData();
//zoo.SetPivot("adjPnls", adjPnls);
//zoo.Append("adj", adj.AdjIndex);
//zoo.Append("pnls", pnls);
//zoo.Append("tradingTarget", tradingTargetData);
//double indexPpm = MathUtil.GetPPM(zoo.GetData("tradingTarget"));
//double pnlPpm = MathUtil.GetPPM(zoo.GetData("pnls"));
//double adjPnlPpm = MathUtil.GetPPM(zoo.GetData("adjPnls"));
//return new Tuple<double, double, double>(indexPpm,
// pnlPpm, adjPnlPpm);
return new Tuple<double, double, double>(0, 0, 0);
}
public void GetDataTest()
{
String kospiKey = MarketDataManager.Ins().GetKey("KOSPI Index", MarketDataFieldType.PX_LAST);
SortedList<DateTime, double> kospiData = MarketDataManager.Ins().GetData(kospiKey);
String nkyKey = MarketDataManager.Ins().GetKey("NKY Index", MarketDataFieldType.PX_LAST, "JPY");
SortedList<DateTime, double> nkyData = MarketDataManager.Ins().GetData(nkyKey);
ZooData zoo = new ZooData();
zoo.SetPivot(kospiKey, kospiData);
zoo.Append(nkyKey, nkyData);
const String kPath = @"c:\test.csv";
zoo.ToCsv(kPath);
}