private static ConcurrentDictionary<string, IList<float>> MarketRelativeReturns(MarketPrices close, IList<float> spyValues)
{
var marketNeutralDailyMovement = new ConcurrentDictionary<string, IList<float>>();
Parallel.ForEach(close.Symbols,
(symbol, loopState) =>
{
var priceList = close.ColumnList(symbol);
if (priceList == null)
loopState.Break();
else
{
IList<float> dailyReturns = priceList.Returnize();
IList<float> marketRelative = dailyReturns.Select((d, i) => (float)(d - spyValues[i])).ToList();
marketNeutralDailyMovement[symbol] = marketRelative;
}
});
return marketNeutralDailyMovement;
}
