public static PositionManagerOutput GetFuturesButterflyPosition(string alias, DateTime asOfDate, MySqlConnection conn)
{
DataTable StrategyPosition = TA.Strategy.GetNetPosition(alias: alias, conn: conn, asOfDate: asOfDate);
StrategyUtilities.PositionManagerOutput PositionManagerOut = new StrategyUtilities.PositionManagerOutput();
if (StrategyPosition.Rows.Count == 0)
{
return PositionManagerOut;
}
StrategyPosition.Columns.Add("TickerHead", typeof(string));
StrategyPosition.Columns.Add("SortIndex", typeof(int));
foreach (DataRow Row in StrategyPosition.Rows)
{
ContractUtilities.ContractSpecs Cs = ContractUtilities.ContractMetaInfo.GetContractSpecs(ticker: Row.Field<string>("Ticker"));
Row["TickerHead"] = Cs.tickerHead;
Row["SortIndex"] = Cs.contINDX;
}
StrategyPosition = DataAnalysis.DataTableFunctions.Sort(dataTableInput: StrategyPosition, columnList: new string[] { "SortIndex" });
bool CorrectPositionQ = false;
if ((StrategyPosition.Rows.Count == 3) &&
(Math.Sign(StrategyPosition.Rows[0].Field<double>("Qty"))) == Math.Sign(StrategyPosition.Rows[2].Field<double>("Qty")) &&
(StrategyPosition.AsEnumerable().Sum(x => x.Field<double>("Qty")) == 0))
{
CorrectPositionQ = true;
}
PositionManagerOut.SortedPosition = StrategyPosition;
PositionManagerOut.Scale = StrategyPosition.Rows[0].Field<double>("Qty");
PositionManagerOut.CorrectPositionQ = CorrectPositionQ;
return PositionManagerOut;
}
public static PositionManagerOutput GetIfsPosition(string alias, DateTime asOfDate, MySqlConnection conn)
{
DataTable StrategyPosition = TA.Strategy.GetNetPosition(alias: alias, conn: conn, asOfDate: asOfDate);
StrategyUtilities.PositionManagerOutput PositionManagerOut = new StrategyUtilities.PositionManagerOutput();
if (StrategyPosition.Rows.Count == 0)
{
return(PositionManagerOut);
}
StrategyPosition.Columns.Add("TickerHead", typeof(string));
StrategyPosition.Columns.Add("SortIndex", typeof(int));
foreach (DataRow Row in StrategyPosition.Rows)
{
Row["TickerHead"] = ContractUtilities.ContractMetaInfo.GetContractSpecs(ticker: Row.Field <string>("Ticker")).tickerHead;
}
List <string> TickerHeadList = DataAnalysis.DataTableFunctions.GetColumnAsList <string>(dataTableInput: StrategyPosition, columnName: "TickerHead");
List <string> TickerList = new List <string>();
List <double> QtyList = new List <double>();
List <double> ScaleList = new List <double>();
bool CorrectPositionQ = false;
Dictionary <string, List <decimal> > WeightDictionary = StrategyUtilities.SpreadDefinitions.WeightDictionary;
foreach (KeyValuePair <string, List <decimal> > entry in WeightDictionary)
{
List <string> TickerHeadListFromDefinition = entry.Key.Split('_').ToList();
if (new HashSet <string>(TickerHeadListFromDefinition).SetEquals(TickerHeadList))
{
CorrectPositionQ = true;
for (int i = 0; i < TickerHeadList.Count; i++)
{
int RowIndex = TickerHeadListFromDefinition.IndexOf(TickerHeadList[i]);
StrategyPosition.Rows[i]["SortIndex"] = RowIndex;
ScaleList.Add(StrategyPosition.Rows[i].Field <double>("Qty") / (double)entry.Value[RowIndex]);
}
for (int i = 1; i < ScaleList.Count; i++)
{
if (Math.Abs(ScaleList[i] - ScaleList[1]) > 0.1)
{
CorrectPositionQ = false;
}
}
break;
}
}
StrategyPosition = DataAnalysis.DataTableFunctions.Sort(dataTableInput: StrategyPosition, columnList: new string[] { "SortIndex" });
PositionManagerOut.SortedPosition = StrategyPosition;
PositionManagerOut.Scale = ScaleList[0];
PositionManagerOut.CorrectPositionQ = CorrectPositionQ;
return(PositionManagerOut);
}
public static PositionManagerOutput GetIfsPosition(string alias, DateTime asOfDate,MySqlConnection conn)
{
DataTable StrategyPosition = TA.Strategy.GetNetPosition(alias: alias, conn: conn, asOfDate: asOfDate);
StrategyUtilities.PositionManagerOutput PositionManagerOut = new StrategyUtilities.PositionManagerOutput();
if (StrategyPosition.Rows.Count==0)
{
return PositionManagerOut;
}
StrategyPosition.Columns.Add("TickerHead", typeof(string));
StrategyPosition.Columns.Add("SortIndex", typeof(int));
foreach (DataRow Row in StrategyPosition.Rows)
{
Row["TickerHead"] = ContractUtilities.ContractMetaInfo.GetContractSpecs(ticker: Row.Field<string>("Ticker")).tickerHead;
}
List<string> TickerHeadList = DataAnalysis.DataTableFunctions.GetColumnAsList<string>(dataTableInput: StrategyPosition, columnName: "TickerHead");
List<string> TickerList = new List<string>();
List<double> QtyList = new List<double>();
List<double> ScaleList = new List<double>();
bool CorrectPositionQ = false;
Dictionary<string, List<decimal>> WeightDictionary = StrategyUtilities.SpreadDefinitions.WeightDictionary;
foreach (KeyValuePair<string, List<decimal>> entry in WeightDictionary)
{
List<string> TickerHeadListFromDefinition = entry.Key.Split('_').ToList();
if (new HashSet<string>(TickerHeadListFromDefinition).SetEquals(TickerHeadList))
{
CorrectPositionQ = true;
for (int i = 0; i < TickerHeadList.Count; i++)
{
int RowIndex = TickerHeadListFromDefinition.IndexOf(TickerHeadList[i]);
StrategyPosition.Rows[i]["SortIndex"] = RowIndex;
ScaleList.Add(StrategyPosition.Rows[i].Field<double>("Qty")/(double)entry.Value[RowIndex]);
}
for (int i = 1; i < ScaleList.Count; i++)
{
if (Math.Abs(ScaleList[i] - ScaleList[1]) > 0.1)
{
CorrectPositionQ = false;
}
}
break;
}
}
StrategyPosition = DataAnalysis.DataTableFunctions.Sort(dataTableInput: StrategyPosition, columnList:new string[] { "SortIndex" });
PositionManagerOut.SortedPosition = StrategyPosition;
PositionManagerOut.Scale = ScaleList[0];
PositionManagerOut.CorrectPositionQ = CorrectPositionQ;
return PositionManagerOut;
}
public static PositionManagerOutput GetFuturesButterflyPosition(string alias, DateTime asOfDate, MySqlConnection conn)
{
DataTable StrategyPosition = TA.Strategy.GetNetPosition(alias: alias, conn: conn, asOfDate: asOfDate);
StrategyUtilities.PositionManagerOutput PositionManagerOut = new StrategyUtilities.PositionManagerOutput();
if (StrategyPosition.Rows.Count == 0)
{
return(PositionManagerOut);
}
StrategyPosition.Columns.Add("TickerHead", typeof(string));
StrategyPosition.Columns.Add("SortIndex", typeof(int));
foreach (DataRow Row in StrategyPosition.Rows)
{
ContractUtilities.ContractSpecs Cs = ContractUtilities.ContractMetaInfo.GetContractSpecs(ticker: Row.Field <string>("Ticker"));
Row["TickerHead"] = Cs.tickerHead;
Row["SortIndex"] = Cs.contINDX;
}
StrategyPosition = DataAnalysis.DataTableFunctions.Sort(dataTableInput: StrategyPosition, columnList: new string[] { "SortIndex" });
bool CorrectPositionQ = false;
if ((StrategyPosition.Rows.Count == 3) &&
(Math.Sign(StrategyPosition.Rows[0].Field <double>("Qty"))) == Math.Sign(StrategyPosition.Rows[2].Field <double>("Qty")) &&
(StrategyPosition.AsEnumerable().Sum(x => x.Field <double>("Qty")) == 0))
{
CorrectPositionQ = true;
}
PositionManagerOut.SortedPosition = StrategyPosition;
PositionManagerOut.Scale = StrategyPosition.Rows[0].Field <double>("Qty");
PositionManagerOut.CorrectPositionQ = CorrectPositionQ;
return(PositionManagerOut);
}
