public static void Collate(BondMarket market_=BondMarket.US)
{
var allTenors = SI.ExtensionMethods.CreateArray(1, 30, x => x + 1);
var con = new ConstructGen<double>(allTenors.Select(x => string.Format("cmt_{0}", x)).ToArray());
for (int i = 0; i < allTenors.Length; ++i)
{
var cr = Get(market_, allTenors[i]);
if (cr == null) continue;
con.SetColumnValues(i, cr.Values.GetColumnValuesAsDDC((int) CMTCarry.ColPosition.Carry));
}
con.WriteToCSV(string.Format(@"e:\temp\CMTCarry_{0}.csv", market_));
}
internal static void Go()
{
var listOfTenors = new[]
{
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"11Y",
"12Y",
"15Y",
"20Y",
"25Y",
"30Y",
"40Y",
"1Y1Y",
"1Y2Y",
"1Y3Y",
"1Y4Y",
"1Y5Y",
"1Y6Y",
"1Y7Y",
"1Y8Y",
"1Y9Y",
"1Y10Y",
"1Y11Y",
"1Y12Y",
"1Y15Y",
"1Y20Y",
"1Y25Y",
"1Y30Y",
"1Y40Y",
"2Y1Y",
"2Y2Y",
"2Y3Y",
"2Y4Y",
"2Y5Y",
"2Y6Y",
"2Y7Y",
"2Y8Y",
"2Y9Y",
"2Y10Y",
"2Y11Y",
"2Y12Y",
"2Y15Y",
"2Y20Y",
"2Y25Y",
"2Y30Y",
"2Y40Y",
"3Y1Y",
"3Y2Y",
"3Y3Y",
"3Y4Y",
"3Y5Y",
"3Y6Y",
"3Y7Y",
"3Y8Y",
"3Y9Y",
"3Y10Y",
"3Y11Y",
"3Y12Y",
"3Y15Y",
"3Y20Y",
"3Y25Y",
"3Y30Y",
"3Y40Y",
"4Y1Y",
"4Y2Y",
"4Y3Y",
"4Y4Y",
"4Y5Y",
"4Y6Y",
"4Y7Y",
"4Y8Y",
"4Y9Y",
"4Y10Y",
"4Y12Y",
"4Y15Y",
"4Y20Y",
"4Y25Y",
"4Y30Y",
"4Y40Y",
"5Y1Y",
"5Y2Y",
"5Y3Y",
"5Y4Y",
"5Y5Y",
"5Y6Y",
"5Y7Y",
"5Y8Y",
"5Y9Y",
"5Y10Y",
"5Y12Y",
"5Y15Y",
"5Y20Y",
"5Y25Y",
"5Y30Y",
"5Y40Y",
"6Y1Y",
"6Y2Y",
"6Y3Y",
"6Y4Y",
"6Y5Y",
"6Y6Y",
"6Y7Y",
"6Y8Y",
"6Y9Y",
"6Y10Y",
"6Y12Y",
"6Y15Y",
"6Y20Y",
"6Y25Y",
"6Y30Y",
"7Y1Y",
"7Y2Y",
"7Y3Y",
"7Y4Y",
"7Y5Y",
"7Y6Y",
"7Y7Y",
"7Y8Y",
"7Y9Y",
"7Y10Y",
"7Y11Y",
"7Y12Y",
"7Y15Y",
"7Y20Y",
"7Y25Y",
"7Y30Y",
"8Y1Y",
"8Y2Y",
"8Y3Y",
"8Y4Y",
"8Y5Y",
"8Y6Y",
"8Y7Y",
"8Y8Y",
"8Y9Y",
"8Y10Y",
"8Y12Y",
"8Y15Y",
"8Y20Y",
"8Y25Y",
"8Y30Y",
"9Y1Y",
"9Y2Y",
"9Y3Y",
"9Y4Y",
"9Y5Y",
"9Y6Y",
"9Y7Y",
"9Y8Y",
"9Y9Y",
"9Y10Y",
"9Y11Y",
"9Y12Y",
"9Y15Y",
"9Y20Y",
"9Y25Y",
"9Y30Y",
"10Y1Y",
"10Y2Y",
"10Y3Y",
"10Y4Y",
"10Y5Y",
"10Y10Y",
"10Y15Y",
"10Y20Y",
"10Y30Y",
"11Y1Y",
"11Y2Y",
"11Y3Y",
"11Y4Y",
"11Y5Y",
"11Y6Y",
"11Y7Y",
"11Y10Y",
"11Y15Y",
"11Y20Y",
"11Y25Y",
"11Y30Y",
"12Y1Y",
"12Y2Y",
"12Y3Y",
"12Y4Y",
"12Y5Y",
"12Y8Y",
"12Y10Y",
"12Y20Y",
"12Y25Y",
"15Y1Y",
"15Y2Y",
"15Y3Y",
"15Y4Y",
"15Y5Y",
"15Y6Y",
"15Y7Y",
"15Y8Y",
"15Y9Y",
"15Y10Y",
"15Y15Y",
"20Y5Y",
"20Y10Y",
"25Y5Y",
"30Y10Y",
};
ProductList.RegisterMongoClasses();
foreach (var curve in new[] { CurveNames.USD3M, CurveNames.EUR6M} )
{
var con = new ConstructGen<double>(listOfTenors);
for (int i = 0; i < listOfTenors.Length; ++i)
{
var split = listOfTenors[i].Trim('Y').Split('Y');
int start=0, foward=0;
if (split.Length == 1)
{
foward = int.Parse(split[0]);
}
else
{
start = int.Parse(split[0]);
foward = int.Parse(split[1]);
}
var series = xYyY.Get(curve, start, foward);
con.SetColumnValues(i, series.A_Prices);
}
if (con.NeedsToSortKeys())
con.SortKeys();
con.WriteToCSV(string.Format(@"e:\temp\Mark_Swaps_{0}.csv", curve));
}
}
public static void Go()
{
var yearOfFile = 2015;
var ricList = new[] {"ED", "FEI", "FGBL", "FGBM", "FGBS", "TY", "FLG", "FSS", "FGB", "FBTP", "FOAT", "ES", "FDX"};
var contractMonths = (MonthCode[])Enum.GetValues(typeof(MonthCode));
var sourceDir = @"E:\futuresData\MarkFiles";
var markDir = @"e:\futuresData\MarkEllis2";
var dict = new SortedDictionary<string, DatedDataCollectionGen<double>>();
var keys = new List<string>();
foreach (var ricStart in ricList)
{
foreach (var contractYear in new[] { 2015, 2016, 2017 })
{
foreach (var contractMonth in contractMonths)
{
var dates = new List<DateTime>();
var values = new List<double>();
foreach (var monthOfFile in new[] { 6, 7, 8 })
{
var searchString = string.Format("*{0}-{1}-{2}{3}{4}.csv", yearOfFile, monthOfFile.ToString("00"), ricStart, contractMonth, contractYear - 2010);
var files = Directory.GetFiles(sourceDir, searchString);
if (files.Length == 0)
continue;
foreach (var item in CsvFile.Read<FuturesIntradaySaver.FuturesLineItem>(files[0]))
{
if (item.gmtDate.HasValue && (item.gmtDate.Value.Minute == 32 || item.gmtDate.Value.Minute == 2))
{
item.Date = TimeZoneHelper.ConvertGmtTimeToLondon(item.gmtDate.Value);
item.Time = string.Empty;
if (item.Date.Hour < 8)
continue;
if (item.Date.Hour > 17)
continue;
dates.Add(item.Date);
values.Add((item.CloseAsk + item.CloseBid) / 2d);
}
}
//list.ToCsv(string.Join("\\", markDir,
// string.Format("{0}-{1}-{2}{3}{4}", yearOfFile, monthOfFile.ToString("00"), UpdateStaticDataForFutures.MAPS[ricStart].Item1, contractMonth, contractYear - 2010)));
}
if(dates.Count>0)
{
try
{
var ticker = string.Format("{0}{1}{2}", UpdateStaticDataForFutures.MAPS[ricStart].Item1, contractMonth, contractYear - 2010);
keys.Add(ticker);
dict.Add(ticker, new DatedDataCollectionGen<double>(dates.ToArray(), values.ToArray()));
}
catch (Exception ex_)
{
Console.WriteLine(ex_.ToString());
}
}
}
}
}
var con = new ConstructGen<double>(keys.ToArray());
for(int i=0;i<keys.Count;++i)
{
con.SetColumnValues(i,dict[keys[i]]);
}
if (con.NeedsToSortKeys())
con.SortKeys();
con.WriteToCSV(@"e:\futuresData\markDataTo1732.csv");
}
public void PublishHourlyVolumes(RollSet set)
{
ReadFromCSV();
var con = new ConstructGen<double>(new[] { MonthFrom, MonthTo, "Spread" });
var priorVolume = new DatedDataCollectionGen<double>(Lines.Dates,
Lines.Data.Select(x => x.PriorContractVolume).ToArray())
.ToGenPeriod(
periodDateFunction_: x => x,
areSamePeriodFunction_: functionForSameVolumeBucketing(),
collationFunction_: x => x.Sum());
con.SetColumnValues(0, priorVolume);
var newVolume = new DatedDataCollectionGen<double>(Lines.Dates,
Lines.Data.Select(x => x.NewContractVolume).ToArray())
.ToGenPeriod(
periodDateFunction_: x=>x,
areSamePeriodFunction_: functionForSameVolumeBucketing(),
collationFunction_: x => x.Sum());
con.SetColumnValues(1, newVolume);
var spreadVolume = new DatedDataCollectionGen<double>(Lines.Dates,
Lines.Data.Select(x => x.SpreadVolume).ToArray())
.ToGenPeriod(
periodDateFunction_: x => x,
areSamePeriodFunction_: functionForSameVolumeBucketing(),
collationFunction_: x => x.Sum());
con.SetColumnValues(2, spreadVolume);
con.WriteToCSV(string.Format(@"{4}\{0}_{1}_{2}_{3}_HourlyVolume.csv", Rolldate.ToString("yyyyMMdd"), set,
MonthFrom, MonthTo,DIR));
}