}//filterSecuritiesForNewPortfolio
#endregion Filter Methods
#region General
public void setDisabledSecsToActive()
{ // Sets disabled securities back to active state
// Loop through list of disabled securities and setting them to active state
for (int iSecs = 0; iSecs < m_colDisabledSecurities.Count; iSecs++)
{
m_colDisabledSecurities[iSecs].setSecurityActivity(true);
}
// Clear DisabledSecs collection
m_colDisabledSecurities.Clear();
// Clear DisabledSecs collection
m_colActiveSecurities = m_colFullCollection.getListOfActiveSecs(); // Creates active securities list
}//setDisabledSecsToActive
}//clearCalcData
#endregion Constructors, Initialization & Destructor
#region Methods
#region New methods
public double[,] calcRiskAndCovariance(cDateRange drPeriod, ref ISecurities cSecsCol, Boolean isMatrix, Boolean isBacktest)
{ // Runs the main covariance calculation (including covariance matrix)
/// The matrix's first dimension represents the variables (securities)C:\Users\uriel\Documents\Applications\Cherries\Classes\
/// The matrix's second dimension represents the observations (history)
try
{
if (isBacktest)
{
for (int iSer = 0; iSer < cSecsCol.Count; iSer++)
{
cSecsCol[iSer].RatesClass.setUpdatedRateData(drPeriod);
}
}
else
{
for (int iSer = 0; iSer < cSecsCol.Count; iSer++)
{
cSecsCol[iSer].RatesClass.setFinalReturnFromServer(drPeriod);
}
}
cSecsCol = cSecsCol.getListOfActiveSecs();
for (int iSecs = 0; iSecs < cSecsCol.Count; iSecs++)
{
cSecsCol[iSecs].CovarClass.setCalculationStatistics(isBacktest);
}
cSecsCol = cSecsCol.getListOfActiveSecs();
if (isMatrix)
{
calculateNewCovarianceMatrix(cSecsCol, isBacktest);
}
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
return(m_dCovarMatrix);
}//runMainCalculation
private void fillCollectionsFromStaticData()
{ // Loads collections of securities from the static data
try
{
// Init
if (StaticData <cSecurity, ISecurities> .lst == null)
{ // init Static collection if it is empty
DateTime lastUpdate = DateTime.MinValue;
SetSecurites();
}
//////// Compare to portfolio securities
//////List<cSecurity> lstSecs = null;
//*****************************************************************************
//var portfolioSecurities = m_objPortfolio.Details.SecurityData.Select(x => x.idSecurity).ToList();
//if ((portfolioSecurities == null) || (portfolioSecurities.Count == 0))
//*****************************************************************************
//////lstSecs = StaticData<cSecurity, ISecurities>.lst.Where(x => exchanges.Contains(x.Properties.Market.ID)).ToList();
//*****************************************************************************
// Merge collections
//if (lstSecs != null)
//{ // Portfolio securities found = we limit our collections to portfolio securities
// //lstSecs = new List<TFI.BusinessLogic.Securities.cSecurity>();
// lstSecs = (from l in StaticData<cSecurity, ISecurities>.lst
// join li in portfolioSecurities
// on l.Properties.PortSecurityId equals li
// select l).ToList();
// var notInMemory = portfolioSecurities.Where(x => !lstSecs.Any(s => s.Properties.PortSecurityId == x)).ToList();
// var parallelList = new ConcurrentBag<cSecurity>();
// List<Security> secs = new List<Security>();
// securityRepository.Execute(session =>
// {
// secs = AutoMapper.Mapper.Map<List<Security>>(session.Query<Entities.dbo.TopSecurities>().Where(x => notInMemory.Contains(x.idSecurity)));
// });
// Parallel.ForEach(secs, s =>
// {
// var CurrentSec = getCurrSecurity(s, m_objPortfolio);
// parallelList.Add(CurrentSec);
// });
// lstSecs.AddRange(parallelList);
//}//main if
//*****************************************************************************
// Set final collections
m_colFullCollection.Securities.AddRange(StaticData <cSecurity, ISecurities> .lst); // (lstSecs);
m_colSecurities.Securities.AddRange(StaticData <cSecurity, ISecurities> .lst); // (lstSecs);
m_colActiveSecurities = m_colSecurities.getListOfActiveSecs(); //LR: at this point all securities are active.
for (int i = 0; i < m_colSecurities.Securities.Count; i++)
{ // Init collection securities
m_colSecurities.Securities[i].Init(m_objPortfolio);
m_colFullCollection.Securities[i].Init(m_objPortfolio);
}
} catch (Exception ex) {
m_objErrorHandler.LogInfo(ex);
}
}//fillCollectionsFromStaticData
