/// <remarks>ported from print_map</remarks>
public string PrintMap(DateTime moment = default(DateTime))
{
if (moment == default(DateTime))
{
return(PriceGraph.WriteGraphViz(PriceGraphName, c => String.Format("[label=\"{0}\"]", c.Symbol), null, Commodity.DefaultComparer));
}
else
{
RecentEdgeWeight recentEdgeWeight = new RecentEdgeWeight(moment);
IGraph <Commodity, PriceGraphEdge> fg = PriceGraph.Filter((comm1, comm2, edge) => recentEdgeWeight.Filter(comm1, comm2, edge));
return(fg.WriteGraphViz(PriceGraphName, c => String.Format("[label=\"{0}\"]", c.Symbol), null, Commodity.DefaultComparer));
}
}
/// <summary>
/// Ported from commodity_history_impl_t::find_price
/// </summary>
public PricePoint?FindPrice(Commodity source, DateTime moment, DateTime oldest = default(DateTime))
{
RecentEdgeWeight recentEdgeWeight = new RecentEdgeWeight(moment, oldest);
IGraph <Commodity, PriceGraphEdge> filtered = PriceGraph.Filter((comm1, comm2, edge) => recentEdgeWeight.Filter(comm1, comm2, edge));
Logger.Current.Debug("history.find", () => String.Format("sv commodity = {0}", source.Symbol));
if (source.Flags.HasFlag(CommodityFlagsEnum.COMMODITY_PRIMARY))
{
Logger.Current.Debug("history.find", () => "sv commodity is primary");
}
Logger.Current.Debug("history.find", () => "tv commodity = none ");
DateTime mostRecent = moment;
Amount price = null;
foreach (EdgeDescriptor <Commodity, PriceGraphEdge> edgeDescriptor in filtered.AdjacentVertices(source))
{
Logger.Current.Debug("history.find", () => String.Format("u commodity = {0}", edgeDescriptor.Vertex1.Symbol));
Logger.Current.Debug("history.find", () => String.Format("v commodity = {0}", edgeDescriptor.Vertex2.Symbol));
PricePoint point = edgeDescriptor.Edge.PricePoint;
if (price == null || point.When > mostRecent)
{
mostRecent = point.When;
price = point.Price;
}
Logger.Current.Debug("history.find", () => String.Format("price was = {0}", price.Unrounded()));
if (price.Commodity == source)
{
price = new Amount(price.GetInvertedQuantity(), edgeDescriptor.GetInvertedVertex(source));
}
Logger.Current.Debug("history.find", () => String.Format("price is = {0}", price.Unrounded()));
}
if (Amount.IsNullOrEmpty(price))
{
Logger.Current.Debug("history.find", () => "there is no final price");
return(null);
}
else
{
Logger.Current.Debug("history.find", () => String.Format("final price is = {0}", price.Unrounded()));
return(new PricePoint(mostRecent, price));
}
}
public void MapPrices(Action <DateTime, Amount> fn, Commodity source, DateTime moment, DateTime oldest = default(DateTime), bool bidirectionally = false)
{
Logger.Current.Debug("history.map", () => String.Format("Mapping prices for source commodity: {0}", source));
RecentEdgeWeight recentEdgeWeight = new RecentEdgeWeight(moment, oldest);
IGraph <Commodity, PriceGraphEdge> filtered = PriceGraph.Filter((comm1, comm2, edge) => recentEdgeWeight.Filter(comm1, comm2, edge));
foreach (EdgeDescriptor <Commodity, PriceGraphEdge> edgeDescriptor in filtered.AdjacentVertices(source))
{
foreach (KeyValuePair <DateTime, Amount> pricePair in edgeDescriptor.Edge.Prices)
{
DateTime when = pricePair.Key;
Amount price = pricePair.Value;
Logger.Current.Debug("history.map", () => String.Format("Price {0} on {1}", price, when));
if ((oldest.IsNotADateTime() || when >= oldest) && when <= moment)
{
if (price.Commodity == source)
{
if (bidirectionally)
{
price = new Amount(price.GetInvertedQuantity(), edgeDescriptor.GetInvertedVertex(source));
Logger.Current.Debug("history.map", () => String.Format("Inverted price is {0}", price));
Logger.Current.Debug("history.map", () => String.Format("fn({0}, {1})", when, price));
fn(when, price);
}
}
else
{
Logger.Current.Debug("history.map", () => String.Format("fn({0}, {1})", when, price));
fn(when, price);
}
}
}
}
}
/// <summary>
/// Ported from commodity_history_impl_t::find_price
/// </summary>
public PricePoint?FindPrice(Commodity source, Commodity target, DateTime moment, DateTime oldest = default(DateTime))
{
if (source == target)
{
throw new InvalidOperationException("Source commodity is equal to Target");
}
RecentEdgeWeight recentEdgeWeight = new RecentEdgeWeight(moment, oldest);
IGraph <Commodity, PriceGraphEdge> filtered = PriceGraph.Filter((comm1, comm2, edge) => recentEdgeWeight.Filter(comm1, comm2, edge));
Logger.Current.Debug("history.find", () => String.Format("u commodity = {0}", source.Symbol));
Logger.Current.Debug("history.find", () => String.Format("v commodity = {0}", target.Symbol));
IEnumerable <EdgeDescriptor <Commodity, PriceGraphEdge> > shortestPath = filtered.FindShortestPath(source, target, (edge) => edge.Weight.Ticks);
// Extract the shortest path and performance the calculations
DateTime leastRecent = moment;
Amount price = null;
Commodity lastTarget = target;
foreach (EdgeDescriptor <Commodity, PriceGraphEdge> edgeDescriptor in shortestPath.Reverse())
{
PricePoint point = edgeDescriptor.Edge.PricePoint;
Commodity uComm = edgeDescriptor.Vertex1;
Commodity vComm = edgeDescriptor.Vertex2;
bool firstRun = false;
if (Amount.IsNullOrEmpty(price))
{
leastRecent = point.When;
firstRun = true;
}
else if (point.When < leastRecent)
{
leastRecent = point.When;
}
Logger.Current.Debug("history.find", () => String.Format("u commodity = {0}", uComm.Symbol));
Logger.Current.Debug("history.find", () => String.Format("v commodity = {0}", vComm.Symbol));
Logger.Current.Debug("history.find", () => String.Format("last target = {0}", lastTarget.Symbol));
// Determine which direction we are converting in
Amount pprice = new Amount(point.Price);
Logger.Current.Debug("history.find", () => String.Format("pprice = {0}", pprice.Unrounded()));
if (!firstRun)
{
Logger.Current.Debug("history.find", () => String.Format("price was = {0}", price.Unrounded()));
if (pprice.Commodity != lastTarget)
{
price *= pprice.Inverted();
}
else
{
price *= pprice;
}
}
else if (pprice.Commodity != lastTarget)
{
price = pprice.Inverted();
}
else
{
price = pprice;
}
Logger.Current.Debug("history.find", () => String.Format("price is = {0}", price.Unrounded()));
if (lastTarget == vComm)
{
lastTarget = uComm;
}
else
{
lastTarget = vComm;
}
Logger.Current.Debug("history.find", () => String.Format("last target now = {0}", lastTarget.Symbol));
}
if (Amount.IsNullOrEmpty(price))
{
Logger.Current.Debug("history.find", () => "there is no final price");
return(null);
}
else
{
price = new Amount(price.Quantity, target);
Logger.Current.Debug("history.find", () => String.Format("final price is = {0}", price.Unrounded()));
return(new PricePoint(leastRecent, price));
}
}
