public static void Generate(DateTime start)
{
var allContractsCTD = FutureContractsFactory.CreateFutureCTDContracts();
var contractsToRun = UserSpecifiedContracts != null ? allContractsCTD.Where(c => UserSpecifiedContracts.Select(x => x.ToUpper()).Contains(c.Ric)) : allContractsCTD;
var rollSetting = new RollSettings
{
RollType = RollType.CTD,
CTDSource = GenType,
Ctdoverrides = GetCTDOverrideFromFile(),
};
var ctddataResult = new List<Tuple<string, CTDItem[]>>();
foreach (var contract in contractsToRun)
{
var rollLogic = RollFactory.CreateRollLogic(contract, rollSetting);
var futureRollLogic = rollLogic as FirstNoticeCTDRollLogic;
if (futureRollLogic != null)
{
var futstat = futureRollLogic.FetchFutureStaticFromCarbon().Where(x => x.FirstNoticeDate > start.AddMonths(-6)).OrderBy(d => d.FirstNoticeDate).ToArray();
var generator = RollFactory.CreateCtdGenerator(GenType);
generator.CTDOverrides = rollSetting.Ctdoverrides;
generator.IsSmoothStart = false; // this is hardcoded to false because we do not want to look at past CTD in the CTD generation process
generator.StartDate = start;
var ctddata = generator.CreateCTDSeries(futstat, AsOf());
ctddataResult.Add(new Tuple<string, CTDItem[]>(contract.BbgBase.Market(), ctddata));
}
}
var ctdresultPerGroup = ctddataResult.GroupBy(c => c.Item1)
.Select(g =>
{
var result = g.SelectMany(x => x.Item2).ToArray();
bool successful = false;
if (!IsTopup)
{
var newFrame = result.FutureStaticToFrame();
newFrame.Print();
successful = CarbonModel.SaveFrameToCarbon(CarbonFutureStaticAdaptor.GetFutureStaticMoniker(g.Key), newFrame).Result.Successful;
}
else
successful = CarbonFutureStaticAdaptor.InsertDataToCarbonFrame(result, g.Key).Result.Successful;
return successful;
});
if(ctdresultPerGroup.Any(r => !r))
throw new Exception("Unsuccessfully saving results to carbon");
}
public static RollCache CreateRollCache(RollSettings setting)
{
switch (setting.RollType)
{
case RollType.CT:
return new CTCache(setting.DataSource);
case RollType.Future:
case RollType.CTD:
return new FutureRollCache(setting);
default:
throw new ArgumentOutOfRangeException();
}
}
public HistSeriesChartViewModel()
{
var rollsetting = new RollSettings {DataSource = RollDataSource.CarbonLive};
futureRollCache = new FutureRollCache(rollsetting); // we use carbon live for this.
futureContracts = FutureContractsFactory.CreateFutureContracts();
var task = new Task(() =>
{
try
{
var bonds = Generator.Go(Generator.CashBondRolling.Monthly);
var dictionary = new Dictionary<BondCurves, List<CTDLine<BondSpreads>>>
{
{BondCurves.USD3mLibor, Generator.GetSpreads(bonds, BondCurves.USD3mLibor)}
};
m_cd = new ChartDataSource(chartComponents_: new[]
{
new ChartComponent(),
new ChartComponent(),
new ChartComponent()
},
bonds_: bonds,
spreads_: dictionary
);
// subscribe to live curve and live bonds
m_live = new LiveDataModel(bonds.Last());
}
catch (Exception ex_)
{
Logger.Error("Error building CTD data for seasonality application", typeof(HistSeriesChartViewModel), ex_);
}
});
task.ContinueWith( t =>
{
// hook up carbon and live data result
m_live.SubscribeForLiveCurveAndBondPrices();
});
task.ContinueWith(t => m_live.BondSpreadModel().BondSpreadResultObservable().Where(b => b != null)
.ObserveOn(SynchronizationContext.Current)
.Subscribe(LiveChartUpdate), TaskScheduler.FromCurrentSynchronizationContext());
task.Start();
}
public static IRollLogic CreateRollLogic(IContract future, RollSettings rollsettings)
{
var futureContract = future as FutureContract;
if (futureContract == null) return null;
var rollcontrol = rollsettings.RollMethod ?? futureContract.ContractEnd; // if not roll method set use default
switch (rollcontrol)
{
case RollControl.FirstNotice:
return futureContract.HasCTD ? new FirstNoticeCTDRollLogic(future, CreateCtdGenerator(rollsettings.CTDSource)) : new FirstIssueFutureRollLogic(future);
case RollControl.DeliveryDate:
break;
case RollControl.LastTrade:
break;
case RollControl.MonthEnd:
return new MonthEndFutureRollLogic(future);
default:
throw new ArgumentOutOfRangeException();
}
return null;
}