/// <summary>
/// Function: Weighted average of contract value * liquidity for a given number of days. Liquidity type is usually volume.
/// </summary>
/// <param name="date">reference date</param>
/// <param name="days">number of days in weighted average</param>
/// <param name="liquidityType">type of liquidity. (Volume usually)</param>
public double AverageDailyLiquidity(DateTime date, int days, TimeSeriesType liquidityType)
{
TimeSeries ts_close = this.GetTimeSeries(TimeSeriesType.Close);
int idx_date_close = ts_close.GetClosestDateIndex(date, TimeSeries.DateSearchType.Previous);
ts_close = ts_close.GetRange(Math.Max(0, idx_date_close - (days - 1)), idx_date_close);
TimeSeries ts_liquidity = this.GetTimeSeries(liquidityType);
int idx_date_liquidity = ts_liquidity.GetClosestDateIndex(date, TimeSeries.DateSearchType.Previous);
ts_liquidity = ts_liquidity.GetRange(Math.Max(0, idx_date_liquidity - (days - 1)), idx_date_liquidity);
if (ts_liquidity != null && ts_liquidity.Count != 0)
{
TimeSeries ts_dollar_liquidity = ts_close * ts_liquidity * this.ContractSize;
double adl = ts_dollar_liquidity.Average();
return(adl);
}
return(0);
}
