public static TrendIndex UpdateSectorIndex(TrendIndex indexToUpdate, List <Security> securities)
{
if (securities.Count == 0)
{
return(null);
}
var usedSecurities = securities.
Where(x => x.Sector == indexToUpdate.IndexName).
Where(x => x.DailyPriceBarData.Count > 0).
Where(x => !x.MissingData && !x.Excluded).ToList();
DateTime currentDate = indexToUpdate.LatestDate ??
(from sec in usedSecurities select sec.GetFirstBar(indexToUpdate.TrendPriceBarSize).BarDateTime).Min();
var priceBarSize = indexToUpdate.TrendPriceBarSize;
var barCount = indexToUpdate.IndexSwingpointBarCount;
foreach (Security security in usedSecurities)
{
security.SetSwingPointsAndTrends(barCount, priceBarSize);
}
while (currentDate <= LatestDate(usedSecurities, priceBarSize))
{
TrendIndexDay indexDay = indexToUpdate.GetIndexDay(currentDate, true);
var dailySecurityList = ApplyDefaultAsOfFilters(usedSecurities, currentDate);
if (dailySecurityList.Count() > 0)
{
foreach (TrendQualification trend in Enum.GetValues(typeof(TrendQualification)))
{
if (trend == TrendQualification.NotSet)
{
continue;
}
var totalTrending = dailySecurityList.Where(x => x.GetPriceBar(currentDate, priceBarSize).GetTrendType(barCount) == trend).Count();
indexDay.AddTrendEntry(trend, totalTrending.ToDecimal() / dailySecurityList.Count().ToDecimal());
}
}
switch (priceBarSize)
{
case PriceBarSize.Daily:
currentDate = NextTradingDay(currentDate);
break;
case PriceBarSize.Weekly:
currentDate = NextTradingWeekStart(currentDate);
break;
case PriceBarSize.Monthly:
currentDate = NextTradingMonthStart(currentDate);
break;
case PriceBarSize.Quarterly:
currentDate = NextTradingQuarterStart(currentDate);
break;
}
}
return(indexToUpdate);
}
public static TrendIndex CreateSectorIndex(string sectorName, List <Security> securities, PriceBarSize priceBarSize)
{
var trendIndex = IndexManager.Instance.Database.GetTrendIndex(sectorName, priceBarSize, Settings.Instance.Sector_Trend_Bar_Count);
var usedSecurities = ApplyDefaultStaticFilters(securities).
Where(x => x.Sector == sectorName);
if (usedSecurities.Count() == 0)
{
return(trendIndex);
}
var currentDate = EarliestDate(usedSecurities, Settings.Instance.Sector_Trend_Bar_Size);
var latestDate = LatestDate(usedSecurities, Settings.Instance.Sector_Trend_Bar_Size);
foreach (Security security in usedSecurities)
{
security.SetSwingPointsAndTrends(Settings.Instance.Sector_Trend_Bar_Count, Settings.Instance.Sector_Trend_Bar_Size);
}
while (currentDate <= latestDate)
{
TrendIndexDay indexDay = trendIndex.GetIndexDay(currentDate, true);
var dailySecurityList = ApplyDefaultAsOfFilters(usedSecurities, currentDate);
if (dailySecurityList.Count() > 0)
{
foreach (TrendQualification trend in Enum.GetValues(typeof(TrendQualification)))
{
if (trend == TrendQualification.NotSet)
{
continue;
}
var totalTrending = dailySecurityList.Where(x => x.GetPriceBar(currentDate, Settings.Instance.Sector_Trend_Bar_Size).
GetTrendType(Settings.Instance.Sector_Trend_Bar_Count) == trend).Count();
indexDay.AddTrendEntry(trend, totalTrending.ToDecimal() / dailySecurityList.Count().ToDecimal());
}
indexDay.SecurityCount = dailySecurityList.Count();
}
switch (Settings.Instance.Sector_Trend_Bar_Size)
{
case PriceBarSize.Daily:
currentDate = NextTradingDay(currentDate);
break;
case PriceBarSize.Weekly:
currentDate = NextTradingWeekStart(currentDate);
break;
case PriceBarSize.Monthly:
currentDate = NextTradingMonthStart(currentDate);
break;
case PriceBarSize.Quarterly:
currentDate = NextTradingQuarterStart(currentDate);
break;
}
}
return(trendIndex);
}
