public void ShouldReturnCorrectHalfMonthBucket()
{
var startDate = new DateTime(2010,1,1);
var today = new DateTime(2015,12,08);
var productWrapper = new ProductWrapper { InputText = "UST1_2", ParserType = ParserType.CMT_Yield };
var dataRetriever = new DailyDataRetriever(new List<ProductWrapper>() { productWrapper });
var data = dataRetriever.getData(startDate, false, false, productWrapper.ToString());
var ret = data.Item2.ToDifferences().GetValuesBetweenDates(startDate, today);
var bucketgen = new BucketGenerator(null);
bucketgen.SetupHalfMonthBucket();
var buckets = bucketgen.SplitIntoBuckets(ret);
Assert.That(buckets.Count, Is.EqualTo(143));
Assert.That(buckets.First().Key, Is.EqualTo("2010_1_1"));
bucketgen.SetupHalfMonthBucketForYears();
var yearlyBuckets = bucketgen.SplitIntoBuckets(ret);
Assert.That(yearlyBuckets.Count, Is.EqualTo(24));
}
// Retreive basket data from Bloomberg
// Note: need to write a parser if basket needs to support other data source
public static Tuple<CustomBasket, DatedDataCollectionGen<double>>[] RetreiveDataForBasket(CustomBasket[] baskets, DateTime earliestDate)
{
try
{
return baskets.Select(b => new {basket = b, w = new ProductWrapper
{
InputText = b.InstrumentName,
Multiplier = b.Weight,
ParserType = MultiProductInputParser.ParserForType(b.InstrumentName),
}})
.Select(x =>
{
var dataRetriever = new DailyDataRetriever(new []{x.w}.ToList());
var data = dataRetriever.getData(earliestDate).Item2;
return new Tuple<CustomBasket, DatedDataCollectionGen<double>>(x.basket, data);
}).ToArray();
}
catch (Exception e)
{
throw new Exception(e.Message);
}
}
protected override Tuple<string, DatedDataCollectionGen<double>> getData(DateTime earliestDate_, bool insertNan_ = true, bool displayAnyError_=true)
{
var dataRetriever = new DailyDataRetriever(m_wrappers);
try
{
var data = dataRetriever.getData(earliestDate_, insertNan_, displayAnyError_);
return data;
}
catch (Exception e)
{
displayMessage("Parsing Error", e.Message, MessageBoxIcon.Error);
}
return null;
}
public void DateAroundEventModelTest()
{
var inputs =
new InstrumentInputItem { Ticker = "UST1_1", Type = ParserType.CMT_Yield }
;
var events1 = new[]
{
new DateTime(2016,02,04),
new DateTime(2016,01,07),
new DateTime(2015,12,10),
new DateTime(2015,11,15),
new DateTime(2015,10,08),
new DateTime(2015,09,10),
};
var events2 = new[]
{
new DateTime(2016,02,08),
new DateTime(2016,01,10),
new DateTime(2015,12,15),
new DateTime(2015,11,21),
new DateTime(2015,10,19),
new DateTime(2015,09,11),
};
var productWrapper = new ProductWrapper { InputText = inputs.Ticker, ParserType = inputs.Type };
var dataRetriever = new DailyDataRetriever(new List<ProductWrapper>() { productWrapper });
var data = dataRetriever.getData(new DateTime(2012, 1, 1), false, false, productWrapper.ToString());
var list = new List<DataAroundEvent>();
var offset = -5;
var numberofPoints = 10;
foreach (var v in events1)
{
list.Add(new DataAroundEvent(v.Date.Date, data.Item1, data.Item2, numberofPoints, "event1", offset));// { PivotIndex = numberofPoints - offset });
}
//foreach (var v in events2)
//{
// list.Add(new DataAroundEvent(v.Date.Date, data.Item1, data.Item2, 10, "event2"));
//}
foreach (var dataAroundEvent in list)
{
Console.WriteLine(@" ");
Console.WriteLine(@" ");
Console.WriteLine(@"-------------------------------------------");
Console.WriteLine(@"Event {0}", dataAroundEvent.EventDate);
foreach (var p in dataAroundEvent.FilledDataAroundEvent_Level.Data)
{
Console.WriteLine(@"{0},{1}", p.Index, p.Value);
}
}
}
public void ShouldCreateDataAroundEventsBucket()
{
var inputs =
new InstrumentInputItem {Ticker = "UST1_1", Type = ParserType.CMT_Yield}
;
var events = new[]
{
new DateTime(2016,02,04),
new DateTime(2016,01,07),
new DateTime(2015,12,10),
new DateTime(2015,11,15),
new DateTime(2015,10,08),
new DateTime(2015,09,10),
};
var productWrapper = new ProductWrapper { InputText = inputs.Ticker, ParserType = inputs.Type };
var dataRetriever = new DailyDataRetriever(new List<ProductWrapper>() { productWrapper });
var data = dataRetriever.getData(new DateTime(2012, 1, 1), false, false, productWrapper.ToString()).Item2;
var instData = MultiInstrumentsSignalGenerator.DataAroundEventsBucket(inputs, data, events, 2012, 5, DataAroundEventField.Filled_Diff);
Assert.That(instData.Count, Is.EqualTo(11));
}