public QuoteCollection this[int month, GroupingFlag flag]
{
get
{
GroupingFlag yearFlag = flag & GroupingFlag.Default;
if (yearFlag == GroupingFlag.EvenYearOnly)
{
List <QuoteCollection> evenYearQuotes = QuotesOfMonth(month, GroupingFlag.EvenYearOnly);
List <Quote> records = quotesFromCollections(evenYearQuotes);
string name = string.Format("{0}{1}Even", Commodity.Description, MonthCodes.MonthCodeOf(month).Name);
return(new QuoteCollection(name, "", RecordType.DayRecord, records));
}
else if (yearFlag == GroupingFlag.OddYearOnly)
{
List <QuoteCollection> oddYearQuotes = QuotesOfMonth(month, GroupingFlag.OddYearOnly);
List <Quote> records = quotesFromCollections(oddYearQuotes);
string name = string.Format("{0}{1}Odd", Commodity.Description, MonthCodes.MonthCodeOf(month).Name);
return(new QuoteCollection(name, "", RecordType.DayRecord, records));
}
else
{
return(null);
}
}
}
public List <QuoteCollection> QuotesOfMonth(int month, GroupingFlag flag)
{
if (!Commodity.HasContractOn(month) || (flag != GroupingFlag.EvenYearOnly && flag != GroupingFlag.OddYearOnly && flag != GroupingFlag.Default))
{
return(null);
}
List <QuoteCollection> result = new List <QuoteCollection>();
foreach (KeyValuePair <ContractInfomation, QuoteCollection> kvp in Group)
{
if (kvp.Key.Month != month)
{
continue;
}
else if (flag == GroupingFlag.EvenYearOnly && kvp.Key.Year % 2 != 0)
{
continue;
}
else if (flag == GroupingFlag.OddYearOnly && kvp.Key.Year % 2 == 0)
{
continue;
}
result.Add(kvp.Value);
}
return(result);
}
public QuoteCollection this[GroupingFlag flag, bool isVolumeBased]
{
get
{
Dictionary <int, int[]> indexDict = new Dictionary <int, int[]>();
List <QuoteCollection> collections = Group.Values.ToList();
DateTimeOffset rollover = collections[0].Since;
int first, last;
if (!isVolumeBased)
{
for (int i = 0; i < collections.Count; i++)
{
QuoteCollection current = collections[i];
if (current.Since <= rollover) //&& current.Until> startDate.AddDays(DaysForRollover)
{
double oa = rollover.UtcDateTime.ToOADate();
first = current.QuoteOADates.FindIndex(x => x >= oa);
if (i == collections.Count - 1)
{
last = current.Count - 1;
}
else
{
oa = current.Until.AddDays(-DaysForRollover).UtcDateTime.ToOADate();
last = current.QuoteOADates.FindIndex(x => x >= oa);
}
rollover = current.Until.AddDays(-DaysForRollover);
indexDict.Add(i, new int[] { first, last });
}
else
{
if (i == collections.Count - 1)
{
throw new Exception(String.Format("Record after {0} are absent!", rollover));
}
}
}
}
else
{
List <DateTimeOffset> ranges = new List <DateTimeOffset>();
for (int i = 0; i < collections.Count; i++)
{
ranges.Add(collections[i].Since);
}
DateTimeOffset startDate = collections[0].Since;
double oa;
for (int i = 0; i < collections.Count - 1; i++)
{
oa = startDate.UtcDateTime.ToOADate();
QuoteCollection current = collections[i];
DateTimeOffset nextSince = collections[i + 1].Since;
for (int j = i + 2; j < collections.Count; j++)
{
if (nextSince > collections[j].Since)
{
nextSince = collections[j].Since;
}
}
if (startDate < nextSince)
{
first = current.QuoteOADates.FindIndex(x => x >= oa);
}
else
{
int collectionIndex = indexOfMaxVolume(collections, i, startDate);
if (i != collectionIndex)
{
continue;
}
first = current.QuoteOADates.FindIndex(x => x >= oa);
}
if (i == collections.Count - 1)
{
last = current.Count - 1;
}
else
{
last = first;
for (int j = first + 1; j < current.Count; j++)
{
DateTimeOffset endDate = current.DataCollection[j].Time;
int collectionIndex = indexOfMaxVolume(collections, i, endDate);
if (collectionIndex == -1)
{
endDate = current.DataCollection[j - 1].Time;
if (indexOfMaxVolume(collections, i, endDate) == i)
{
last = j - 1;
break;
}
}
if (i != collectionIndex)
{
last = j;
break;
}
}
}
startDate = current.DataCollection[last].Time;
indexDict.Add(i, new int[] { first, last });
}
}
List <double> multipliers = new List <double>()
{
1
};
List <double> deltas = new List <double>()
{
0
};
List <double> adjustments = new List <double>()
{
0
};
double folds = 1, multiplier = 1, dif = 0;
bool multiplyNeeded = false;
List <int> collectionIndices = indexDict.Keys.ToList();
for (int i = 1; i < collectionIndices.Count; i++)
{
int currentIndex = collectionIndices[i];
int lastIndex = collectionIndices[i - 1];
Quote quoteEnd = collections[lastIndex].DataCollection[indexDict[lastIndex][1]];
Quote quoteStart = collections[currentIndex].DataCollection[indexDict[currentIndex][0]];
double around = quoteEnd.Close / quoteStart.Close;
if (around > 10 || around < 0.1)
{
double x = Math.Log10(around);
folds = Math.Pow(10, Math.Round(x));
multiplyNeeded = true;
}
else
{
folds = 1;
}
multiplier *= folds;
multipliers.Add(multiplier);
if (folds != 1)
{
dif = Math.Round((quoteEnd.Close - quoteStart.Close * folds) / Commodity.MinTick) * Commodity.MinTick;
}
else
{
dif = Math.Round(((quoteEnd.Close - quoteStart.Close) * multiplier) / Commodity.MinTick) * Commodity.MinTick;
}
deltas.Add(dif);
}
if (flag == GroupingFlag.BackwardCompatible)
{
for (int i = 1; i < deltas.Count; i++)
{
//factor *= multipliers[i];
double adj = Math.Round(deltas[i] + adjustments[i - 1], 4);
adjustments.Add(adj);
}
}
else if (flag == GroupingFlag.ForewardCompatible)
{
for (int i = deltas.Count - 2; i >= 0; i--)
{
//factor *= multipliers[i];
double adj = Math.Round(adjustments[0] - deltas[i + 1], 4);
adjustments.Insert(0, adj);
}
}
else
{
for (int i = 0; i < collections.Count; i++)
{
adjustments.Insert(0, 0);
}
}
List <Quote> continuous = new List <Quote>();
if (multiplyNeeded)
{
int j = 0;
foreach (KeyValuePair <int, int[]> kvp in indexDict)
{
QuoteCollection current = collections[kvp.Key];
double divisor = multipliers[j];
double delta = adjustments[j++];
for (int i = kvp.Value[0]; i < kvp.Value[1]; i++)
{
continuous.Add(new Quote(current.DataCollection[i], delta, divisor));
}
Console.WriteLine("For {0} to {1}, delta = {2}, divisor={3}",
current.DataCollection[kvp.Value[0]].Time, current.DataCollection[kvp.Value[1]].Time, delta, divisor);
}
}
else
{
int j = 0;
foreach (KeyValuePair <int, int[]> kvp in indexDict)
{
QuoteCollection current = collections[kvp.Key];
double delta = adjustments[j++];
for (int i = kvp.Value[0]; i < kvp.Value[1]; i++)
{
continuous.Add(new Quote(current.DataCollection[i], delta));
}
Console.WriteLine("For {0} to {1}, delta = {2}", current.DataCollection[kvp.Value[0]].Time, current.DataCollection[kvp.Value[1]].Time, delta);
}
}
string name = string.Format("{0}{1}", Commodity.Description, flag);
return(new QuoteCollection(name, "", RecordType.DayRecord, continuous));
//string name = string.Format("{0}{1}", Commodity.Description, flag);
//return new QuoteCollection(name, "", RecordType.DayRecord, continuous);
//List<List<Quote>> recordSet = new List<List<Quote>>();
//List<double> deltas = new List<double>() {0};
//List<double> multipliers = new List<double>() { 1 };
//List<double> adjustments = new List<double>(){0};
//bool multiplyNeeded = false;
//bool bypassNext = false;
//DateTimeOffset firstDay = collections[0].Since;
//double factor = 1;
//for ( int i = 0; i < collections.Count-1; i ++)
//{
// if (bypassNext)
// {
// recordSet.Add(new List<Quote>());
// multipliers.Add(1);
// deltas.Add(0);
// bypassNext = false;
// continue;
// }
// QuoteCollection collection = collections[i];
// QuoteCollection nextCollection = collections[i + 1];
// DateTimeOffset end = collection.Until;
// DateTimeOffset nextStart = (i == collections.Count-1) ? DateTimeOffset.MaxValue : nextCollection.Since;
// if (i < collections.Count-2 && nextStart > end && collections[i+2].Since < end)
// {
// bypassNext = true;
// nextCollection = collections[i + 2];
// nextStart =(i == collections.Count-3) ? DateTimeOffset.MaxValue : nextCollection.Since;
// }
// DateTimeOffset last = (nextStart > end) ? end : (nextStart < end.AddDays(-DaysForRollover) ? end.AddDays(-DaysForRollover) : nextStart);
// double temp = firstDay.UtcDateTime.ToOADate();
// int firstIndex = collection.QuoteOADates.FindIndex(x => x >= temp);
// temp = last.UtcDateTime.ToOADate();
// int lastIndex = last >= end ? collection.Count -1 : collection.QuoteOADates.FindIndex(x => x >= temp);
// List<Quote> conceredQuotes = new List<Quote>();
// for (int j = firstIndex; j < lastIndex; j ++ )
// {
// conceredQuotes.Add(collection.DataCollection[j]);
// }
// double dif = 0, folds = 1;
// Quote theOldLast = collection.DataCollection[lastIndex];
// Quote theNextCorrespondent = collections[i + 1][theOldLast.Time];
// if (theNextCorrespondent == null)
// {
// theNextCorrespondent = collections[i + 1][theOldLast.Time.AddDays(1)];
// if (theNextCorrespondent == null)
// theNextCorrespondent = collections[i + 1][theOldLast.Time.AddDays(2)];
// }
// double around = theOldLast.Close / theNextCorrespondent.Close;
// if (around > 10 || around < 0.1)
// {
// //double magNew = Math.Floor(Math.Log10(theNextCorrespondent.Close));
// //double magOld = Math.Floor(Math.Log10(theOldLast.Close));
// //folds = Math.Pow(10, magNew - magOld);
// double x = Math.Log10(around);
// folds = Math.Pow(10, Math.Round(x));
// multiplyNeeded = true;
// }
// factor *= folds;
// multipliers.Add(factor);
// if (flag != GroupingFlag.AsIs && i != collections.Count - 1)
// {
// if (folds != 1)
// dif = Math.Round((theOldLast.Close - theNextCorrespondent.Close*folds) / Commodity.MinTick) * Commodity.MinTick;
// else
// dif = Math.Round(((theOldLast.Close - theNextCorrespondent.Close )* factor) / Commodity.MinTick) * Commodity.MinTick;
// }
// deltas.Add(dif);
// recordSet.Add(conceredQuotes);
// if (conceredQuotes.Count != 0)
// Console.WriteLine("Append records between {0} and {1}, from {2}, delta = {3}",
// collection.DataCollection[firstIndex].Time.ToString("yyyy-MM-dd"), collection.DataCollection[lastIndex - 1].Time.ToString("yyyy-MM-dd"), collection.Name, dif);
// else
// Console.WriteLine("No records appended!");
// firstDay = last;
//}
//if (flag == GroupingFlag.BackwardCompatible)
//{
// for (int i = 1; i < deltas.Count; i++)
// {
// //factor *= multipliers[i];
// double adj = Math.Round(deltas[i] + adjustments[i - 1], 4);
// adjustments.Add(adj);
// }
//}
//else if (flag == GroupingFlag.ForewardCompatible)
//{
// for (int i = collections.Count - 2; i >= 0; i--)
// {
// //factor *= multipliers[i];
// double adj = Math.Round(adjustments[0] - deltas[i + 1], 4);
// adjustments.Insert(0, adj);
// }
//}
//else
//{
// for (int i = 0; i < collections.Count; i ++ )
// {
// adjustments.Insert(0, 0);
// }
//}
//List<Quote> continuous = new List<Quote>();
//if (multiplyNeeded)
//{
// int multiplyFrom = multipliers.FindIndex(x => x != 1);
// for (int index = 0; index < multiplyFrom; index++)
// {
// List<Quote> part = recordSet[index];
// double delta = adjustments[index];
// Console.WriteLine("For {0}, the adjustment = {1}", flag, delta);
// foreach (Quote record in part)
// {
// continuous.Add(new Quote(record, delta));
// }
// }
// for (int index = multiplyFrom; index < recordSet.Count; index++)
// {
// List<Quote> part = recordSet[index];
// double delta = adjustments[index];
// double divisor =multipliers[multiplyFrom];
// Console.WriteLine("For {0}, the adjustment = {1}, divided by {2}", flag, delta, divisor);
// foreach (Quote record in part)
// {
// continuous.Add(new Quote(record, delta, divisor));
// }
// }
//}
//else
//{
// for (int index = 0; index < recordSet.Count; index++)
// {
// List<Quote> part = recordSet[index];
// double delta = adjustments[index];
// Console.WriteLine("For {0}, the adjustment = {1}", flag, delta);
// foreach (Quote record in part)
// {
// continuous.Add(new Quote(record, delta));
// }
// }
//}
}
}
