public static ZooData Calculate(
String instKey, AdjTable adjTable, DateTime from, DateTime until, double investAmount)
{
SortedList<DateTime, double> adjs = adjTable.Data[instKey];
SortedList<DateTime, double> investAmts = CreateInvestAmount(adjs, investAmount);
SortedList<DateTime, double> instData = MarketDataManager.Ins().GetData(instKey);
SortedList<DateTime, double> increments = ConvertUtil.ToIncrement(instData);
// create pivot dates
List<DateTime> pivotDates = CreatePivotDates(from, until, instData);
// create ZooData, Set adj and instData
ZooData zoo = new ZooData();
zoo.SetPivotDates(pivotDates);
zoo.Append("insts", instData); // instruments market data
zoo.Append("increments", increments);
zoo.Append("adjs", adjs, 1.0);
zoo.Append("investAmts", investAmts);
SortedList<DateTime, double> pnls = CalculatePnl(zoo, investAmount);
SortedList<DateTime, double> sum = ConvertUtil.ToSum(pnls);
zoo.Append("pnls", pnls);
zoo.Append("sum", sum);
return zoo;
}
AdjTable CreateAdjTable(AdjTradingInput input)
{
AdjTable adjTable = new AdjTable();
// Get InstrumentKeys
foreach (String instKey in input.InstKeyAdjDict.Keys)
{
// For each InstrumentKey, Calculate Adj
List<IAdjLogic> adjLogics = input.InstKeyAdjDict[instKey];
SortedList<DateTime, double> result =
AdjCalculator.Calculate(adjLogics, this.From, this.Until);
adjTable.Data.Add(instKey, result);
}
return adjTable;
}
AdjTradingResultTable CreateTradingResultTable(AdjTable adjTable, AdjTradingInput input)
{
AdjTradingResultTable resultTable = new AdjTradingResultTable(this.From, this.Until);
double investAmount = input.InvestAmount;
foreach (String instKey in adjTable.Data.Keys)
{
ZooData zoo =
AdjTradingResultCalculator.Calculate(instKey, adjTable, this.From, this.Until, investAmount);
resultTable.EachTradingResult.Add(instKey, zoo);
}
resultTable.CalculateTotal();
return resultTable;
}