//private DateTime[] RollDatesEnrichment(IContract identifier, DateTime[] dates)
//{
// switch (AsFuture().BbgBase)
// {
// case "RX":
// // can add speical case for particular market
// default:
// // -2 weekday from the first notice day
// return dates.Select(d => RollBackWeekdays(d, 2)).ToArray();
// }
//}
/// <summary>
/// The current implementation of future roll logic does not involve the intraday rolling. So the start date input needs to be of same
/// time as the intraday data. Otherwise the roll logic would not be correct.
/// Let say your data time series is at 9am. If your roll time set below is 00:00 (this is normal because we don't normally put time information for date),
/// then ValueOnDate(xx-xx-xx) method called to retrieve the data for check data roll would not find any data at 00:00.
/// </summary>
/// <param name="startDate"></param>
/// <returns></returns>
public override IEnumerable<IContractSeries> ComputeContractsSeries(DateTime startDate)
{
var contractSeries = new List<ContractSeries>();
var rolldates = ComputeRollDates(startDate).OrderBy(d => d).ToArray();
int i = 0;
MonthCodeYear curMonthCode = null;
MonthCodeYear prevMonthCode = null;
DateTime nextRollDate = DateTime.MinValue;
int rollIndex = 0;
while (startDate < DateTime.Today)
{
// 1. set the contract month code on first day
if (i == 0)
{
var firstRoll = SetFirstDayMonthCodeAndRollDates(rolldates, startDate);
curMonthCode = firstRoll.Item1;
prevMonthCode = curMonthCode.GetMonthOffset(-3);
rollIndex = firstRoll.Item2;
nextRollDate = rolldates[rollIndex];
}
else
{
// 2. roll to the next quarter contract if passed roll dates
if(startDate >= nextRollDate)
{
prevMonthCode = curMonthCode;
var newMonthCodeYear = MyCalendar.GetNextFutureMonthCode(curMonthCode.Month.ToString(), curMonthCode.Year, 3);
curMonthCode = new MonthCodeYear((MonthCode) Enum.Parse(typeof(MonthCode), newMonthCodeYear.Item1), newMonthCodeYear.Item2);
// after roll, we itererate to the next roll date
rollIndex++;
if (rollIndex >= rolldates.Length) break;
nextRollDate = rolldates[rollIndex];
}
}
var curContractTicker = FutureBondLookup.getBbgTicker(AsFuture().BbgBase, curMonthCode);
var prevContractTicker = FutureBondLookup.getBbgTicker(AsFuture().BbgBase, prevMonthCode);
contractSeries.Add(new ContractSeries() { CurrentContract = curContractTicker, Date = startDate, PrevContract = prevContractTicker });
startDate = MyCalendar.NextWeekDay(startDate);
i++;
}
return contractSeries;
}
public static Bond GetBondForFuture(string tickerStart_, MonthCodeYear contract_)
{
var v = GetBondAndConversionFactorForFuture(tickerStart_, contract_);
return v == null ? null : v.Bond;
}
public static BondFutureConversion GetBondAndConversionFactorForFuture(string tickerSTart_, MonthCodeYear contract_)
{
string ticker = getBbgTicker(tickerSTart_, contract_);
return GetBondAndConversionFactorForFuture(ticker);
}
public static string getBbgTicker(string tickerStart_, MonthCodeYear contract_)
{
if (contract_.Year >= DateTime.Today.Year)
return string.Format("{0}{1}{2} COMDTY", tickerStart_, ((MonthCode) (int) contract_.Month).ToString(),
(contract_.Year%10).ToString());
else
return string.Format("{0}{1}{2} COMDTY", tickerStart_, ((MonthCode) (int) contract_.Month).ToString(),
(contract_.Year%100).ToString("00"));
}
