/// <summary>
/// Generate the exposure plot using the python libraries.
/// </summary>
public override string Render()
{
var longBacktestFrame = Metrics.Exposure(_backtestPortfolios, OrderDirection.Buy);
var shortBacktestFrame = Metrics.Exposure(_backtestPortfolios, OrderDirection.Sell);
var longLiveFrame = Metrics.Exposure(_livePortfolios, OrderDirection.Buy);
var shortLiveFrame = Metrics.Exposure(_livePortfolios, OrderDirection.Sell);
var backtestFrame = longBacktestFrame.Join(shortBacktestFrame)
.FillMissing(Direction.Forward)
.FillMissing(0.0);
var liveFrame = longLiveFrame.Join(shortLiveFrame)
.FillMissing(Direction.Forward)
.FillMissing(0.0);
longBacktestFrame = Frame.CreateEmpty <DateTime, Tuple <SecurityType, OrderDirection> >();
shortBacktestFrame = Frame.CreateEmpty <DateTime, Tuple <SecurityType, OrderDirection> >();
longLiveFrame = Frame.CreateEmpty <DateTime, Tuple <SecurityType, OrderDirection> >();
shortLiveFrame = Frame.CreateEmpty <DateTime, Tuple <SecurityType, OrderDirection> >();
foreach (var key in backtestFrame.ColumnKeys)
{
longBacktestFrame[key] = backtestFrame[key].SelectValues(x => x < 0 ? 0 : x);
shortBacktestFrame[key] = backtestFrame[key].SelectValues(x => x > 0 ? 0 : x);
}
foreach (var key in liveFrame.ColumnKeys)
{
longLiveFrame[key] = liveFrame[key].SelectValues(x => x < 0 ? 0 : x);
shortLiveFrame[key] = liveFrame[key].SelectValues(x => x > 0 ? 0 : x);
}
longBacktestFrame = longBacktestFrame.DropSparseColumnsAll();
shortBacktestFrame = shortBacktestFrame.DropSparseColumnsAll();
longLiveFrame = longLiveFrame.DropSparseColumnsAll();
shortLiveFrame = shortLiveFrame.DropSparseColumnsAll();
var base64 = "";
using (Py.GIL())
{
var time = backtestFrame.RowKeys.ToList().ToPython();
var longSecurities = longBacktestFrame.ColumnKeys.Select(x => x.Item1.ToStringInvariant()).ToList().ToPython();
var shortSecurities = shortBacktestFrame.ColumnKeys.Select(x => x.Item1.ToStringInvariant()).ToList().ToPython();
var longData = longBacktestFrame.ColumnKeys.Select(x => longBacktestFrame[x].Values.ToList().ToPython()).ToPython();
var shortData = shortBacktestFrame.ColumnKeys.Select(x => shortBacktestFrame[x].Values.ToList().ToPython()).ToPython();
var liveTime = liveFrame.RowKeys.ToList().ToPython();
var liveLongSecurities = longLiveFrame.ColumnKeys.Select(x => x.Item1.ToStringInvariant()).ToList().ToPython();
var liveShortSecurities = shortLiveFrame.ColumnKeys.Select(x => x.Item1.ToStringInvariant()).ToList().ToPython();
var liveLongData = longLiveFrame.ColumnKeys.Select(x => longLiveFrame[x].Values.ToList().ToPython()).ToPython();
var liveShortData = shortLiveFrame.ColumnKeys.Select(x => shortLiveFrame[x].Values.ToList().ToPython()).ToPython();
base64 = Charting.GetExposure(
time,
longSecurities,
shortSecurities,
longData,
shortData,
liveTime,
liveLongSecurities,
liveShortSecurities,
liveLongData,
liveShortData
);
}
return(base64);
}
