private DealerPositionFeature GenerateFeatures(ContractTransactionInfo info, IEnumerable <DealerPositionInfo> contextData)
{
if (0 == info.Volume || 0 == info.Position || info.OpenPrice <= 0 || info.ClosePrice <= 0 || info.SettlePrice <= 0)
{
return(null);
}
var positionContext = contextData.Where(d => d.Commodity.Equals(info.Commodity) && d.Month.Equals(info.Contract)).OrderBy(d => d.TransactionDate).ToArray();
int index = 0;
int length = positionContext.Length;
for (; index < length; index++)
{
if (positionContext[index].TransactionDate.Equals(info.TransactionDate))
{
break;
}
}
if (index >= length)
{
return(null);
}
DealerPositionFeature feature = new DealerPositionFeature();
feature.Id = BuildId(info.TransactionDate, info.Commodity);
feature.Volume = info.Volume;
double buyPosition20 = GetAggregatedPosition(positionContext[index], 20, PositionType.Buy);
double sellPosition20 = GetAggregatedPosition(positionContext[index], 20, PositionType.Sell);
double buyPosition5 = GetAggregatedPosition(positionContext[index], 5, PositionType.Buy);
double sellPosition5 = GetAggregatedPosition(positionContext[index], 5, PositionType.Sell);
if (index > 10)
{
var historicalData = positionContext[index - 10];
feature.TopBuy20Delta10 = CalculateRatio(GetAggregatedPosition(historicalData, 20, PositionType.Buy), buyPosition20);
feature.TopSell20Delta10 = CalculateRatio(GetAggregatedPosition(historicalData, 20, PositionType.Sell), sellPosition20);
feature.TopBuy5Delta10 = CalculateRatio(GetAggregatedPosition(historicalData, 5, PositionType.Buy), buyPosition5);
feature.TopSell5Delta10 = CalculateRatio(GetAggregatedPosition(historicalData, 5, PositionType.Sell), sellPosition5);
}
if (index > 3)
{
var historicalData = positionContext[index - 3];
feature.TopBuy20Delta3 = CalculateRatio(GetAggregatedPosition(historicalData, 20, PositionType.Buy), buyPosition20);
feature.TopSell20Delta3 = CalculateRatio(GetAggregatedPosition(historicalData, 20, PositionType.Sell), sellPosition20);
feature.TopBuy5Delta3 = CalculateRatio(GetAggregatedPosition(historicalData, 5, PositionType.Buy), buyPosition5);
feature.TopSell5Delta3 = CalculateRatio(GetAggregatedPosition(historicalData, 5, PositionType.Sell), sellPosition5);
}
if (index > 0)
{
var historicalData = positionContext[index - 1];
feature.TopBuy20Delta1 = CalculateRatio(GetAggregatedPosition(historicalData, 20, PositionType.Buy), buyPosition20);
feature.TopSell20Delta1 = CalculateRatio(GetAggregatedPosition(historicalData, 20, PositionType.Sell), sellPosition20);
feature.TopBuy5Delta1 = CalculateRatio(GetAggregatedPosition(historicalData, 5, PositionType.Buy), buyPosition5);
feature.TopSell5Delta1 = CalculateRatio(GetAggregatedPosition(historicalData, 5, PositionType.Sell), sellPosition5);
}
return(feature);
}
public ContractTransactionFeature GenerateFeatures(ContractTransactionInfo info, IEnumerable <ContractTransactionInfo> contextData)
{
if (0 == info.Volume || 0 == info.Position || info.OpenPrice <= 0 || info.ClosePrice <= 0 || info.SettlePrice <= 0)
{
return(null);
}
var contractContext = contextData.Where(d => d.Commodity.Equals(info.Commodity) && d.Contract.Equals(info.Contract)).OrderBy(d => d.TransactionDate).ToArray();
int index = 0;
int length = contractContext.Length;
for (; index < length; index++)
{
if (contractContext[index].TransactionDate.Equals(info.TransactionDate))
{
break;
}
}
if (index >= length)
{
throw new ObjectNotFoundException(info.ID + " not found in contextual data array.");
}
var featureRow = new ContractTransactionFeature();
featureRow.Id = BuildId(info.TransactionDate, info.Commodity);
featureRow.Volume = info.Volume;
var closePrice = info.ClosePrice + 0.01;
if (index + 10 < length)
{
featureRow.ReturnRate10 = 100.0 * (contractContext[index + 10].ClosePrice - closePrice) / closePrice;
}
if (index + 5 < length)
{
featureRow.ReturnRate5 = 100.0 * (contractContext[index + 5].ClosePrice - closePrice) / closePrice;
}
if (index + 1 < length)
{
featureRow.ReturnRate1 = 100.0 * (contractContext[index + 1].ClosePrice - closePrice) / closePrice;
}
featureRow.DeltaHighOpen = 100.0 * (info.HighPrice - info.OpenPrice) / info.OpenPrice;
featureRow.DeltaLowOpen = 100.0 * (info.LowPrice - info.OpenPrice) / info.OpenPrice;
featureRow.DeltaHighClose = 100.0 * (info.HighPrice - info.ClosePrice) / info.HighPrice;
featureRow.DeltaLowClose = 100.0 * (info.LowPrice - info.ClosePrice) / info.LowPrice;
var volume = info.Volume;
var position = info.Position;
IEnumerable <ContractTransactionInfo> historyData;
if (index > 20)
{
historyData = contractContext.Skip(index - 20).Take(20);
var averageVolume = historyData.Average(d => d.Volume) + 1;
var averagePosition = historyData.Average(d => d.Position) + 1;
var averageClosePrice = historyData.Average(d => d.ClosePrice) + 0.01;
var averageSettlePrice = historyData.Average(d => d.SettlePrice) + 0.01;
featureRow.DeltaVolume20 = 100.0 * (volume - averageVolume) / averageVolume;
featureRow.DeltaPosition20 = 100.0 * (position - averagePosition) / averagePosition;
featureRow.DeltaClosePrice20 = 100.0 * (info.ClosePrice - averageClosePrice) / averageClosePrice;
featureRow.DeltaSettlePrice20 = 100.0 * (info.SettlePrice - averageSettlePrice) / averageSettlePrice;
featureRow.DeltaCloseSettlePrice20 = 100.0 * (info.ClosePrice - averageSettlePrice) / averageSettlePrice;
}
if (index > 10)
{
historyData = contractContext.Skip(index - 10).Take(10);
var averageVolume = historyData.Average(d => d.Volume) + 1;
var averagePosition = historyData.Average(d => d.Position) + 1;
var averageClosePrice = historyData.Average(d => d.ClosePrice) + 0.01;
var averageSettlePrice = historyData.Average(d => d.SettlePrice) + 0.01;
featureRow.DeltaVolume10 = 100.0 * (volume - averageVolume) / averageVolume;
featureRow.DeltaPosition10 = 100.0 * (position - averagePosition) / averagePosition;
featureRow.DeltaClosePrice10 = 100.0 * (info.ClosePrice - averageClosePrice) / averageClosePrice;
featureRow.DeltaSettlePrice10 = 100.0 * (info.SettlePrice - averageSettlePrice) / averageSettlePrice;
featureRow.DeltaCloseSettlePrice10 = 100.0 * (info.ClosePrice - averageSettlePrice) / averageSettlePrice;
}
if (index > 5)
{
historyData = contractContext.Skip(index - 5).Take(5);
var averageVolume = historyData.Average(d => d.Volume) + 1;
var averagePosition = historyData.Average(d => d.Position) + 1;
var averageClosePrice = historyData.Average(d => d.ClosePrice) + 0.01;
var averageSettlePrice = historyData.Average(d => d.SettlePrice) + 0.01;
featureRow.DeltaVolume5 = 100.0 * (volume - averageVolume) / averageVolume;
featureRow.DeltaPosition5 = 100.0 * (position - averagePosition) / averagePosition;
featureRow.DeltaClosePrice5 = 100.0 * (info.ClosePrice - averageClosePrice) / averageClosePrice;
featureRow.DeltaSettlePrice5 = 100.0 * (info.SettlePrice - averageSettlePrice) / averageSettlePrice;
featureRow.DeltaCloseSettlePrice5 = 100.0 * (info.ClosePrice - averageSettlePrice) / averageSettlePrice;
}
if (index > 0)
{
var lastInfo = contractContext[index - 1];
featureRow.DeltaVolume = 100.0 * ((double)info.Volume - lastInfo.Volume) / (lastInfo.Volume + 1);
featureRow.DeltaPosition = 100.0 * ((double)info.Position - lastInfo.Position) / (lastInfo.Position + 1);
featureRow.DeltaClosePrice = 100.0 * (info.ClosePrice - lastInfo.ClosePrice) / (lastInfo.ClosePrice + 0.01);
featureRow.DeltaSettlePrice = 100.0 * (info.SettlePrice - lastInfo.SettlePrice) / (lastInfo.SettlePrice + 0.01);
}
System.Console.WriteLine(featureRow.Id + " built successfully....");
return(featureRow);
}
