/// <summary>
///
/// </summary>
/// <returns>The last contract used in the construction of this continuous futures instrument.</returns>
private Instrument GetContFutData(HistoricalDataRequest request, bool raiseDataEvent = true)
{
//copy over the list of contracts that we're gonna be using
List <Instrument> futures = new List <Instrument>(_contracts[request.AssignedID]);
//start by cleaning up the data, it is possible that some of the futures may not have had ANY data returned!
lock (_dataLock)
{
futures = futures.Where(x => _data[new KeyValuePair <int, BarSize>(x.ID.Value, request.Frequency)].Count > 0).ToList();
}
if (futures.Count == 0)
{
Log(LogLevel.Warn, "No data found");
if (raiseDataEvent)
{
RaiseEvent(HistoricalDataArrived, this, new HistoricalDataEventArgs(request, new List <OHLCBar>()));
}
return(null);
}
var cf = request.Instrument.ContinuousFuture;
Instrument frontFuture = futures.FirstOrDefault();
Instrument backFuture = futures.ElementAt(1);
//sometimes the contract will be based on the Xth month
//this is where we keep track of the actual contract currently being used
Instrument selectedFuture = futures.ElementAt(cf.Month - 1);
Instrument lastUsedSelectedFuture = selectedFuture;
//final date is the earliest of: the last date of data available, or the request's endingdate
DateTime lastDateAvailable = new DateTime(1, 1, 1);
TimeSeries frontData, backData, selectedData;
lock (_dataLock)
{
frontData = new TimeSeries(_data[new KeyValuePair <int, BarSize>(frontFuture.ID.Value, request.Frequency)]);
backData = new TimeSeries(_data[new KeyValuePair <int, BarSize>(backFuture.ID.Value, request.Frequency)]);
selectedData = new TimeSeries(_data[new KeyValuePair <int, BarSize>(selectedFuture.ID.Value, request.Frequency)]);
lastDateAvailable = _data[new KeyValuePair <int, BarSize>(futures.Last().ID.Value, request.Frequency)].Last().DT;
}
DateTime finalDate = request.EndingDate < lastDateAvailable ? request.EndingDate : lastDateAvailable;
//This is a super dirty hack to make non-time based rollovers actually work.
//The reason is that the starting point will otherwise be a LONG time before the date we're interested in.
//And at that time both the front and back futures are really far from expiration.
//As such volumes can be wonky, and thus result in a rollover far before we ACTUALLY would
//want to roll over if we had access to even earlier data.
DateTime currentDate = frontFuture.Expiration.Value.AddDays(-20 - cf.RolloverDays);
frontData.AdvanceTo(currentDate);
backData.AdvanceTo(currentDate);
selectedData.AdvanceTo(currentDate);
List <OHLCBar> cfData = new List <OHLCBar>();
Calendar calendar = MyUtils.GetCalendarFromCountryCode("US");
bool switchContract = false;
int counter = 0; //some rollover rules require multiple consecutive days of greater vol/OI...this keeps track of that
List <long> frontDailyVolume = new List <long>(); //keeps track of how much volume has occured in each day
List <int> frontDailyOpenInterest = new List <int>(); //keeps track of open interest on a daily basis
List <long> backDailyVolume = new List <long>();
List <int> backDailyOpenInterest = new List <int>();
long frontTodaysVolume = 0, backTodaysVolume = 0;
//add the first piece of data we have available, and start looping
cfData.Add(selectedData[0]);
//the first time we go from one day to the next we don't want to check for switching conditions
//because we need to ensure that we use an entire day's worth of volume data.
bool firstDaySwitchover = true;
while (currentDate < finalDate)
{
//keep track of total volume "today"
if (frontData[0].Volume.HasValue)
{
frontTodaysVolume += frontData[0].Volume.Value;
}
if (backData != null && backData[0].Volume.HasValue)
{
backTodaysVolume += backData[0].Volume.Value;
}
if (frontData.CurrentBar > 0 && frontData[0].DT.Day != frontData[1].DT.Day)
{
if (firstDaySwitchover)
{
firstDaySwitchover = false;
frontTodaysVolume = 0;
backTodaysVolume = 0;
}
frontDailyVolume.Add(frontTodaysVolume);
backDailyVolume.Add(backTodaysVolume);
if (frontData[0].OpenInterest.HasValue)
{
frontDailyOpenInterest.Add(frontData[0].OpenInterest.Value);
}
if (backData != null && backData[0].OpenInterest.HasValue)
{
backDailyOpenInterest.Add(backData[0].OpenInterest.Value);
}
frontTodaysVolume = 0;
backTodaysVolume = 0;
//do we need to switch contracts?
switch (cf.RolloverType)
{
case ContinuousFuturesRolloverType.Time:
if (MyUtils.BusinessDaysBetween(currentDate, frontFuture.Expiration.Value, calendar) <= cf.RolloverDays)
{
switchContract = true;
}
break;
case ContinuousFuturesRolloverType.Volume:
if (backData != null && backDailyVolume.Last() > frontDailyVolume.Last())
{
counter++;
}
else
{
counter = 0;
}
switchContract = counter >= cf.RolloverDays;
break;
case ContinuousFuturesRolloverType.OpenInterest:
if (backData != null && backDailyOpenInterest.Last() > frontDailyOpenInterest.Last())
{
counter++;
}
else
{
counter = 0;
}
switchContract = counter >= cf.RolloverDays;
break;
case ContinuousFuturesRolloverType.VolumeAndOpenInterest:
if (backData != null && backDailyOpenInterest.Last() > frontDailyOpenInterest.Last() &&
backDailyVolume.Last() > frontDailyVolume.Last())
{
counter++;
}
else
{
counter = 0;
}
switchContract = counter >= cf.RolloverDays;
break;
case ContinuousFuturesRolloverType.VolumeOrOpenInterest:
if (backData != null && backDailyOpenInterest.Last() > frontDailyOpenInterest.Last() ||
backDailyVolume.Last() > frontDailyVolume.Last())
{
counter++;
}
else
{
counter = 0;
}
switchContract = counter >= cf.RolloverDays;
break;
}
}
if (frontFuture.Expiration.Value <= currentDate)
{
//no matter what, obviously we need to switch if the contract expires
switchContract = true;
}
//finally if we have simply run out of data, we're forced to switch
if (frontData.ReachedEndOfSeries)
{
switchContract = true;
}
//finally advance the time and indices...keep moving forward until the selected series has moved
frontData.NextBar();
currentDate = frontData[0].DT;
if (backData != null)
{
backData.AdvanceTo(currentDate);
}
selectedData.AdvanceTo(currentDate);
//this next check here is necessary for the time-based switchover to work after weekends or holidays
if (cf.RolloverType == ContinuousFuturesRolloverType.Time &&
(frontFuture.Expiration.Value < currentDate ||
MyUtils.BusinessDaysBetween(currentDate, frontFuture.Expiration.Value, calendar) <= cf.RolloverDays))
{
switchContract = true;
}
//we switch to the next contract
if (switchContract)
{
//make any required price adjustments
decimal adjustmentFactor;
if (cf.AdjustmentMode == ContinuousFuturesAdjustmentMode.Difference)
{
adjustmentFactor = backData[0].Close - frontData[0].Close;
foreach (OHLCBar bar in cfData)
{
AdjustBar(bar, adjustmentFactor, cf.AdjustmentMode);
}
}
else if (cf.AdjustmentMode == ContinuousFuturesAdjustmentMode.Ratio)
{
adjustmentFactor = backData[0].Close / frontData[0].Close;
foreach (OHLCBar bar in cfData)
{
AdjustBar(bar, adjustmentFactor, cf.AdjustmentMode);
}
}
//update the contracts
var prevFront = frontFuture;
frontFuture = backFuture;
backFuture = futures.FirstOrDefault(x => x.Expiration > backFuture.Expiration);
var prevSelected = selectedFuture;
selectedFuture = futures.Where(x => x.Expiration >= frontFuture.Expiration).ElementAtOrDefault(cf.Month - 1);
Log(LogLevel.Info,
string.Format("CFB Filling request for {0}: switching front contract from {1} to {2} (selected contract from {3} to {4}) at {5}",
request.Instrument.Symbol,
prevFront.Symbol,
frontFuture.Symbol,
prevSelected.Symbol,
selectedFuture == null
? ""
: selectedFuture.Symbol,
currentDate.ToString("yyyy-MM-dd")));
if (frontFuture == null)
{
break; //no other futures left, get out
}
if (selectedFuture == null)
{
break;
}
lock (_dataLock)
{
frontData = new TimeSeries(_data[new KeyValuePair <int, BarSize>(frontFuture.ID.Value, request.Frequency)]);
backData = backFuture != null ? new TimeSeries(_data[new KeyValuePair <int, BarSize>(backFuture.ID.Value, request.Frequency)]) : null;
selectedData = new TimeSeries(_data[new KeyValuePair <int, BarSize>(selectedFuture.ID.Value, request.Frequency)]);
}
frontData.AdvanceTo(currentDate);
if (backData != null)
{
backData.AdvanceTo(currentDate);
}
selectedData.AdvanceTo(currentDate);
//TODO make sure that the data series actually cover the current date
switchContract = false;
lastUsedSelectedFuture = selectedFuture;
}
cfData.Add(selectedData[0]);
}
//clean up
_contracts.Remove(request.AssignedID);
//throw out any data from before the start of the request
cfData = cfData.Where(x => x.DT >= request.StartingDate && x.DT <= request.EndingDate).ToList();
//we're done, so just raise the event
if (raiseDataEvent)
{
RaiseEvent(HistoricalDataArrived, this, new HistoricalDataEventArgs(request, cfData));
}
//clean up some data!
lock (_dataUsesLock)
{
foreach (Instrument i in futures)
{
var kvp = new KeyValuePair <int, BarSize>(i.ID.Value, request.Frequency);
if (_dataUsesPending[kvp] == 1) //this data isn't needed anywhere else, we can delete it
{
_dataUsesPending.Remove(kvp);
lock (_dataLock)
{
_data.Remove(kvp);
}
}
else
{
_dataUsesPending[kvp]--;
}
}
}
return(lastUsedSelectedFuture);
}
public void BusinessDaysBetweenReturnsCorrectNumberOfDays()
{
Assert.AreEqual(250, MyUtils.BusinessDaysBetween(new DateTime(2002, 12, 15), new DateTime(2003, 12, 15), new UnitedStates()));
Assert.AreEqual(18, MyUtils.BusinessDaysBetween(new DateTime(2003, 12, 15), new DateTime(2004, 1, 12), new UnitedStates()));
Assert.AreEqual(0, MyUtils.BusinessDaysBetween(new DateTime(2003, 12, 15), new DateTime(2003, 12, 15), new UnitedStates()));
}
public void BusinessDaysBetweenThrowsExceptionWhenEndDateBeforeStartDate()
{
MyUtils.BusinessDaysBetween(new DateTime(2000, 1, 1), new DateTime(1999, 1, 1), new UnitedStates());
}
public void BusinessDaysBetweenThrowsExceptionWhenEndDateBeforeStartDate()
{
Assert.That(
() => MyUtils.BusinessDaysBetween(new DateTime(2000, 1, 1), new DateTime(1999, 1, 1), new UnitedStates()),
Throws.TypeOf <Exception>());
}
