public void Test1()
{
string zipPath = @"..\..\..\Task3.zip";
using (var archive = ZipFile.OpenRead(zipPath))
{
foreach (var entry in archive.Entries)
{
if (!entry.FullName.EndsWith(".txt", StringComparison.OrdinalIgnoreCase))
{
continue;
}
using (var reader = new StreamReader(entry.Open()))
{
var portfolioWight = int.Parse(reader.ReadLine());
var countOrder = int.Parse(reader.ReadLine());
var weights = reader.ReadLine()
.Split(" ")
.Where(x => !string.IsNullOrEmpty(x))
.Select(x => int.Parse(x))
.ToList();
var prices = reader.ReadLine()
.Split(" ")
.Where(x => !string.IsNullOrEmpty(x))
.Select(x => int.Parse(x))
.ToList();
var orders = new List <Order>();
for (var i = 0; i < countOrder; i++)
{
orders.Add(new Order
{
Id = i,
Price = prices[i],
Weight = weights[i]
});
}
var portfolioReq = new PortfolioReqursion(orders);
var portfolioTable = new PortfolioTable(orders);
Stopwatch stopWatch = new Stopwatch();
stopWatch.Start();
var optReq = portfolioReq.GetOrders(portfolioWight);
stopWatch.Stop();
var timeReq = stopWatch.Elapsed;
stopWatch.Restart();
var optTabl = portfolioTable.GetOrders(portfolioWight);
stopWatch.Stop();
var timeTabl = stopWatch.Elapsed;
Debug.WriteLine($"{entry.Name}\t{timeReq.TotalMilliseconds}\t{timeTabl.TotalMilliseconds}\t{2 * (timeReq - timeTabl) / (timeReq + timeTabl)}");
Equals(optReq, optTabl);
}
}
}
}
public void UpdateSummary(string portfolio)
{
string[] list = new string[]
{
"Portfolio Investment",
"Portfolio Return If Unchange",
"Portfolio Current Return",
"Portfolio Theta [day]"
};
foreach (string item in list)
{
bool is_new = false;
DataRow row = SummaryTable.FindByCriteria(item);
if (row == null)
{
row = SummaryTable.NewRow();
is_new = true;
}
row["Criteria"] = item;
row["Total"] = DBNull.Value;
row["TotalPrc"] = DBNull.Value;
if (is_new)
{
SummaryTable.Rows.Add(row);
}
SummaryTable.AcceptChanges();
}
try
{
// get portfolio rows
DataRow[] portfolio_rows = PortfolioTable.Select("PortfolioMembership LIKE '*" + portfolio + ",*'");
// update net-investment
double net_investment = 0;
foreach (DataRow prw in portfolio_rows)
{
net_investment += (double)prw["NetInvestment"];
}
DataRow row = SummaryTable.FindByCriteria(list[0]);
if (row != null)
{
row["Total"] = net_investment;
}
// update return-if-unchange
double return_if_unchanged = 0;
foreach (DataRow prw in portfolio_rows)
{
return_if_unchanged += (double)prw["ReturnIfUnchange"];
}
row = SummaryTable.FindByCriteria(list[1]);
if (row != null)
{
row["Total"] = return_if_unchanged;
double prc = return_if_unchanged / net_investment;
if (double.IsNaN(prc))
{
row["TotalPrc"] = DBNull.Value;
}
else
{
row["TotalPrc"] = prc;
}
row["IsCredit"] = true;
}
// update current-return
double current_return = 0;
foreach (DataRow prw in portfolio_rows)
{
current_return += (double)prw["CurrentReturn"];
}
row = SummaryTable.FindByCriteria(list[2]);
if (row != null)
{
row["Total"] = current_return;
double prc = current_return / net_investment;
if (double.IsNaN(prc))
{
row["TotalPrc"] = DBNull.Value;
}
else
{
row["TotalPrc"] = prc;
}
row["IsCredit"] = true;
}
// update total-theta
double total_theta = 0;
foreach (DataRow prw in portfolio_rows)
{
if (!double.IsNaN((double)prw["TotalTheta"]))
{
total_theta += (double)prw["TotalTheta"];
}
}
row = SummaryTable.FindByCriteria(list[3]);
if (row != null)
{
row["Total"] = total_theta;
double prc = total_theta / net_investment;
if (double.IsNaN(prc))
{
row["TotalPrc"] = DBNull.Value;
}
else
{
row["TotalPrc"] = prc;
}
row["IsCredit"] = true;
}
}
catch { }
}
public void UpdateStrategy(string portfolio, string opo_file, bool force_update, BackgroundWorker bg_worker)
{
// check that opo file is valid and exist
if (opo_file == null || opo_file == "" || !File.Exists(opo_file))
{
return;
}
// start data loading
PortfolioTable.BeginLoadData();
bool is_new = false;
DataRow row = FindRowByField(PortfolioTable, "OpoFile", opo_file);
if (row == null)
{
row = PortfolioTable.NewRow();
is_new = true;
}
if (is_new || force_update)
{
// report progress if background worker is set
if (bg_worker != null)
{
bg_worker.ReportProgress(0, "Loading " + opo_file + "...");
}
// load opo file, and freeze position
core.Load(opo_file);
// check that strategy has positions
if (core.PositionsTable.Rows.Count == 0)
{
return;
}
// freeze positions prices and commissions
core.FreezeAll();
row["Stock"] = core.StockSymbol;
row["Name"] = core.Name;
row["StockLastPrice"] = core.StockLastPrice;
row["StockImpVolatility"] = core.GetStockVolatility("Implied");
row["StockHisVolatility"] = core.GetStockVolatility("Historical");
row["EndDate"] = core.EndDate;
row["StartDate"] = core.StartDate;
row["Notes"] = core.Notes;
row["OpoFile"] = opo_file;
// recalculate all results
core.rm.WizardMode = true;
core.rm.CalculateAllResults();
double breakeven_prob = double.NaN;
double protection_prob = double.NaN;
foreach (DataRow rwr in core.ResultsTable.Rows)
{
switch ((string)rwr["Criteria"])
{
case "Total Investment":
row["NetInvestment"] = rwr["Total"];
break;
case "Interest Paid":
row["InterestPaid"] = rwr["Total"];
break;
case "Maximum Profit Potential":
row["MaxProfitPotential"] = rwr["Total"];
if (rwr["TotalPrc"] != DBNull.Value)
{
row["MaxProfitPotentialPrc"] = (double)rwr["TotalPrc"];
}
break;
case "Maximum Loss Risk":
row["MaxLossRisk"] = rwr["Total"];
if (rwr["TotalPrc"] != DBNull.Value)
{
row["MaxLossRiskPrc"] = (double)rwr["TotalPrc"];
}
break;
case "Lower Protection":
row["LowerBreakeven"] = rwr["Change"];
if (rwr["Prob"] != DBNull.Value)
{
if (double.IsNaN(protection_prob))
{
protection_prob = (double)rwr["Prob"];
}
else
{
protection_prob += (double)rwr["Prob"];
}
}
if (rwr["Price"] != DBNull.Value)
{
row["BreakevenPrice"] = rwr["Price"];
}
break;
case "Upper Protection":
row["UpperBreakeven"] = rwr["Change"];
if (rwr["Prob"] != DBNull.Value)
{
if (double.IsNaN(protection_prob))
{
protection_prob = (double)rwr["Prob"];
}
else
{
protection_prob += (double)rwr["Prob"];
}
}
if (rwr["Price"] != DBNull.Value)
{
row["BreakevenPrice"] = rwr["Price"];
}
break;
case "Lower Breakeven":
row["LowerBreakeven"] = rwr["Change"];
if (rwr["Prob"] != DBNull.Value)
{
if (double.IsNaN(breakeven_prob))
{
breakeven_prob = (double)rwr["Prob"];
}
else
{
breakeven_prob += (double)rwr["Prob"];
}
}
if (rwr["Price"] != DBNull.Value)
{
row["BreakevenPrice"] = rwr["Price"];
}
break;
case "Upper Breakeven":
row["UpperBreakeven"] = rwr["Change"];
if (rwr["Prob"] != DBNull.Value)
{
if (double.IsNaN(breakeven_prob))
{
breakeven_prob = (double)rwr["Prob"];
}
else
{
breakeven_prob += (double)rwr["Prob"];
}
}
if (rwr["Price"] != DBNull.Value)
{
row["BreakevenPrice"] = rwr["Price"];
}
break;
case "Return if Unchanged":
row["ReturnIfUnchange"] = rwr["Total"];
if (rwr["TotalPrc"] != DBNull.Value)
{
row["ReturnIfUnchangePrc"] = (double)rwr["TotalPrc"];
}
break;
case "Current Return":
row["CurrentReturn"] = rwr["Total"];
if (rwr["TotalPrc"] != DBNull.Value)
{
row["CurrentReturnPrc"] = (double)rwr["TotalPrc"];
}
break;
case "Return at Target":
row["ReturnAtTarget"] = rwr["Total"];
if (rwr["TotalPrc"] != DBNull.Value)
{
row["ReturnAtTargetPrc"] = (double)rwr["TotalPrc"];
}
break;
case "Expected Return":
row["ExpectedReturn"] = rwr["Total"];
if (rwr["TotalPrc"] != DBNull.Value)
{
row["ExpectedReturnPrc"] = (double)rwr["TotalPrc"];
}
break;
case "Total Delta":
row["TotalDelta"] = rwr["Total"];
break;
case "Total Gamma":
row["TotalGamma"] = rwr["Total"];
break;
case "Total Theta [day]":
row["TotalTheta"] = rwr["Total"];
break;
case "Total Vega [% volatility]":
row["TotalVega"] = rwr["Total"];
break;
}
}
// additional result columns
if (double.IsNaN(breakeven_prob))
{
row["BreakevenProb"] = DBNull.Value;
}
else if (double.IsNaN(protection_prob))
{
row["BreakevenProb"] = DBNull.Value;
}
else
{
row["BreakevenProb"] = 1 - protection_prob;
}
}
// update portfolio membership
if (row["PortfolioMembership"] == DBNull.Value || (string)row["PortfolioMembership"] == "")
{
row["PortfolioMembership"] = portfolio + ",";
}
else
{
row["PortfolioMembership"] = (string)row["PortfolioMembership"] + portfolio + ",";
}
// accept changes to table
if (is_new)
{
PortfolioTable.Rows.Add(row);
}
PortfolioTable.AcceptChanges();
// end data loading
PortfolioTable.EndLoadData();
}
