// should only be called within write lock
private void populateConstructWithDayAtIndex(Day day_, RollGeneration gen_)
{
if (day_ == null || day_.Lines == null) return;
#if DEBUG
var sw = new Stopwatch();
sw.Start();
#endif
foreach (var line in day_.Lines)
{
var relativeDate = new RelativeDate(day_.Dates, line.GmtDateAsDate().ToTZfromGMT(day_.DispTimeZone));
if (relativeDate.Index == -1) // this shouldn't happen
continue;
m_data.SetValue(relativeDate, (int)gen_, line);
}
#if DEBUG
sw.Stop();
Logger.Info(string.Format("Backfilling {0} took {1}ms (Lines={2})", day_, sw.ElapsedMilliseconds, day_.Lines.Count),
typeof (LiveDayComparison));
#endif
}
public async void Create(LiveDayComparison comp_, RollGeneration generation_)
{
var con = await Task.Run(() => comp_.GetMinuteFrontBackOpenInterestValues(generation_));
lineChartDataDisplay1.ClearSeries();
if (con == null || con.Keys.Count == 0)
return;
{
var frontPct = new double[con.Keys.Count];
var backPct = new double[con.Keys.Count];
for (int i = 0; i < con.Keys.Count; ++i)
{
var vals = con.GetValues(con.Keys[i]);
frontPct[i] = vals[0]/(vals[0] + vals[1]);
backPct[i] = vals[1] / (vals[0] + vals[1]);
}
var labels = con.Keys.Select(x => x.ToString()).ToArray();
var chart = lineChartDataDisplay1.AddSeries(
xAxisValues_: labels,
values_: frontPct,
desc_: "Front",
yAxisExtent_: 40,
yLabelFormat_: "##0.0%",
color_:Color.White
);
chart.AxisX.TickmarkStyle = Infragistics.UltraChart.Shared.Styles.AxisTickStyle.Smart;
chart.AxisX.Extent = 60;
chart.AxisX.TickmarkInterval = 10;
chart.AxisX.TickmarkPercentage = 0.1;
chart.AxisX.MajorGridLines.Visible = false;
chart= lineChartDataDisplay1.AddSeries(
xAxisValues_: labels,
values_: backPct,
desc_: "Back",
yAxisExtent_: 40,
yLabelFormat_: "##0.0%",
color_: Color.Yellow
);
chart.AxisX.TickmarkStyle = Infragistics.UltraChart.Shared.Styles.AxisTickStyle.Smart;
chart.AxisX.Extent = 60;
chart.AxisX.TickmarkInterval = 10;
chart.AxisX.TickmarkPercentage = 0.1;
chart.AxisX.MajorGridLines.Visible = false;
}
}
public ConstructGenGen<RelativeDate,double> GetMinuteFrontBackOpenInterestValues(RollGeneration generation_)
{
var day = GetDay(generation_);
var hour = day.DispTimeZone == DisplayTimeZone.NYK ? 15 : 16;
var oiDates =
day.Dates.Select(x => new Tuple<DateTime, RelativeDate>(x, new RelativeDate(day.Dates, x.AddHours(hour))));
var ret = new ConstructGenGen<RelativeDate, double>(new[] {"Front", "Back"});
try
{
m_lock.EnterReadLock();
var startDate = day.Dates.Min();
var frontStartingValue = day.OI_From.ValueOnDate(startDate, -1);
var backStartingValue = day.OI_To.ValueOnDate(startDate, -1);
double priorValueFront = frontStartingValue;
double priorValueBack = backStartingValue;
for (int i = 0; i < m_data.Keys.Count; ++i)
{
var key = m_data.Keys[i];
if (i == 0)
{
ret.SetValue(key, 0, frontStartingValue, ConstructGenGen<RelativeDate, double>.KeyOptionsWhenAdding.AddEveryTime);
ret.SetValue(key, 1, backStartingValue, ConstructGenGen<RelativeDate, double>.KeyOptionsWhenAdding.AssumeKeyAlreadyThere);
continue;
}
var matchOnExactOI = oiDates.FirstOrDefault(x => x.Item2 == key);
bool handled = false;
if (matchOnExactOI!=null)
{
var frontOI = priorValueFront = day.OI_From.ValueOnExactDate(matchOnExactOI.Item1);
var backOI = priorValueBack = day.OI_To.ValueOnExactDate(matchOnExactOI.Item1);
if (!frontOI.IsZero() || !backOI.IsZero())
{
ret.SetValue(key, 0, frontOI, ConstructGenGen<RelativeDate, double>.KeyOptionsWhenAdding.AddEveryTime);
ret.SetValue(key, 1, backOI, ConstructGenGen<RelativeDate, double>.KeyOptionsWhenAdding.AssumeKeyAlreadyThere);
handled = true;
}
}
if(!handled)
{
var line = m_data.GetValue(key, (int)generation_);
double increment = line == null ? 0d : line.SpreadVolume;
ret.SetValue(key, 0, priorValueFront - increment, ConstructGenGen<RelativeDate, double>.KeyOptionsWhenAdding.AddEveryTime);
ret.SetValue(key, 1, priorValueBack + increment, ConstructGenGen<RelativeDate, double>.KeyOptionsWhenAdding.AssumeKeyAlreadyThere);
priorValueFront -= increment;
priorValueBack += increment;
}
}
}
finally
{
m_lock.ExitReadLock();
}
return ret;
}
public ConstructGenGen<RelativeDate, double> GetOIFrontBackOpenInterestValues(RollGeneration generation_)
{
if (m_oiInterestValues != null)
return m_oiInterestValues;
var day = GetDay(generation_);
var hour = day.DispTimeZone == DisplayTimeZone.NYK ? 15 : 16;
var ret = new ConstructGenGen<RelativeDate, double>(new[] { "Front", "Back" });
foreach (var date in day.Dates)
{
var relDate = new RelativeDate(day.Dates, date.AddHours(hour));
ret.SetValue(relDate, 0, day.OI_From.ValueOnDate(date));
ret.SetValue(relDate, 1, day.OI_To.ValueOnDate(date));
}
return m_oiInterestValues = ret;
}
public Day GetDay(RollGeneration generation_)
{
return generation_ == RollGeneration.Current ? m_currentRoll : m_priorRoll;
}
public Tuple<RelativeDate[],Line[]> GetGenerationData(RollGeneration generation_)
{
Tuple<RelativeDate[], Line[]> ret = null;
try
{
m_lock.EnterReadLock();
ret = new Tuple<RelativeDate[], Line[]>(
m_data.Keys.ToArray(),
m_data.GetColumnValues((int)generation_));
}
finally
{
m_lock.ExitReadLock();
}
return ret;
}
public IDoubleMonitor GetLiveSpreadOnHourVolumeMonitor(RollGeneration generation_, bool forceRegeneration_=false)
{
var key = getMonitorKey("LiveDaysSpreadVolume", generation_);
return getorCreateMonitor(key, () =>
{
var startKey = new RelativeDate(GetDay(generation_).Dates, DateTime.Today);
return new CumulativeSinceTimeMonitor(startKey, this, generation_, DayField.SpreadVolume);
}, forceRegeneration_);
}
public IDoubleMonitor GetLiveSpreadOnDayVolumeMonitor(RollGeneration generation_, bool forceRegeneration_ = false)
{
var key = getMonitorKey("LiveDaysSpreadVolume", generation_);
return getorCreateMonitor(key, () =>
{
// index of current day in current set
var index = RelativeDate.FindIndex(GetDay(RollGeneration.Current).Dates, DateTime.Today);
if (index < 0)
return null;
var startKey = new RelativeDate(GetDay(generation_).Dates, GetDay(generation_).Dates[index]);
return new CumulativeSinceTimeMonitor(startKey, this, generation_, DayField.SpreadVolume);
}, forceRegeneration_);
}
private static string getMonitorKey(string type_, RollGeneration generation_)
{
return string.Format("{0}_{1}", type_, generation_);
}
