public PairPos createPair(PairSignal oneSignal)
{
Equities etfLeg = this.equityDict[oneSignal.EtfTID];
Equities stkLeg = this.equityDict[oneSignal.StkTID];
PairPos newPair = new PairPos(etfLeg, stkLeg);
return(newPair);
// blah blah
//foreach (var KeyValuePair in this.TickerSymbolDict)
//{
// // skip etf
// if ((KeyValuePair.Key & 1) == 1)
// continue;
// PairPos newPair = new PairPos();
// newPair.PairBeta = 0; // beta initialize
// int tmpEtfTID = (KeyValuePair.Key & 1024) + 1; // clear all digits in 1 to 9. Aka, clear stk infomation
// newPair.pairEtfLeg.TickerID = tmpEtfTID;
// try
// {
// newPair.pairEtfLeg.Symbol = this.TickerSymbolDict[tmpEtfTID];
// }
// catch (Exception)
// {
// throw;
// }
// newPair.pairStkLeg.TickerID = KeyValuePair.Key;
// newPair.pairStkLeg.Symbol = KeyValuePair.Value;
// this.PairPosDict.Add(KeyValuePair.Key, newPair);
//}
}
public PairPos(Equities etf, Equities stk)
{
this.EtfLeg = etf;
this.StkLeg = stk;
this.sScore = new double[4];
this.currHoldingPeriod = -1;
this.thisPairStatus = PairType.nullType;
}
// read csv symbol to dictionary
// the logic of this part is determined by the structure of the symbol file
// etf: odd tickerID, stk: even tickerID
public void readSymbols(string csvDir)
{
try
{
using (var reader = new StreamReader(csvDir))
{
List <string> listA = new List <string>();
List <string> listB = new List <string>();
var title = reader.ReadLine(); // jump over the title
while (!reader.EndOfStream)
{
var line = reader.ReadLine();
var cells = line.Split(',');
int etfID = Convert.ToInt32(cells[0]);
int stkID = Convert.ToInt32(cells[2]);
int tmpTickerID = new int();
// digit 0: stk 0 ; etf 1
if (stkID == 0)
{
tmpTickerID = tmpTickerID | 1;
}
// digit from 1 to 9: stk ID
tmpTickerID = tmpTickerID | (stkID << 1);
// digit from 10 to 13: etf ID
tmpTickerID = tmpTickerID | (etfID << 10);
Equities tmpEquity = new Equities(tmpTickerID, cells[3]);
this.equityDict.Add(tmpTickerID, tmpEquity);
}
}
}
catch (IOException e)
{
Console.WriteLine("File doesn't exist: {0}", csvDir);
throw (e);
}
catch (IndexOutOfRangeException e)
{
Console.WriteLine("General Exception");
throw (e);
}
}
// read csv symbol to dictionary
// the logic of this part is determined by the structure of the symbol file
// etf: odd tickerID, stk: even tickerID
public void readSymbols(string csvDir)
{
try
{
using (var reader = new StreamReader(csvDir))
{
List<string> listA = new List<string>();
List<string> listB = new List<string>();
var title = reader.ReadLine(); // jump over the title
while (!reader.EndOfStream)
{
var line = reader.ReadLine();
var cells = line.Split(',');
int etfID = Convert.ToInt32(cells[0]);
int stkID = Convert.ToInt32(cells[2]);
int tmpTickerID = new int();
// digit 0: stk 0 ; etf 1
if (stkID == 0)
{
tmpTickerID = tmpTickerID | 1;
}
// digit from 1 to 9: stk ID
tmpTickerID = tmpTickerID | (stkID << 1);
// digit from 10 to 13: etf ID
tmpTickerID = tmpTickerID | (etfID << 10);
Equities tmpEquity = new Equities(tmpTickerID, cells[3]);
this.equityDict.Add(tmpTickerID, tmpEquity);
}
}
}
catch (IOException e)
{
Console.WriteLine("File doesn't exist: {0}", csvDir);
throw (e);
}
catch (IndexOutOfRangeException e)
{
Console.WriteLine("General Exception");
throw (e);
}
}
public PairPos(Equities etf, Equities stk)
{
this.EtfLeg = etf;
this.StkLeg = stk;
this.sScore = new double[4];
this.currHoldingPeriod = -1;
this.thisPairStatus = PairType.nullType;
}
