public void RunAndDisplayResult()
{
var v = Run();
Dictionary<string, System.Windows.Forms.Control> dict = new Dictionary<string, System.Windows.Forms.Control>
{
{string.Format("{0} weights", StrategyCode), v.Key.DisplayInGrid(StrategyCode.ToString(), false)},
{string.Format("{0} perf", StrategyCode), v.Value.GetReturnsDisplay()}
};
dict.DisplayInShowForm(StrategyCode.ToString());
}
public static void Reconcile(DateTime date)
{
var dict_source_To_DB = new Dictionary<ConstituentRowCompare.Source, string>();
dict_source_To_DB.Add(ConstituentRowCompare.Source.DS, DBNames.SQLSERVER_LOCAL_SYMMETRYTS);
dict_source_To_DB.Add(ConstituentRowCompare.Source.MLP, DBNames.SQLSERVER_SYMMETRYTS);
var listofTenors = new[] { 0, 2, 3, 5, 7, 10, 30 };
var curveNameGens = new[]
{
"de_<tenor>_eur.6m.euribor",
"de_<tenor>_eur.ois.eonia",
"fr_<tenor>_eur.6m.euribor",
"fr_<tenor>_eur.ois.eonia",
"ust_<tenor>_usd.3m.libor",
"ust_<tenor>_usd.3m.libor.oisd",
"ust_<tenor>_usd.ois.fedfunds"
};
var curve_To_Grid = new Dictionary<string, Control>();
//var curveNameGen = "ust_<tenor>_usd.3m.libor";
foreach (var curveNameGen in curveNameGens)
{
var listOfComparisons = new List<ConstituentRowCompare>();
foreach (var source in dict_source_To_DB.Keys)
{
var list = new List<ConstituentRow>();
foreach (var tenor in listofTenors)
{
var curveName = curveNameGen.Replace("<tenor>", tenor.ToString());
var sql = string.Format("select * from SObject where MonikerDate='{0}' and MonikerType = 'bondcurveconstituents' and MonikerName='{1}'", date.ToString("dd-MMM-yyyy"), curveName);
var ds = Singleton<ConnMngr>.Instance.Execute(dict_source_To_DB[source], sql);
if (!ConnMngr.HasResult(ds))
continue;
var dt = getTable(ds.Tables[0].Rows[0]["Content"] as string);
string csv = dt.ToCsv();
byte[] arr = Encoding.ASCII.GetBytes(csv);
MemoryStream ms = new MemoryStream(arr);
StreamReader reader = new StreamReader(ms);
foreach (var v in CsvFile.Read<ConstituentRow>(reader))
{
list.Add(v);
var comp = listOfComparisons.Where(x => x.ISIN.Equals(v.ISIN)).FirstOrDefault();
if (comp == null)
{
comp = new ConstituentRowCompare(v);
listOfComparisons.Add(comp);
}
comp.SetPrices(source, v);
}
}
}
var grid = listOfComparisons.DisplayInBoundGrid(null, false);
grid.SetHeaderClickSort();
curve_To_Grid.Add(curveNameGen, grid);
}
curve_To_Grid.DisplayInShowForm(date.ToString("dd-MMM-yyyy"));
{
var wb = new Infragistics.Documents.Excel.Workbook(Infragistics.Documents.Excel.WorkbookFormat.Excel2007);
foreach (var curve in curve_To_Grid.Keys)
{
var grid = (BoundInfraGrid)curve_To_Grid[curve];
grid.ExportToExcelWorkBook(wb, curve);
}
wb.Save(string.Format(@"c:\temp\MarkDate_{0}__At_{1}.xlsx", date.ToString("dd-MMM-yyyy"), DateTime.Now.ToString("dd-MMM-yyyy_HH_mm_ss")));
}
}
protected override void OnClick(EventArgs e)
{
var dict = new Dictionary<string, Control>();
LongShortResultDisplay lsrd = new LongShortResultDisplay();
lsrd.Create(m_analyzer);
dict.Add("Per Instrument", lsrd);
OverallLongShortDisplay olsd = new OverallLongShortDisplay();
olsd.Create(m_analyzer);
dict.Add("Overall portfolio", olsd);
OverallPersistenceDisplay olpd = new OverallPersistenceDisplay();
olpd.Create(m_analyzer);
dict.Add("Position persistence", olpd);
if (m_isFX)
{
RegionSidePnlChart rspc = new RegionSidePnlChart();
rspc.Create(m_analyzer);
dict.Add("Regional Pnl / Positioning", rspc);
USDWeightRegionalBreakdownDisplay uwrbd = new USDWeightRegionalBreakdownDisplay();
uwrbd.Create(m_analyzer.SourceWts, new FXGroup[] { FXGroup.G10, FXGroup.EMEA, FXGroup.LATAM, FXGroup.ASIA });
dict.Add("Region concentration", uwrbd);
}
dict.DisplayInShowForm(m_analyzer.Name);
}
public static void ShowHistoricWeights(this Signal sig_)
{
try
{
var dict = new Dictionary<string, System.Windows.Forms.Control>();
var wts = sig_.GetWeightsProviderDefault().GetData(DataConstants.DATA_START, DateTime.Today, false);
{
var grid = wts.DisplayInGrid(title_: null, displayInShowForm_: false);
grid.ApplyDisplayDoubleFormat("##0.0#%;(##0.0#%);-");
grid.ColourNegativesRed();
grid.Grid.DisplayLayout.Bands[0].Columns[0].Format = "dd-MMM-yyyy HH:mm";
grid.AutoSizeGridColumns();
dict.Add("Raw Weights", grid);
}
{
var hp = WtsHelpers.GenerateHoldingPeriods(wts);
var c = hp.DisplayInBoundGrid(formTitle_: null, showInForm_: false);
c.Grid.DisplayLayout.Bands[0].SummaryFooterCaption = "Signal level averages";
var s = c.Grid.DisplayLayout.Bands[0].Summaries.Add(Infragistics.Win.UltraWinGrid.SummaryType.Average, c.Grid.DisplayLayout.Bands[0].Columns["LongAvg"]);
//s.DisplayFormat = "Signal Average Long Holding Period: {0:##0.0#}";
s.DisplayFormat = "{0:##0.0#}";
s = c.Grid.DisplayLayout.Bands[0].Summaries.Add(Infragistics.Win.UltraWinGrid.SummaryType.Average, c.Grid.DisplayLayout.Bands[0].Columns["ShortAvg"]);
s.DisplayFormat = "{0:##0.0#}";
s = c.Grid.DisplayLayout.Bands[0].Summaries.Add(Infragistics.Win.UltraWinGrid.SummaryType.Average, c.Grid.DisplayLayout.Bands[0].Columns["FlatAvg"]);
s.DisplayFormat = "{0:##0.0#}";
c.AutoSizeGridColumns();
dict.Add("Holding Periods", c);
}
var sf = dict.DisplayInShowForm(string.Format("{0} historical weights", sig_.DisplayName));
sf.Icon = Util.BmpToIcon(Properties.Resources.grid);
//var sf = grid.DisplayInShowForm(string.Format("{0} historical weights", sig_.Name), Util.BmpToIcon(Properties.Resources.grid));
}
catch
{ }
}
public static void Go()
{
//var group = Singleton<IntradayFutureGroups>.Instance.FirstOrDefault(
// x => x.BbgStart.Equals("ES") && String.Compare("Index", x.Suffix, StringComparison.OrdinalIgnoreCase) == 0);
var eventRel = EventRelative.Post;
var pointsAroundEvent = 60;
var pointOfFirstPeriod = 10;
var listOfFutures = new List<Tuple<string, string>>();
listOfFutures.Add(new Tuple<string, string>("ED", "Comdty"));
listOfFutures.Add(new Tuple<string, string>("TY", "Comdty"));
listOfFutures.Add(new Tuple<string, string>("ES", "Index"));
var listOfEvents = new string[] {"FOMC", "NFP"};
foreach (var futureStartEnd in listOfFutures)
{
var futureGroup = Singleton<IntradayFutureGroups>.Instance.FirstOrDefault(
x => x.BbgStart.Equals(futureStartEnd.Item1) && String.Compare(futureStartEnd.Item2, x.Suffix, StringComparison.OrdinalIgnoreCase) == 0);
var dict = new Dictionary<string, System.Windows.Forms.Control>();
foreach (var evCode in listOfEvents)
{
var eventDef =
Singleton<EventDefs>.Instance.FirstOrDefault(
x => string.Compare(evCode, x.EventCode, StringComparison.OrdinalIgnoreCase) == 0);
var rangeLength = Convert.ToInt32((pointsAroundEvent)/2);
var hArgs = new SI.Strategy.SeasonalityAnalysis.HelperRequestArgs()
{
EventDates = eventDef.GetEvents(TZ.LN, new CarbonClient("uat")).Result.Where(x => x.Year <= 2014 && x.Year >= 2012).ToArray(),
FrequencyOfPricing = new TimeSpan(0, 1, 0),
FutureGroup = futureGroup,
NumDataPointsAroundEvent = pointsAroundEvent,
Timezone = TZ.LN
};
var eventStudies = SI.Strategy.SeasonalityAnalysis.Helper.Go(hArgs).ToArray();
var con = new ConstructGen<double>(new[] {"Period1", "Period2"});
foreach (var studay in eventStudies)
{
if (studay.RawRawDataAroundEvent == null)
continue;
int firstStartIndex, firstEndIndex, secondStartIndex, secondEndIndex;
{
firstStartIndex = 0;
firstEndIndex = pointOfFirstPeriod;
secondStartIndex = pointOfFirstPeriod + 1;
secondEndIndex = pointsAroundEvent - 1;
}
if(eventRel==EventRelative.Post)
{
firstStartIndex += (rangeLength*2) + 1;
firstEndIndex += (rangeLength * 2) + 1;
secondStartIndex += (rangeLength * 2) + 1;
secondEndIndex += (rangeLength * 2) + 1;
}
try
{
var first = studay.RawRawDataAroundEvent.Data[firstEndIndex].Value -
studay.RawRawDataAroundEvent.Data[firstStartIndex].Value;
var second = studay.RawRawDataAroundEvent.Data[secondEndIndex].Value -
studay.RawRawDataAroundEvent.Data[secondStartIndex].Value;
if (first == 0d || second == 0d)
continue;
con.SetValues(studay.EventDate.Date, new[] {first, second});
}
catch
{
}
}
if (con.Dates.Any() == false)
continue;
var chart = new SI.Controls.SimpleStackedColumnChart();
chart.Create(values_: con, datesAlongBottom_: true);
var title = string.Format("{0} - {1} ({2})", futureGroup, evCode, pointsAroundEvent);
dict.Add(title, chart);
}
dict.DisplayInShowForm(futureGroup.ToString());
}
}