public static void CorrelateTimeInMarket(this PortfolioSimulation sim, Correlation c)
{
IEnumerable <PortfolioHistoricalTradeVM> AllTrades = c.Components
.Select(b => b.Trades.OfType <_HistoricalTrade>().Select(t => new PortfolioHistoricalTradeVM {
Trade = t, Component = b
}))
.SelectMany(v => v);
var tradeEvents = AllTrades.Select(t => new TradeEnterExitEvent {
Enter = true, Time = t.Trade.EntryTime, Trade = t
})
.Concat(AllTrades.Select(t => new TradeEnterExitEvent {
Enter = false, Time = t.Trade.ClosingTime, Trade = t
}))
.OrderBy(e => e.Time);
//var TradesByEntryTime = AllTrades
// .OrderBy(t => t.Trade.EntryTime)
// .ToList();
// TODO: Normalized versions of these that are rated versus the max normalized score (which should be 1)
TimeSpan BothLong = TimeSpan.Zero;
TimeSpan BothShort = TimeSpan.Zero;
TimeSpan OppositeDirection = TimeSpan.Zero;
TimeSpan OffsettingNonZero = TimeSpan.Zero;
TimeSpan BothFlat = TimeSpan.Zero;
TimeSpan OneOpen = TimeSpan.Zero;
// Not sure if this is useful yet.
double MultipliedByDifference = 0;
var openTrades = new List <PortfolioHistoricalTradeVM>();
double netVolume1 = 0;
double netVolume2 = 0;
double normalizedNetVolume1 = 0;
double normalizedNetVolume2 = 0;
double delta = normalizedNetVolume2 - normalizedNetVolume1;
DateTime simTime = sim.Portfolio.Start.Value;
TimeSpan totalTime;
foreach (var e in tradeEvents)
{
#region Time Delta
TimeSpan timeDelta;
if (sim.Options.StartTime != default && e.Time < sim.Options.StartTime)
{
timeDelta = e.Time - sim.Options.StartTime;
}
else if (sim.Options.EndTime != default && e.Time > sim.Options.EndTime)
{
timeDelta = sim.Options.StartTime - e.Time;
}
else
{
timeDelta = e.Time - simTime;
}
if (timeDelta < TimeSpan.Zero)
{
continue; // If equal to zero, keep going, since there may be multiple events at the same bar opens.
}
totalTime += timeDelta;
#endregion
#region Collect stats from previous time delta
#if DEBUG
if (sim.Options.Verbosity >= 5)
{
WriteLine($"1: {normalizedNetVolume1} 2: {normalizedNetVolume2}");
}
#endif
// TODO NEXT: for the period of time between simTime and trade entry time (timeDelta), multiply this period of time by the volume delta over that time.
if (normalizedNetVolume2 > 0 && normalizedNetVolume1 > 0)
{
BothLong += timeDelta;
}
else if (normalizedNetVolume2 < 0 && normalizedNetVolume1 < 0)
{
BothShort += timeDelta;
}
else if (normalizedNetVolume2 == 0 && normalizedNetVolume1 == 0)
{
BothFlat += timeDelta;
}
if (normalizedNetVolume2 < 0 && normalizedNetVolume1 > 0 ||
normalizedNetVolume2 < 0 && normalizedNetVolume1 > 0)
{
OppositeDirection += timeDelta;
}
else if (normalizedNetVolume2 != 0 && normalizedNetVolume1 == 0 ||
normalizedNetVolume2 == 0 && normalizedNetVolume1 != 0)
{
OneOpen += timeDelta;
}
// Another idea: non-zero, offsetting
if (normalizedNetVolume2 != 0 && normalizedNetVolume1 == -normalizedNetVolume2)
{
OffsettingNonZero += timeDelta;
}
// These two normalized volumes should be normalized to -1 to +1.
//MillisecondsMultipliedByDifference += timeDelta.TotalMilliseconds * (normalizedNetVolume2 - normalizedNetVolume1);
MultipliedByDifference += timeDelta.TotalMilliseconds * Math.Pow(normalizedNetVolume2 - normalizedNetVolume1, 2);
#endregion
if (sim.Options.EndTime != default && simTime >= sim.Options.EndTime)
{
break;
}
#region Process the trade open/close event
if (e.Enter)
{
sim.WriteLineVerbosity("OPEN trade:" + e.Trade.Trade.NetVolume, 5);
openTrades.Add(e.Trade);
}
else
{
sim.WriteLineVerbosity("CLOSE trade:" + e.Trade.Trade.NetVolume, 5);
if (!openTrades.Remove(e.Trade))
{
WriteLine("[correlation] Removing from open trades - NOT FOUND: " + e + $" (entry time: {e.Trade.Trade.EntryTime})");
}
}
#endregion
#region Set up state for the next trade:
netVolume1 = 0;
netVolume2 = 0;
normalizedNetVolume1 = 0;
normalizedNetVolume2 = 0;
foreach (var t in openTrades)
{
if (t.Component.ComponentId == c.Component1.ComponentId)
{
var volumeDelta = t.Trade.TradeType == TradeType.Buy ? t.Trade.Volume : -t.Trade.Volume;
netVolume1 += t.Trade.TradeType == TradeType.Buy ? t.Trade.Volume : -t.Trade.Volume;
normalizedNetVolume1 += PortfolioNormalization.NormalizeVolume(t, sim, CorrelationNormalizationOptions);
normalizedNetVolume1 = netVolume1;
}
else
{
#if DEBUG
if (t.Component.ComponentId != c.Component2.ComponentId)
{
throw new UnreachableCodeException();
}
#endif
netVolume2 += t.Trade.TradeType == TradeType.Buy ? t.Trade.Volume : -t.Trade.Volume;
normalizedNetVolume2 += PortfolioNormalization.NormalizeVolume(t, sim, CorrelationNormalizationOptions);
normalizedNetVolume2 = netVolume2;
}
}
delta = normalizedNetVolume2 - normalizedNetVolume1;
simTime = e.Time;
#endregion
}
//var PositionSimilarityScore = String.Format(sim.Options.NumberFormat, ((BothLong + BothShort) - Opposite).TotalMilliseconds / totalTime.TotalMilliseconds);
//var PositioningSimilarityScore = String.Format(sim.Options.NumberFormat, ((BothLong + BothShort + BothFlat) - Opposite).TotalMilliseconds / totalTime.TotalMilliseconds);
var SameDir = BothLong + BothShort;
var BothOpen = SameDir + OppositeDirection;
var BothSamePositioning = BothOpen + BothFlat;
WriteLine(new
{
TotalTime = totalTime,
BothFlat,
BothLong,
BothShort,
OppositeDirection,
BothOpen,
SameDir,
//OffsettingNonZero,
BothFlatPc = (BothFlat.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
BothLongPc = (BothLong.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
BothShortPc = (BothShort.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
SameDirPc = (SameDir.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
OppositeDirectionPc = (OppositeDirection.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
BothOpenPc = (BothOpen.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
OffsettingNonZeroPc = (OffsettingNonZero.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
//OppositePc = (Opposite.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
SameDirectionSimilarityPc = ((SameDir).TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString()
+ " / " + (BothOpen.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
OppositeDirectionSimilarityPc = ((OppositeDirection).TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString()
+ " / " + (BothOpen.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
OpenDirectionNetSimilarityPc = ((SameDir - OppositeDirection).TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString()
+ " / " + (BothOpen.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
// TODO: same as OpenDirectionNetSimilarityPc but use normalized volumes:
//NetAmplifyingOrHedgingPc = ((SameDir - OppositeDirection).TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString()
// + " / " + (BothOpen.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
SimilarityWhenSharedDirectionPc = ((BothSamePositioning - OppositeDirection).TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString()
+ " / " + (BothSamePositioning.TotalMilliseconds / totalTime.TotalMilliseconds).ToPercentString(),
DifferenceScore = Math.Sqrt(MultipliedByDifference / totalTime.TotalMilliseconds),
}.DumpProperties("Time in market"));
}
