/// <summary>
/// Combines lists of returns for each instrument into a single list using parallel execution
/// </summary>
/// <param name="analyticCollections"></param>
/// <returns></returns>
public static IEnumerable <Analytic> CombineAnalyticsInParallel(IList <IList <Analytic> > analyticCollections)
{
AnalyticDates = new List <DateTime>();
AnalyticValues = new List <decimal>();
FinalAnalyticCollection = new List <Analytic>();
IEnumerable <Analytic> combinedAnalyticCollection = new List <Analytic>();
combinedAnalyticCollection = analyticCollections.Aggregate(combinedAnalyticCollection, (current, list) => current.Concat(list)).ToList();
var combineByDate = combinedAnalyticCollection.GroupBy(d => d.Date);
foreach (var date in combineByDate)
{
AnalyticDates.Add(date.Key);
foreach (var value in date)
{
AnalyticValues.Add(value.CalculatedAnalytic);
}
Analytic SummedAnalytic = new Analytic();
SummedAnalytic.Date = date.Key;
SummedAnalytic.CalculatedAnalytic = Math.Round(AnalyticValues.Sum(), 2);
FinalAnalyticCollection.Add(SummedAnalytic);
AnalyticValues.Clear();
}
return(FinalAnalyticCollection.AsParallel());
}
/// <summary>
/// Functional method to calculate a historical analytic
/// </summary>
/// <param name="position"></param>
/// <param name="periodQuotes"></param>
/// <param name="historicalAnalytic"></param>
/// <returns></returns>
public static IList <Analytic> CalculateHistoricalAnalytic(this Position position, IEnumerable <SourceInstrumentQuote> periodQuotes, Func <decimal, decimal, decimal, decimal> historicalAnalytic)
{
List <Analytic> result = new List <Analytic>();
foreach (var period in periodQuotes)
{
Analytic calculatedAnalytic = new Analytic();
calculatedAnalytic.Date = period.Date;
calculatedAnalytic.CalculatedAnalytic = historicalAnalytic(position.EntryPrice, position.Units, Convert.ToDecimal(period.Close));
result.Add(calculatedAnalytic);
}
return(result);
}
