public static void Go_Mark()
{
var tickers = new [] {"ES"};
//var holidays = SI.Strategy.BondSpreadAnalysis.Mongo.DataBuilder.GetEUTADates();
var startMonth = new DateTime(2010, 1, 15);
var endMonth = new DateTime(2015, 11, 05);
var numContracts = 2;
Func<DateTime, bool> closePointFunc = (date) =>
{
if (MyCalendar.IsWeekend(date.Date))// || holidays.Contains(date.Date))
return false;
if (date.Minute != 20 && date.Minute != 50)
return false;
if (date.Hour < 8) return false;
if (date.Hour >= 18) return false;
if (date.Hour == 17 && date.Minute > 30) return false;
return true;
};
foreach (var ticker in tickers)
{
var rollDates = new List<DateTime>();
var ric_And_lastTrade = new List<Tuple<string, DateTime>>();
{
var sql =
string.Format(
"select f.SymmetryCode, ff.LastTradeDate, fid.Identifier from fI f, fifuture ff, fiidentifier fid where f.SymmetryCode like '{0}%Index' and f.fiid=ff.fiid and fid.fiid=f.fiid and fid.IdentifierType =4 order by ff.LastTradeDate",
ticker);
var ds = Singleton<ConnMngr>.Instance.ExecuteGetSingleTable(DBNames.SQLSERVER_SYMMETRYTS, sql);
foreach (DataRow row in ds.Rows)
{
ric_And_lastTrade.Add(new Tuple<string, DateTime>(DataRowHelpers.GetString(row, "Identifier"),
DataRowHelpers.GetDate(row, "LastTradeDate")));
}
}
// only take quarterly contracts
ric_And_lastTrade =
ric_And_lastTrade.Select(
x => new { Tuple = x, MonthCode = FutureMaintainer.OutputLine.GetBaseMonthYear(x.Item1).Item2 })
.Where(
x =>
x.MonthCode == MonthCode.H || x.MonthCode == MonthCode.M || x.MonthCode == MonthCode.U ||
x.MonthCode == MonthCode.Z)
.Select(x => x.Tuple).ToList();
var cons = new List<OHLCRow>[numContracts];
for (int contractIndex = 0; contractIndex < numContracts; ++contractIndex)
{
var contractCon = new List<OHLCRow>();
cons[contractIndex] = contractCon;
var outputFile = string.Format(@"{0}\{1}_{2}.csv", MARK_OUT_DIR, ticker, contractIndex + 1);
var monthDate = startMonth;
while (monthDate < endMonth)
{
var livecontracts = ric_And_lastTrade.Where(
x => x.Item2 > monthDate || (x.Item2.Month == monthDate.Month && x.Item2.Year == monthDate.Year));
var frontContract = livecontracts.ElementAt(0);
var desiredContract = livecontracts.ElementAt(contractIndex);
// get all the contract's values within the pricingMonth_
var contractInMonthValues = getDDC(
directory_:FUTURES_DIR,
ticker_: desiredContract.Item1,
pricingMonth_: monthDate.Month,
pricingYear_: monthDate.Year,
isCloseMinute_: closePointFunc);
// if we are in the pricingMonth_ of the roll of the first contract, then we need to take only some of the values,
// and the rest from the next contract
if (monthDate.Month == frontContract.Item2.Month && monthDate.Year == frontContract.Item2.Year)
{
var lastContractDate = frontContract.Item2.AddDays(-7d);
rollDates.Add(lastContractDate.Date);
contractCon.AddRange(contractInMonthValues.Data.TakeWhile(dataPoint => dataPoint.Date < lastContractDate.Date));
// now need to get the next contract values and fill for rest of pricingMonth_
var nextContract = livecontracts.ElementAt(contractIndex + 1);
var nextContractValues = getDDC(
directory_: FUTURES_DIR,
ticker_: nextContract.Item1,
pricingMonth_: monthDate.Month,
pricingYear_: monthDate.Year,
isCloseMinute_: closePointFunc);
contractCon.AddRange(nextContractValues.Data.Where(dataPoint => dataPoint.Date >= lastContractDate.Date));
}
else
{
contractCon.AddRange(contractInMonthValues.Data);
}
monthDate = monthDate.AddMonths(1);
}
contractCon.WriteToCSV(outputFile);
}
var ddc = new DatedDataCollectionGen<RollRow>(
cons[0].Select(x => x.Date).ToArray(),
cons[0].Select(x => new RollRow() {Date=x.Date, FirstContract = x.Ticker, FirstPrice = x.Close}).ToArray());
for (int i = 1; i < numContracts; ++i)
{
foreach (var v in cons[i])
{
var ddV = ddc.ValueOnExactDate(v.Date);
if (ddV == null) continue;
ddV.SetContrct(i, v.Ticker);
ddV.SetPrice(i, v.Close);
}
}
ddc.Data.WriteToCSV(string.Format(@"{0}\{1}_combined.csv", MARK_OUT_DIR, ticker));
}
}
public static void GoAleks()
{
var futuresTickers = new[]
{
/*"TU","TY","US","WN",*/"FV"
};
Func<DateTime, bool> closePointFunc = (date) =>
{
if (MyCalendar.IsWeekend(date.Date))
return false;
if (date.Minute != 0 && date.Minute != 30)
return false;
return true;
};
var endMonth = new DateTime(2015, 12, 05);
foreach (var ticker in futuresTickers)
{
var rollDates = new List<DateTime>();
var ric_And_lastTrade = new List<Tuple<string, DateTime>>();
{
var sql =
string.Format(
"select f.SymmetryCode, ff.LastTradeDate, fid.Identifier from fI f, fifuture ff, fiidentifier fid where f.SymmetryCode like '{0}%Comdty' and f.fiid=ff.fiid and fid.fiid=f.fiid and fid.IdentifierType =4 order by ff.LastTradeDate",
ticker);
var ds = Singleton<ConnMngr>.Instance.ExecuteGetSingleTable(DBNames.SQLSERVER_SYMMETRYTS, sql);
foreach (DataRow row in ds.Rows)
{
ric_And_lastTrade.Add(new Tuple<string, DateTime>(DataRowHelpers.GetString(row, "Identifier"),
DataRowHelpers.GetDate(row, "LastTradeDate")));
}
}
// only take quarterly contracts
ric_And_lastTrade =
ric_And_lastTrade.Select(
x => new { Tuple = x, MonthCode = FutureMaintainer.OutputLine.GetBaseMonthYear(x.Item1).Item2 })
.Where(
x =>
x.MonthCode == MonthCode.H || x.MonthCode == MonthCode.M || x.MonthCode == MonthCode.U ||
x.MonthCode == MonthCode.Z)
.Select(x => x.Tuple).ToList();
var cons = new List<OHLCRow>[2];
var contractIndicies = new[] { 0, 1 };
for (int i = 0; i < contractIndicies.Length; ++i)
{
var conOuterCon = new List<OHLCRow>();
cons[i] = conOuterCon;
var contractIndex = contractIndicies[i];
var outputFile = string.Format(@"{0}\{1}_{2}.csv", ALEKS_OUT_DIR, ticker, contractIndex + 1);
var monthDate = new DateTime(2015, 1, 15);
while (monthDate < endMonth)
{
var livecontracts = ric_And_lastTrade.Where(
x => x.Item2 > monthDate || (x.Item2.Month == monthDate.Month && x.Item2.Year == monthDate.Year));
var frontContract = livecontracts.ElementAt(0);
var desiredContract = livecontracts.ElementAt(contractIndex);
// get all the contract's values within the pricingMonth_
var contractInMonthValues = getDDC(
directory_: FUTURES_DIR,
ticker_: desiredContract.Item1,
pricingMonth_: monthDate.Month,
pricingYear_: monthDate.Year,
isCloseMinute_: closePointFunc);
// if we are in the pricingMonth_ of the roll of the first contract, then we need to take only some of the values,
// and the rest from the next contract
if (monthDate.Month == frontContract.Item2.Month && monthDate.Year == frontContract.Item2.Year)
{
var lastContractDate = frontContract.Item2.AddDays(-7d);
rollDates.Add(lastContractDate.Date);
conOuterCon.AddRange(contractInMonthValues.Data.TakeWhile(dataPoint => dataPoint.Date < lastContractDate.Date));
// now need to get the next contract values and fill for rest of pricingMonth_
var nextContract = livecontracts.ElementAt(contractIndex + 1);
var nextContractValues = getDDC(
directory_: FUTURES_DIR,
ticker_: nextContract.Item1,
pricingMonth_: monthDate.Month,
pricingYear_: monthDate.Year,
isCloseMinute_: closePointFunc);
conOuterCon.AddRange(nextContractValues.Data.Where(dataPoint => dataPoint.Date >= lastContractDate.Date));
}
else
{
conOuterCon.AddRange(contractInMonthValues.Data);
}
monthDate = monthDate.AddMonths(1);
}
conOuterCon.WriteToCSV(outputFile);
}
var rollRows = new List<RollRow>();
var index = 0;
foreach (var v in cons[0])
{
var rollRow = new RollRow()
{
Date = v.Date,
FirstContract = v.Ticker,
FirstPrice = v.Close
};
for (; index < cons[1].Count; ++index)
{
if (cons[1][index].Date > v.Date)
{
index -= 3;
index = Math.Max(0, index);
break;
}
if (cons[1][index].Date == v.Date)
{
rollRow.SecondContract = cons[1][index].Ticker;
rollRow.SecondPrice = cons[1][index].Close;
break;
}
}
rollRows.Add(rollRow);
}
rollRows.WriteToCSV(string.Format(@"{0}\{1}_combined.csv", ALEKS_OUT_DIR, ticker));
}
}
