public async Task <ActionResult <Dictionary <string, List <Trend> > > > AnalyzeAllPortfolio([FromBody] ReqAnalyzePortfolio request)
{
return(await Task.Run(async() =>
{
var requestTime = DateTime.Now;
var analyzer = new Analyzer();
var reports = new Dictionary <string, List <Trend> >(); // key: StrategyType
var completed = new List <string>();
List <Subject> universe = null;
if (request.Country.Contains("FX"))
{
universe = UniverseManager.Instance.GetUniverse("JP", request.Country);
}
else
{
universe = UniverseManager.Instance.GetUniverse(request.Country, null);
}
var tasks = new List <Task>();
foreach (var subject in universe)
{
var task = Task.Run(() =>
{
var requestCopy = request.Clone();
requestCopy.Portfolio = new List <PortfolioSubject>
{
new PortfolioSubject()
{
AssetCode = subject.AssetCode,
Volume = 1,
Ratio = 1,
}
};
foreach (var report in analyzer.AnalyzePortfolio(requestCopy, analyzeBenchmark: false))
{
var strategyType = report.StrategyType;
var trend = new Trend()
{
AssetCode = subject.AssetCode,
AssetName = subject.AssetName,
Exchange = subject.Exchange,
Sector = subject.Sector,
Industry = subject.Industry,
MarketCap = subject.MarketCap,
FirstDate = subject.FirstDate,
InitialBalance = report.Summary.InitialBalance,
EndBalance = report.Summary.EndBalance,
Commission = report.Summary.Commission,
Transactions = report.Transactions[subject.AssetCode].Count,
PeriodReturnRatio = report.Summary.PeriodReturnRatio,
AnnualizedReturnRatio = report.Summary.AnnualizedReturnRatio,
VolatilityRatio = report.Summary.VolatilityRatio,
PriceVolatilityRatio = report.Summary.PriceVolatilityRatio,
MddRatio = report.Summary.MddRatio,
SharpeRatio = report.Summary.SharpeRatio,
Per = UniverseManager.Instance.FindUniverse(subject.AssetCode).Per,
Pbr = UniverseManager.Instance.FindUniverse(subject.AssetCode).Pbr,
EvEvitda = UniverseManager.Instance.FindUniverse(subject.AssetCode).EvEvitda,
DivYield = UniverseManager.Instance.FindUniverse(subject.AssetCode).DivYield
};
lock (_sync)
{
if (reports.ContainsKey(strategyType))
{
reports[strategyType].Add(trend);
}
else
{
reports.Add(strategyType, new List <Trend> {
trend
});
}
}
}
Console.WriteLine($"[{requestTime.ToShortTimeString()}] {subject.AssetCode}");
});
tasks.Add(task);
}
Console.WriteLine("Wait tasks...");
await Task.WhenAll(tasks);
Console.WriteLine($"Start - {requestTime.ToShortTimeString()} End - {DateTime.Now.ToShortTimeString()}");
return reports;
}));
}
public ActionResult <List <Report> > AnalyzePortfolio([FromBody] ReqAnalyzePortfolio request)
{
var analyzer = new Analyzer();
return(analyzer.AnalyzePortfolio(request));
}
