/// <summary>
/// Function: Retrieve value from time series object.
/// </summary>
/// <param name="date">DateTime value representing the date of the value to be retrieved.
/// </param>
/// <param name="type">Time series type of time series point.
/// </param>
/// <param name="timeSeriesRoll">Roll type of reference time series object.
/// </param>
override public double this[DateTime date, TimeSeriesType ttype, TimeSeriesRollType roll]
{
get
{
return(base[date, ttype, this.DefaultDataProvider, roll, 0]);
}
}
/// <summary>
/// Function: Convert a value from the Sell currency denomination to the Buy currency denomination on a given date.
/// The conversion is dependent on the definition of the inverse of the FX Instrument.
/// </summary>
/// <param name="value">Value to be converted.
/// </param>
/// <param name="date">Reference date.
/// </param>
/// <param name="type">Time series type of time series point.
/// </param>
/// <param name="provider">Provider of reference time series object (Standard is AQI).
/// </param>
/// <param name="timeSeriesRoll">Roll type of reference time series object.
/// </param>
public double ConvertInverse(double value, DateTime date, TimeSeriesType type, DataProvider provider, TimeSeriesRollType timeSeriesRoll)
{
return(value / FXInstrument[date, type, provider, timeSeriesRoll]);
}
/// <summary>
/// Function: Retrieve value from time series object.
/// </summary>
/// <param name="date">DateTime value representing the date of the value to be retrieved.
/// </param>
/// <param name="type">Time series type of time series point.
/// </param>
/// <param name="provider">Provider of reference time series object (Standard is AQI).
/// </param>
/// <param name="timeSeriesRoll">Roll type of reference time series object.
/// </param>
override public double this[DateTime date, TimeSeriesType type, DataProvider provider, TimeSeriesRollType timeSeriesRoll]
{
get
{
if (provider.ID == DataProvider.DefaultProvider.ID)
{
return(base[date, type, this.DefaultDataProvider, timeSeriesRoll, 0]);
}
else
{
return(base[date, type, provider, timeSeriesRoll, 0]);
}
}
}
/// <summary>
/// Function: Convert a value from the Sell currency denomination to the Buy currency denomination on a given date.
/// The conversion is dependent on the definition of the FX Instrument.
/// </summary>
/// <param name="value">Value to be converted.
/// </param>
/// <param name="date">Reference date.
/// </param>
/// <param name="type">Time series type of time series point.
/// </param>
/// <param name="provider">Provider of reference time series object (Standard is AQI).
/// </param>
/// <param name="timeSeriesRoll">Roll type of reference time series object.
/// </param>
public double Convert(double value, DateTime date, TimeSeriesType type, DataProvider provider, TimeSeriesRollType timeSeriesRoll)
{
double fxi = FXInstrument[date, type, provider, timeSeriesRoll];
if (double.IsNaN(fxi))
{
CurrencyPair pair_inv = CurrencyPair.FindCurrencyPair(CurrencySell, CurrencyBuy);
if (pair_inv != null)
{
return(pair_inv.ConvertInverse(value, date, type, provider, timeSeriesRoll));
}
return(value);
}
return(value * fxi);
}
/// <summary>
/// Function: Convert a value from the Sell currency denomination to the Buy currency denomination on a given date.
/// </summary>
/// <param name="value">Value to be converted.
/// </param>
/// <param name="date">Reference date.
/// </param>
/// <param name="type">Time series type of time series point.
/// </param>
/// <param name="provider">Provider of reference time series object (Standard is AQI).
/// </param>
/// <param name="timeSeriesRoll">Roll type of reference time series object.
/// </param>
/// <param name="buy">Target currency in the conversion.
/// </param>
/// <param name="sell">Initial currency in the conversion.
/// </param>
public static double Convert(double value, DateTime date, TimeSeriesType type, DataProvider provider, TimeSeriesRollType timeSeriesRoll, Currency buy, Currency sell)
{
if (buy == sell)
{
return(value);
}
CurrencyPair pair = CurrencyPair.FindCurrencyPair(buy, sell);
if (pair != null)
{
return(pair.Convert(value, date, type, provider, timeSeriesRoll));
}
CurrencyPair pair_inv = CurrencyPair.FindCurrencyPair(sell, buy);
if (pair_inv != null)
{
return(pair_inv.ConvertInverse(value, date, type, provider, timeSeriesRoll));
}
Console.WriteLine("WARNING: NO CURRENCY PAIR FOUND - " + buy.Name + "/" + sell.Name);
return(value);
}
public double GetMemorySeriesPoint(Strategy strategy, DateTime date, int memorytype, int memoryclass, TimeSeriesRollType timeSeriesRoll)
{
string key = strategy.ID + "_" + memorytype + "_" + memoryclass;
if (!Instrument.TimeSeriesLoadFromDatabase)
{
if (!_memorySeriesDatabase.ContainsKey(key))
{
GetMemorySeries(strategy, memorytype, memoryclass);
}
if (timeSeriesRoll == TimeSeriesRollType.Exact)
{
return(_memorySeriesDatabase[key][date]);
}
else
{
return(_memorySeriesDatabase[key][date, TimeSeries.DateSearchType.Previous]);
}
}
string tableName = _StrategyMemoryTableName;
string searchString;
string targetString = "TOP 1 *";
if (timeSeriesRoll == TimeSeriesRollType.Exact)
{
searchString = string.Format("ID={0} AND MemoryTypeID={1} AND MemoryClassID={2} AND Timestamp='{3:yyyy-MM-dd HH:mm:ss.fff}' ORDER BY Timestamp DESC", strategy.ID, (int)memorytype, (int)memoryclass, date);
}
else
{
searchString = string.Format("ID={0} AND MemoryTypeID={1} AND MemoryClassID={2} AND Timestamp<='{3:yyyy-MM-dd HH:mm:ss.fff}' ORDER BY Timestamp DESC", strategy.ID, (int)memorytype, (int)memoryclass, date);
}
if (Database.DB[strategy.StrategyDB] is QuantApp.Kernel.Adapters.SQL.SQLiteDataSetAdapter || Database.DB[strategy.StrategyDB] is QuantApp.Kernel.Adapters.SQL.PostgresDataSetAdapter)
{
searchString += " LIMIT 1";
targetString = "*";
}
DataTable _datesTable = Database.DB[strategy.StrategyDB].GetDataTable(tableName, targetString, searchString);
DataRowCollection rs = _datesTable.Rows;
if (rs.Count == 0)
{
return(double.NaN);
}
DataRow r = rs[0];
return((double)r["Value"]);
}
/// <summary>
/// Function: Convert a value from the Sell currency denomination to the Buy currency denomination on a given date.
/// The conversion is dependent on the definition of the FX Instrument.
/// </summary>
/// <param name="value">Value to be converted.
/// </param>
/// <param name="date">Reference date.
/// </param>
/// <param name="type">Time series type of time series point.
/// </param>
/// <param name="provider">Provider of reference time series object (Standard is AQI).
/// </param>
/// <param name="timeSeriesRoll">Roll type of reference time series object.
/// </param>
public double Convert(double value, DateTime date, TimeSeriesType type, DataProvider provider, TimeSeriesRollType timeSeriesRoll)
{
double fxi = FXInstrument[date, type, provider, timeSeriesRoll];
if (double.IsNaN(fxi))
{
return(value);
}
return(value * fxi);
}
/// <summary>
/// Function: Convert a value from the Sell currency denomination to the Buy currency denomination on a given date.
/// </summary>
/// <param name="value">Value to be converted.
/// </param>
/// <param name="date">Reference date.
/// </param>
/// <param name="type">Time series type of time series point.
/// </param>
/// <param name="provider">Provider of reference time series object (Standard is AQI).
/// </param>
/// <param name="timeSeriesRoll">Roll type of reference time series object.
/// </param>
/// <param name="buy">Target currency in the conversion.
/// </param>
/// <param name="sell">Initial currency in the conversion.
/// </param>
public static double Convert(double value, DateTime date, TimeSeriesType type, DataProvider provider, TimeSeriesRollType timeSeriesRoll, Currency buy, Currency sell)
{
if (buy == sell)
{
return(value);
}
CurrencyPair pair = CurrencyPair.FindCurrencyPair(buy, sell);
if (pair != null)
{
return(pair.Convert(value, date, type, provider, timeSeriesRoll));
}
CurrencyPair pair_inv = CurrencyPair.FindCurrencyPair(sell, buy);
if (pair_inv != null)
{
return(pair_inv.ConvertInverse(value, date, type, provider, timeSeriesRoll));
}
return(0.0);
}
