def GetStrategyList(self, strategy_log_obj, portfolio_twap_obj):
index_strategy = 0
index_portfolio = 0
common_functions_obj = CCommonFunctions()
while index_strategy < strategy_log_obj.m_nCountOfRows and index_portfolio < len(
portfolio_twap_obj.m_fOrderExecutionFillPriceList):
if common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]) == -1:
index_strategy += 1
elif common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]
) == 0 or common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]) == 1:
strategy_log_obj.m_strStrategyExecutionList.append(
strategy_log_obj.m_strStrategyList[index_strategy - 1])
index_portfolio += 1
# print "displaying Strategy execution list"
# for iter in range(0, len(strategy_log_obj.m_strStrategyExecutionList)):
# print str(strategy_log_obj.m_strStrategyExecutionList[iter])
return True
def GetVwapWindow(self, data_object, list_index, time_window_index):
common_functions_obj = CCommonFunctions()
temp_vol = 0
temp_vwap = 0
while common_functions_obj.CompareTime(
data_object.m_DatetimeList[list_index],
data_object.m_strTimeWindowList[time_window_index]) == -1:
if not data_object.m_nSizeList[list_index] == "NULL":
temp_vol = temp_vol + float(
data_object.m_nSizeList[list_index])
temp_vwap = temp_vwap + float(
data_object.m_nSizeList[list_index]) * float(
data_object.m_fPriceList[list_index])
list_index += 1
if list_index >= len(data_object.m_nSizeList):
break
if not temp_vol == 0:
temp_vwap = temp_vwap / temp_vol
data_object.m_fVwapWindowList.append(temp_vwap)
return list_index
def GetStrategyList(self, strategy_log_obj, portfolio_twap_obj):
index_strategy = 0
index_portfolio = 0
common_functions_obj = CCommonFunctions()
while index_strategy < strategy_log_obj.m_nCountOfRows and index_portfolio < len(
portfolio_twap_obj.m_fOrderExecutionFillPriceList):
if common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]) == -1:
index_strategy += 1
elif common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]
) == 0 or common_functions_obj.CompareTime(
strategy_log_obj.m_DatetimeList[index_strategy],
portfolio_twap_obj.m_DatetimeList[index_portfolio]) == 1:
strategy_log_obj.m_strStrategyExecutionList.append(
strategy_log_obj.m_strStrategyList[index_strategy - 1])
index_portfolio += 1
return True
def GetVolWindow(self, data_object, list_index, time_window_index):
common_functions_obj = CCommonFunctions()
temp_vol = 0
while common_functions_obj.CompareTime(
data_object.m_DatetimeList[list_index],
data_object.m_strTimeWindowList[time_window_index]) == -1:
if not data_object.m_nSizeList[list_index] == "NULL":
temp_vol = temp_vol + float(
data_object.m_nSizeList[list_index])
list_index += 1
if list_index >= len(data_object.m_nSizeList):
break
data_object.m_nVolumeWindowList.append(temp_vol)
return list_index