R/calcGapStrategyDailyUniverse.R

In tmk-c/myrlib: My R library for daily work

#' Calculate Gap strategies' daily universe info
#'
#' @param dbcon_str  Connection string for Sharadar or QuoteMedia.
#' @param this_date Date to retrieve.
#' @param parmas Best parameters from bakctest results for the day.
#'
#' @return Daily universe info by data.table format
#' @export
calcGapStrategyDailyUniverse <- function(dbcon_str, this_date, params,
                                         filter = TRUE) {
  # Abbreviation
  p <- params

  # Date values
  this_date <- as.Date(this_date)

  # Get data from DB
  symbols <- getActiveSymbols(dbcon_str, this_date, this_date)

  columns <- c("close", "sma", "sd", "avg.tover", "open.gap.coef")

  data    <- getSliceData(dbcon_str, columns, this_date, this_date,
                          symbols, TRUE, p$sma_len, p$sd_len,
                          p$ato_len, p$ogc_len)

  # Symbol info
  info <- getSymbolInfo(dbcon_str)[, c("ticker", "name", "exchange")]
  data.table::setnames(info, "ticker", "symbol")

  # Build columns --------------------------------------------------------------
  # close
  close <- data$close %>% t() %>% data.table::data.table(rownames(.), .)
  data.table::setnames(close, c("symbol", "close"))
  info <- info[close, on = "symbol"]

  # SMA
  if (!is.null(data$sma)) {
    sma <- data$sma[[1]] %>% t() %>% data.table::data.table(rownames(.), .)
    data.table::setnames(sma, c("symbol", "sma"))
    info <- info[sma, on = "symbol"]
  }

  # SD
  sd = data$sd[[1]] %>% t() %>% data.table::data.table(rownames(.), .)
  data.table::setnames(sd, c("symbol", "sd"))
  info <- info[sd, on = "symbol"]

  # Average turnover
  ato <- data$avg.tover[[1]] %>% t() %>% data.table::data.table(rownames(.), .)
  data.table::setnames(ato, c("symbol", "ato"))
  info <- info[ato, on = "symbol"]

  # Open Gap Coef
  if (!is.null(data$open.gap.coef)) {
    ogc <- data$open.gap.coef[[1]] %>% t() %>%
      data.table::data.table(rownames(.), .)
    data.table::setnames(ogc, c("symbol", "ogc"))
    info <- info[ogc, on = "symbol"]
  }

  # Symbol mapping from Sharadar to IQFeed -------------------------------------
  path <- paste0(system.file(package = "myrlib"), "/mapping/sharadar_iqf.csv")
  map  <- read.csv(path)

  for (i in 1:nrow(map)) {
    s_symbol <- map[i, "sharadar"]
    i_symbol <- map[i, "iqf"]

    info[symbol == s_symbol]$symbol <-  i_symbol
  }

  # Filter rows ----------------------------------------------------------------
  if (filter) {

    # SMA
    if (p$sma_len != 0) {
      info <- info[close >= sma]
    }

    # SD
    info <- info[sd >= p$sd_thres]

    # ATO
    info <- info[p$ato_l_thres <= ato & ato <= p$ato_h_thres]

    # OGC
    if (p$ogc_len != 0) {
      info <- info[ogc <= p$ogc_thres]
    }

    # Min entry
    info <- info[close >= p$min_thres]
  }

  return (info)
}