Class: CalcProfit::TransactionGroup

Inherits:
Object
  • Object
show all
Defined in:
lib/calc_profit/transaction_group.rb

Instance Attribute Summary collapse

Instance Method Summary collapse

Constructor Details

#initialize(table = nil) ⇒ TransactionGroup

Returns a new instance of TransactionGroup.



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# File 'lib/calc_profit/transaction_group.rb', line 6

def initialize(table = nil)
  @purchases = []
  @sales = []
  @trans_by_ref = {}
  @matches = []
  @profit = 0
  @purchase_shares = 0
  @sale_shares = 0
  if table
    add_table_transactions(table)
  end
end

Instance Attribute Details

#matches ⇒ Object (readonly)

Returns the value of attribute matches.



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# File 'lib/calc_profit/transaction_group.rb', line 3

def matches
  @matches
end

#profit ⇒ Object (readonly)

Returns the value of attribute profit.



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# File 'lib/calc_profit/transaction_group.rb', line 3

def profit
  @profit
end

#purchase_shares ⇒ Object (readonly)

Returns the value of attribute purchase_shares.



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# File 'lib/calc_profit/transaction_group.rb', line 4

def purchase_shares
  @purchase_shares
end

#sale_shares ⇒ Object (readonly)

Returns the value of attribute sale_shares.



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# File 'lib/calc_profit/transaction_group.rb', line 4

def sale_shares
  @sale_shares
end

Instance Method Details

#<<(t) ⇒ Object 



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# File 'lib/calc_profit/transaction_group.rb', line 25

def <<(t)
  # Add a new transaction
  if t.purchase?
    @purchases << t
    @trans_by_ref[t.ref.to_s] = t
  elsif t.sale?
    @sales << t
    @trans_by_ref[t.ref.to_s] = t
  else
    raise ArgumentError,
      "Can only add purchase or sale transactions to TransactionGroup."
  end
end

#add_table_transactions(table) ⇒ Object 



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# File 'lib/calc_profit/transaction_group.rb', line 19

def add_table_transactions(table)
  table.rows.each do |row|
    self << Transaction.new(row)
  end
end

#match ⇒ Object 



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# File 'lib/calc_profit/transaction_group.rb', line 39

def match
  pp = @purchases.dup2
  ss = @sales.dup2
  until pp.empty? or ss.empty? do
    # For each sale remaining, find the remaining purchase
    # with 6 months having the lowest price and match
    # to the extent of the lower number of shares
    break if ss.empty?
    best_sale = ss.max { |a, b| a.price <=> b.price }
    eligible_purchases = pp.partition { |p|
      p.date.within_6mos_of?(best_sale.date) && p.price < best_sale.price
    }
    eligible_purchases = eligible_purchases[0]
    if eligible_purchases.empty?
      ss.delete(best_sale)
      next
    end
    best_prch = eligible_purchases.min { |a, b| a.price <=> b.price }
    # Take number of shares as the smaller of the sale or buy
    if best_sale.shares >= best_prch.shares
      s = Transaction.new(code: 'S', date: best_sale.date, price: best_sale.price,
                          shares: best_prch.shares, ref: best_sale.ref,
                          info: best_sale.info)
      p = Transaction.new(code: 'P', date: best_prch.date, price: best_prch.price,
                          shares: best_prch.shares, ref: best_prch.ref,
                          info: best_prch.info)
      best_sale.shares -= best_prch.shares
      pp.delete(best_prch)
    else
      s = Transaction.new(code: 'S', date: best_sale.date, price: best_sale.price,
                          shares: best_sale.shares, ref: best_sale.ref,
                          info: best_sale.info)
      p = Transaction.new(code: 'P', date: best_prch.date, price: best_prch.price,
                          shares: best_sale.shares, ref: best_prch.ref,
                          info: best_prch.info)
      best_prch.shares -= best_sale.shares
      ss.delete(best_sale)
    end
    m = Match.new(p, s)
    unless m.profit < 0.01
      @matches << m
      @profit += m.profit
      @purchase_shares += p.shares
      @sale_shares += s.shares
    end
  end
  @matches.empty? ? nil : match_table
end

#match_table ⇒ Object 



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# File 'lib/calc_profit/transaction_group.rb', line 88

def match_table
  table = Table.new
  @matches.each do |m|
    table << m.table_row
  end
  table
end

#tp_solve ⇒ Object

This method attempts to find an optimal, profit-maximizing set of matches by formulating a transportation problem and passing it to lp_solve. Requires lp_solve, which on ubuntu can be installed with

$ apt-get install lp_solve



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# File 'lib/calc_profit/transaction_group.rb', line 110

def tp_solve
  lpf = File.new('profit.lp', 'w')

  # Write the objective function
  lpf.print("max: ")
  penalty = -1000.0
  have_eqn = false
  @purchases.each do |p|
    @sales.each do |s|
      if p.date.within_6mos_of?(s.date) and s.price > p.price
        profit = s.price - p.price
        lpf.print("#{profit} X_#{p.ref}@@#{s.ref} + ")
        have_eqn = true
      else
        lpf.print("#{penalty} X_#{p.ref}@@#{s.ref} + ")
        have_eqn = true
      end
    end
  end
  lpf.print("0;\n\n") if have_eqn

  # Write the purchase contraints
  @purchases.each do |p|
    lpf.print("P_#{p.ref}: ")
    @sales.each do |s|
      lpf.print("X_#{p.ref}@@#{s.ref} + ")
    end
    lpf.print("0 <= #{p.shares};\n")
  end

  # Write the sales contraints
  @sales.each do |s|
    lpf.print("S_#{s.ref}: ")
    @purchases.each do |p|
      lpf.print("X_#{p.ref}@@#{s.ref} + ")
    end
    lpf.print("0 <= #{s.shares};\n")
  end
  lpf.close

  # Now, pass the file into lp_solve and parse the solution
  calculated_profit = 0.0
  IO.popen("lp_solve profit.lp") do |sol|
    #File.open("profit.sol") do |sol|
    sol.each do |line|
      next if line =~ /^\s*$/
      if line =~ /^Value of objective function:\s+([-+e.\d]+)/
        calculated_profit = $1.to_f
      elsif line =~ /^X_(\S*)@@(\S*)\s+(\d+)$/
        next if $3.to_f == 0.0
        p = @trans_by_ref[$1].dup
        s = @trans_by_ref[$2].dup
        p.shares = s.shares = $3.to_f
        if s.price - p.price < 0.01
          STDERR.print "Sale #{s.ref} @ #{s.price} and Purchase #{p.ref} @ #{p.price} has no profit.\n"
        else
          m = Match.new(p, s)
          @matches << m
          @profit += m.profit
          @purchase_shares += p.shares
          @sale_shares += s.shares
        end
      end
    end
  end
  unless calculated_profit == @profit
    STDERR.print "Warning: profit calculated by lp_solve was #{calculated_profit}; by matches was #{@profit}\n"
  end
  !@matches.empty?
end

#transaction_table ⇒ Object 



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# File 'lib/calc_profit/transaction_group.rb', line 96

def transaction_table
  trans = @purchases + @sales
  table = Table.new
  trans.each do |tr|
    table << tr.table_row
  end
  table
end