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@@ -52,30 +52,41 @@ def analyze_markets(prices: typing.Sequence[market.RawPrice], date: datetime.dat
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continue
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markets[price['MaterialTicker']].append(price)
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- markets_with_trades = ranking = ic1_lowest = ic1_zero = gap = 0
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+ markets_with_trades = total_rank = ic1_lowest = ic1_zero = gap = 0
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for mat, mat_prices in markets.items():
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- mat_prices.sort(key=lambda p: (p['Traded7D'] or 0))
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- if mat_prices[-1]['Traded7D'] == None:
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+ # find IC1's Traded7D rank among the CXes
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+ # group CXes by Traded7D first in case of ties
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+ rankings: dict[int, list[str]] = collections.defaultdict(list)
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+ for price in mat_prices:
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+ rankings[price['Traded7D'] or 0].append(price['ExchangeCode'])
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+ if len(rankings) == 1 and 0 in rankings: # no markets had any trades
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continue
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- markets_with_trades += 1
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- for index, price in enumerate(mat_prices):
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- if price['ExchangeCode'] == 'IC1':
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+ sorted_markets = sorted(rankings.items(), key=lambda item: item[0])
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+ rank = 0
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+ for _, cxes in sorted_markets:
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+ if 'IC1' in cxes:
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break
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+ rank += len(cxes)
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else:
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raise AssertionError('IC1 not found for ' + mat)
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- ranking += index
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- if index == 0:
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+ markets_with_trades += 1
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+ total_rank += rank
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+
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+ if rank == 0:
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ic1_lowest += 1
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- ic1_traded = mat_prices[0]['Traded7D'] or 0
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- lowest_traded = mat_prices[1]['Traded7D'] or 0
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+ ic1_traded = sorted_markets[0][0]
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+ if len(sorted_markets[0][1]) > 1: # another market is tied for last with us
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+ lowest_traded = ic1_traded
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+ else:
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+ lowest_traded = sorted_markets[1][0]
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if lowest_traded > 0:
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if ic1_traded == 0:
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ic1_zero += 1
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gap += (lowest_traded - ic1_traded) / lowest_traded
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- print(f'{markets_with_trades} markets with trades, IC1 ranking {ranking}, lowest in {ic1_lowest}, zero in {ic1_zero}, gap {gap:.2f}')
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+ print(f'{markets_with_trades} markets with trades, IC1 total rank {total_rank}, lowest in {ic1_lowest}, zero in {ic1_zero}, gap {gap:.2f}')
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return {
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'date': date.isoformat(),
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- 'ranking': ranking / markets_with_trades,
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+ 'ranking': total_rank / markets_with_trades,
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'ic1_lowest': ic1_lowest / markets_with_trades * 100,
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'ic1_zero': ic1_zero,
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'gap': gap / markets_with_trades * 100,
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