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contest_no6039.q
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recoverPortfolio:{[timepoint]
eos:select account:accountName, asset_name:sym ,amount :amount + lockedAmount from getBalanceByAsset[`JADE.EOS;timepoint; `JADE.USDT];
eth:select account:accountName, asset_name:sym ,amount :amount + lockedAmount from getBalanceByAsset[`JADE.ETH;timepoint;`JADE.USDT];
btc:select account:accountName, asset_name:sym ,amount :amount + lockedAmount from getBalanceByAsset[`JADE.BTC;timepoint; `JADE.USDT];
usdt:select account:accountName, asset_name:sym ,amount :amount + lockedAmount from getBalanceByAsset[`JADE.USDT;timepoint; `JADE.USDT];
t::(eos,eth,btc,usdt);
bact:update time:timepoint from select cap:sum amount by account from t;
recov:`time`account xkey update eos:0^eos, eth:0^eth, usdt:0^usdt, btc:0^btc from (((( bact lj (`account xkey select account, eos:amount from eos) ) lj (`account xkey select account, btc:amount from btc) ) lj (`account xkey select account, eth:amount from eth) ) lj (`account xkey select account,usdt:amount from usdt) ); portfolio,::recov;}
/accountName, asset_name, quantity
updateBalance:{[]
now:: "P"$((string(.z.p))[til 13])
eos:select account:accountName, asset_name:sym ,amount :amount + lockedAmount from getBalanceByAsset[`JADE.EOS;now; `JADE.USDT];
eth:select account:accountName, asset_name:sym ,amount :amount + lockedAmount from getBalanceByAsset[`JADE.ETH;now; `JADE.USDT];
btc:select account:accountName, asset_name:sym ,amount :amount + lockedAmount from getBalanceByAsset[`JADE.BTC;now; `JADE.USDT];
usdt:select account:accountName, asset_name:sym ,amount :amount + lockedAmount from getBalanceByAsset[`JADE.USDT;now; `JADE.USDT];
t:(eos,eth,btc,usdt);
bact:update time:now from select cap:sum amount by account from t;
balance ::`time`account xkey update eos:0^eos, eth:0^eth, usdt:0^usdt, btc:0^btc from (((( bact lj (`account xkey select account, eos:amount from eos) ) lj (`account xkey select account, btc:amount from btc) ) lj (`account xkey select account, eth:amount from eth) ) lj (`account xkey select account,usdt:amount from usdt) ); portfolio,::balance;}
portfolio_ind::(update sharp:0^ {if[x=0w;x:0];x} each (ret%risk) from select ncap:last cap ,ret:last(0 ^ -1 + cap % prev cap) ,total_ret :0^ -1 + (last cap)%(first cap),risk:0^ sdev (-1 + cap % prev cap) by account from `time xasc portfolio) lj (`account xkey to_ind)
SIZE::count portfolio
valid_SIZE::count valid_RV
RV::update rv_score:fills {if[x=0;x:0N];x} each rv_score from update rv_score:rv_score*(1-x) from select account,rv:total_ret,sharp,cap:ncap, rv_score:(SIZE - sums x) * 100 % SIZE, x:total_ret=(prev total_ret) from update x:1 from `total_ret xdesc portfolio_ind
Period_RV::select account,rv:ret,sharp,cap:ncap, score:(SIZE - sums x) * 100 % SIZE from update x:1 from `ret xdesc portfolio_ind
valid_RV::select from RV where rv_score > ((select [ (floor (count RV) * 0.3),1] from RV)`rv_score)@0
SHARP::update sharp_score:fills {if[x=0;x:0N];x} each sharp_score from update sharp_score:sharp_score*(1-x) from select account,rv,sharp,cap, sharp_score:(valid_SIZE - sums x) * 100 % valid_SIZE, x:sharp=(prev sharp) from update x:1 from `sharp xdesc valid_RV
COMP::`score xdesc (select account,cap, score: (rv_score*0.6)+(sharp_score*0.35)+ (is_to*0.05), rv,sharp, turnover from ej[`account;ej[`account;RV;SHARP];to_ind])
get_ranking:{[limit;algo] select account,rv,sharp,cap,turnover from select [limit] from ej[`account;algo;to_ind] }
/ dumpfile:{[dir] save `$( "" sv (string(dir);"balance.csv" ) ); }
dumpfile:{[] save `balance.csv }
updateTurnover:{[]
eth:select asset_name:`JADE.ETH, account:accountName , amount:convertedAmount from getTurnover[`$"ETH/USDT";.z.d - 1D; `JADE.USDT];
btc:select asset_name:`JADE.BTC, account:accountName , amount:convertedAmount from getTurnover[`$"BTC/USDT";.z.d - 1D; `JADE.USDT];
eos:select asset_name:`JADE.EOS, account:accountName , amount:convertedAmount from getTurnover[`$"EOS/USDT";.z.d - 1D; `JADE.USDT];
t:select distinct account from balance;
to_ind::select account, turnover,is_to:turnover>=20000 from update turnover: 0^turnover from (t lj (select turnover:sum amount by account from (eth,btc,eos) ) );}
/ accounts_table:get_accounts_table[`:/home/sunqi/zmq_wit/accounts_table.csv];
getPortfolio:{[acct;slot] select [100] time.datetime, cap, eos,btc,eth, usdt from `time xdesc portfolio where (account = `$acct) and ( ((floor ( 1e-09*((time - (min time) )%01:00:00) )) mod slot ) =0)}
/ mv csv to new csv with timestamp
/ mvcsv:{ save `trade.csv; system "mv trade.csv /data2/db/tmp/trade.csv.`date +%Y%m%d.%H%M%S`";}
/ define your timer
updateAll:{[] reconnect[]; updateBalance[];updateTurnover[];closeconn[];}
.z.ts:{updateAll[];}
/ 60 seconds set timer
/ \t 60000
/ 10*60 seconds set timer, 10minute
/ \t 600000
/ 10*60 seconds set timer, 10minute
\t 3600000
/ \t 0 to stop the timer