public static TableSchema HighLow( this IMslScript script, DataColumn value, TimeGrouping grouping, DataColumn intoHigh, DataColumn intoLow )
{
if ( intoHigh == null )
{
TempTable.Create();
intoHigh = TempTable[ "high" ];
}
if ( intoLow == null )
{
TempTable.Create();
intoLow = TempTable[ "low" ];
}
if ( intoHigh.Table.TableName != intoLow.Table.TableName )
{
throw new Exception( "High and low columns need to belong to the same table" );
}
var inputTable = Interpreter.Context.TomScripting.GetManager( value.Table.TableName );
var outTable = Interpreter.Context.TomScripting.GetManager( intoHigh.Table.TableName );
var stock = Interpreter.Context.Scope.Stock;
var from = Interpreter.Context.Scope.From;
var to = Interpreter.Context.Scope.To;
using ( TransactionScope trans = new TransactionScope() )
{
long ownerId = stock.GetId( outTable.Schema.OwnerIdColumn );
var result = outTable.Query( ownerId );
ScopedTable inputData = inputTable.Query( ownerId, new DateClause( from, to ), OriginClause.Default );
DateTime? currentPeriod = null;
DateTime? newPeriod = null;
double low = double.MaxValue;
double high = double.MinValue;
// helper Lambda which adds a found result to the result table
Action AddResult = delegate()
{
// handle no min, max could be determined
if ( low == double.MaxValue )
{
myLogger.Warning( "stock_price_low could not be determined for: TradedStockId = {0}", stock.TradedStock.Id );
low = -1;
}
if ( high == double.MinValue )
{
myLogger.Warning( "stock_price_high could not be determined for: TradedStockId = {0}", stock.TradedStock.Id );
high = -1;
}
DataRow outRow = result.NewRow();
outRow[ result.Schema.OwnerIdColumn ] = ownerId;
outRow.SetDate( result.Schema, currentPeriod.Value );
outRow[ intoHigh.ColumnName ] = high;
outRow[ intoLow.ColumnName ] = low;
result.AddOrUpdate( outRow, intoHigh.ColumnName, intoLow.ColumnName );
};
foreach ( DataRow row in inputData.Rows.OrderBy( row => row[ inputTable.Schema.DateColumn ] ) )
{
DateTime date = row.GetDate( inputTable.Schema );
// convert the new period
if ( grouping == TimeGrouping.Year )
{
newPeriod = Blade.DateTimeExtensions.FirstOfYear( date.Year );
}
else if ( grouping == TimeGrouping.Month )
{
newPeriod = new DateTime( date.Year, date.Month, 1 );
}
else
{
throw new InvalidOperationException( "Unsupported time period definition: " + grouping );
}
// new period start detected other than the first one?
if ( currentPeriod != newPeriod && currentPeriod != null )
{
AddResult();
// reset temp variables
currentPeriod = newPeriod;
high = double.MinValue;
low = double.MaxValue;
}
else if ( currentPeriod == null )
{
// handle first period
currentPeriod = newPeriod;
}
double close = (double)row[ value.ColumnName ];
if ( close == -1 )
{
myLogger.Warning( "Ignoring invalid close price for: TradedStockId = {0}", stock.TradedStock.Id );
continue;
}
low = Math.Min( close, low );
high = Math.Max( close, high );
}
// we left the time scope but is there s.th. left to store?
if ( low != double.MaxValue && high != double.MinValue )
{
AddResult();
}
trans.Complete();
}
return Interpreter.Context.TomScripting.GetManager( intoHigh.Table.TableName ).Schema;
}
public static TableSchema HighLow(this IMslScript script, DataColumn value, TimeGrouping grouping, DataColumn intoHigh, DataColumn intoLow)
{
if (intoHigh == null)
{
TempTable.Create();
intoHigh = TempTable["high"];
}
if (intoLow == null)
{
TempTable.Create();
intoLow = TempTable["low"];
}
if (intoHigh.Table.TableName != intoLow.Table.TableName)
{
throw new Exception("High and low columns need to belong to the same table");
}
var inputTable = Interpreter.Context.TomScripting.GetManager(value.Table.TableName);
var outTable = Interpreter.Context.TomScripting.GetManager(intoHigh.Table.TableName);
var stock = Interpreter.Context.Scope.Stock;
var from = Interpreter.Context.Scope.From;
var to = Interpreter.Context.Scope.To;
using (TransactionScope trans = new TransactionScope())
{
long ownerId = stock.GetId(outTable.Schema.OwnerIdColumn);
var result = outTable.Query(ownerId);
ScopedTable inputData = inputTable.Query(ownerId, new DateClause(from, to), OriginClause.Default);
DateTime?currentPeriod = null;
DateTime?newPeriod = null;
double low = double.MaxValue;
double high = double.MinValue;
// helper Lambda which adds a found result to the result table
Action AddResult = delegate()
{
// handle no min, max could be determined
if (low == double.MaxValue)
{
myLogger.Warning("stock_price_low could not be determined for: TradedStockId = {0}", stock.TradedStock.Id);
low = -1;
}
if (high == double.MinValue)
{
myLogger.Warning("stock_price_high could not be determined for: TradedStockId = {0}", stock.TradedStock.Id);
high = -1;
}
DataRow outRow = result.NewRow();
outRow[result.Schema.OwnerIdColumn] = ownerId;
outRow.SetDate(result.Schema, currentPeriod.Value);
outRow[intoHigh.ColumnName] = high;
outRow[intoLow.ColumnName] = low;
result.AddOrUpdate(outRow, intoHigh.ColumnName, intoLow.ColumnName);
};
foreach (DataRow row in inputData.Rows.OrderBy(row => row[inputTable.Schema.DateColumn]))
{
DateTime date = row.GetDate(inputTable.Schema);
// convert the new period
if (grouping == TimeGrouping.Year)
{
newPeriod = Blade.DateTimeExtensions.FirstOfYear(date.Year);
}
else if (grouping == TimeGrouping.Month)
{
newPeriod = new DateTime(date.Year, date.Month, 1);
}
else
{
throw new InvalidOperationException("Unsupported time period definition: " + grouping);
}
// new period start detected other than the first one?
if (currentPeriod != newPeriod && currentPeriod != null)
{
AddResult();
// reset temp variables
currentPeriod = newPeriod;
high = double.MinValue;
low = double.MaxValue;
}
else if (currentPeriod == null)
{
// handle first period
currentPeriod = newPeriod;
}
double close = (double)row[value.ColumnName];
if (close == -1)
{
myLogger.Warning("Ignoring invalid close price for: TradedStockId = {0}", stock.TradedStock.Id);
continue;
}
low = Math.Min(close, low);
high = Math.Max(close, high);
}
// we left the time scope but is there s.th. left to store?
if (low != double.MaxValue && high != double.MinValue)
{
AddResult();
}
trans.Complete();
}
return(Interpreter.Context.TomScripting.GetManager(intoHigh.Table.TableName).Schema);
}
public static TableSchema HighLow( this IMslScript script, DataColumn value, TimeGrouping grouping )
{
return HighLow( script, value, grouping, null, null );
}
public static TableSchema HighLow(this IMslScript script, DataColumn value, TimeGrouping grouping)
{
return(HighLow(script, value, grouping, null, null));
}
