public void GetTradeDate_WhenTradeDateExists_ReturnsTradeDate()
{
// Arrange
DateTime date = new DateTime(2018, 12, 31);
Mock <ITradeDateRepository> tradeDateRepository = new Mock <ITradeDateRepository>();
TradeDate tradeDate = new TradeDate(new DateTime(2018, 12, 31), true, true, true);
tradeDateRepository.Setup(r => r.GetTradeDate(date))
.Returns(Maybe.Create <TradeDate>(tradeDate));
// Act
TradeDateService service = new TradeDateService(tradeDateRepository.Object);
var result = service.GetTradeDate(date);
// Assert
result.IsSuccess.Should().BeTrue();
result.Value.Should().Be(tradeDate);
}
public traderBean ToBean()
{
traderBean bean = new traderBean();
bean.ID = RecordNumber.ToString();
bean.DATA_NEGOCIO = TradeDate.ToString("yyyy-MM-dd");
bean.HORA_NEGOCIO = HoraNegocio;
bean.NR_NEGOCIO = TradeID;
bean.CODNEG = Papel;
bean.SERPAP = Serie;
bean.OPERACAO = Orientation;
bean.QTDADE = NumberOfContracts.ToString();
bean.PDENEG = Price.ToString(ciEn);
bean.FC_NOME = BuyerName;
bean.NM_EMIT_ORDEM = TraderName;
bean.MERCADO = SegmentoBolsa;
return(bean);
}
public InvestmentAccount LoadInvestmentAccount(String accountNumber, TradeDate tradeDate)
{
return(this.dbContext.Accounts
.Include(account => account.AccountType)
.Where(account => account.AccountNumber == accountNumber)
.Select(acct => new
{
Account = acct,
MarketValue = this.dbContext.AccountMarketValues
.Where(mv => mv.AccountNumber == acct.AccountNumber && mv.Date == tradeDate.Date)
.Sum(mv => mv.MarketValue)
}
).AsEnumerable()
.Select(x =>
{
x.Account.MarketValue = x.MarketValue;
return x.Account;
}).FirstOrDefault());
}
public IActionResult Get([FromQuery] DateTime?date)
{
TradeDate tradeDate = null;
if (date.HasValue)
{
var tradeDates = this.tradeDateRepository.LoadTradeDates();
tradeDate = tradeDates.FirstOrDefault(td => td.Date == date.Value);
if (tradeDate == null)
{
return(BadRequest($"The date {date:yyyy-mm-DD} is not a valid trade date"));
}
}
else
{
tradeDate = this.tradeDateRepository.GetLatestTradeDate();
}
var prices = this.pricesRepository.LoadSecurityPrices(tradeDate);
var results = prices.Select(p => new
{
symbol = p.Symbol,
name = p.Security.Name,
sector = p.Security.Sector,
industry = p.Security.Industry,
open = p.OpenPrice,
close = p.ClosePrice,
low = p.DailyLow,
high = p.DailyHigh,
change = p.Change,
changePercent = p.ChangePercent,
date = p.Date,
volume = p.Volume,
description = p.Security.Description
});
return(Ok(results));
}
internal Result <SecurityPrice> GetSecurityPrice(string ticker, TradeDate tradeDate)
{
Maybe <Security> security = _securityRepository.GetSecurity(ticker);
if (!security.HasValue)
{
return(Result.Failure <SecurityPrice>(new TickerNotFoundError(ticker)));
}
if (tradeDate.Date.Date < security.Value.FirstTradeDate.Date || tradeDate.Date.Date > security.Value.LastTradeDate)
{
return(Result.Failure <SecurityPrice>(new InvalidDateForTickerError(tradeDate, security.Value)));
}
var securityPrice = _securityPriceRepository.GetSecurityPrice(ticker, tradeDate);
return(securityPrice.Eval <Result <SecurityPrice> >(
value => Result.Success <SecurityPrice>(value),
() => Result.Failure <SecurityPrice>(new MissingDataError($"No data found for ticker {ticker} on trade date {tradeDate.Date}"))));
}
public List <SecurityPrice> LoadSecurityPrices(TradeDate date)
{
var sql = $"{SQL} WHERE p.TradeDate = @TradeDate";
using (IDbConnection con = this.GetConnection())
{
con.Open();
var data = con.Query <SecurityPrice, TradeDate, Security, SecurityType, SecurityPrice>(sql,
map: (p, d, s, t) =>
{
p.TradeDate = d;
s.SecurityType = t;
p.Security = s;
return(p);
},
splitOn: "Date, Ticker, SecurityTypeCode",
param: new { TradeDate = date });
return(data.ToList());
}
}
public async Task <StockIndexInfo> GetStockIndexPrice(String indexCode, TradeDate date)
{
String url = $"api/StockIndexPrices/{indexCode}?tradeDate={date.Date.ToString("yyyy-MM-dd")}";
var httpClient = httpClientFactory.CreateClient("StockIndexApi");
using (CustomTiming timing = MiniProfiler.Current.CustomTiming("http", String.Empty, "GET"))
{
var response = await httpClient.GetAsync(url);
timing.CommandString = $"URL : {url}\n\nRESPONSE CODE: {response.StatusCode}";
if (response.IsSuccessStatusCode)
{
return(await response.Content.ReadAsAsync <StockIndexInfo>());
}
else
{
return(await Task.FromResult <StockIndexInfo>(null));
}
}
}
public IEnumerable <InvestmentAccount> LoadInvestmentAccounts(TradeDate tradeDate)
{
//return this.dbContext.Accounts
// .Include(account => account.AccountType)
// .Include(account => account.Positions)
// .ThenInclude(position => position.Security)
// .Select(account => new
// {
// account,
// Positions = account.Positions
// .Where(p => p.Date == tradeDate.Date),
// MarketValue = account.Positions
// .Where(p => p.Date == tradeDate.Date)
// .Sum(p => p.MarketValue)
// })
// .AsEnumerable()
// .Select(x =>
// {
// x.account.Positions = x.Positions.ToList();
// x.account.MarketValue = x.MarketValue;
// return x.account;
// })
// .ToList();
return(this.dbContext.Accounts
.Include(account => account.AccountType)
.Select(acct => new
{
Account = acct,
MarketValue = this.dbContext.AccountMarketValues
.Where(mv => mv.AccountNumber == acct.AccountNumber && mv.Date == tradeDate.Date)
.Sum(mv => mv.MarketValue)
}
).AsEnumerable()
.Select(x =>
{
x.Account.MarketValue = x.MarketValue;
return x.Account;
}).ToList());
}
public TradeDate GetLatestTradeDate()
{
TradeDate tradeDate = null;
using (IDbConnection con = this.GetConnection())
{
con.Open();
using (IDbCommand cmd = con.CreateCommand())
{
cmd.CommandText = CURRENT_TRADE_DATE_SQL;
using (IDataReader reader = cmd.ExecuteReader())
{
while (reader.Read())
{
tradeDate = this.DecodeRow(reader);
}
}
}
}
return(tradeDate);
}
internal Result <List <SecurityPrice> > GetSecurityPrices(TradeDate tradeDate, IEnumerable <string> tickers)
{
// Validate the tickers are real. Either all the tickers are real and have data for this date or we
// return a failure (there is no partial success).
var securities = _securityRepository.GetSecurities(tickers);
var unknownTickers = tickers.Except(securities.Select(s => s.Ticker));
if (unknownTickers.Any())
{
return(Result.Failure <List <SecurityPrice> >(new TickerNotFoundError(unknownTickers)));
}
var invalidDateSecurities = securities.Where(s => tradeDate.Date <s.FirstTradeDate.Date || tradeDate.Date> s.LastTradeDate);
if (invalidDateSecurities.Any())
{
return(Result.Failure <List <SecurityPrice> >(new InvalidDateForTickerError(tradeDate, invalidDateSecurities)));
}
var securityPrices = _securityPriceRepository.GetSecurityPrices(tradeDate, tickers);
return(Result <List <SecurityPrice> > .Success(securityPrices));
}
public SecurityPrice DecodeRow(IDataReader reader)
{
var date = reader.GetDateTime(0);
var ticker = reader.GetString(1);
var openPrice = reader.GetDecimal(2);
var closePrice = reader.GetDecimal(3);
var dailyHigh = reader.GetDecimal(4);
var dailyLow = reader.GetDecimal(5);
var volume = reader.GetInt64(6);
var change = reader.GetDecimal(7);
var changePercent = reader.GetDecimal(8);
var isMonthEnd = reader.GetBoolean(9);
var isQuarterEnd = reader.GetBoolean(10);
var isYearEnd = reader.GetBoolean(11);
var securityTypeCode = reader.GetString(12);
var securityName = reader.GetString(13);
var exchange = reader.GetNullableString(14);
var description = reader.GetNullableString(15);
var ceo = reader.GetNullableString(16);
var sector = reader.GetString(17);
var industry = reader.GetNullableString(18);
var website = reader.GetNullableString(19);
var issueType = reader.GetNullableString(20);
var securityTypeName = reader.GetString(21);
TradeDate tradeDate = new TradeDate()
{
Date = date,
IsMonthEnd = isMonthEnd,
IsQuarterEnd = isQuarterEnd,
IsYearEnd = isYearEnd
};
SecurityType securityType = new SecurityType()
{
Code = securityTypeCode,
Name = securityTypeName
};
Security security = new Security()
{
Symbol = ticker,
SecurityType = securityType,
Name = securityName,
Exchange = exchange,
Description = description,
Ceo = ceo,
Sector = sector,
Industry = industry,
Website = website,
SecurityTypeCode = securityTypeCode
};
SecurityPrice securityPrice = new SecurityPrice()
{
Date = date,
TradeDate = tradeDate,
Symbol = ticker,
Security = security,
ClosePrice = closePrice,
OpenPrice = openPrice,
DailyHigh = dailyHigh,
DailyLow = dailyLow,
Volume = volume,
Change = change,
ChangePercent = changePercent
};
return(securityPrice);
}
public override int GetHashCode()
{
int hash = 1;
if (BrokerId.Length != 0)
{
hash ^= BrokerId.GetHashCode();
}
if (InvestorId.Length != 0)
{
hash ^= InvestorId.GetHashCode();
}
if (InstrumentId.Length != 0)
{
hash ^= InstrumentId.GetHashCode();
}
if (OrderRef.Length != 0)
{
hash ^= OrderRef.GetHashCode();
}
if (UserId.Length != 0)
{
hash ^= UserId.GetHashCode();
}
if (TradeId.Length != 0)
{
hash ^= TradeId.GetHashCode();
}
if (Direction != 0)
{
hash ^= Direction.GetHashCode();
}
if (OffsetFlag != 0)
{
hash ^= OffsetFlag.GetHashCode();
}
if (HedgeFlag != 0)
{
hash ^= HedgeFlag.GetHashCode();
}
if (Price != 0D)
{
hash ^= pbc::ProtobufEqualityComparers.BitwiseDoubleEqualityComparer.GetHashCode(Price);
}
if (Volume != 0)
{
hash ^= Volume.GetHashCode();
}
if (TradeDate.Length != 0)
{
hash ^= TradeDate.GetHashCode();
}
if (TradeTime.Length != 0)
{
hash ^= TradeTime.GetHashCode();
}
if (OrderLocalId.Length != 0)
{
hash ^= OrderLocalId.GetHashCode();
}
if (TradingDay.Length != 0)
{
hash ^= TradingDay.GetHashCode();
}
if (BrokerOrderSeq != 0)
{
hash ^= BrokerOrderSeq.GetHashCode();
}
if (_unknownFields != null)
{
hash ^= _unknownFields.GetHashCode();
}
return(hash);
}
/// <summary>
/// Gera um subset XML completo com as informacoes deste
/// </summary>
/// <returns></returns>
public string ToXML()
{
string response = "";
string xml = "<trade>";
xml += "<trade-date>" + TradeDate.ToString("yyyy-MM-dd") + "</trade-date>";
xml += "<trade-id>" + TradeID + "</trade-id>";
if ((DMASource != null && DMASource.Length > 0) &&
(DMATrade != null && DMATrade.Length > 0) &&
(DMATradeID != null && DMATradeID.Length > 0))
{
xml += "<dma>";
xml += "<dma-source>" + DMASource + "</dma-source>";
xml += "<dma-trader>" + DMATrade + "</dma-trader>";
xml += "<dma-trade-id>" + DMATradeID + "</dma-trade-id>";
xml += "</dma>";
}
//else
// xml += "<dma/>";
xml += "<record-type>" + RecordType + "</record-type>";
xml += "<product-id>" + ProductID + "</product-id>";
xml += "<market-id>" + MarketID + "</market-id>";
xml += "<serie>" + Serie + "</serie>";
xml += "<maturity-date>" + MaturityDate.ToString("yyyy-MM-dd") + "</maturity-date>";
xml += "<hedge-long-maturity>" + HedgeLongMaturity.ToString("yyyy-MM-dd") + "</hedge-long-maturity>";
xml += "<trade-timestamp>" + TradeTimestamp.ToString("yyyy-MM-ddTHH:mm:ss") + "</trade-timestamp>";
//xml += "<trade-timestamp>" + DateTime.Now.ToString("yyyy-MM-ddTHH:mm:ss") + "</trade-timestamp>";
xml += "<negotiation-channel>" + NegotiationChannel + "</negotiation-channel>";
xml += "<after-hours>" + AfterHours.ToString().ToLowerInvariant() + "</after-hours>";
xml += "<orientation>" + Orientation + "</orientation>";
xml += "<number-of-contracts>" + NumberOfContracts + "</number-of-contracts>";
xml += "<price>" + Price.ToString(ciEn) + "</price>";
if (OptionType != null && OptionType.Length > 0)
{
xml += "<option-type>" + OptionType + "</option-type>";
}
if (ValReference1 != 0)
{
xml += "<val-reference-1>" + ValReference1 + "</val-reference-1>";
}
if (ValReference2 != 0)
{
xml += "<val-reference-2>" + ValReference2 + "</val-reference-2>";
}
if (ValDelta != 0)
{
xml += "<val-delta>" + ValDelta + "</val-delta>";
}
response += xml;
if (TradeDetails.Count > 0)
{
xml = "<additional-details>";
foreach (TradeDetail detail in TradeDetails)
{
xml += detail.ToXML();
}
xml += "</additional-details>";
}
else
{
xml = "<additional-details/>";
}
response += xml;
xml = "<buyer>";
xml += "<buyer-code>{0}</buyer-code>";
xml += "<buyer-name>{1}</buyer-name>";
xml += "</buyer>";
xml += "<broker>";
xml += "<broker-code>{2}</broker-code>";
xml += "<broker-name>{3}</broker-name>";
xml += "</broker>";
xml += "<seller>";
xml += "<seller-code>{4}</seller-code>";
xml += "<seller-name>{5}</seller-name>";
xml += "</seller>";
xml += "<trader>";
xml += "<trader-code>{6}</trader-code>";
xml += "<trader-name>{7}</trader-name>";
xml += "</trader>";
response += string.Format(xml,
BuyerCode,
BuyerName,
BrokerCode,
BrokerName,
SellerCode,
SellerName,
TraderCode,
TraderName);
response += "</trade>";
return(response);
}
private void FormInit()
{
this.esiTitle.Text = $@"{TradeDate.Split(' ')[0]} [{AccountInfo}] - [{StockCode} - {StockName}] （总金额：{ActualAmount}）";
this.gridView1.SetLayout(showAutoFilterRow: false, showCheckBoxRowSelect: true, editable: false, readOnly: true, rowIndicatorWidth: 30);
this.btnOk.Enabled = false;
}
