// ************************************************************
// CONSTRUCTORS
// ************************************************************
#region
// Constructor 1 : Full fledged
public BloombergFetcher(DBID Dbid,
string Ticker,
Dictionary <string, string> FieldNames,
DateTime StartDate,
DateTime EndDate,
Dictionary <String, Double> Scaling,
List <string> OverrideFields,
List <string> OverrideValues,
E_PRICING_OPTION PricingOption = E_PRICING_OPTION.PRICING_OPTION_PRICE,
E_PERIODICITY_SELECTION PeriodicitySelection = E_PERIODICITY_SELECTION.DAILY,
E_PERIODICITY_ADJUSTMENT PeriodicityAdjustment = E_PERIODICITY_ADJUSTMENT.ACTUAL,
E_NON_TRADING_DAY_FILL_OPTION NonTradingDayFillOption = E_NON_TRADING_DAY_FILL_OPTION.ACTIVE_DAYS_ONLY,
E_NON_TRADING_DAY_FILL_METHOD NonTradingDayFillMethod = E_NON_TRADING_DAY_FILL_METHOD.PREVIOUS_VALUE,
string OverrideCurrency = "")
{
// Set the DBID for the security
_dbid = Dbid;
// Set the security tickers
_bloombergTicker = Ticker;
// Set the fields to be queried
_fieldNames = FieldNames;
// Set the start date of time series
_fromDate = StartDate;
// Set the start date time series
_toDate = EndDate;
// Set the scaling to be applied
_scaling = Scaling;
// Set the override fields
overrideFields = OverrideFields;
// Set the override values
overrideValues = OverrideValues;
// Set the pricing option (price or yield)
Option_PricingOption = PricingOption;
// Set the periodicity (daily, weekly, monthly...)
Option_PeriodicitySelection = PeriodicitySelection;
// Set the periodicity adjustment (actual, calendar, fiscal)
Option_PeriodicityAdjustement = PeriodicityAdjustment;
// Set the NA fill option
Option_NonTradingDayFillOption = NonTradingDayFillOption;
// Set the NA fill method (previous data, etc.)
Option_NonTradingDayFillMethod = NonTradingDayFillMethod;
// Override the currency (do not use)
Option_OverrideCurrency = OverrideCurrency;
// Tell base which request type we're instaciating
requestType = REQUEST_TYPE_HISTORICAL;
}
public bool Equals(TezDatabaseGameItem other)
{
if (object.ReferenceEquals(other, null))
{
return(false);
}
return(DBID.Equals(other.DBID));
}
public virtual void close()
{
DBID.close();
DBID = null;
this.category = null;
this.NID = null;
this.CID = null;
this.TAGS = null;
}
public override void Serialize <TDoc, TCursor>(IO.TagElementStream <TDoc, TCursor, string> s)
{
base.Serialize(s);
if (!s.StreamAttributeOpt("name", ref Name, Predicates.IsNotNullOrEmpty) &&
s.IsReading)
{
Name = string.Format("Condition{0}", DBID.ToString());
}
s.StreamableElements("Param", Parameters);
}
// Constructor 3 : Ticker, Fields, Start and End dates, Periodicity
public BloombergFetcher(DBID Dbid, string Ticker, Dictionary <string, string> FieldNames, DateTime StartDate, DateTime EndDate, Dictionary <String, Double> Scaling, E_PERIODICITY_SELECTION PeriodicitySelection)
: this(Dbid : Dbid, Ticker : Ticker, FieldNames : FieldNames, StartDate : StartDate, EndDate : EndDate, Scaling : Scaling,
OverrideFields : new List <string>(),
OverrideValues : new List <string>(),
PricingOption : E_PRICING_OPTION.PRICING_OPTION_PRICE,
PeriodicitySelection : PeriodicitySelection, // --------- >> difference from Constructor 2
PeriodicityAdjustment : E_PERIODICITY_ADJUSTMENT.ACTUAL,
NonTradingDayFillOption : E_NON_TRADING_DAY_FILL_OPTION.ALL_CALENDAR_DAYS,
NonTradingDayFillMethod : E_NON_TRADING_DAY_FILL_METHOD.PREVIOUS_VALUE,
OverrideCurrency : "")
{
}
/// <summary>
/// Retrieves the reference data for a given DBID (well-defined problem).
/// </summary>
/// <typeparam name="T"></typeparam>
/// <param name="TableName"></param>
/// <param name="inputTicker"></param>
/// <param name="fieldNames"></param>
/// <param name="startDate"></param>
/// <param name="endDate"></param>
/// <returns></returns>
public IDtoken Reference(DBID DBID)
{
string table = myDB.Reference.ToString();
// Build mySQL Select string
string mySQLSelect = "SELECT * from " + table + " where DBID = " + DBID.ToInt();
// Connect and Request
using (var connection = new MySqlConnection(connectionString))
{
List <IDtoken> sqlResults = (List <IDtoken>)connection.Query <IDtoken>(mySQLSelect);
return(sqlResults.FirstOrDefault());
}
}
public override void Serialize <TDoc, TCursor>(IO.TagElementStream <TDoc, TCursor, string> s)
{
base.Serialize(s);
var db = (MegaloScriptDatabase)s.Owner;
if (!s.StreamAttributeOpt("name", ref Name, Predicates.IsNotNullOrEmpty) &&
s.IsReading)
{
Name = string.Format("Action{0}", DBID.ToString());
}
if (db.SerializeProtoActionReference(s, "template", ref Template) && Template == null)
{
throw new System.IO.InvalidDataException(string.Format(
"Action '{0}' references undefined proto action {1}", Name, Template));
}
s.StreamAttributeEnumOpt("flags", ref Flags, f => f != 0);
Parameters.Serialize(s);
}
/// <summary>
/// Select data from a table in the "myDB" schema..
/// </summary>
/// <typeparam name="T"></typeparam>
/// <param name="DBID"></param>
/// <param name="fieldNames"></param>
/// <param name="startDate"></param>
/// <param name="endDate"></param>
/// <returns></returns>
public List <T> Select <T>(DBID DBID, List <string> fieldNames, DateTime startDate, DateTime endDate) where T : IGenericDatabaseLine
{
// Determine type of <T> and create instance
var type = typeof(T);
var Tobj = (T)Activator.CreateInstance(type);
// Identify table to be addressed
string table = Tobj.GetTable();
//Check dates
DateTime myStartDate = (startDate == DateTime.MinValue) ? myStartDate = new DateTime(2013, 12, 31) : myStartDate = startDate;
DateTime myEndDate = (startDate == DateTime.MinValue) ? myEndDate = DateTime.Today : myEndDate = endDate;
// Check fields
if (fieldNames.Count == 0)
{
fieldNames = new List <string>()
{
"*"
};
}
// Build string with columns to select
string columnsForSQL = this.joinString(fieldNames, " ,", false);
// Build string with start date
string startDateForRequest = this.buildDateString(myStartDate);
// Build string with end date
string endDateForRequest = this.buildDateString(myEndDate);
// Build mySQL Select string
string mySQLSelect = "SELECT " + columnsForSQL + " from " + table + " where DBID = '" + (uint)DBID.ToInt() + "' and Date >= " + startDateForRequest + " and Date <= " + endDateForRequest + " ORDER BY Date;";
// Connect and Request
using (var connection = new MySqlConnection(connectionString))
{
var sqlResults = (List <T>)connection.Query <T>(mySQLSelect);
return((List <T>)sqlResults);
}
}
// Full fledged
public EquityIndexStrangleStrategy(DateTime valuationDate, MarkitEquityUnderlying underlying, int numberStrangles,
Period spacing, Calendar calendar, DBID callStrikeDBID, DBID putStrikeDBID, DBID underlyingDBID, Dictionary <int, DBID> strangleMtM_DBID)
{
// Set the date
this.valuationDate = valuationDate;
// Set the underlying
_underlying = underlying;
// Set the strategy properties
_numberStrangles = numberStrangles;
_spacing = spacing;
_calendar = calendar;
// Set the identification (to locate data in the DB)
_callStrikeID = callStrikeDBID;
_putStrikeID = putStrikeDBID;
_underlyingID = underlyingDBID;
strangleMTM_Tokens = strangleMtM_DBID;
}
// ************************************************************
// OUTPUT METHODS
// ************************************************************
/*
* public List<InterestRate_Line> ToList(DBID dbid)
* {
*
* // Instanciate a new line
* InterestRate_Line myLine = new InterestRate_Line();
*
* // Identify table to be addressed
* List<string> fields = myLine.GetDataFields();
*
* // Output container
* List<InterestRate_Line> output = new List<InterestRate_Line>();
*
* // Loop around lines
* foreach(KeyValuePair<DateTime, myElement> item in data)
* {
* output.Add(new InterestRate_Line(item.Key, dbid, item.Value.data));
* }
*
* // Return
* return output;
*
* }
*/
public List <T> ToList <T>(DBID dbid) where T : GenericDatabaseLine
{
// Determine type of <T> and create instance
var type = typeof(T);
T Tobj = (T)Activator.CreateInstance(type);
// Identify table to be addressed
List <string> fields = Tobj.GetDataFields();
// Output container
List <T> output = new List <T>();
// Loop around lines
foreach (KeyValuePair <DateTime, myElement> item in data)
{
T myLine = (T)Activator.CreateInstance(type, item.Key, dbid, item.Value.data);
output.Add(myLine);
}
// Return
return(output);
}
protected List <T> Fetch_Bloomberg <T>(DBID dbid_, String externalID_, Dictionary <String, String> Fields,
DateTime startDate_, DateTime endDate_, Dictionary <String, Double> scaling_) where T : GenericDatabaseLine
{
Dictionary <string, double> Scaling = new Dictionary <string, double>()
{
{ "Open", 1.0 },
{ "High", 1.0 },
{ "Low", 1.0 },
{ "Close", 1.0 },
{ "Volume", 1.0 },
{ "Bid", 1.0 },
{ "Ask", 1.0 },
{ "AdjustedClose", 1.0 }
};
Dictionary <string, string> BloombergDict = new Dictionary <string, string>
{
{ "Bid", "PX_BID" }, // Modifie de BID à PX_BID ... même chose pour l'ask
{ "Ask", "PX_ASK" },
{ "Open", "PX_OPEN" },
{ "High", "PX_HIGH" },
{ "Low", "PX_LOW" },
{ "Close", "PX_LAST" },
{ "Volume", "VOLUME" },
{ "AdjustedClose", "" }
};
// Fetch
var myBbergFetcher = new BloombergFetcher <T>(dbid_, externalID_, Fields, startDate_, endDate_, scaling_);
//var myBbergFetcher = new BloombergFetcher<T>(dbid_, externalID_, BloombergDict, startDate_, endDate_, Scaling);
// Return
return(myBbergFetcher.Fetch());
}
/// <summary>
/// Checks for equality of card data
/// </summary>
/// <param name="other">The other card</param>
/// <returns>true if and only if the database IDs match</returns>
public bool Equals(CardData other)
{
return(DBID.Equals(other.DBID));
}
public override int GetHashCode()
{
return(DBID.GetHashCode());
}
// ************************************************************
// CONSTRUCTOR
// ************************************************************
#region Constuctors
// Generic
//public EquityIndexStrangleStrategy() { }
// No Date
public EquityIndexStrangleStrategy(MarkitEquityUnderlying underlying, int numberStrangles, Period spacing,
Calendar calendar, DBID callStrikeDBID, DBID putStrikeDBID, DBID underlyingDBID, Dictionary <int, DBID> strangleMtM_DBID)
: this(new DateTime(), underlying, numberStrangles, spacing, calendar, callStrikeDBID, putStrikeDBID, underlyingDBID, strangleMtM_DBID)
{
}
