public TaskResultData(IBDTaskInstruction Instruction, bool HasData = false, object DataObject = null)
{
this.Instruction = Instruction;
this.HasData = HasData;
this.Data = DataObject;
this.Metadata = new Dictionary <string, object>();
}
public async System.Threading.Tasks.Task RetrieveEquityData(IBDTaskInstruction optionInstruction)
{
if (_equityDataCache.Count == 0)
{
if (!await this.LookupDerivative(optionInstruction))
{
//right now, this is fatal
throw new Exception("Failed to find derivative!");
}
var underlying = (Contract)optionInstruction.metadata[IBDMetadataType.underlying];
var downloadTask = new DownloadHistoricalData(_TaskHandler);
var ins = new IBDTaskInstruction()
{
contract = underlying, parameters = optionInstruction.parameters.Clone()
}; //clone parameters so we get same settings (barSize etc)
ins.parameters["StartDate"] = optionInstruction.GetParameter("StartDate").ParseElse(DateTime.Now.AddMonths(-6)).ToString();
var result = await downloadTask.ExecuteAsync(ins);
if (!result.HasData) //right now this is fatal
{
throw new Exception("No data found for underlying!");
}
foreach (var quote in (List <HistoricalDataMessage>)result.Data)
{
var quoteDate = (DateTime)Framework.ParseDateTz(quote.Date);
_equityDataCache[quoteDate] = quote;
}
}
optionInstruction.metadata[IBDMetadataType.underlyingData] = _equityDataCache;
}
public static TaskResultData Failure(IBDTaskInstruction Instruction, string Message = null)
{
if (!string.IsNullOrEmpty(Message))
{
Framework.LogError("[{0}] Task failed: {1}", Instruction.taskType, Message);
}
return(new TaskResultData(Instruction, false));
}
public async System.Threading.Tasks.Task <DateTime> GetStartDate(IBDTaskInstruction Instruction)
{
DateTime startDate = Instruction.GetParameter("StartDate").ParseElse(DateTime.MinValue);
if (startDate == DateTime.MinValue)
{
startDate = await _Controller.HistoricalDataManager.GetEarliestDataTime(Instruction.contract);
}
startDate = startDate.StartOfDay();
return(startDate);
}
public async void ImportCsvData()
{
var controller = new IBController();
Assert.True(controller.Connect(), "Connection setup failed!");
var taskHandler = new IBDTaskHandler(controller);
var instruction = new IBDTaskInstruction("ImportCsv");
instruction.parameters["FilePathName"] = "/Users/jason/Downloads/cboe";
taskHandler.AddTask(instruction);
ElasticsearchStorage es = new ElasticsearchStorage(new DataStorage.Processors.StockOptionQuoteProcessor());
taskHandler.OnTaskResult += es.ProcessTaskResult;
await taskHandler.BeginAsync();
await es.FlushAsync();
}
public override async System.Threading.Tasks.Task ExecuteMultiAsync(IBDTaskInstruction Instruction, Action <TaskResultData> OnTaskResult)
{
List <string> files = new List <string>();
var filePathName = Instruction.GetParameter("FilePathName");
if (Directory.Exists(filePathName))
{
//is dir
var tmpFiles = Directory.GetFiles(filePathName);
foreach (string fileName in tmpFiles)
{
if (fileName.EndsWith("csv", StringComparison.InvariantCulture) ||
fileName.EndsWith("zip", StringComparison.InvariantCulture))
{
files.Add(fileName);
}
}
files.Sort();
}
else if (File.Exists(filePathName))
{
//is file
files.Add(filePathName);
}
else
{
this.LogWarn("No files found in specified location!");
return;
}
foreach (string file in files)
{
await ProcessFileAsync(Instruction, file, OnTaskResult);
}
}
public async System.Threading.Tasks.Task <bool> LookupDerivative(IBDTaskInstruction Instruction)
{
var selectedContracts = await _Controller.ContractManager.GetContractDetails(Instruction.contract);
if (selectedContracts.Count < 1)
{
return(false);
}
//reset to full derivative contract definition
Instruction.contract = selectedContracts[0].Summary;
int underlyingConId = selectedContracts[0].UnderConId;
//lookup underlying
var underlying = await _Controller.ContractManager.GetContract(underlyingConId, string.Empty); //TODO: empty exchange may not always work
if (underlying == null)
{
return(false);
}
Instruction.metadata[IBDMetadataType.underlying] = underlying;
return(true);
}
public async void GenerateOptionHistoricalDataTasks()
{
var controller = new IBController();
Assert.True(controller.Connect(), "Connection setup failed!");
var taskHandler = new IBDTaskHandler(controller);
var instruction = new IBDTaskInstruction("BuildOptionDownloadTasks")
{
Symbol = "VIX", SecType = "OPT"
};
instruction.parameters["filter.expirytype"] = OptionChain.Expiration.Type.any.ToString();
taskHandler.AddTask(instruction);
var storage = new JSONFile();
taskHandler.OnTaskResult += storage.ProcessTaskResult;
await taskHandler.BeginAsync();
await storage.FlushAsync();
}
public override async System.Threading.Tasks.Task <TaskResultData> ExecuteAsync(IBDTaskInstruction instruction)
{
Managers.BarSize barSize = instruction.GetParameter("BarSize").ParseElse(Managers.BarSize.M15);
var selectedContracts = await _Controller.ContractManager.GetContractDetails(instruction.contract);
if (selectedContracts.Count < 1)
{
return(TaskResultData.Failure(instruction, "No matching contracts found!"));
}
DateTime earliestDate = await GetStartDate(instruction);
TimeSpan duration = DateTime.Now.EndOfDay().AddDays(1) - earliestDate;
this.Log("Fetching data for {0} starting from {1}", instruction.ConId, earliestDate);
List <HistoricalDataMessage> bars = new List <HistoricalDataMessage>();
if (duration.TotalDays > 0)
{
int days = (int)duration.TotalDays;
for (var i = 1; i <= days; i++)
{
//we can safely download up to 30 days at a time
int pageSize = (days - i) + 1;
if (pageSize > 30)
{
pageSize = 30;
}
i += pageSize - 1;
var data = await _Controller.HistoricalDataManager.GetHistoricalData(
instruction.contract,
earliestDate.AddDays(i),
barSize,
pageSize,
Managers.HistoricalDataType.TRADES,
true);
this.Log("Downloaded {0} bars.", data.Count);
bars.AddRange(data);
}
}
return(new TaskResultData(instruction, bars.Count > 0, bars));
}
public virtual System.Threading.Tasks.Task ExecuteMultiAsync(IBDTaskInstruction Instruction, Action <TaskResultData> OnTaskResult)
{
throw new NotImplementedException("Check if IsMulti flag is set according to implemented Execute method!");
}
public override async System.Threading.Tasks.Task <TaskResultData> ExecuteAsync(IBDTaskInstruction instruction)
{
//
var accSummary = await _Controller.AccountManager.GetAccountSummary();
accSummary.All((i) =>
{
Framework.Log("\n{0}=", i.Tag);
Framework.DebugPrint(i);
return(true);
});
//
List <Contract> contracts = await _Controller.ContractManager.GetContracts(Managers.SecurityType.STK, "SPY");
var contract = contracts.First();
//
List <ContractDetails> details = await _Controller.ContractManager.GetContractDetails(contract);
Framework.Log("CONTRACT INFO");
details.All((i) =>
{
Framework.Log(i.LongName);
return(true);
});
//
var data = await _Controller.HistoricalDataManager.GetHistoricalData(contract, DateTime.Now, Managers.BarSize.M15);
data.All((bar) =>
{
Framework.Log("{0} close={1}", bar.Date, bar.Close);
return(true);
});
//
var optionChain = await _Controller.OptionManager.GetOptionChain(contract);
optionChain.Expirations.All((optionExpiry) =>
{
Framework.Log("{0}\t PUTS={1}\t CALLS={2}", optionExpiry.Key.ToShortDateString(), optionExpiry.Value.Puts.Count, optionExpiry.Value.Calls.Count);
return(true);
});
return(new TaskResultData(instruction, true, accSummary));
}
protected async System.Threading.Tasks.Task ProcessFileAsync(IBDTaskInstruction Instruction, string CurrentFile, Action <TaskResultData> OnTakResult)
{
IBApi.Contract underlyingContract = null;
Dictionary <string, List <CboeCsvRecord> > fileOptionQuotes = new Dictionary <string, List <CboeCsvRecord> >();
ZipArchive zipFile = null;
Stream stream;
if (CurrentFile.EndsWith("zip", StringComparison.InvariantCulture))
{
//TODO: support more than 1 file per archive
zipFile = ZipFile.OpenRead(CurrentFile);
stream = zipFile.Entries[0].Open();
}
else
{
stream = File.OpenRead(CurrentFile);
}
this.Log("Processing {0}...", CurrentFile);
using (stream)
{
StreamReader fileStream = new StreamReader(stream);
CsvReader reader = new CsvReader(fileStream);
foreach (var record in reader.GetRecords <CboeCsvRecord>())
{
if (underlyingContract == null)
{
underlyingContract = record.AsUnderlyingContract();
}
else if (underlyingContract.Symbol != record.AsUnderlyingContract().Symbol)
{
throw new Exception("Task does not support data with multiple underlying contracts!");
}
string optionLocalSymbol = record.AsOptionContract().LocalSymbol;
if (!fileOptionQuotes.ContainsKey(optionLocalSymbol))
{
fileOptionQuotes[optionLocalSymbol] = new List <CboeCsvRecord>();
}
fileOptionQuotes[optionLocalSymbol].Add(record);
}
}
if (zipFile != null)
{
zipFile.Dispose();
}
//grouped by option symbol/contract
foreach (var optionQuoteSet in fileOptionQuotes)
{
var underlyingQuotes = new Dictionary <DateTime, HistoricalDataMessage>();
var optionQuotes = new List <HistoricalDataMessage>();
foreach (CboeCsvRecord quote in optionQuoteSet.Value)
{
optionQuotes.Add(quote.AsOptionQuote());
var underlyingQuote = quote.AsUnderlyingQuote();
underlyingQuotes[underlyingQuote.Date.ParseElse <DateTime>(DateTime.Now)] = underlyingQuote;
}
var ins = new IBDTaskInstruction()
{
contract = optionQuoteSet.Value[0].AsOptionContract(), parameters = Instruction.parameters.Clone()
}; //clone parameters so we get same settings (barSize etc)
ins.metadata[IBDMetadataType.underlying] = underlyingContract;
ins.metadata[IBDMetadataType.underlyingData] = underlyingQuotes;
var taskResult = new TaskResultData(ins, true, optionQuotes);
//fire event with this task result
OnTakResult(taskResult);
//give storage a second to keep up
await System.Threading.Tasks.Task.Delay(10);
}
}
public override async System.Threading.Tasks.Task <TaskResultData> ExecuteAsync(IBDTaskInstruction instruction)
{
//First, make sure we have the underlying symbol's data
await RetrieveEquityData(instruction);
//then, follow instruction to download option
return(await base.ExecuteAsync(instruction));
}
public override async System.Threading.Tasks.Task <TaskResultData> ExecuteAsync(IBDTaskInstruction instruction)
{
var optionList = await base.ExecuteAsync(instruction);
if (!optionList.HasData)
{
return(TaskResultData.Failure(instruction, "No option contracts!"));
}
List <IBDTaskInstruction> instructionSet = new List <IBDTaskInstruction>();
foreach (var optionContractId in (IEnumerable <int>)optionList.Data)
{
instructionSet.Add(new IBDTaskInstruction("DownloadStockAndOptionHistoricalData")
{
ConId = optionContractId
});
}
return(new TaskResultData(instruction, true, instructionSet));
}
public override async System.Threading.Tasks.Task <TaskResultData> ExecuteAsync(IBDTaskInstruction Instruction)
{
List <string> files = new List <string>();
string idField = Instruction.GetParameter("IDField");
string dateField = Instruction.GetParameter("DateField");
var filePathName = Instruction.GetParameter("FilePathName");
if (Directory.Exists(filePathName))
{
//is dir
var tmpFiles = Directory.GetFiles(filePathName);
foreach (string fileName in tmpFiles)
{
if (fileName.EndsWith("json", StringComparison.InvariantCulture))
{
files.Add(fileName);
}
}
files.Sort();
}
else if (File.Exists(filePathName))
{
//is file
files.Add(filePathName);
}
else
{
return(TaskResultData.Failure(Instruction, "No files found in specified location!"));
}
this.Log("Reading {0} using id={1} and date={2}...", filePathName, idField, dateField);
List <IDataRow> allRows = new List <IDataRow>();
//var results = System.Threading.Tasks.Task.TaskResultData();
foreach (string file in files)
{
allRows.AddRange(ProcessFile(file, idField, dateField));
await System.Threading.Tasks.Task.Delay(1);
}
return(new TaskResultData(Instruction, true, allRows));
}
public override async System.Threading.Tasks.Task <TaskResultData> ExecuteAsync(IBDTaskInstruction instruction)
{
double limitStrikeHigh = double.MaxValue;
double limitStrikeLow = double.MinValue;
if (instruction.GetParameter("filter.range").ParseElse <double>(0) > 0)
{
//get the high-low during the past 6mos so we can filter down the option chain
var highLow = await _Controller.HistoricalDataManager.GetPriceRange(instruction.contract, 6);
double rangeDev = (highLow.Item1 - highLow.Item2) * instruction.GetParameter("filter.range").ParseElse <double>(0.3); // +/- 30%
limitStrikeHigh = highLow.Item1 + rangeDev;
limitStrikeLow = highLow.Item2 - rangeDev;
this.Log("Filtering to strikes between {0} and {1}", limitStrikeLow, limitStrikeHigh);
}
OptionChain.Expiration.Type expType = instruction.GetParameter("filter.expirytype").ParseElse(OptionChain.Expiration.Type.monthly);
if (expType != OptionChain.Expiration.Type.any)
{
this.Log("Filtering to {0}s", expType);
}
int limitExpiries = instruction.GetParameter("filter.expiries").ParseElse(3);
if (limitExpiries > 0)
{
this.Log("Filtering to {0} expiries ahead", limitExpiries);
}
var optionChain = await _Controller.OptionManager.GetOptionChain(instruction.contract);
int expiryCounter = 0;
List <int> flatContractIdList = new List <int>();
optionChain.Expirations.All((expiration) =>
{
if (limitExpiries > 0 && expiryCounter > limitExpiries)
{
return(true);
}
if (expType != OptionChain.Expiration.Type.any &&
expiration.Value.ExpType != expType)
{
return(true);
}
expiryCounter++;
expiration.Value.Puts.All((contract) =>
{
if (contract.Value.Strike >= limitStrikeLow &&
contract.Value.Strike <= limitStrikeHigh)
{
flatContractIdList.Add(contract.Value.ConId);
}
return(true);
});
expiration.Value.Calls.All((contract) =>
{
if (contract.Value.Strike >= limitStrikeLow &&
contract.Value.Strike <= limitStrikeHigh)
{
flatContractIdList.Add(contract.Value.ConId);
}
return(true);
});
return(true);
});
this.Log("Returning {0} option contracts.", flatContractIdList.Count);
return(new TaskResultData(instruction, flatContractIdList.Count > 0, flatContractIdList));
}