private string DownloadFileDaily(StockDefinition stockDefinition)
{
string res = _dataFileDownloader.InitializeDownload(stockDefinition, DataPumpDownloadRange.Daily);
_dataFileDownloader.WaitForDownload(res);
return(res);
}
public DateTime GetNearestTickGETicksBefore(StockDefinition stockDef, StockDataRange dataRange, int intradayInterval, DateTime ts, int ticksBefore)
{
DateTime res = DateTime.MinValue;
string qry =
"select min(ts), count(*) " +
"from " +
"( " +
"select tsWindow.ts " +
"from " +
"( " +
"select min(ts) as \"mints\" " +
$"from {_tblSelector.GetTableName(stockDef.Type, dataRange, intradayInterval)} " +
$"where fk_id_spolki = {stockDef.ID} " +
$"and ts >= {ts.ToTimestampQueryValue()} " +
$") tsNearest, {_tblSelector.GetTableName(stockDef.Type, dataRange, intradayInterval)} tsWindow " +
$"where tsWindow.fk_id_spolki = {stockDef.ID} and tsWindow.ts < tsNearest.mints " +
"order by tsWindow.ts desc " +
$"limit {ticksBefore} " +
") t";
ProcessSelectQuery(qry, (reader) =>
{
reader.Read();
if ((!reader.IsDBNull(0)) && (reader.GetFieldValue <int>(1) == ticksBefore))
{
res = reader.GetFieldValue <DateTime>(0);
}
});
return(res);
}
private void ProcessFileDaily(string fileName, StockDefinition stockDefinition)
{
DataPumpStockData data = new DataPumpStockData();
_stockDataToDBWriter.StartSession();
try
{
_dataFileIterator.Open(fileName);
try
{
if (!_dataFileIterator.SetOnLineAfterTS(_dataPumpProvider.GetMaxTS(stockDefinition, StockDataRange.Daily, 0)))
{
return;
}
while (!_dataFileIterator.Eof())
{
string currLine = _dataFileIterator.ReadLine();
_lineToStockData.Map(currLine, _dataFileIterator.PreviousLine(), data);
_stockDataToDBWriter.WriteDaily(data, stockDefinition);
}
}
finally
{
_dataFileIterator.Close();
}
} finally
{
_stockDataToDBWriter.EndSession();
}
}
public void InitializeDownload_Ticks__ThrowsNotImplemented()
{
StockDefinition stock = new StockDefinition()
{
ID = 793, Type = StockType.NBPCurrency, FullName = "USD"
};
Should.Throw <NotImplementedException>(() => TestObj.InitializeDownload(stock, DataPumpDownloadRange.Ticks));
}
public static void ToStockDefinition(NpgsqlDataReader reader, StockDefinition data)
{
data.ID = reader.GetFieldValue <int>(reader.GetOrdinal("id"));
data.Type = (StockType)reader.GetFieldValue <int>(reader.GetOrdinal("stock_type"));
data.Enabled = reader.GetFieldValue <bool>(reader.GetOrdinal("enabled"));
data.FullName = reader.GetFieldValue <string>(reader.GetOrdinal("stock_fullname"));
data.Name = reader.GetFieldValue <string>(reader.GetOrdinal("stock_name"));
data.FileNameDaily = reader.GetFieldValue <string>(reader.GetOrdinal("filename_daily"));
}
public void Prepare_Daily__PreparesPath()
{
StockDefinition stock = new StockDefinition()
{
ID = 1, Type = StockType.Stock, FullName = "teststock"
};
TestObj.Prepare(stock, DataPumpDownloadRange.Daily).ShouldBe(_rootPath + "\\" + "mstall.zip");
}
public void Prepare_Ticks__ThrowsNotImplemented()
{
StockDefinition stock = new StockDefinition()
{
ID = 1, Type = StockType.Stock, FullName = "teststock"
};
Should.Throw <NotImplementedException>(() => TestObj.Prepare(stock, DataPumpDownloadRange.Ticks));
}
public void Prepare_Daily__PreparesPath()
{
StockDefinition stock = new StockDefinition()
{
ID = 1, Type = StockType.Stock, FullName = "teststock"
};
CheckPreparedPathDaily(TestObj.Prepare(stock, DataPumpDownloadRange.Daily), stock);
}
public async Task <ActionResult <decimal> > GetStockValue(string ticker)
{
StockDefinition stock = await _context.StockDefinitions.FindAsync(ticker);
if (stock == null)
{
return(NotFound($"Could not find ticker {ticker}"));
}
return(stock.Current_Value);
}
private void CheckOpenedPosition(Position pos, StockDefinition stock, PositionDir dir, float open, float vol, float commission, DateTime ts, StockDataRange range, int interval)
{
pos.Stock.ShouldBe(stock);
pos.Direction.ShouldBe(dir);
pos.TSOpen.ShouldBe(ts);
pos.Open.ShouldBe(open);
pos.OpenCommission.ShouldBe(commission);
pos.Volume.ShouldBe(vol);
pos.DataRange.ShouldBe(range);
pos.IntradayInterval.ShouldBe(interval);
pos.EntrySignal.ShouldBe(EntrySignal);
}
public string Prepare(StockDefinition stockDefinition, DataPumpDownloadRange downloadRange)
{
switch (downloadRange)
{
case DataPumpDownloadRange.Daily:
return(GetPathDaily(stockDefinition));
case DataPumpDownloadRange.Ticks:
return(GetPathTicks(stockDefinition));
}
return("");
}
private void GenerateData(StockDefinition stockDefinition, StockDataRange generateRange, string dataRange)
{
DateTime tsFrom = _provider.GetMaxTS(stockDefinition, generateRange, 0);
string destTable = _provider.GetTableName(stockDefinition.Type, generateRange, 0);
string srcTable = _provider.GetTableName(stockDefinition.Type, StockDataRange.Daily, 0);
if (tsFrom != DateTime.MinValue)
{
DeleteLastTSRow(stockDefinition.ID, destTable, tsFrom);
}
InsertAllRows(stockDefinition.ID, destTable, srcTable, dataRange, tsFrom);
}
public string InitializeDownload(StockDefinition stockDefinition, DataPumpDownloadRange downloadRange)
{
string downloadFilePath = GetDownloadFilePath(stockDefinition, downloadRange);
string unzipPath = GetUnzipPath(downloadFilePath);
string downloadUrl = GetDownloadUrl(stockDefinition, downloadRange);
if (!AlreadyDownloaded(downloadUrl))
{
DownloadAndProcess(downloadUrl, downloadFilePath, unzipPath);
}
return(downloadFilePath);
}
private bool GetStockDefinition(string stockName, out StockDefinition stockDef)
{
stockDef = null;
try
{
stockDef = _dataProvider.GetStockDefinition(stockName);
return(true);
} catch (Exception e)
{
_msgDisplay.Error(e.Message);
return(false);
}
}
public void GetStockDefinition_ExistingName__GetsData()
{
StockDefinition data = TestObj.GetStockDefinition("TRITON");
data.ID.ShouldBe(1);
data.FullName.ShouldBe("TRITON");
data.Type.ShouldBe(StockType.Stock);
data = TestObj.GetStockDefinition(STOCKNAME_WIG);
data.ID.ShouldBe(STOCKID_WIG);
data.FullName.ShouldBe(STOCKNAME_WIG);
data.Type.ShouldBe(StockType.Index);
}
public void InitializeDownload_Daily__DownloadsAndUnzipsFile()
{
StockDefinition stock = new StockDefinition()
{
ID = 793, Type = StockType.NBPCurrency, FullName = "USD"
};
string downloadFilePath = TestObj.InitializeDownload(stock, DataPumpDownloadRange.Daily);
downloadFilePath.ShouldBe(Path.Combine(_rootPath, ZipMstnbp));
File.Exists(downloadFilePath).ShouldBeTrue();
Directory.Exists(Path.Combine(_rootPath, "mstnbp")).ShouldBeTrue();
File.Exists(Path.Combine(_rootPath, "mstnbp", stock.FullName + ".mst")).ShouldBeTrue();
}
private void ProcessSingleStock(StockDefinition stockDefinition, Action <StockDefinition> generateOp)
{
_processingInfo.Stock = stockDefinition;
_processingInfo.CurrentPosition++;
_onStockStartProcessing?.Invoke(_processingInfo);
try
{
generateOp(stockDefinition);
}
catch (Exception e)
{
ExecuteStockProcessingException(e);
}
}
private void TestDailyFor20191104(StockDefinition stock, DateTime initialDateTime, List <string> expectedFirst5Inserts)
{
expectedFirst5Inserts.Count.ShouldBe(5);
_executedQueries.Clear();
_dataPumpProvider.GetMaxTS(Arg.Compat.Any <StockDefinition>(), StockDataRange.Daily, 0).Returns(initialDateTime);
TestObj.PumpDaily(stock);
Console.WriteLine($"{stock.FullName}:");
Console.WriteLine(string.Join(Environment.NewLine, _executedQueries.ToArray()));
_executedQueries.Count.ShouldBeGreaterThanOrEqualTo(5);
for (int i = 0; i < 5; i++)
{
_executedQueries[i].ShouldBe(expectedFirst5Inserts[i]);
}
}
public SignalsPriceCrossingSMA(string stockName, StockDataRange dataRange, int smaPeriod, ISystemDataLoader dataLoader, IStockDataProvider dataProvider, IMMSignalVolume signalVolumeCalculator)
{
_dataRange = dataRange;
_smaPeriod = smaPeriod;
_dataLoader = dataLoader;
_dataProvider = dataProvider;
_signalVolumeCalculator = signalVolumeCalculator;
_stock = _dataProvider.GetStockDefinition(stockName);
_statSMA = new StatSMA("")
.SetParam(StatSMAParams.Period, new MOParamInt()
{
Value = _smaPeriod
});
}
public void SetUp()
{
_stock = new StockDefinition()
{
Type = StockType.Stock
};
_stock2 = new StockDefinition();
_testObj = new SystemState()
{
Cash = CashValue
};
_stockPrices = new StockPricesData(1);
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(_stockPrices);
_commission = CommissionUtils.CreateSubstitute(Commission);
_slippage = SlippageUtils.CreateSusbstitute();
EntrySignal.Stock = _stock;
}
private void TestDailyKGHMFor20191104(DateTime initialDateTime)
{
StockDefinition kghm = new StockDefinition()
{
ID = 125, FullName = "KGHM", Type = StockType.Stock, FileNameDaily = "KGHM"
};
List <string> expectedInserts = new List <string>()
{
"insert into at_dzienne0(fk_id_spolki, ts, open, high, low, close, refcourse, volume) values (125, to_date('2019-11-04', 'YYYY-MM-DD'), 85.3200, 89.0000, 85.1200, 88.9200, 83.6400, 974976)",
"insert into at_dzienne0(fk_id_spolki, ts, open, high, low, close, refcourse, volume) values (125, to_date('2019-11-05', 'YYYY-MM-DD'), 89.9000, 92.6200, 89.3800, 91.6400, 88.9200, 962176)",
"insert into at_dzienne0(fk_id_spolki, ts, open, high, low, close, refcourse, volume) values (125, to_date('2019-11-06', 'YYYY-MM-DD'), 90.6400, 91.5400, 90.3000, 91.0000, 91.6400, 396956)",
"insert into at_dzienne0(fk_id_spolki, ts, open, high, low, close, refcourse, volume) values (125, to_date('2019-11-07', 'YYYY-MM-DD'), 91.6000, 96.7000, 91.6000, 96.7000, 91.0000, 1425770)",
"insert into at_dzienne0(fk_id_spolki, ts, open, high, low, close, refcourse, volume) values (125, to_date('2019-11-08', 'YYYY-MM-DD'), 95.5000, 96.9400, 94.6200, 96.4000, 96.7000, 897528)"
};
TestDailyFor20191104(kghm, initialDateTime, expectedInserts);
}
public StockDefinition GetStockDefinition(int stockID)
{
StockDefinition res = new StockDefinition();
string qry = $"select * from at_spolki2 where id={stockID}";
ProcessSelectQuery(qry, (reader) =>
{
if (!reader.HasRows)
{
throw new Exception($"No data for stock id={stockID}");
}
reader.Read();
PgDataToStockDefinitionConverter.ToStockDefinition(reader, res);
});
return(res);
}
public DateTime GetNearestTickGE(StockDefinition stockDef, StockDataRange dataRange, int intradayInterval, DateTime ts)
{
DateTime res = DateTime.MinValue;
string qry = $"select min(ts) from {_tblSelector.GetTableName(stockDef.Type, dataRange, intradayInterval)} where fk_id_spolki={stockDef.ID} and ts >= {ts.ToTimestampQueryValue()}";
ProcessSelectQuery(qry, (reader) =>
{
reader.Read();
if (reader.IsDBNull(0))
{
throw new Exception($"No nearest tick data for stock name = {stockDef.FullName}");
}
res = reader.GetFieldValue <DateTime>(0);
});
return(res);
}
private void TestDailyWIGFor20191104(DateTime initialDateTime)
{
StockDefinition wig = new StockDefinition()
{
ID = 288, FullName = "WIG", Type = StockType.Index, FileNameDaily = "WIG"
};
List <string> expectedInserts = new List <string>()
{
"insert into at_dzienne1(fk_id_spolki, ts, open, high, low, close, refcourse, volume) values (288, to_date('2019-11-04', 'YYYY-MM-DD'), 58294.4300, 59326.5200, 58250.4600, 59326.1300, 57783.0200, 1037276.603)",
"insert into at_dzienne1(fk_id_spolki, ts, open, high, low, close, refcourse, volume) values (288, to_date('2019-11-05', 'YYYY-MM-DD'), 59352.2000, 59651.5200, 59234.5300, 59517.7000, 59326.1300, 816794.889)",
"insert into at_dzienne1(fk_id_spolki, ts, open, high, low, close, refcourse, volume) values (288, to_date('2019-11-06', 'YYYY-MM-DD'), 59378.5200, 59523.8000, 59174.2900, 59174.2900, 59517.7000, 637393.894)",
"insert into at_dzienne1(fk_id_spolki, ts, open, high, low, close, refcourse, volume) values (288, to_date('2019-11-07', 'YYYY-MM-DD'), 59447.2500, 59612.6900, 59376.4500, 59492.2200, 59174.2900, 845697.212)",
"insert into at_dzienne1(fk_id_spolki, ts, open, high, low, close, refcourse, volume) values (288, to_date('2019-11-08', 'YYYY-MM-DD'), 59373.7000, 59407.0900, 59127.9800, 59191.7100, 59492.2200, 901038.557)"
};
TestDailyFor20191104(wig, initialDateTime, expectedInserts);
}
public StockDefinition GetStockDefinition(string stockName)
{
StockDefinition res = new StockDefinition();
string qry = $"select * from at_spolki2 where stock_fullname='{stockName}' or stock_name='{stockName.ToUpper()}'";
ProcessSelectQuery(qry, (reader) =>
{
if (!reader.HasRows)
{
throw new Exception($"No data for stock name = {stockName}");
}
reader.Read();
PgDataToStockDefinitionConverter.ToStockDefinition(reader, res);
});
return(res);
}
public SignalsBBTrend(string stockName, StockDataRange dataRange, int bbPeriod, float bbSigmaWidth, ISystemDataLoader dataLoader, IStockDataProvider dataProvider, IMMSignalVolume signalVolumeCalculator)
{
_dataRange = dataRange;
_bbPeriod = bbPeriod;
_bbSigmaWidth = bbSigmaWidth;
_dataLoader = dataLoader;
_dataProvider = dataProvider;
_signalVolumeCalculator = signalVolumeCalculator;
_stock = _dataProvider.GetStockDefinition(stockName);
_statBB = new StatBB("")
.SetParam(StatBBParams.Period, new MOParamInt()
{
Value = _bbPeriod
})
.SetParam(StatBBParams.SigmaWidth, new MOParamFloat()
{
Value = bbSigmaWidth
});
}
public DateTime GetMaxTS(StockDefinition stockDefinition, StockDataRange dataRange, int intradayInterval)
{
DateTime res = DateTime.MinValue;
string qry = $"select max(ts) from {GetTableName(stockDefinition.Type, dataRange, intradayInterval)} where fk_id_spolki={stockDefinition.ID}";
ProcessSelectQuery(qry, (reader) =>
{
if (!reader.HasRows)
{
return;
}
reader.Read();
if (!reader.IsDBNull(0))
{
res = reader.GetFieldValue <DateTime>(0);
}
});
return(res);
}
public static void Open(this SystemState systemState, StockDefinition stock, PositionDir dir, DateTime ts, float price, float volume, float commission, StockDataRange dataRange, int intradayInterval, Signal entrySignal)
{
Position pos = new Position
{
Stock = stock,
DataRange = dataRange,
IntradayInterval = intradayInterval,
Direction = dir,
Open = price,
OpenCommission = commission,
TSOpen = ts,
Volume = volume,
EntrySignal = entrySignal,
TicksActive = 1
};
systemState.PositionsActive.Add(pos);
systemState.Cash -= pos.DirectionMultiplier() * pos.OpenValue();
systemState.Cash -= pos.OpenCommission;
}
public List <StockDefinition> GetAllStockDefinitions()
{
List <StockDefinition> res = new List <StockDefinition>();
string qry = $"select * from at_spolki2";
ProcessSelectQuery(qry, (reader) =>
{
if (!reader.HasRows)
{
return;
}
while (reader.Read())
{
StockDefinition def = new StockDefinition();
PgDataToStockDefinitionConverter.ToStockDefinition(reader, def);
res.Add(def);
}
});
return(res);
}
public StockPricesData GetPricesData(StockDefinition stockDef, StockDataRange dataRange, int intradayInterval, DateTime tsFrom, DateTime tsTo)
{
PricesTemporalData tmp = new PricesTemporalData();
string qry = $"select open, high, low, close, volume, ts from {_tblSelector.GetTableName(stockDef.Type, dataRange, intradayInterval)} where fk_id_spolki={stockDef.ID} and ts >= {tsFrom.ToTimestampQueryValue()} and ts <= {tsTo.ToTimestampQueryValue()} order by ts";
ProcessSelectQuery(qry, (reader) =>
{
if (!reader.HasRows)
{
return;
}
tmp.AddAllRecords(reader);
});
StockPricesData res = tmp.ToStockPricesData();
res.Range = dataRange;
res.IntrradayInterval = intradayInterval;
return(res);
}
