getFuturesStatic(List< string> tickers , string futuresStaticMoniker, ICarbonClient client, string carbonEnv,
out Tuple<List<Tuple<string, ContractMonths>> /*rootTickers*/, List<string> /*contracts*/> tickerSplitTuple,
DateTime? vStartDate = null, DateTime? vEndDate = null, List<string> contractSortOrder = null )
//------------------------------------------------------------------------------------------------
{
// Intialisation
if (tickers == null)
{
tickers = new List<string>();
}
DateTime startDate, endDate;
if (vStartDate == null)
{
startDate = DateTime.MinValue;
}
else
{
startDate = vStartDate.Value;
}
if (vStartDate == null)
{
endDate = DateTime.MaxValue;
}
else
{
endDate = vEndDate.Value;
}
if (contractSortOrder == null)
{
contractSortOrder = new List<string>();
}
string cacheKey = getCacheKey(tickers, futuresStaticMoniker, startDate, endDate, contractSortOrder);
// Divide inputs according to whether they should be used for rolling futures or not
tickerSplitTuple = splitRollingFuturesFromRawTickers(tickers);
List<string> contractTickers = tickerSplitTuple.Item2;
List<Tuple<string, ContractMonths>> rootTickers = tickerSplitTuple.Item1;
// Get Static From cache here if we have it, tickersplittuple has been set.
Frame<string, string> cachedValue;
if (StaticCache_.TryGetValue(cacheKey, out cachedValue)) return cachedValue;
// Get all the roots from list
List< string> rollingFuturesIDs = new List<string>();
foreach (var tup in rootTickers)
{
rollingFuturesIDs.Add(tup.Item1);
}
// Get test sets.
// This allows us to map back names used in futures static moniker, to our original inputs
var bbgTickerMap = processBBGTickerList(contractTickers);
HashSet<string> rollingSet = new HashSet<string>(rollingFuturesIDs);
HashSet<string> tickerSet = new HashSet<string>(bbgTickerMap.Keys.AsEnumerable());
// Processing inputs
Frame<string, string> output;
var rowList = new List<KeyValuePair<int/*id*/, Series<string, object>/*row*/>>();
var df = client.GetDataFrame(futuresStaticMoniker);
var tmp = df.ToList();
var col = tmp[0].Value as List<object>;
var ind = tmp[1].Value as List<object>;
var dat = tmp[2].Value as List<object>;
//Find it's first trade date col
int firstTradeDtCol = 0;
int futDeliveryDtCol = 0;
int typeCol = 0;
for (int j = 0; j < col.Count; ++j)
{
string heading = col[j].ToString();
if (heading == "fut_first_trade_dt")
{
firstTradeDtCol = j;
}
if (heading == "fut_dlv_dt_last")
{
futDeliveryDtCol = j;
}
if(heading == "type")
{
typeCol = j;
}
}
//client.getdat
SeriesBuilder<string> sb;
int i;
for (i = 0; i < ind.Count; ++i)
{
sb = new SeriesBuilder<string>();
var data = dat[i] as List<object>;
var contract = data[typeCol].ToString();
string index = (string)ind[i];
if ((tickerSet.IsEmpty() && rollingSet.IsEmpty())
|| (!tickerSet.Contains(index) && !rollingSet.Contains(contract)))
{
continue;
}
DateTime firstTradeDate = DateTime.ParseExact(data[firstTradeDtCol].ToString(), "%dd/%MM/%yyyy", CultureInfo.InvariantCulture);
DateTime futDeliveryDate = DateTime.ParseExact(data[futDeliveryDtCol].ToString(), "%dd/%MM/%yyyy", CultureInfo.InvariantCulture);
if (rollingSet.Contains(contract) && (futDeliveryDate < startDate || firstTradeDate > endDate))
{
continue;
}
if (bbgTickerMap.ContainsKey(index))
sb.Add("ticker", bbgTickerMap[index]);
else
sb.Add("ticker", index); // ignores the mappings, in the rolling contract case
for (int h = 0; h < col.Count; ++h)
{
sb.Add((string)col[h], data[h]);
}
rowList.Add(KeyValue.Create(i, sb.Series));
}
output = Frame.FromRows(rowList).IndexRows<string>("ticker", keepColumn: true);
if (rootTickers.IsEmpty())
{
output = sortFrameByInput(output, tickers);
}
else
{
output = sortFrameByNaturalOrder(output, contractSortOrder);
}
StaticCache_.TryAdd(cacheKey, output.Clone());
return output;
}
