//------------------------------------------------------------------------------------------------
public Frame<DateTime, string> getAllFuturesPricesInDateRange(IEnumerable<string> tickers, DateTime start, DateTime end, ICarbonClient client)
//------------------------------------------------------------------------------------------------
{
//= new CarbonClient("uat");
List<KeyValuePair<string /*contract*/, Series<DateTime, double>/*timeseries*/>> FrameBuilderList = new List<KeyValuePair<string, Series<DateTime, double>>>();
/* ASSUME THIS IS EOD ONLY */
// Carbon needs this to be in UTC
start = new DateTime(start.Year, start.Month, start.Day, 0, 0, 0, DateTimeKind.Utc);
end = new DateTime(end.Year, end.Month, end.Day, 0, 0, 0, DateTimeKind.Utc);
// Get the settles:
foreach (string ticker in tickers)
{
string full_ticker = ticker + " COMDTY";
var res = client.GetTimeSeriesInFrameAsync(full_ticker, "eod", start, end);
if (res.IsFaulted) continue;
if (!res.Result.ContainsKey(full_ticker))
{
// Check to see what ticker it's like (TUH16 vs TUH6)
double tickerDecade = 0.0;
char tickerTrialChar = ticker[ticker.Length - 2];
bool bDecadePresent = double.TryParse(tickerTrialChar.ToString(), out tickerDecade);
// If it's like TUH16, try TUH6
if (bDecadePresent)
{
string sTmp = ticker.Substring(0, ticker.Length - 2) + ticker[ticker.Length - 1];
full_ticker = sTmp + " COMDTY";
res = client.GetTimeSeriesInFrameAsync(full_ticker, "eod", start, end);
}
else
{
// Otherwise, try to make TUH6 into like TUH16.
string sYear = DateTime.Today.Year.ToString();
char currentDecade = sYear[sYear.Length - 2];
string sTmp = ticker.Insert(ticker.Length - 1, currentDecade.ToString());
full_ticker = sTmp + " COMDTY";
res = client.GetTimeSeriesInFrameAsync(full_ticker, "eod", start, end);
}
// Otherwise, give up.
if (!res.Result.ContainsKey(full_ticker)) continue;
}
var frame = res.Result[full_ticker];
var tmp = frame;
if (!tmp.IsEmpty && tmp.ColumnKeys.Contains("settle"))
{
var xyz = tmp.Columns["settle"];
Series<DateTime, double> keySeries = tmp.TryGetColumn<double>("settle", Lookup.Exact).ValueOrDefault.Sort();
keySeries = keySeries.SortByKey(); // Carbon no longer sorts this.
FrameBuilderList.Add(KeyValue.Create(ticker, keySeries));
}
}
var df = Frame.FromColumns(FrameBuilderList).Where(kvp => dateRange_.Contains(kvp.Key)); // Filter out extra rows
return df;
}
