private IList <MinuteBarRequestKeyDto> Project(IList <MarketDataRequest> bmllRequests)
{
var keys = new List <MinuteBarRequestKeyDto>();
foreach (var req in bmllRequests)
{
if (req == null || string.IsNullOrWhiteSpace(req.Identifiers.Figi) || req.UniverseEventTimeTo == null ||
req.UniverseEventTimeFrom == null)
{
continue;
}
var toTarget = req.UniverseEventTimeTo.Value;
var fromTarget = req.UniverseEventTimeFrom.Value;
var timeSpan = toTarget.Subtract(fromTarget);
var totalDays = timeSpan.TotalDays + 1;
var iter = 0;
while (iter <= totalDays)
{
var date = fromTarget.AddDays(iter);
var barRequest = new MinuteBarRequestKeyDto(req.Identifiers.Figi, "1min", date);
keys.Add(barRequest);
iter += 1;
}
}
return(keys);
}
private GetMinuteBarsRequest GetMinuteBarsRequest(MinuteBarRequestKeyDto request)
{
if (request == null || string.IsNullOrWhiteSpace(request.Figi))
{
this._logger.LogError(
$"{nameof(BmllDataRequestsGetTimeBars)} had a null request or a request that did not pass data request validation for {request?.Figi}");
return(null);
}
if (string.IsNullOrWhiteSpace(request.Figi))
{
this._logger.LogError(
$"{nameof(BmllDataRequestsGetTimeBars)} asked to process a security without a figi");
return(null);
}
return(new GetMinuteBarsRequest
{
Figi = request.Figi,
From = request.Date.Date,
To = request.Date.Date.AddDays(1).AddMilliseconds(-1),
Interval = "1min"
});
}
