public string GetStrVIX()
{
//Downloading live data from vixcentral.com.
string?webpageLive = Utils.DownloadStringWithRetryAsync("http://vixcentral.com", 3, TimeSpan.FromSeconds(2), true).TurnAsyncToSyncTask();
if (webpageLive == null)
{
return("Error in live data");
}
//Selecting data from live data string.
string liveFuturesDataDT = string.Empty;
string liveFuturesDataDate = string.Empty;
string liveFuturesDataTime = string.Empty;
string liveFuturesData = string.Empty;
string prevFuturesData = string.Empty;
string liveFuturesNextExp = string.Empty;
string spotVixData = string.Empty;
string titleVIX = "VIX Futures Term Structure";
string dataSourceVIX = "http://vixcentral.com";
int startPosLiveDate = webpageLive.IndexOf("var time_data_var=['") + "var time_data_var=['".Length;
int startPosLive = webpageLive.IndexOf("var last_data_var=[", startPosLiveDate) + "var last_data_var=[".Length;
int endPosLive = webpageLive.IndexOf("];last_data_var=clean_array(last_data_var);", startPosLive);
int startPosPrev = webpageLive.IndexOf("];var previous_close_var=[", endPosLive) + "];var previous_close_var=[".Length;
int endPosPrev = webpageLive.IndexOf("];var contango_graph_exists=", startPosPrev);
int nextExpLiveMonth = webpageLive.IndexOf("var mx=['", endPosPrev) + "var mx=['".Length;
int startSpotVix = webpageLive.IndexOf("{id:'VIX_Index',name:'VIX Index',legendIndex:9,lineWidth:2,color:'green',dashStyle:'LongDash',marker:{enabled:false},dataLabels:{enabled:true,align:'left',x:5,y:4,formatter:function(){if(this.point.x==this.series.data.length-1){return Highcharts.numberFormat(this.y,2);}else{return null;}}},data:[", nextExpLiveMonth) + "{id:'VIX_Index',name:'VIX Index',legendIndex:9,lineWidth:2,color:'green',dashStyle:'LongDash',marker:{enabled:false},dataLabels:{enabled:true,align:'left',x:5,y:4,formatter:function(){if(this.point.x==this.series.data.length-1){return Highcharts.numberFormat(this.y,2);}else{return null;}}},data:[".Length;
int endSpotVix = webpageLive.IndexOf("]},{id:'VXV_Index',name:'VXV Index',legendIndex:10,lineWidth:2", startSpotVix);
// liveFuturesDataDT = webpageLive.Substring(startPosLiveDate, 20);
liveFuturesDataDT = webpageLive.Substring(startPosLiveDate, 8);
liveFuturesNextExp = webpageLive.Substring(nextExpLiveMonth, 3);
liveFuturesData = webpageLive.Substring(startPosLive, endPosLive - startPosLive);
prevFuturesData = webpageLive.Substring(startPosPrev, endPosPrev - startPosPrev);
spotVixData = webpageLive.Substring(startSpotVix, endSpotVix - startSpotVix);
// liveFuturesDataDate = liveFuturesDataDT.Substring(0,10);
// liveFuturesDataTime = liveFuturesDataDT.Substring(12, 8) + " EST";
string[] liveFuturesPrices = liveFuturesData.Split(new string[] { "," }, StringSplitOptions.RemoveEmptyEntries);
int lengthLiveFuturesPrices = liveFuturesPrices.Length;
string[] prevFuturesPrices = prevFuturesData.Split(new string[] { "," }, StringSplitOptions.RemoveEmptyEntries);
string[] spotVixPrices = spotVixData.Split(new string[] { "," }, StringSplitOptions.RemoveEmptyEntries);
double spotVixValue = Double.Parse(spotVixPrices[0]);
string[] monthsNumList = { "Jan", "Feb", "Mar", "Apr", "May", "Jun", "Jul", "Aug", "Sep", "Oct", "Nov", "Dec" };
int monthsNum = Array.IndexOf(monthsNumList, liveFuturesNextExp) + 1;
// DateTime liveDateTime;
DateTime timeNowETVIX = Utils.ConvertTimeFromUtcToEt(DateTime.UtcNow);
int dayOfWeekVIX;
dayOfWeekVIX = Convert.ToInt32(timeNowETVIX.DayOfWeek);
if (dayOfWeekVIX == 0)
{
timeNowETVIX = timeNowETVIX.AddDays(-2);
}
else if (dayOfWeekVIX == 6)
{
timeNowETVIX = timeNowETVIX.AddDays(-1);
}
string liveDate = string.Empty;
// liveDateTime = DateTime.Parse(liveFuturesDataDate);
liveDate = timeNowETVIX.ToString("yyyy-MM-dd");
liveFuturesDataTime = liveFuturesDataDT.Substring(0, 8) + " EST";
//Sorting historical data.
VixCentralRec2[] vixCentralRec = new VixCentralRec2[2];
vixCentralRec[0].Date = DateTime.Parse(liveDate);
vixCentralRec[0].FirstMonth = monthsNum;
vixCentralRec[0].F1 = Double.Parse(liveFuturesPrices[0]);
vixCentralRec[0].F2 = Double.Parse(liveFuturesPrices[1]);
vixCentralRec[0].F3 = Double.Parse(liveFuturesPrices[2]);
vixCentralRec[0].F4 = Double.Parse(liveFuturesPrices[3]);
vixCentralRec[0].F5 = Double.Parse(liveFuturesPrices[4]);
vixCentralRec[0].F6 = Double.Parse(liveFuturesPrices[5]);
vixCentralRec[0].F7 = Double.Parse(liveFuturesPrices[6]);
vixCentralRec[0].F8 = (lengthLiveFuturesPrices == 8) ? Double.Parse(liveFuturesPrices[7]) : 0;
vixCentralRec[0].STCont = vixCentralRec[0].F2 / vixCentralRec[0].F1 - 1;
vixCentralRec[0].LTCont = vixCentralRec[0].F7 / vixCentralRec[0].F4 - 1;
vixCentralRec[1].Date = DateTime.Parse(liveDate);
vixCentralRec[1].FirstMonth = monthsNum;
vixCentralRec[1].F1 = Double.Parse(prevFuturesPrices[0]);
vixCentralRec[1].F2 = Double.Parse(prevFuturesPrices[1]);
vixCentralRec[1].F3 = Double.Parse(prevFuturesPrices[2]);
vixCentralRec[1].F4 = Double.Parse(prevFuturesPrices[3]);
vixCentralRec[1].F5 = Double.Parse(prevFuturesPrices[4]);
vixCentralRec[1].F6 = Double.Parse(prevFuturesPrices[5]);
vixCentralRec[1].F7 = Double.Parse(prevFuturesPrices[6]);
vixCentralRec[1].F8 = (lengthLiveFuturesPrices == 8) ? Double.Parse(prevFuturesPrices[7]) : 0;
vixCentralRec[1].STCont = vixCentralRec[1].F2 / vixCentralRec[1].F1 - 1;
vixCentralRec[1].LTCont = vixCentralRec[1].F7 / vixCentralRec[1].F4 - 1;
//Calculating futures expiration dates.
var lastDataDay = vixCentralRec[0].Date;
int lastDataYear = lastDataDay.Year;
string lastData = lastDataDay.ToString("yyyy-MM-dd");
var lengthExps = /*(lastDataYear - firstDataYear + 2)*/ 2 * 12;
int[,] expDatesDat = new int[lengthExps, 2];
expDatesDat[0, 0] = lastDataYear + 1;
expDatesDat[0, 1] = 12;
for (int iRows = 1; iRows < expDatesDat.GetLength(0); iRows++)
{
decimal f = iRows / 12;
expDatesDat[iRows, 0] = lastDataYear - Decimal.ToInt32(Math.Floor(f)) + 1;
expDatesDat[iRows, 1] = 12 - iRows % 12;
}
DateTime[] expDates = new DateTime[expDatesDat.GetLength(0)];
for (int iRows = 0; iRows < expDates.Length; iRows++)
{
DateTime thirdFriday = new DateTime(expDatesDat[iRows, 0], expDatesDat[iRows, 1], 15);
while (thirdFriday.DayOfWeek != DayOfWeek.Friday)
{
thirdFriday = thirdFriday.AddDays(1);
}
expDates[iRows] = thirdFriday.AddDays(-30);
if (expDates[iRows] == DateTime.Parse("2014-03-19"))
{
expDates[iRows] = DateTime.Parse("2014-03-18");
}
}
//Calculating number of calendar days until expirations.
for (int iRec = 0; iRec < vixCentralRec.Length; iRec++)
{
int index1 = Array.FindIndex(expDates, item => item <= vixCentralRec[iRec].Date);
vixCentralRec[iRec].NextExpiryDate = expDates[index1 - 1];
vixCentralRec[iRec].F1expDays = (expDates[index1 - 1] - vixCentralRec[iRec].Date).Days;
vixCentralRec[iRec].F2expDays = (expDates[index1 - 2] - vixCentralRec[iRec].Date).Days;
vixCentralRec[iRec].F3expDays = (expDates[index1 - 3] - vixCentralRec[iRec].Date).Days;
vixCentralRec[iRec].F4expDays = (expDates[index1 - 4] - vixCentralRec[iRec].Date).Days;
vixCentralRec[iRec].F5expDays = (expDates[index1 - 5] - vixCentralRec[iRec].Date).Days;
vixCentralRec[iRec].F6expDays = (expDates[index1 - 6] - vixCentralRec[iRec].Date).Days;
vixCentralRec[iRec].F7expDays = (expDates[index1 - 7] - vixCentralRec[iRec].Date).Days;
vixCentralRec[iRec].F8expDays = (vixCentralRec[0].F8 > 0) ? (expDates[index1 - 8] - vixCentralRec[iRec].Date).Days:0;
}
string ret = Processing(vixCentralRec, expDates, liveDate, liveFuturesDataTime, spotVixValue, titleVIX, dataSourceVIX);
return(ret);
}
public string GetStrGAS()
{
//Downloading live data from cmegroup.com.
string?webpageLive = Utils.DownloadStringWithRetryAsync("https://www.cmegroup.com/CmeWS/mvc/Quotes/Future/444/G", 3, TimeSpan.FromSeconds(2), true).TurnAsyncToSyncTask();
//bool isOkLive = Utils.DownloadStringWithRetry("http://www.cmegroup.com/trading/energy/natural-gas/natural-gas.html", out webpageLive, 3, TimeSpan.FromSeconds(2), true);
if (webpageLive == null)
{
return("Error in live data");
}
//Selecting data from live data string.
string[] liveFuturesDataVec = new string[8];
int[] liveFuturesDataVecInd = new int[8];
int startPosLiveB0 = webpageLive.IndexOf("\"last\":\"", 0) + "\"last\":\"".Length;
int endPosLiveB0 = webpageLive.IndexOf("\",\"change\":", startPosLiveB0);
string liveFuturesDataB0 = webpageLive.Substring(startPosLiveB0, endPosLiveB0 - startPosLiveB0);
liveFuturesDataVec[0] = liveFuturesDataB0;
liveFuturesDataVecInd[0] = endPosLiveB0;
for (int iRows = 1; iRows < 8; iRows++)
{
int startPosLiveB = webpageLive.IndexOf("\"last\":\"", liveFuturesDataVecInd[iRows - 1]) + "\"last\":\"".Length;
int endPosLiveB = webpageLive.IndexOf("\",\"change\":", startPosLiveB);
string liveFuturesDataB = webpageLive.Substring(startPosLiveB, endPosLiveB - startPosLiveB);
liveFuturesDataVec[iRows] = liveFuturesDataB;
liveFuturesDataVecInd[iRows] = endPosLiveB;
}
string[] prevFuturesDataVec = new string[8];
int startPosPrevB0 = webpageLive.IndexOf("\"priorSettle\":\"", liveFuturesDataVecInd[0]) + "\"priorSettle\":\"".Length;
int endPosPrevB0 = webpageLive.IndexOf("\",\"open\":\"", startPosPrevB0);
string prevFuturesDataB0 = webpageLive.Substring(startPosPrevB0, endPosPrevB0 - startPosPrevB0);
prevFuturesDataVec[0] = prevFuturesDataB0;
for (int iRows = 1; iRows < 8; iRows++)
{
int startPosPrevB = webpageLive.IndexOf("\"priorSettle\":\"", liveFuturesDataVecInd[iRows]) + "\"priorSettle\":\"".Length;
int endPosPrevB = webpageLive.IndexOf("\",\"open\":\"", startPosPrevB);
string prevFuturesDataB = webpageLive.Substring(startPosPrevB, endPosPrevB - startPosPrevB);
prevFuturesDataVec[iRows] = prevFuturesDataB;
}
string liveFuturesDataDT = string.Empty;
string liveFuturesDataDate = string.Empty;
string liveFuturesDataTime = string.Empty;
string liveFuturesNextExp = string.Empty;
string futCodeNext = string.Empty;
string spotVixData = string.Empty;
string titleGAS = "GAS Futures Term Structure";
string dataSourceGAS = "https://www.cmegroup.com/trading/energy/natural-gas/natural-gas.html";
int startPosLiveDate = webpageLive.IndexOf("\"updated\":\"", liveFuturesDataVecInd[0]) + "\"updated\":\"".Length;
liveFuturesDataDT = webpageLive.Substring(startPosLiveDate, 29);
liveFuturesDataDate = liveFuturesDataDT.Substring(18, 11);
liveFuturesDataTime = liveFuturesDataDT.Substring(0, 8) + " CT";
int nextExpLiveMonth = webpageLive.IndexOf("\"expirationMonth\":\"", 0) + "\"expirationMonth\":\"".Length;
liveFuturesNextExp = webpageLive.Substring(nextExpLiveMonth, 3);
int futCodeInd = webpageLive.IndexOf("\"escapedQuoteCode\":\"", endPosPrevB0) + "\"escapedQuoteCode\":\"".Length;
futCodeNext = webpageLive.Substring(futCodeInd, 3);
//Downloading expiration dates from cmegroup.com.
string?webpageLiveExp = Utils.DownloadStringWithRetryAsync("https://www.cmegroup.com/CmeWS/mvc/ProductCalendar/Future/444", 3, TimeSpan.FromSeconds(2), true).TurnAsyncToSyncTask();
if (webpageLiveExp == null)
{
return("Error in live data");
}
string[] liveFuturesDataExpVec = new string[8];
int[] liveFuturesDataExpVecInd = new int[8];
int startPosLiveExpB0Ass = webpageLiveExp.IndexOf(futCodeNext, 0);
int startPosLiveExpB0 = webpageLiveExp.IndexOf("\"lastTrade\":\"", startPosLiveExpB0Ass) + "\"lastTrade\":\"".Length;
int endPosLiveExpB0 = webpageLiveExp.IndexOf(",\"settlement", startPosLiveExpB0);
string liveFuturesDataExpB0 = webpageLiveExp.Substring(startPosLiveExpB0, endPosLiveExpB0 - startPosLiveExpB0 - 1);
liveFuturesDataExpVec[0] = liveFuturesDataExpB0;
liveFuturesDataExpVecInd[0] = endPosLiveExpB0;
for (int iRows = 1; iRows < 8; iRows++)
{
int startPosLiveExpBAss = webpageLiveExp.IndexOf("NG", liveFuturesDataExpVecInd[iRows - 1]);
int startPosLiveExpB = webpageLiveExp.IndexOf("\"lastTrade\":\"", startPosLiveExpBAss) + "\"lastTrade\":\"".Length;
int endPosLiveExpB = webpageLiveExp.IndexOf(",\"settlement", startPosLiveExpB);
string liveFuturesDataExpB = webpageLiveExp.Substring(startPosLiveExpB, endPosLiveExpB - startPosLiveExpB - 1);
liveFuturesDataExpVec[iRows] = liveFuturesDataExpB;
liveFuturesDataExpVecInd[iRows] = endPosLiveExpB;
}
string[] monthsNumList = { "JAN", "FEB", "MAR", "APR", "MAY", "JUN", "JUL", "AUG", "SEP", "OCT", "NOV", "DEC" };
int monthsNum = Array.IndexOf(monthsNumList, liveFuturesNextExp) + 1;
DateTime[] expDates = new DateTime[8];
for (int iRows = 0; iRows < expDates.Length; iRows++)
{
expDates[iRows] = DateTime.Parse(liveFuturesDataExpVec[iRows]);
}
string[] liveFuturesPrices = liveFuturesDataVec;
int lengthLiveFuturesPrices = liveFuturesPrices.Length;
string[] prevFuturesPrices = prevFuturesDataVec;
double spotVixValue = 0;/*Double.Parse(spotVixPrices[0]);*/
for (int iRows = 0; iRows < 8; iRows++)
{
if (String.Equals(liveFuturesPrices[iRows], "-"))
{
liveFuturesPrices[iRows] = prevFuturesPrices[iRows];
}
}
DateTime liveDateTime;
string liveDate = string.Empty;
liveDateTime = DateTime.Parse(liveFuturesDataDate);
liveDate = liveDateTime.ToString("yyyy-MM-dd");
//Sorting historical data.
VixCentralRec2[] vixCentralRec = new VixCentralRec2[2];
vixCentralRec[0].Date = DateTime.Parse(liveDate);
vixCentralRec[0].FirstMonth = monthsNum;
vixCentralRec[0].F1 = Double.Parse(liveFuturesPrices[0]);
vixCentralRec[0].F2 = Double.Parse(liveFuturesPrices[1]);
vixCentralRec[0].F3 = Double.Parse(liveFuturesPrices[2]);
vixCentralRec[0].F4 = Double.Parse(liveFuturesPrices[3]);
vixCentralRec[0].F5 = Double.Parse(liveFuturesPrices[4]);
vixCentralRec[0].F6 = Double.Parse(liveFuturesPrices[5]);
vixCentralRec[0].F7 = Double.Parse(liveFuturesPrices[6]);
vixCentralRec[0].F8 = (lengthLiveFuturesPrices == 8) ? Double.Parse(liveFuturesPrices[7]) : 0;
vixCentralRec[0].STCont = vixCentralRec[0].F2 / vixCentralRec[0].F1 - 1;
vixCentralRec[0].LTCont = vixCentralRec[0].F7 / vixCentralRec[0].F4 - 1;
vixCentralRec[1].Date = DateTime.Parse(liveDate);
vixCentralRec[1].FirstMonth = monthsNum;
vixCentralRec[1].F1 = Double.Parse(prevFuturesPrices[0]);
vixCentralRec[1].F2 = Double.Parse(prevFuturesPrices[1]);
vixCentralRec[1].F3 = Double.Parse(prevFuturesPrices[2]);
vixCentralRec[1].F4 = Double.Parse(prevFuturesPrices[3]);
vixCentralRec[1].F5 = Double.Parse(prevFuturesPrices[4]);
vixCentralRec[1].F6 = Double.Parse(prevFuturesPrices[5]);
vixCentralRec[1].F7 = Double.Parse(prevFuturesPrices[6]);
vixCentralRec[1].F8 = (lengthLiveFuturesPrices == 8) ? Double.Parse(prevFuturesPrices[7]) : 0;
vixCentralRec[1].STCont = vixCentralRec[1].F2 / vixCentralRec[1].F1 - 1;
vixCentralRec[1].LTCont = vixCentralRec[1].F7 / vixCentralRec[1].F4 - 1;
//Calculating number of calendar days until expirations.
for (int iRec = 0; iRec < vixCentralRec.Length; iRec++)
{
vixCentralRec[iRec].NextExpiryDate = expDates[0];
vixCentralRec[iRec].F1expDays = (expDates[0] - vixCentralRec[iRec].Date).Days + 1;
vixCentralRec[iRec].F2expDays = (expDates[1] - vixCentralRec[iRec].Date).Days + 1;
vixCentralRec[iRec].F3expDays = (expDates[2] - vixCentralRec[iRec].Date).Days + 1;
vixCentralRec[iRec].F4expDays = (expDates[3] - vixCentralRec[iRec].Date).Days + 1;
vixCentralRec[iRec].F5expDays = (expDates[4] - vixCentralRec[iRec].Date).Days + 1;
vixCentralRec[iRec].F6expDays = (expDates[5] - vixCentralRec[iRec].Date).Days + 1;
vixCentralRec[iRec].F7expDays = (expDates[6] - vixCentralRec[iRec].Date).Days + 1;
vixCentralRec[iRec].F8expDays = (vixCentralRec[0].F8 > 0) ? (expDates[7] - vixCentralRec[iRec].Date).Days + 1 : 0;
}
string ret = Processing(vixCentralRec, expDates, liveDate, liveFuturesDataTime, spotVixValue, titleGAS, dataSourceGAS);
return(ret);
}
