public IQuotesDalGetTimeseriesValuesResult GetTimseriesValues(IQuotesDalGetTimeSeriesValuesParams getQuotesParams) { IQuotesDalGetTimeseriesValuesResult result = new QuotesDalMSSQLGetQuotesResult(); string spName = "[SP_Get_Ticker_Timeseries_Values]"; SqlConnection conn = OpenConnection("ConnectionStringTimeSeries"); SqlCommand cmd = new SqlCommand(); cmd.CommandText = schema + "." + spName; cmd.CommandType = CommandType.StoredProcedure; cmd.Connection = conn; SqlParameter paramTypeId = new SqlParameter("@IN_Period_Type_Id", SqlDbType.Int, 0, ParameterDirection.Input, false, 0, 0, "", DataRowVersion.Current, (int)getQuotesParams.TimeFrame); SqlParameter paramTickerId = new SqlParameter("@IN_Ticker_Id", SqlDbType.Int, 0, ParameterDirection.Input, false, 0, 0, "", DataRowVersion.Current, 0); cmd.Parameters.Add(paramTypeId); cmd.Parameters.Add(paramTickerId); for (int i = 0; i < getQuotesParams.Tickers.Count; ++i) { // getting ID of the current ticker paramTickerId.Value = GetTickerId(getQuotesParams.Tickers[i], conn); DataSet ds = new DataSet(); SqlDataAdapter da = new SqlDataAdapter(); da.SelectCommand = cmd; try { da.Fill(ds); if (ds.Tables.Count >= 1) { BaseQuotesData qdata = new BaseQuotesData(); qdata.Ticker = getQuotesParams.Tickers[i]; qdata.Country = getQuotesParams.Country; qdata.TimeFrame = getQuotesParams.TimeFrame; foreach (DataRow row in ds.Tables[0].Rows) { DateTime dtEvent = (DateTime)row[0]; if (dtEvent >= getQuotesParams.PeriodStart && dtEvent <= getQuotesParams.PeriodEnd) { int valCount = row.ItemArray.Count(x => !DBNull.Value.Equals(x)); ITimeSeriesRecord qrec = new CustomTimeseriesRecord(new List <string>(new string[valCount - 1]), dtEvent); for (int r = 1; r <= valCount - 1; ++r) { qrec[r - 1] = (decimal)row[r]; } qdata.AddRecord(qrec); } } result.Quotes.Add(qdata); } } catch (Exception ex) { result.Errors.Add(new Interfaces.Error() { Code = Interfaces.EErrorCodes.QuotesNotFound, Type = Interfaces.EErrorType.Error, Message = string.Format("'{0}, {1}': failed to read timeseries. SQL message: {2}", getQuotesParams.Tickers[i], getQuotesParams.TimeFrame, ex.Message) }); } } if (result.Quotes.Count == 0 && getQuotesParams.Tickers.Count != 0) { result.Success = false; } else { result.Success = true; } conn.Close(); return(result); }
public IQuotesSourceGetQuotesResult GetQuotes(IQuotesSourceGetQuotesParams getQuotesParams) { // For COT reports we don't extract selected items only because it will be too expensive // Rather we're loading the whole report with all items there // For this purposes we only identifying the types of items we need to extract based on indicator prefixes IQuotesSourceGetQuotesResult result = new CFTCSourceGetQuotesResult(); CFTCParser cftcParser = new CFTCParser(); // checking which types we need and preparing parameters List <ICFTCParserParams> parserParams = new List <ICFTCParserParams>(); foreach (var pt in s_paramTypes) { ICFTCParserParams cotTypeParams = null; // at least one ticker has a prefix of given type - adding corresponding params object to parse proper report // if no tickers are specified - importing all if ((getQuotesParams.Tickers == null || getQuotesParams.Tickers.Count() == 0) || getQuotesParams.Tickers.Count(x => x.Contains(pt.TickerPrefix)) > 0) { cotTypeParams = pt.Clone(); cotTypeParams.OnlyLast = getQuotesParams.PeriodStart.Year == DateTime.Now.Year ? true : false; parserParams.Add(cotTypeParams); } } // for the list of parameters - calling parser to load proper report foreach (var parserParam in parserParams) { ICFTCParserResult parserResult = cftcParser.Parse(parserParam); foreach (CFTCInstrumentQuotes i in parserResult.Instruments.Values) { IQuotesData qd = new BaseQuotesData(); qd.Country = getQuotesParams.Country; qd.Ticker = i.Ticker; qd.Name = i.Description; qd.Unit = TickerUnit(i.Ticker); qd.Type = TickerType(i.Ticker); qd.TimeFrame = ETimeFrame.Weekly; foreach (var q in i.Quotes) { ITimeSeriesRecord tsr = new CustomTimeseriesRecord(i.Timeseries, q.ReportDate, q.Values); qd.AddRecord(tsr); } qd.AgencyCode = s_agencyCode; result.QuotesData.Add(qd); } } result.Success = result.QuotesData.Count > 0; if (result.Success && result.QuotesData.Count < getQuotesParams.Tickers.Count) { result.AddError(Interfaces.EErrorCodes.QuotesNotFound, Interfaces.EErrorType.Warning, "Not all quotes were found"); } else if (!result.Success) { result.AddError(Interfaces.EErrorCodes.QuotesNotFound, Interfaces.EErrorType.Error, "Requested tickers are not supported or quotes for them not found"); } return(result); }
public IQuotesSourceGetQuotesResult GetQuotes(IQuotesSourceGetQuotesParams getQuotesParams) { List <string> tickers = new List <string>(getQuotesParams.Tickers); // if no tickers were provided - importing al available if (tickers.Count == 0) { tickers.AddRange(_tickers.Keys); } DMFX.BLS.Api.BLSApi blsApi = new DMFX.BLS.Api.BLSApi(); IQuotesSourceGetQuotesResult result = new BLSSourceGetQuotesResult(); foreach (var t in tickers) { IQuotesSourceCanImportParams canImportParams = CreateCanImportParams(); canImportParams.Tickers.Add(t); IQuotesSourceCanImportResult canImportRes = CanImport(canImportParams); if (canImportRes.Success) { try { var response = blsApi.Download(_tickers[t].Bls_Code, getQuotesParams.PeriodStart, getQuotesParams.PeriodEnd); IQuotesData qd = new BaseQuotesData(); qd.Country = getQuotesParams.Country; qd.Ticker = _tickers[t].Ticker_Symbol; qd.Name = _tickers[t].Ticker_Name; qd.TimeFrame = GetTimeFrame(response.Timeframe); qd.AgencyCode = s_agencyCode; qd.Unit = EUnit.Value; qd.Type = ETimeSeriesType.Indicator; // adding value records foreach (var q in response.Quotes) { ITimeSeriesRecord tsr = new CustomTimeseriesRecord(qd.Ticker, q.PeriodEnd, q.Value); qd.AddRecord(tsr); } // adding metadata if (_tickers[t].Metadata != null && _tickers[t].Metadata.Count > 0) { ITimeSeriesMetadata metadata = qd.CreateQuotesMetadata(); metadata.Values = _tickers[t].Metadata; qd.Metadata = metadata; } result.QuotesData.Add(qd); } catch (Exception ex) { result.Success = false; result.AddError(EErrorCodes.QuotesSourceFail, EErrorType.Error, ex.Message); } } } result.Success = result.QuotesData.Count > 0; if (result.Success && result.QuotesData.Count <= getQuotesParams.Tickers.Count) { result.AddError(EErrorCodes.QuotesNotFound, EErrorType.Warning, "Not all quotes were found"); } else if (!result.Success) { result.AddError(EErrorCodes.QuotesNotFound, EErrorType.Error, "Requested tickers are not supported or quotes for them not found"); } return(result); }