public void Add(FixedIncomeInterDayTimeBarCollection value)
{
if (value == null)
{
this._logger.LogInformation("UniverseFixedIncomeInterDayCache was asked to add null. returning");
return;
}
this._logger.LogInformation(
$"UniverseFixedIncomeInterDayCache adding {value.Epoch} - {value.Exchange?.MarketIdentifierCode}");
if (this._latestExchangeFrameBook.ContainsKey(value.Exchange.MarketIdentifierCode))
{
this._latestExchangeFrameBook.Remove(value.Exchange.MarketIdentifierCode);
this._latestExchangeFrameBook.Add(value.Exchange.MarketIdentifierCode, value);
}
else
{
this._latestExchangeFrameBook.Add(value.Exchange.MarketIdentifierCode, value);
}
if (!this._marketHistory.ContainsKey(value.Exchange.MarketIdentifierCode))
{
var history = new FixedIncomeInterDayHistoryStack();
history.Add(value, value.Epoch);
this._marketHistory.TryAdd(value.Exchange.MarketIdentifierCode, history);
}
else
{
this._marketHistory.TryGetValue(value.Exchange.MarketIdentifierCode, out var history);
history?.Add(value, value.Epoch);
history?.ArchiveExpiredActiveItems(value.Epoch);
}
}
public void Add(FixedIncomeInterDayTimeBarCollection frame, DateTime currentTime)
{
if (frame == null)
{
return;
}
lock (this._lock)
{
// Ensure all contents have the same date (may not work well in pacific zone with the international date line ++ trading hours - should be OK for Japan/Tokyo and USA/SanFran) - RT
if (currentTime.Date == frame.Epoch.Date)
{
this._activeStack.Push(frame);
}
}
}
private async Task <IReadOnlyCollection <FixedIncomeInterDayTimeBarCollection> > GetTestFixedIncomeInterDayData(DateTime startUtc, DateTime endUtc)
{
var getInterdayTimeBars = await this.refinitivTickPriceHistoryApi.GetInterdayTimeBars(startUtc, endUtc);
var markets = new List <Market>
{
new Market("", "OTC", "OTC", MarketTypes.OTC),
new Market("", "RDFI", "RDFI", MarketTypes.OTC)
};
var items = new List <FixedIncomeInterDayTimeBarCollection>();
foreach (var market in markets)
{
var groups = getInterdayTimeBars
.GroupBy(x => x.TimeBar.EpochUtc.Date) // grouping by Date for end of day prices
.OrderBy(x => x.Key);
foreach (var group in groups)
{
var date = group.Key;
var list = group.Select(x => new FixedIncomeInstrumentInterDayTimeBar(
new FinancialInstrument
{
Identifiers = new InstrumentIdentifiers
{
Ric = x.SecurityIdentifiers.Ric
}
},
new DailySummaryTimeBar(
null,
x.TimeBar.CurrencyCode,
new IntradayPrices(
new Money(Convert.ToDecimal(x.TimeBar.Open), new Currency(x.TimeBar.CurrencyCode)),
new Money(Convert.ToDecimal(x.TimeBar.CloseAsk), new Currency(x.TimeBar.CurrencyCode)), // ???
new Money(Convert.ToDecimal(x.TimeBar.High), new Currency(x.TimeBar.CurrencyCode)),
new Money(Convert.ToDecimal(x.TimeBar.Low), new Currency(x.TimeBar.CurrencyCode))
),
null,
new Volume(),
date
),
date,
market)).ToList();
var fixedIncomeInterDayTimeBarCollection = new FixedIncomeInterDayTimeBarCollection(market, date, list);
items.Add(fixedIncomeInterDayTimeBarCollection);
}
}
return(items.AsReadOnly());
//var items = new List<FixedIncomeInterDayTimeBarCollection>();
//var testDate = new DateTime(2018, 04, 10, 00, 00, 00, DateTimeKind.Utc);
//if (testDate >= startUtc && testDate <= endUtc)
//{
// var market = new Market("", "OTC", "OTC", MarketTypes.OTC);
// items.Add(new FixedIncomeInterDayTimeBarCollection(
// market,
// testDate,
// new List<FixedIncomeInstrumentInterDayTimeBar>
// {
// new FixedIncomeInstrumentInterDayTimeBar(
// new FinancialInstrument
// {
// Identifiers = new InstrumentIdentifiers
// {
// Ric = "GB10YT=RR",
// UnderlyingRic ??
// }
// },
// new DailySummaryTimeBar(
// 0,
// "GBX",
// new IntradayPrices(
// new Money(200, new Currency("GBX")),
// new Money(201, new Currency("GBX")),
// new Money(202, new Currency("GBX")),
// new Money(203, new Currency("GBX"))
// ),
// null,
// new Volume(),
// testDate
// ),
// testDate,
// market)
// }
// ));
//}
//return items;
}
