public void ParseXMLCorrectlyParsesData()
{
var targetBars = new List <OHLCBar>
{
new OHLCBar {
DT = new DateTime(2013, 12, 12), Open = 97.55m, High = 98.18m, Low = 97.31m, Close = 97.50m, Volume = null, OpenInterest = 153787
},
new OHLCBar {
DT = new DateTime(2013, 12, 11), Open = 98.65m, High = 98.75m, Low = 97.2m, Close = 97.44m, Volume = null, OpenInterest = 189430
},
new OHLCBar {
DT = new DateTime(2013, 12, 10), Open = 97.25m, High = 98.74m, Low = 97.24m, Close = 98.51m, Volume = null, OpenInterest = 218380
},
};
string xml = "<?xml version=\"1.0\" encoding=\"UTF-8\"?> <dataset> <errors> </errors> <id type=\"integer\">2298870</id> <source-code>OFDP</source-code> <code>FUTURE_CL1</code> <name>NYMEX Crude Oil Futures, Continuous Contract #1 (CL1) (Front Month)</name> <urlize-name>NYMEX-Crude-Oil-Futures-Continuous-Contract-1-CL1-Front-Month</urlize-name> <description> <p>Historical Futures Prices: Crude Oil Futures, Continuous Contract #1. Non-adjusted price based on spot-month continuous contract calculations. Raw futures data from New York Mercantile Exchange (NYMEX). </p> </description> <updated-at>2013-12-13T01:59:28Z</updated-at> <frequency>daily</frequency> <from-date>1983-03-30</from-date> <to-date>2013-12-12</to-date> <column-names type=\"array\"> <column-name>Date</column-name> <column-name>Open</column-name> <column-name>High</column-name> <column-name>Low</column-name> <column-name>Settle</column-name> <column-name>Volume</column-name> <column-name>Open Interest</column-name> </column-names> <private type=\"boolean\">false</private> <type nil=\"true\"/> <display-url>http://www.ofdp.org/continuous_contracts/data?exchange=NYM&symbol=CL&depth=1</display-url> <data type=\"array\"> <datum type=\"array\"> <datum>2013-12-12</datum> <datum type=\"float\">97.55</datum> <datum type=\"float\">98.18</datum> <datum type=\"float\">97.31</datum> <datum type=\"float\">97.5</datum> <datum nil=\"true\"/> <datum type=\"float\">153787.0</datum> </datum> <datum type=\"array\"> <datum>2013-12-11</datum> <datum type=\"float\">98.65</datum> <datum type=\"float\">98.75</datum> <datum type=\"float\">97.2</datum> <datum type=\"float\">97.44</datum> <datum nil=\"true\"/> <datum type=\"float\">189430.0</datum> </datum> <datum type=\"array\"> <datum>2013-12-10</datum> <datum type=\"float\">97.25</datum> <datum type=\"float\">98.74</datum> <datum type=\"float\">97.24</datum> <datum type=\"float\">98.51</datum> <datum nil=\"true\"/> <datum type=\"float\">218380.0</datum> </datum> </data> </dataset> ";
List <OHLCBar> bars = QuandlUtils.ParseXML(xml);
Assert.AreEqual(targetBars.Count, bars.Count);
for (int i = 0; i < bars.Count; i++)
{
Assert.AreEqual(targetBars[i].LongDate, bars[i].LongDate);
Assert.AreEqual(targetBars[i].Open, bars[i].Open);
Assert.AreEqual(targetBars[i].High, bars[i].High);
Assert.AreEqual(targetBars[i].Low, bars[i].Low);
Assert.AreEqual(targetBars[i].Close, bars[i].Close);
Assert.AreEqual(targetBars[i].Volume, bars[i].Volume);
Assert.AreEqual(targetBars[i].OpenInterest, bars[i].OpenInterest);
}
}
public void DoesNotParseInstrumentsWithoutRequiredDataFields()
{
string xml = "<datasets> <total-count type=\"integer\">232701</total-count> <current-page type=\"integer\">2</current-page> <per-page type=\"integer\">20</per-page> <docs type=\"array\"> <doc> <id type=\"integer\">2316351</id> <source-code>DOE</source-code> <code>EIA_TOTALOILSUPPLY_A_OMAN127</code> <name>Total Oil Supply: Oman</name> <urlize-name>Total-Oil-Supply-Oman</urlize-name> <description> Units=Thousand Barrels Per Day. The U.S. Energy Information Administration (EIA) collects, analyzes, and disseminates independent and impartial energy information to promote sound policymaking, efficient markets, and public understanding of energy and its interaction with the economy and the environment. EIA provides a wide range of information and data products covering energy production, stocks, demand, imports, exports, and prices; and prepares analyses and special reports on topics of current interest. </description> <updated-at>2013-11-29T15:49:08Z</updated-at> <frequency>annual</frequency> <from-date>2007-12-31</from-date> <to-date>2011-12-31</to-date> <column-names type=\"array\"> <column-name>Year</column-name> <column-name>Thousand Barrels Per Day</column-name> </column-names> <private type=\"boolean\">false</private> <type nil=\"true\" /> <display-url>http://www.eia.gov/cfapps/ipdbproject/XMLinclude_3.cfm?tid=5&pid=53&pdid=53,55,57,58,59,56,54,62,63,64,65,66,67,68&aid=1&cid=regions&titleStr=Total%20Oil%20Supply%20(Thousand%20Barrels%20Per%20Day)&syid=2007&eyid=2011&form=&defaultid=3&typeOfUnit=STDUNIT&unit=TBPD&products= </display-url> </doc> </docs> </datasets>";
int count;
var instrument = QuandlUtils.ParseInstrumentXML(xml, out count);
Assert.AreEqual(0, instrument.Count);
}
public void InstrumentParsingWorksProperly()
{
string xml = "<?xml version=\"1.0\" encoding=\"UTF-8\"?> <datasets> <total-count type=\"integer\">36</total-count> <current-page type=\"integer\">1</current-page> <per-page type=\"integer\">20</per-page> <docs type=\"array\"> <doc> <id type=\"integer\">9354717</id> <source-code>GOOG</source-code> <code>NYSEARCA_QLD</code> <name>ProShares Ultra QQQ (ETF) (QLD)</name> <urlize-name>ProShares-Ultra-QQQ-ETF-QLD</urlize-name> <description>ProShares Ultra QQQ (the Fund), formerly Ultra QQQ ProShares, seeks daily investment results that correspond to twice the daily performance of the NASDAQ-100 Index. The NASDAQ-100 Index represents the largest non-financial domestic and international issues listed on The NASDAQ Stock Market. To be eligible for inclusion, companies cannot be in bankruptcy proceedings and must meet certain additional criteria, including minimum trading volume and seasoning requirements. The Index is calculated under a modified capitalization-weighted methodology. The Fund takes positions in securities and/or financial instruments that, in combination, should have similar daily return characteristics as 200% of the daily return of the Index. The Fund's investment advisor is ProShare Advisors LLC.</description> <updated-at>2013-12-13T00:40:36Z</updated-at> <frequency>daily</frequency> <from-date>2006-06-21</from-date> <to-date>2013-12-12</to-date> <column-names type=\"array\"> <column-name>Date</column-name> <column-name>Open</column-name> <column-name>High</column-name> <column-name>Low</column-name> <column-name>Close</column-name> <column-name>Volume</column-name> </column-names> <private type=\"boolean\">false</private> <type nil=\"true\"/> <display-url>http://www.google.com/finance/historical?q=NYSEARCA%3AQLD&startdate=Jan+1%2C+1990&output=csv</display-url> </doc> </docs> </datasets>";
int count;
var instrument = QuandlUtils.ParseInstrumentXML(xml, out count)[0];
Assert.AreEqual(36, count);
Assert.AreEqual("GOOG/NYSEARCA_QLD", instrument.DatasourceSymbol);
Assert.AreEqual("NYSEARCA_QLD", instrument.Symbol);
Assert.AreEqual("ProShares Ultra QQQ (ETF) (QLD)", instrument.Name);
}
public void RequestHistoricalData(HistoricalDataRequest request)
{
if (request.Frequency < BarSize.OneDay)
{
throw new Exception("Quandl unsupported bar size. Minimum is one day.");
}
string freqString = "daily"; //collapse=none|daily|weekly|monthly|quarterly|annual
switch (request.Frequency)
{
case BarSize.OneWeek:
freqString = "weekly";
break;
case BarSize.OneMonth:
freqString = "monthly";
break;
case BarSize.OneQuarter:
freqString = "quarterly";
break;
case BarSize.OneYear:
freqString = "annual";
break;
}
string requestURL = string.Format(
"http://www.quandl.com/api/v1/datasets/{0}.xml?trim_start={1}&trim_end={2}&sort_order=asc&collapse={3}",
request.Instrument.DatasourceSymbol,
request.StartingDate.ToString("yyyy-MM-dd"),
request.EndingDate.ToString("yyyy-MM-dd"),
freqString);
//if the user has provided an authentication code, we slap it on at the end
if (!string.IsNullOrEmpty(authToken))
{
requestURL += string.Format("&auth_token={0}", authToken);
}
//download the data
string data;
using (WebClient webClient = new WebClient())
{
try
{
data = webClient.DownloadString(requestURL);
}
catch (Exception ex)
{
string errMsg = "Quandl: error downloading data. " + ex.Message;
Log(LogLevel.Error, errMsg);
RaiseEvent(Error, this, new ErrorArgs(-1, errMsg));
return;
}
}
//then parse it
List <OHLCBar> bars;
try
{
bars = QuandlUtils.ParseXML(data);
}
catch (Exception ex)
{
Log(LogLevel.Error, ex.Message);
RaiseEvent(Error, this, new ErrorArgs(-1, ex.Message));
return;
}
//send back the data using the HistoricalDataArrived event
RaiseEvent(HistoricalDataArrived, this, new HistoricalDataEventArgs(request, bars));
}
public AddInstrumentQuandlViewModel(IDataClient client, IDialogCoordinator dialogCoordinator, string authToken)
{
_client = client;
_dialogCoordinator = dialogCoordinator;
//Create commands
Load = ReactiveCommand.CreateFromTask(async _ =>
{
var dsResult = await _client.GetDatasources().ConfigureAwait(true);
if (dsResult.WasSuccessful)
{
_thisDS = dsResult.Result.FirstOrDefault(x => x.Name == "Quandl");
}
else
{
_logger.Error("Could not find FRED datasource");
}
});
var canSearch = this.WhenAnyValue(x => x.Symbol).Select(x => !string.IsNullOrEmpty(x));
Search = ReactiveCommand.CreateFromTask(async _ =>
{
Status = "Searching...";
Instruments.Clear();
QuandlUtils.QuandlInstrumentSearchResult foundInstruments;
try
{
foundInstruments = await QuandlUtils.FindInstruments(Symbol, authToken, CurrentPage ?? 1).ConfigureAwait(true);
}
catch (Exception ex)
{
await _dialogCoordinator.ShowMessageAsync(this, "Error", ex.Message).ConfigureAwait(true);
return;
}
foreach (var i in foundInstruments.Instruments)
{
i.Datasource = _thisDS;
i.DatasourceID = _thisDS.ID;
i.Multiplier = 1;
Instruments.Add(i);
}
Status = foundInstruments.Count + " contracts found";
CurrentPage = CurrentPage ?? 1;
}, canSearch);
Add = ReactiveCommand.CreateFromTask <IList>(async selectedInstruments =>
{
int count = 0;
foreach (Instrument instrument in selectedInstruments)
{
instrument.Datasource = _thisDS;
instrument.DatasourceID = _thisDS.ID;
var result = await _client.AddInstrument(instrument).ConfigureAwait(true);
if (await result.DisplayErrors(this, _dialogCoordinator).ConfigureAwait(true))
{
continue;
}
count++;
AddedInstruments.Add(result.Result);
}
Status = string.Format("{0}/{1} instruments added.", count, selectedInstruments.Count);
});
this.WhenAny(x => x.CurrentPage, x => x)
.Select(x => new Unit()) //hack
.InvokeCommand(Search);
IncrementPage = ReactiveCommand.Create(() => CurrentPage == null ? 1 : CurrentPage++);
DecrementPage = ReactiveCommand.Create(() => Math.Max(1, CurrentPage == null ? 1 : (int)CurrentPage--));
}
