public override TimeSeriesDataOutput GetTimeSeriesData(TimeSeriesDataInput input)
{
if (input == null || string.IsNullOrEmpty(input.Symbol))
{
return(null);
}
DateTime fromDate = new DateTime(1970, 1, 1);
DateTime toDate = DateTime.Now;
if (input.OutputCount >= 0)
{
switch (input.Frequency)
{
case BarFrequency.Day1:
fromDate = toDate.AddDays(-input.OutputCount * 5);
break;
case BarFrequency.Week1:
fromDate = toDate.AddDays(-input.OutputCount * 8);
break;
case BarFrequency.Month1:
fromDate = toDate.AddDays(-input.OutputCount * 31);
break;
case BarFrequency.Hour1:
fromDate = toDate.AddDays(-(input.OutputCount / 6.5) * 5);
break;
case BarFrequency.Hour4:
fromDate = toDate.AddDays(-(input.OutputCount / (6.5 / 4) * 5));
break;
case BarFrequency.Minute1:
fromDate = toDate.AddDays(-(input.OutputCount / 390 >= 1.0 ? input.OutputCount / 390 : 1) * 5);
break;
case BarFrequency.Minute15:
fromDate = toDate.AddDays(-(input.OutputCount / (390 / 15) > 1.0 ? input.OutputCount / (390 / 15) : 1) * 5);
break;
case BarFrequency.Minute30:
fromDate = toDate.AddDays(-(input.OutputCount / (390 / 30) > 1.0 ? input.OutputCount / (390 / 30) : 1) * 5);
break;
case BarFrequency.Minute5:
fromDate = toDate.AddDays(-(input.OutputCount / (390 / 5) > 1.0 ? input.OutputCount / (390 / 5) : 1) * 5);
break;
}
}
TVCHistoryResponse tvchistory = GetHistoricalPrices(input.Symbol, input.Frequency, fromDate, toDate);
if (tvchistory != null && tvchistory.s == "ok")
{
TimeSeriesDataOutput output = new TimeSeriesDataOutput();
output.Symbol = input.Symbol;
output.TimeZone = "UTC";
List <StockBar> stockBars = new List <StockBar>();
if (tvchistory.t != null && tvchistory.t.Length > 0)
{
for (int i = 0; i < tvchistory.t.Length; i++)
{
StockBar bar = new StockBar();
bar.AsOfDate = new DateTime(1970, 1, 1).AddSeconds(tvchistory.t[i]);
bar.Close = tvchistory.c[i];
bar.High = tvchistory.h[i];
bar.Low = tvchistory.l[i];
bar.Open = tvchistory.o[i];
bar.SplitCoefficient = 1.0;
bar.Volume = Convert.ToDecimal(tvchistory.v[i]);
bar.TS = DateTime.UtcNow;
stockBars.Add(bar);
}
}
if (stockBars.Count > 0)
{
if (input.OutputCount >= 0 && stockBars.Count > input.OutputCount)
{
output.Data = stockBars.Skip(stockBars.Count - (int)input.OutputCount).ToArray();
}
else
{
output.Data = stockBars.ToArray();
}
}
return(output);
}
return(null);
}
public void Update(int iStartFrom = 0)
{
//var o = RetrieveStockTimeSeriesPrices("HAE", BarFrequency.Day1, true, -1);
//StoreHistoryPrices(200004253, BarFrequency.Day1, true, o.Data);
_logger.LogInfo(string.Format("Update historical prices for {0} from Alpha Vantage.", _period));
PricingRule[] pricingRules = GetPricingRules();
_logger.LogInfo(string.Format("Total {0} symbols.", pricingRules.Count()));
string[] keys = GetAPIKeys();
_logger.LogInfo(string.Format("Total {0} active keys.", keys.Count()));
long totalSymbols = pricingRules.Count();
int keyCount = keys.Count();
_logger.LogInfo("Get latest prices.");
IDictionary <string, StockBar> stockBars = GetLatestStockHistoryPrices(pricingRules.Select(p => p.Ticker).ToArray(), _period, _isAdjustedValue);
object countObj = new object();
int handleCount = 0;
_logger.LogInfo("Start retriving prices from Alpha Vantage.");
foreach (var pricingRule in pricingRules)
{
int idx;
lock (countObj)
{
idx = handleCount + 1;
handleCount++;
}
if (idx < iStartFrom)
{
continue;
}
try
{
StockBar bar = null;
if (stockBars != null && stockBars.Count > 0)
{
if (stockBars.ContainsKey(pricingRule.Ticker))
{
bar = stockBars[pricingRule.Ticker];
}
}
TimeSeriesDataOutput output = null;
if (bar != null)
{
output = RetrieveStockTimeSeriesPrices(pricingRule.Ticker, _period, _isAdjustedValue, 0);
if (output != null && output.Data != null && output.Data.Count() > 0)
{
if (output.Data.Select(p => p.AsOfDate).Min() <= bar.AsOfDate)
{
if (_isAdjustedValue)
{
StockBar sameBar = (from p in output.Data
where p.AsOfDate == bar.AsOfDate
select p).FirstOrDefault() as StockBar;
if (sameBar != null && sameBar.AdjClose.Value != bar.AdjClose.Value)
{
output = null;
}
}
}
else
{
output = null;
}
}
else
{
output = null;
}
}
if (output == null)
{
output = RetrieveStockTimeSeriesPrices(pricingRule.Ticker, _period, _isAdjustedValue, -1);
}
if (output != null && output.Data != null && output.Data.Count() > 0)
{
if (StoreHistoryPrices(pricingRule.SID, _period, _isAdjustedValue, output.Data))
{
_logger.LogInfo(string.Format("({3}/{4}) Symbol:{0}, SID:{1}, P:{5}, Stored {2} bars", pricingRule.Ticker, pricingRule.SID, output.Data.Count(), idx, totalSymbols, pricingRule.Priority));
}
else
{
_logger.LogInfo(string.Format("({3}/{4}) Symbol:{0}, SID:{1}, P:{5}, Failed stored {2} bars", pricingRule.Ticker, pricingRule.SID, output.Data.Count(), idx, totalSymbols, pricingRule.Priority));
}
}
else
{
_logger.LogInfo(string.Format("({2}/{3}) Symbol:{0}, SID:{1}, P:{4}, Can't retrive data", pricingRule.Ticker, pricingRule.SID, idx, totalSymbols, pricingRule.Priority));
}
}
catch (Exception ex)
{
_logger.LogError(string.Format("({3}/{4}) Symbol:{0}, SID:{1}, Error:{2}", pricingRule.Ticker, pricingRule.SID, ex.Message, idx, totalSymbols));
}
}
;
}
protected TimeSeriesDataOutput ConvertDataToTimeSeriesDataOutput(TimeSeriesDataInput input, DataTable dtTimeSeries)
{
if (input == null || string.IsNullOrEmpty(input.Symbol) || dtTimeSeries == null || dtTimeSeries.Rows.Count == 0)
{
return(null);
}
if (dtTimeSeries != null && dtTimeSeries.Columns.Count > 0)
{
foreach (DataColumn col in dtTimeSeries.Columns)
{
if (col.ColumnName.Trim().Contains(" "))
{
col.ColumnName = col.ColumnName.Trim().Replace(" ", "_");
}
}
}
TimeSeriesDataOutput result = null;
if (input is CryptoTimeSeriesDataInput)
{
CryptoTimeSeriesDataInput cryptoInput = input as CryptoTimeSeriesDataInput;
CryptoTimeSeriesDataOutput output = new CryptoTimeSeriesDataOutput();
output.Symbol = cryptoInput.Symbol;
output.Market = cryptoInput.Market;
output.TimeZone = "UTC";
List <CryptoBar> cryptoBars = new List <CryptoBar>();
List <string> fieldList = new List <string>();
foreach (DataColumn col in dtTimeSeries.Columns)
{
if (col.ColumnName.Contains(output.Market))
{
fieldList.Add(col.ColumnName);
}
else if (AV_FIELD_LIST.Contains(col.ColumnName))
{
fieldList.Add(col.ColumnName);
}
}
foreach (DataRow row in dtTimeSeries.AsEnumerable())
{
CryptoBar cryptoBar = new CryptoBar();
foreach (string field in fieldList)
{
if (field == AV_FIELD_TIMESTAMP)
{
cryptoBar.AsOfDate = Convert.ToDateTime(row[field]);
}
else if (field == AV_FIELD_VOLUME)
{
cryptoBar.Volume = row[field].ToDecimal();
}
else if (field.StartsWith(AV_FIELD_MARKET_CAP))
{
cryptoBar.MarketCap = row[field].ToDecimal();
}
else if (field.StartsWith(AV_FIELD_OPEN))
{
cryptoBar.Open = row[field].ToDouble();
}
else if (field.StartsWith(AV_FIELD_HIGH))
{
cryptoBar.High = row[field].ToDouble();
}
else if (field.StartsWith(AV_FIELD_LOW))
{
cryptoBar.Low = row[field].ToDouble();
}
else if (field.StartsWith(AV_FIELD_CLOSE) || field.StartsWith(AV_FIELD_PRICE))
{
cryptoBar.Close = row[field].ToDouble();
}
}
cryptoBars.Add(cryptoBar);
}
output.Data = cryptoBars.ToArray();
result = output;
}
else
{
TimeSeriesDataOutput output = new TimeSeriesDataOutput();
output.Symbol = input.Symbol;
output.TimeZone = "US/Eastern";
List <StockBar> stockBars = new List <StockBar>();
List <string> fields = new List <string>();
foreach (string field in AV_FIELD_LIST)
{
if (dtTimeSeries.Columns.Contains(field))
{
fields.Add(field);
}
}
foreach (DataRow row in dtTimeSeries.AsEnumerable())
{
StockBar bar = new StockBar();
foreach (string field in fields)
{
switch (field)
{
case AV_FIELD_TIMESTAMP:
bar.AsOfDate = DateTime.Parse(row.Field <string>(field));
break;
case AV_FIELD_OPEN:
bar.Open = row[AV_FIELD_OPEN].ToDouble();
break;
case AV_FIELD_HIGH:
bar.High = row[AV_FIELD_HIGH].ToDouble();
break;
case AV_FIELD_LOW:
bar.Low = row[AV_FIELD_LOW].ToDouble();
break;
case AV_FIELD_PRICE:
case AV_FIELD_CLOSE:
bar.Close = row[AV_FIELD_CLOSE].ToDouble();
break;
case AV_FIELD_VOLUME:
bar.Volume = row[AV_FIELD_VOLUME].ToDecimal();
break;
case AV_FIELD_SPLIT_COEFFICIENT:
bar.SplitCoefficient = row[AV_FIELD_SPLIT_COEFFICIENT].ToDouble();
break;
case AV_FIELD_DIVIDEND_AMOUNT:
bar.DividendAmount = row[AV_FIELD_DIVIDEND_AMOUNT].ToDouble();
break;
case AV_FIELD_ADJUSTED_CLOSE:
bar.AdjClose = row[AV_FIELD_ADJUSTED_CLOSE].ToDouble();
break;
}
}
stockBars.Add(bar);
}
output.Data = stockBars.ToArray();
result = output;
}
return(result);
}
