public void TestVolatAll()
{
IMarketProvider moex = GetMoex();
IMarketProvider cbr = GetCbr();
DataProvider.Input.CombinedProvider.Provider provider =
new DataProvider.Input.CombinedProvider.Provider(new List <IMarketProvider>()
{
moex,
cbr
});
Core.Mir.Environment environment =
new Core.Mir.Environment();
environment.Market = new MarketData(provider);
CalculationOneData calculation = new CalculateVolat.Volat();
calculation.ReportDate = new DateTime(2018, 05, 12);
Dictionary <string, object> pars = new Dictionary <string, object>()
{
{ CalculateVolat.Volat.WINDOW, 5 },
{ CalculateVolat.Volat.MINIMAL_AMOUT, 90 },
};
calculation.SetParams(pars);
calculation.Environment = environment;
calculation.Run();
}
public void LoadData()
{
treeView1.Nodes.Clear();
var iConnection = DataBaseLink.Fabricate.CreateConnection(_connection, DataBaseLink.ConnectionType.Npgsql);
DataBaseLink.DbLink _dbLink = new DataBaseLink.DbLink(iConnection);
//достаем финансовые инструменты и сортируем по папкам
IMarketProvider moex = GetMoex();
IMarketProvider cbr = GetCbr();
DataProvider.Input.CombinedProvider.Provider provider =
new DataProvider.Input.CombinedProvider.Provider(new List <IMarketProvider>()
{
moex,
cbr
});
List <FinType> finTypes = new List <FinType>()
{
FinType.Bond,
FinType.Certificate,
FinType.DepositaryReceipt,
FinType.Equity,
FinType.Fund
};
Dictionary <FinType, string> types = new Dictionary <FinType, string>()
{
{ FinType.Bond, "Облигации" },
{ FinType.Certificate, "Сертификаты" },
{ FinType.DepositaryReceipt, "Депозитарные распискы" },
{ FinType.Equity, "Акции" },
{ FinType.Fund, "Фонды" },
};
List <PortfolioPosition> positions = provider.GetAllPositions(finTypes);
foreach (var x in types)
{
TreeNode root = treeView1.Nodes.Add(x.Value, x.Value);
foreach (var z in positions.Where(p => p.FinType == x.Key))
{
root.Nodes.Add(z.Ident, z.Ident);
}
}
}
public void TestCalculateVar()
{
IMarketProvider moex = GetMoex();
IMarketProvider cbr = GetCbr();
DataProvider.Input.CombinedProvider.Provider provider =
new DataProvider.Input.CombinedProvider.Provider(new List <IMarketProvider>()
{
moex,
cbr
});
Core.Mir.Environment environment =
new Core.Mir.Environment();
environment.Market = new MarketData(provider);
CalculationOneData calculation = new Var();
calculation.ReportDate = new DateTime(2018, 05, 04);
Dictionary <string, object> pars = new Dictionary <string, object>()
{
{ Var.WINDOW, 5 },
{ Var.QUANTILE, 0.9m },
};
calculation.SetParams(pars);
calculation.Environment = environment;
bool result = false;
try
{
result = calculation.Run();
}
catch
{
result = false;
}
#region Settings Output
#region Выгрузка данных в мир
if (result)
{
#region Settings outputProvider
string mirConnection = ConfigurationManager.AppSettings["mirconnection"];
DataProvider.Output.Mir.Mapping outMapping = new DataProvider.Output.Mir.Mapping();
outMapping.AI = new Dictionary <Enum, string>()
{
#region Финансовые инструменты
{ FinType.Equity, "12" },
{ FinType.Bond, "13" },
{ FinType.Fund, "14" },
{ FinType.Certificate, "15" },
{ FinType.DepositaryReceipt, "16" },
{ FinType.FxRate, "20" },
{ TimeSeriesAttribute.Var, "21675" },
#endregion
};
outMapping.TKE = new Dictionary <KeyValuePair <Type, string>, Enum>()
{
#region Валюта
{ new KeyValuePair <Type, string>(typeof(Currencies), "CHF"), Currencies.CHF },
{ new KeyValuePair <Type, string>(typeof(Currencies), "EUR"), Currencies.EUR },
{ new KeyValuePair <Type, string>(typeof(Currencies), "GBP"), Currencies.GBP },
{ new KeyValuePair <Type, string>(typeof(Currencies), "RUB"), Currencies.RUB },
{ new KeyValuePair <Type, string>(typeof(Currencies), "RUR"), Currencies.RUB },
{ new KeyValuePair <Type, string>(typeof(Currencies), "USD"), Currencies.USD },
#endregion
};
outMapping.ET = new Dictionary <Enum, Type>()
{
{ ScalarAttribute.DetailedType, typeof(FinTypeDetailedLevel) },
{ ScalarAttribute.Currency, typeof(Currencies) },
{ ScalarAttribute.FinType, typeof(FinType) },
};
mirConnection = "Host = localhost; Username =postgres; Password =roman; Database =MIR";
using (var outProvider = new DataProvider.Output.Mir.Provider(mirConnection, outMapping))
{
outProvider.SetParams(new Dictionary <string, object>()
{
{ DataProvider.Output.Mir.Provider.SCALAR, "CALCULATED" },
{ DataProvider.Output.Mir.Provider.QUOTE, "CALCULATED" }
});
outProvider.Save(calculation.returnResultSet());
}
#endregion
}
#endregion
#region Выгрузка данных в Excel
string excelPath = @"C:\Users\RomanBushuev\YandexDisk\MarketData\Reports\Var\";
string excelFileName = string.Format("{0}.xlsx",
calculation.ReportDate.ToString("yyyy.MM.dd"));
DataProvider.Output.Excel.Provider excelProvider =
new DataProvider.Output.Excel.Provider(excelPath + excelFileName);
excelProvider.Save(calculation.returnResultSet());
#endregion
#endregion
}
public void ReadDataFromMoexAndCbr()
{
#region mapping mir_moex
DataProvider.Input.MirReader.Mapping mapping = new DataProvider.Input.MirReader.Mapping();
mapping.AI = new Dictionary <Enum, string>()
{
#region Финансовые инструменты
{ FinType.Equity, "12" },
{ FinType.Bond, "13" },
{ FinType.Fund, "14" },
{ FinType.Certificate, "15" },
{ FinType.DepositaryReceipt, "16" },
{ FinType.Default, "20" },
{ TimeSeriesAttribute.Close, "3" },
{ ScalarAttribute.Name, "4" },
{ ScalarAttribute.Nominal, "9" },
{ ScalarAttribute.MatDate, "11" },
{ ScalarAttribute.Currency, "8" },
#endregion
};
mapping.TKE = new Dictionary <KeyValuePair <Type, string>, Enum>()
{
#region Валюта
{ new KeyValuePair <Type, string>(typeof(Currencies), "CHF"), Currencies.CHF },
{ new KeyValuePair <Type, string>(typeof(Currencies), "EUR"), Currencies.EUR },
{ new KeyValuePair <Type, string>(typeof(Currencies), "GBP"), Currencies.GBP },
{ new KeyValuePair <Type, string>(typeof(Currencies), "RUB"), Currencies.RUB },
{ new KeyValuePair <Type, string>(typeof(Currencies), "RUR"), Currencies.RUB },
{ new KeyValuePair <Type, string>(typeof(Currencies), "USD"), Currencies.USD },
#endregion
#region Фин.инструменты
{ new KeyValuePair <Type, string>(typeof(FinType), "CERTIFICATE"), FinType.Certificate },
{ new KeyValuePair <Type, string>(typeof(FinType), "DEPOSITARY RECEIPT"), FinType.DepositaryReceipt },
{ new KeyValuePair <Type, string>(typeof(FinType), "BOND"), FinType.Bond },
{ new KeyValuePair <Type, string>(typeof(FinType), "EQUITY"), FinType.Equity },
{ new KeyValuePair <Type, string>(typeof(FinType), "FUND"), FinType.Fund },
{ new KeyValuePair <Type, string>(typeof(FinType), "FX_RATE"), FinType.FxRate },
{ new KeyValuePair <Type, string>(typeof(FinType), "PERCENT_CURVE"), FinType.PercentCurve },
#endregion
};
mapping.ET = new Dictionary <Enum, Type>()
{
{ ScalarAttribute.DetailedType, typeof(FinTypeDetailedLevel) },
{ ScalarAttribute.Currency, typeof(Currencies) },
{ ScalarAttribute.FinType, typeof(FinType) },
};
Dictionary <string, object> sq = new Dictionary <string, object>()
{
{ DataProvider.Input.MirReader.Provider.QUOTE, "MOEX" },
{ DataProvider.Input.MirReader.Provider.SCALAR, "MOEX" },
};
#endregion
DataProvider.Input.MirReader.Provider MoexProvider =
new DataProvider.Input.MirReader.Provider(connection, mapping);
MoexProvider.SetParams(sq);
#region mapping mir_cbr
DataProvider.Input.MirReader.Mapping mapping2 = new DataProvider.Input.MirReader.Mapping();
mapping2.AI = new Dictionary <Enum, string>()
{
#region Финансовые инструменты
{ FinType.Equity, "12" },
{ FinType.Bond, "13" },
{ FinType.Fund, "14" },
{ FinType.Certificate, "15" },
{ FinType.DepositaryReceipt, "16" },
{ FinType.Default, "20" },
{ TimeSeriesAttribute.Close, "3" },
{ ScalarAttribute.Name, "4" },
{ ScalarAttribute.Nominal, "9" },
{ ScalarAttribute.MatDate, "11" },
{ ScalarAttribute.Currency, "8" },
{ Currencies.CHF, "CHF" },
{ Currencies.EUR, "EUR" },
{ Currencies.USD, "USD" }
#endregion
};
mapping2.TKE = new Dictionary <KeyValuePair <Type, string>, Enum>()
{
#region Валюта
{ new KeyValuePair <Type, string>(typeof(Currencies), "CHF"), Currencies.CHF },
{ new KeyValuePair <Type, string>(typeof(Currencies), "EUR"), Currencies.EUR },
{ new KeyValuePair <Type, string>(typeof(Currencies), "GBP"), Currencies.GBP },
{ new KeyValuePair <Type, string>(typeof(Currencies), "RUB"), Currencies.RUB },
{ new KeyValuePair <Type, string>(typeof(Currencies), "RUR"), Currencies.RUB },
{ new KeyValuePair <Type, string>(typeof(Currencies), "USD"), Currencies.USD },
#endregion
#region Фин.инструменты
{ new KeyValuePair <Type, string>(typeof(FinType), "CERTIFICATE"), FinType.Certificate },
{ new KeyValuePair <Type, string>(typeof(FinType), "DEPOSITARY RECEIPT"), FinType.DepositaryReceipt },
{ new KeyValuePair <Type, string>(typeof(FinType), "BOND"), FinType.Bond },
{ new KeyValuePair <Type, string>(typeof(FinType), "EQUITY"), FinType.Equity },
{ new KeyValuePair <Type, string>(typeof(FinType), "FUND"), FinType.Fund },
{ new KeyValuePair <Type, string>(typeof(FinType), "FX_RATE"), FinType.FxRate },
{ new KeyValuePair <Type, string>(typeof(FinType), "PERCENT_CURVE"), FinType.PercentCurve },
#endregion
};
mapping2.ET = new Dictionary <Enum, Type>()
{
{ ScalarAttribute.DetailedType, typeof(FinTypeDetailedLevel) },
{ ScalarAttribute.Currency, typeof(Currencies) },
{ ScalarAttribute.FinType, typeof(FinType) },
};
Dictionary <string, object> sq2 = new Dictionary <string, object>()
{
{ DataProvider.Input.MirReader.Provider.QUOTE, "CBR" },
{ DataProvider.Input.MirReader.Provider.SCALAR, "CBR" },
};
#endregion
DataProvider.Input.MirReader.Provider CbrProvider =
new DataProvider.Input.MirReader.Provider(connection, mapping2);
CbrProvider.SetParams(sq2);
DataProvider.Input.CombinedProvider.Provider combinedProvider =
new DataProvider.Input.CombinedProvider.Provider(new List <IMarketProvider>()
{
MoexProvider, CbrProvider
});
var positionTS = combinedProvider.GetTimeSeries(position, TimeSeriesAttribute.Close);
var currencyTS = combinedProvider.GetTimeSeries(Currencies.USD, TimeSeriesAttribute.Close);
Assert.IsTrue(positionTS != null && positionTS.Series.Count != 0 &&
currencyTS != null && currencyTS.Series.Count != 0);
Console.WriteLine(positionTS.Series.Count);
Console.WriteLine(currencyTS.Series.Count);
}
