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);
}
