public void TestBLS_GetMultiple_PartialSuccess()
{
IQuotesSource source = CreateSource();
IQuotesSourceGetQuotesParams getQuotesParams = source.CreateGetQuotesParams();
getQuotesParams.Country = ConfigurationManager.AppSettings["BLS_COUNTRY"];
getQuotesParams.Tickers.Add(ConfigurationManager.AppSettings["BLS_TICKER_CPI_NSA"]);
getQuotesParams.Tickers.Add(ConfigurationManager.AppSettings["BLS_TICKER_INVALID"]);
getQuotesParams.PeriodStart = DateTime.Parse("2019/1/1");
getQuotesParams.PeriodEnd = DateTime.Parse("2019/12/12");
getQuotesParams.TimeFrame = ETimeFrame.Monthly;
IQuotesSourceGetQuotesResult getQuotesResult = source.GetQuotes(getQuotesParams);
Assert.IsNotNull(getQuotesResult);
Assert.IsTrue(getQuotesResult.Success);
Assert.False(getQuotesResult.HasErrors, "Unexpected error occured");
Assert.IsNotNull(getQuotesResult.QuotesData, "QuotesData object was not created");
Assert.AreEqual(getQuotesResult.QuotesData.Count(), 1, "Unexpected quotes read");
Assert.IsNotNull(getQuotesResult.QuotesData[0].Quotes, "Quotes array was not created");
Assert.Greater(getQuotesResult.QuotesData[0].Quotes.Count(), 0, "Quotes were not read");
Assert.IsNotNull(getQuotesResult.QuotesData[0].Metadata, "Metadata was not crated");
Assert.Greater(getQuotesResult.QuotesData[0].Metadata.Values.Count, 0, "Metadata values were not read");
}
public void SaveQuotes_Multiple_Success()
{
IQuotesSource source = CreateSource();
IQuotesDal dal = PrepareQuotesDal();
IQuotesDalSaveTimeseriesValuesParams saveParams = dal.CreateSaveTimeseriesValuesParams();
string[] tickers =
{
ConfigurationManager.AppSettings["TickerSPY"],
ConfigurationManager.AppSettings["TickerQQQ"]
};
IQuotesSourceGetQuotesParams getQuotesParams = source.CreateGetQuotesParams();
foreach (var t in tickers)
{
getQuotesParams.Tickers.Add(t);
}
getQuotesParams.Country = ConfigurationManager.AppSettings["CountryUS"];
getQuotesParams.PeriodStart = DateTime.Parse("2009/1/1");
getQuotesParams.PeriodEnd = DateTime.Parse("2019/1/1");
getQuotesParams.TimeFrame = ETimeFrame.Daily;
IQuotesSourceGetQuotesResult getQuotesResult = source.GetQuotes(getQuotesParams);
saveParams.Quotes.AddRange(getQuotesResult.QuotesData);
IQuotesDalSaveTimeseriesValuesResult saveResult = dal.SaveTimeseriesValues(saveParams);
Assert.IsTrue(saveResult.Success);
Assert.IsTrue(!saveResult.HasWarnings, "Unexpected warnings while performing save");
Assert.IsTrue(!saveResult.HasErrors, "Unexpected errors while performing save");
}
public void TestBLS_GetMultiple_Success()
{
IQuotesSource source = CreateSource();
IQuotesSourceGetQuotesParams getQuotesParams = source.CreateGetQuotesParams();
getQuotesParams.Country = ConfigurationManager.AppSettings["BLS_COUNTRY"];
getQuotesParams.Tickers.Add(ConfigurationManager.AppSettings["BLS_TICKER_CPI_NSA"]);
getQuotesParams.Tickers.Add(ConfigurationManager.AppSettings["BLS_TICKER_CPI_MEDICAL"]);
getQuotesParams.PeriodStart = DateTime.Parse("2019/1/1");
getQuotesParams.PeriodEnd = DateTime.Parse("2019/12/12");
getQuotesParams.TimeFrame = ETimeFrame.Monthly;
IQuotesSourceGetQuotesResult getQuotesResult = source.GetQuotes(getQuotesParams);
Assert.IsNotNull(getQuotesResult);
Assert.IsTrue(getQuotesResult.Success);
Assert.False(getQuotesResult.HasErrors, "Unexpected error occured");
Assert.IsNotNull(getQuotesResult.QuotesData, "QuotesData object was not created");
for (int i = 0; i < getQuotesParams.Tickers.Count; ++i)
{
Assert.IsNotNull(getQuotesResult.QuotesData[i].Quotes, string.Format("{0} - Quotes array was not created", getQuotesParams.Tickers[i]));
Assert.Greater(getQuotesResult.QuotesData[i].Quotes.Count(), 0, string.Format("{0} - Quotes were not read", getQuotesParams.Tickers[i]));
Assert.IsNotNull(getQuotesResult.QuotesData[i].Metadata, string.Format("{0} - Metadata was not crated", getQuotesParams.Tickers[i]));
Assert.Greater(getQuotesResult.QuotesData[i].Metadata.Values.Count, 0, string.Format("{0} - Metadata values were not read", getQuotesParams.Tickers[i]));
}
}
public IQuotesSourceGetQuotesResult GetQuotes(IQuotesSourceGetQuotesParams getQuotesParams)
{
IQuotesSourceGetQuotesResult result = new BEASourceGetQuotesResult();
foreach (var t in getQuotesParams.Tickers)
{
IQuotesSourceCanImportParams canImportParams = CreateCanImportParams();
canImportParams.Tickers.Add(t);
IQuotesSourceCanImportResult canImportRes = CanImport(canImportParams);
if (canImportRes.Success)
{
try
{
// TODO: 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);
}
public void TestStooq_GetQuotesMonthly_InvalidTicker()
{
IQuotesSource source = CreateSource();
IQuotesSourceGetQuotesParams getQuotesParams = source.CreateGetQuotesParams();
getQuotesParams.Country = ConfigurationManager.AppSettings["STOOQ_COUNTRY"];
getQuotesParams.Tickers.Add(ConfigurationManager.AppSettings["STOOQ_TICKER_INVALID"]);
getQuotesParams.PeriodStart = DateTime.Parse("2009/1/1");
getQuotesParams.PeriodEnd = DateTime.Parse("2019/1/1");
getQuotesParams.TimeFrame = ETimeFrame.Monthly;
IQuotesSourceGetQuotesResult getQuotesResult = source.GetQuotes(getQuotesParams);
Assert.IsNotNull(getQuotesResult);
Assert.IsFalse(getQuotesResult.Success);
Assert.True(getQuotesResult.HasErrors, "No errors reported");
Assert.IsNotNull(getQuotesResult.QuotesData, "QuotesData object was not created");
Assert.AreEqual(getQuotesResult.QuotesData.Count(), 0, "Quotes object is not empty");
}
public void TestStooq_GetQuotesMonthly_Success()
{
IQuotesSource source = CreateSource();
IQuotesSourceGetQuotesParams getQuotesParams = source.CreateGetQuotesParams();
getQuotesParams.Country = ConfigurationManager.AppSettings["STOOQ_COUNTRY"];
getQuotesParams.Tickers.Add(ConfigurationManager.AppSettings["STOOQ_TICKER_SPY"]);
getQuotesParams.PeriodStart = DateTime.Parse("2009/1/1");
getQuotesParams.PeriodEnd = DateTime.Parse("2019/1/1");
getQuotesParams.TimeFrame = ETimeFrame.Monthly;
IQuotesSourceGetQuotesResult getQuotesResult = source.GetQuotes(getQuotesParams);
Assert.IsNotNull(getQuotesResult);
Assert.IsTrue(getQuotesResult.Success);
Assert.False(getQuotesResult.HasErrors, "Unexpected error occured");
Assert.IsNotNull(getQuotesResult.QuotesData, "QuotesData object was not created");
Assert.IsNotNull(getQuotesResult.QuotesData[0].Quotes, "Quotes array was not created");
Assert.Greater(getQuotesResult.QuotesData[0].Quotes.Count(), 0, "Quotes were not read");
}
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);
}
public IQuotesSourceGetQuotesResult GetQuotes(IQuotesSourceGetQuotesParams getQuotesParams)
{
StooqApi api = new StooqApi();
IQuotesSourceGetQuotesResult result = new StooqSourceGetQuotesResult();
foreach (var t in getQuotesParams.Tickers)
{
IQuotesSourceCanImportParams canImportParams = CreateCanImportParams();
canImportParams.Tickers.Add(t);
IQuotesSourceCanImportResult canImportRes = CanImport(canImportParams);
if (canImportRes.Success)
{
try
{
IQuotesData qd = new BaseQuotesData();
var quotes = api.Download(t,
getQuotesParams.PeriodStart,
getQuotesParams.PeriodEnd,
getQuotesParams.Country,
getQuotesParams.TimeFrame == ETimeFrame.Daily ? StooqApi.ETimeFrame.Daily : (getQuotesParams.TimeFrame == ETimeFrame.Weekly ? StooqApi.ETimeFrame.Weekly : StooqApi.ETimeFrame.Monthly));
foreach (var q in quotes.Quotes)
{
ITimeSeriesRecord newRec = qd.CreateQuotesRecord();
newRec["Close"] = q.Close;
newRec["High"] = q.High;
newRec["Open"] = q.Open;
newRec["Low"] = q.Low;
newRec["Volume"] = q.Volume;
newRec.Time = ToPeriodStart(q.PeriodEnd, getQuotesParams.TimeFrame);
qd.AddRecord(newRec);
}
qd.Country = getQuotesParams.Country;
qd.Ticker = t;
qd.Name = this.TickerName(t);
qd.TimeFrame = getQuotesParams.TimeFrame;
qd.Type = this.TickerType(t);
qd.Unit = this.TickerUnit(t);
result.QuotesData.Add(qd);
}
catch (Exception ex)
{
result.Success = false;
result.AddError(Interfaces.EErrorCodes.QuotesSourceFail, Interfaces.EErrorType.Error, ex.Message);
}
}
}
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);
}
protected void ImportThread()
{
_logger.Log(EErrorType.Info, "ImportThread started");
if (_compContainer != null)
{
// Clearing all errors
Errors.Clear();
// validating if there are anything need to be imported
CurrentState = EImportState.Init;
var sources = string.IsNullOrEmpty(_impParams.AgencyCode) ? _compContainer.GetExports <IQuotesSource>() : _compContainer.GetExports <IQuotesSource>(_impParams.AgencyCode);
IQuotesSourceCanImportParams canImportParams = null;
foreach (var s in sources)
{
// break if stopped
if (!_isRunning)
{
break;
}
var source = s;
if (source != null)
{
List <string> tickersToImport = new List <string>();
//if list of tickers is provided - checking which of them can be imported by the current source
if (_impParams.Tickers != null)
{
// checking which of the given tickers can be imported
canImportParams = source.Value.CreateCanImportParams();
_impParams.Tickers.ToList().ForEach(x => canImportParams.Tickers.Add(x));
IQuotesSourceCanImportResult canImportResult = source.Value.CanImport(canImportParams);
if (canImportResult.Success)
{
tickersToImport.AddRange(canImportResult.Tickers);
}
}
// starting import in two cases: 1) some tickers can be imported by this source OR 2) requested to import all possible tickers by given agency
if (tickersToImport.Count > 0 || (_impParams.Tickers == null && !string.IsNullOrEmpty(_impParams.AgencyCode)))
{
CurrentState = EImportState.ImportSources;
IQuotesSourceGetQuotesParams getQuotesParams = source.Value.CreateGetQuotesParams();
foreach (var t in tickersToImport)
{
getQuotesParams.Tickers.Add(t);
}
try
{
IQuotesDalSaveTimeseriesValuesParams saveParams = _dal.CreateSaveTimeseriesValuesParams();
getQuotesParams.Country = ConfigurationManager.AppSettings["DefaultCountry"];
getQuotesParams.PeriodStart = _impParams.DateStart;
getQuotesParams.PeriodEnd = _impParams.DateEnd;
getQuotesParams.TimeFrame = (ETimeFrame)_impParams.TimeFrame;
CurrentState = EImportState.ImportSources;
IQuotesSourceGetQuotesResult getQuotesResult = source.Value.GetQuotes(getQuotesParams);
saveParams.Quotes.AddRange(getQuotesResult.QuotesData);
CurrentState = EImportState.Saving;
IQuotesDalSaveTimeseriesValuesResult saveResult = _dal.SaveTimeseriesValues(saveParams);
if (saveResult.Success)
{
foreach (var t in tickersToImport)
{
_tickersProcessed.Add(t);
}
saveResult.TimeSeriesSaved.ToList().ForEach(x => { AddTickerForETL(x); });
}
_logger.Log(EErrorType.Info, string.Format("Import done"));
}
catch (Exception ex)
{
_logger.Log(ex);
Errors.Add(new Error()
{
Code = EErrorCodes.ImporterError, Type = EErrorType.Error, Message = string.Format("Import failed. Error: {0}", ex.Message)
});
}
}
}
} // foreach
}
else
{
Errors.Add(new Error()
{
Code = EErrorCodes.ImporterError, Type = EErrorType.Error, Message = "Import failed. Composition comtainer is NULL"
});
}
CurrentState = EImportState.Idle;
_isRunning = false;
_importEnd = DateTime.UtcNow;
_logger.Log(EErrorType.Info, string.Format("ImportThread finished. Total errors: {0}, Time: {1}", Errors.Count, _importEnd - _importStart));
}
