public void Should_return_valid_volume_ratio_time_range_for_three_months()
{
// Given
var start = DateTime.UtcNow.ToEstTime().Date.AddMonths(-3 * 6);
if (!start.IsTradingDay())
{
start = start.GetPreviousTradingDay();
}
var yesterday = DateTime.UtcNow.ToEstTime().Date.AddMonths(-3);
if (!yesterday.IsTradingDay())
{
yesterday = yesterday.GetPreviousTradingDay();
}
var expectedTimeRange = new TimeRange(start, yesterday);
// When
var timeRange = MarketCalendar.CalculateDateRangeForVolumeRatio(DateRange.ThreeMonths);
// Then
timeRange.ShouldBe(expectedTimeRange);
}
public void SingleStock_should_return_same_number_news_table_and_summary_info(DataTableDateRangeOptions dataTableDateRangeOptions)
{
Thread.CurrentThread.CurrentCulture = new CultureInfo("en-US");
var repository = new Repository();
var summaryDataProvider = new SummaryDataProvider(repository);
DataTableOptions stockTableOptions = new DataTableOptions
{
Filter = dataTableDateRangeOptions.Filter,
Symbol = dataTableDateRangeOptions.Symbol,
Take = dataTableDateRangeOptions.Take,
Skip = dataTableDateRangeOptions.Skip,
SortDescription = dataTableDateRangeOptions.SortDescription,
StartTonDate = dataTableDateRangeOptions.StartTonDate,
Providers = dataTableDateRangeOptions.Providers
};
var range = DateRange.Today;
var trr = MarketCalendar.CalculateTradingTimeRange(range, DateTime.Now, DateTime.Now);
if (dataTableDateRangeOptions.StartDate != null && dataTableDateRangeOptions.EndDate != null)
{
trr = MarketCalendar.CalculateTradingTimeRange(range, dataTableDateRangeOptions.StartDate.Value, dataTableDateRangeOptions.EndDate.Value);
}
var stockPageSymbolFunc = new StockPageSymbolFunc(repository);
var tableResult = stockPageSymbolFunc.GetNewsStreamingDataSource(stockTableOptions);
var symbolSummaryData = summaryDataProvider.BuildCompanySection(stockTableOptions.Symbol, range, trr, dataTableDateRangeOptions.StartTonDate, dataTableDateRangeOptions.Providers);
Assert.AreEqual(tableResult.Total, 10003);
}
public void Should_return_valid_volume_ratio_time_range_for_week()
{
// Given
var yesterday = DateTime.UtcNow.ToEstTime().Date.GetTradingDayBeforeDaysCount(5);
if (!yesterday.IsTradingDay())
{
yesterday = yesterday.GetPreviousTradingDay();
}
var start = yesterday.GetTradingDayBeforeDaysCount(5 * 5); // 5 weeks
if (!start.IsTradingDay())
{
start = start.GetPreviousTradingDay();
}
var expectedTimeRange = new TimeRange(start, yesterday);
// When
var timeRange = MarketCalendar.CalculateDateRangeForVolumeRatio(DateRange.Week);
// Then
timeRange.ShouldBe(expectedTimeRange);
}
public void SingleStock_should_not_epty_data_in_summary_info(DataTableDateRangeOptions dataTableDateRangeOptions)
{
Thread.CurrentThread.CurrentCulture = new CultureInfo("en-US");
var repository = new Repository();
var summaryDataProvider = new SummaryDataProvider(repository);
const DateRange range = DateRange.Today;
var trr = MarketCalendar.CalculateTradingTimeRange(range, DateTime.Now, DateTime.Now);
if (dataTableDateRangeOptions.StartDate != null && dataTableDateRangeOptions.EndDate != null)
{
trr = MarketCalendar.CalculateTradingTimeRange(range, dataTableDateRangeOptions.StartDate.Value, dataTableDateRangeOptions.EndDate.Value);
}
var symbolSummaryData = summaryDataProvider.BuildCompanySection(dataTableDateRangeOptions.Symbol, range, trr, dataTableDateRangeOptions.StartTonDate, dataTableDateRangeOptions.Providers);
Assert.That(symbolSummaryData.AllNewsCount, Is.Not.Null);
Assert.That(symbolSummaryData.AskShares, Is.Not.Null);
Assert.That(symbolSummaryData.AskSharesStr, Is.Not.Empty);
Assert.That(symbolSummaryData.AskSize, Is.Not.Null);
Assert.That(symbolSummaryData.AvgBidAskSize, Is.Not.Empty);
Assert.That(symbolSummaryData.BidAskSpread, Is.Not.Null);
Assert.That(symbolSummaryData.BidShares, Is.Not.Null);
Assert.That(symbolSummaryData.BidSharesStr, Is.Not.Empty);
Assert.That(symbolSummaryData.BidSize, Is.Not.Null);
Assert.That(symbolSummaryData.BlockShares, Is.Not.Null);
Assert.That(symbolSummaryData.BlockSharesStr, Is.Not.Empty);
Assert.That(symbolSummaryData.Change, Is.Not.Null);
Assert.That(symbolSummaryData.ChangeStr, Is.Not.Empty);
Assert.That(symbolSummaryData.DowngradesCount, Is.Not.Null);
Assert.That(symbolSummaryData.InitiatesCount, Is.Not.Null);
Assert.That(symbolSummaryData.LastEarnings, Is.Not.Empty);
Assert.That(symbolSummaryData.LastEarningsDate, Is.Not.Null);
Assert.That(symbolSummaryData.LastEps, Is.Not.Null);
Assert.That(symbolSummaryData.LastTod, Is.Not.Empty);
Assert.That(symbolSummaryData.MoreOverCount, Is.Not.Null);
Assert.That(symbolSummaryData.NewsWiresCount, Is.Not.Null);
Assert.That(symbolSummaryData.NextEarnings, Is.Not.Empty);
Assert.That(symbolSummaryData.NextEarningsDate, Is.Not.Null);
Assert.That(symbolSummaryData.NextTod, Is.Not.Empty);
Assert.That(symbolSummaryData.OddLot, Is.Not.Null);
Assert.That(symbolSummaryData.OddLotStr, Is.Not.Empty);
Assert.That(symbolSummaryData.OffExchange, Is.Not.Empty);
Assert.That(symbolSummaryData.ReiteratesCount, Is.Not.Null);
Assert.That(symbolSummaryData.SecEdgarFilingsCount, Is.Not.Null);
Assert.That(symbolSummaryData.SectionType, Is.Not.Empty);
Assert.That(symbolSummaryData.SharesAtAskBid, Is.Not.Empty);
Assert.That(symbolSummaryData.SubPenny, Is.Not.Null);
Assert.That(symbolSummaryData.SubPennyStr, Is.Not.Empty);
Assert.That(symbolSummaryData.TotalShares, Is.Not.Null);
Assert.That(symbolSummaryData.TotalSharesStr, Is.Not.Empty);
Assert.That(symbolSummaryData.TotalTrades, Is.Not.Null);
Assert.That(symbolSummaryData.TotalTradesStr, Is.Not.Empty);
Assert.That(symbolSummaryData.UpgradesCount, Is.Not.Null);
Assert.That(symbolSummaryData.Volatility, Is.Not.Null);
Assert.That(symbolSummaryData.Volatility20, Is.Not.Null);
Assert.That(symbolSummaryData.Volatility20Str, Is.Not.Empty);
Assert.That(symbolSummaryData.VolatilityStr, Is.Not.Empty);
Assert.That(symbolSummaryData.VolumeRatio, Is.Not.Null);
Assert.That(symbolSummaryData.VolumeRatioStr, Is.Not.Empty);
}
public void Should_return_valid_volume_ratio_time_range_for_custom_range_one_day_on_holiday()
{
// Given
var start = DateTime.Parse("1/19/2015");
var end = DateTime.Parse("1/19/2015");
var expectedTimeRange = new TimeRange(DateTime.Parse("1/9/2015"), DateTime.Parse("1/15/2015"));
// When
var timeRange = MarketCalendar.CalculateVolumeRatioDateRange(DateRange.Range, start, end);
// Then
timeRange.ShouldBe(expectedTimeRange);
}
public void Should_return_valid_volume_ratio_time_range_for_one_year()
{
// Given
var start = DateTime.UtcNow.ToEstTime().Date.AddYears(-1 * 6);
var yesterday = DateTime.UtcNow.ToEstTime().Date.AddYears(-1);
var expectedTimeRange = new TimeRange(start, yesterday);
// When
var timeRange = MarketCalendar.CalculateDateRangeForVolumeRatio(DateRange.Year);
// Then
timeRange.ShouldBe(expectedTimeRange);
}
public void Should_return_range_for_yesterday()
{
// Given
var startDate = DateTime.UtcNow.ToEstTime().GetPreviousTradingDay().ChangeTime(16, 0, 0, 0);
var endDate = DateTime.UtcNow.ToEstTime().GetPreviousTradingDay().EndOfDay();
var mainDateRange = new TimeRange(startDate.StartOfDay(), endDate);
var alignedDateRange = new TimeRange(startDate.GetPreviousTradingDay(), endDate.EndOfDay());
var extendedDateRnage = new TimeRange(startDate.GetPreviousTradingDay().StartOfDay(), endDate);
// When
var dateRange = MarketCalendar.CalculateTradingTimeRange(DateRange.Yesterday);
// Then
dateRange.TimeRange.ShouldBe(mainDateRange);
dateRange.AlignedTimeRange.ShouldBe(alignedDateRange);
dateRange.ExtendedTimeRange.ShouldBe(extendedDateRnage);
}
public void Should_return_range_for_today()
{
// Given
var startDate = DateTime.UtcNow.ToEstTime().ChangeTime(16, 0, 0, 0);
var endDate = startDate.EndOfDay();
TimeRange mainDateRange = new TimeRange(startDate.StartOfDay(), endDate);
TimeRange alignedDateRange = new TimeRange(startDate.GetPreviousTradingDay(), endDate.EndOfDay());
TimeRange extendedDateRnage = new TimeRange(startDate.GetPreviousTradingDay().StartOfDay(), endDate);
// When
var dateRange = MarketCalendar.CalculateTradingTimeRange(DateRange.Today);
TimeRange arketCalendarMainDateRange = dateRange.TimeRange as TimeRange;
TimeRange arketCalendarAlignedDateRange = dateRange.AlignedTimeRange as TimeRange;
TimeRange arketCalendarExtendedDateRnage = dateRange.ExtendedTimeRange as TimeRange;
// Then
Assert.IsTrue(arketCalendarMainDateRange != null && arketCalendarMainDateRange.CompareTo(mainDateRange) == 0);
Assert.IsTrue(arketCalendarAlignedDateRange != null && arketCalendarAlignedDateRange.CompareTo(arketCalendarAlignedDateRange) == 0);
Assert.IsTrue(arketCalendarExtendedDateRnage != null && arketCalendarExtendedDateRnage.CompareTo(arketCalendarExtendedDateRnage) == 0);
}
public async Task <SummaryDataSection> BuildCompanySection(
string symbol,
DateRange dateRange,
TradingTimeRange timeRange)
{
var timeRangeVolumeRatio = MarketCalendar.CalculateVolumeRatioDateRange(dateRange, timeRange.TimeRange.Start, timeRange.TimeRange.End);
using (var conn = connectionProvider.GetConnection())
{
var dateFromParam = timeRange.TimeRange.Start;
var dateToParam = timeRange.TimeRange.End;
var companySummaryDataTask = await conn.QueryAsync <SummaryDataSection>(
"dbo.usp_CompanyGeneralData",
commandType : CommandType.StoredProcedure,
param : new
{
symbol,
dateFrom = dateFromParam,
dateTo = dateToParam,
datePreviousTradingDay = timeRange.AlignedTimeRange.Start
});
var companySummaryData = companySummaryDataTask.FirstOrDefault();
if (companySummaryData == null)
{
return(null);
}
companySummaryData.VolumeRatio = GetVolumeRatioBySymbol(symbol, dateRange, timeRange,
timeRangeVolumeRatio);
companySummaryData.SectionType = "company";
return(companySummaryData);
}
}
public async Task <SummaryDataSection> BuildIndustrySection(
int sicCode,
DateRange dateRange,
TradingTimeRange timeRange)
{
var timeRangeVolumeRatio = MarketCalendar.CalculateVolumeRatioDateRange(dateRange, timeRange.TimeRange.Start, timeRange.TimeRange.End);
using (var conn = connectionProvider.GetConnection())
{
var dateFromParam = timeRange.TimeRange.Start;
var dateToParam = timeRange.AlignedTimeRange.End;
var industrySummaryDataTask = await conn.QueryAsync <SummaryDataSection>(
"dbo.usp_IndustryGeneralData",
commandType : CommandType.StoredProcedure,
param : new
{
sicCode,
dateFrom = dateFromParam,
dateTo = dateToParam,
datePreviousTradingDay = timeRange.AlignedTimeRange.Start
});
var industrySummaryData = industrySummaryDataTask.FirstOrDefault();
if (industrySummaryData == null)
{
return(null);
}
if (dateRange == DateRange.All)
{
industrySummaryData.VolumeRatio = null;
}
else if (dateRange == DateRange.Today ||
dateRange == DateRange.Range && timeRange.TimeRange.Start.Date == DateTime.UtcNow.Date)
{
var volumeRatio = conn.Query <double?>(@"
SELECT AVG(vr.VolumeRatio) FROM VolumeRatio vr WITH(NOLOCK)
INNER JOIN Fundamental4 f WITH(NOLOCK) ON vr.Symbol = f.Symbol
WHERE f.SICCode = @sicCode
", new { sicCode }).FirstOrDefault();
industrySummaryData.VolumeRatio = volumeRatio;
}
else
{
var mainPeriodVolumeRatio = conn.Query <double>(@"
SELECT AVG(CAST(ip.Volume AS FLOAT)) FROM IndustryPrice ip WITH(NOLOCK)
WHERE
ip.SICCode = @sicCode
AND ip.JDate >= CONVERT(CHAR(8), @dateFrom, 112)
AND ip.JDate <= CONVERT(CHAR(8), @dateTo, 112)
", new
{
sicCode,
dateFrom = timeRange.TimeRange.Start,
dateTo = timeRange.TimeRange.End
}).FirstOrDefault();
var periodsToCompare = conn.Query <double>(@"
SELECT AVG(CAST(ip.Volume AS FLOAT)) FROM IndustryPrice ip WITH(NOLOCK)
WHERE
ip.SICCode = @sicCode
AND ip.JDate >= CONVERT(CHAR(8), @dateFrom, 112)
AND ip.JDate <= CONVERT(CHAR(8), @dateTo, 112)
", new
{
sicCode,
dateFrom = timeRangeVolumeRatio.Start,
dateTo = timeRangeVolumeRatio.End,
}).FirstOrDefault();
industrySummaryData.VolumeRatio = mainPeriodVolumeRatio / periodsToCompare;
}
industrySummaryData.SectionType = "industry";
return(industrySummaryData);
}
}
