public void TestRequestMultipleEntry()
{
global::MEFFIntegration.MEFFIntegration wrapper = new global::MEFFIntegration.MEFFIntegration();
IMarketData[] data;
DateTime[] dates;
MarketDataQuery query = new MarketDataQuery();
query.Ticker = "GRF";
query.Date = new DateTime(2013, 6, 3);
query.MarketDataType = typeof(Scalar).ToString();
query.Field = "close";
Status status = wrapper.GetTimeSeries(query, new DateTime(2013, 6, 4), out dates, out data);
Assert.That(!status.HasErrors, status.ErrorMessage);
Assert.AreEqual(2, data.Length);
Assert.AreEqual(2, dates.Length);
Assert.AreEqual(new DateTime(2013, 6, 3), data[1].TimeStamp);
Assert.AreEqual(new DateTime(2013, 6, 4), data[0].TimeStamp);
Assert.That(data[0] is Scalar);
Assert.That(data[1] is Scalar);
Assert.AreEqual(28, (data[1] as Scalar).Value, 1);
Assert.AreEqual(29, (data[0] as Scalar).Value, 1);
}
public void TestRequestOneEntry()
{
global::YahooFinanceIntegration.YahooFinanceIntegration wrapper = new global::YahooFinanceIntegration.YahooFinanceIntegration();
IMarketData data;
MarketDataQuery query = new MarketDataQuery();
query.Ticker = "GOOG";
query.Date = new DateTime(2011, 1, 31);
query.MarketDataType = typeof(Scalar).ToString();
query.Field = "open";
Status status = wrapper.GetMarketData(query, out data);
Assert.That(!status.HasErrors, status.ErrorMessage);
Assert.AreEqual(data.TimeStamp, new DateTime(2011, 1, 31));
Assert.That(data is Scalar);
Assert.AreEqual((data as Scalar).Value, 603, 1);
query.Field = "close";
status = wrapper.GetMarketData(query, out data);
Assert.That(!status.HasErrors, status.ErrorMessage);
Assert.AreEqual(data.TimeStamp, new DateTime(2011, 1, 31));
Assert.That(data is Scalar);
Assert.AreEqual((data as Scalar).Value, 600, 1);
}
public void TestRequestOneEntry()
{
global::EuropeanCentralBankIntegration.EuropeanCentralBankIntegration wrapper = new global::EuropeanCentralBankIntegration.EuropeanCentralBankIntegration();
IMarketData data;
MarketDataQuery query = new MarketDataQuery();
query.Ticker = "EUCFZAR";
query.Date = new DateTime(2011, 1, 31);
query.MarketDataType = typeof(Scalar).ToString();
query.Field = "close";
Status status = wrapper.GetMarketData(query, out data);
Assert.That(!status.HasErrors, status.ErrorMessage);
Assert.AreEqual(new DateTime(2011, 1, 31), data.TimeStamp);
Assert.That(data is Scalar);
Assert.AreEqual(9.8458, (data as Scalar).Value, 0.0001);
query.Ticker = "EURZAR";
status = wrapper.GetMarketData(query, out data);
Assert.That(!status.HasErrors, status.ErrorMessage);
Assert.AreEqual(new DateTime(2011, 1, 31), data.TimeStamp);
Assert.That(data is Scalar);
Assert.AreEqual(9.8458, (data as Scalar).Value, 0.0001);
}
public void TestGetCallPriceMarketData()
{
var wrapper = new global::YahooFinanceIntegration.YahooFinanceIntegration();
MarketDataQuery query = new MarketDataQuery();
query.Ticker = "GOOG";
query.Date = new DateTime(2011, 1, 31);
query.MarketDataType = typeof(Fairmat.MarketData.CallPriceMarketData).ToString();
query.Field = "close";
IMarketData data;
var status = wrapper.GetMarketData(query, out data);
Assert.IsFalse(status.HasErrors);
}
public void TestGetCallPriceMarketData()
{
global::MEFFIntegration.MEFFIntegration wrapper = new global::MEFFIntegration.MEFFIntegration();
MarketDataQuery mdq = new MarketDataQuery();
mdq.Ticker = "BBVA";
mdq.Date = new DateTime(2013, 07, 01);
mdq.Market = "EU";
mdq.Field = "close";
mdq.MarketDataType = typeof(Fairmat.MarketData.CallPriceMarketData).ToString();
IMarketData marketData;
var status = wrapper.GetMarketData(mdq, out marketData);
Assert.IsFalse(status.HasErrors);
}
public void TestRequestOneEntry()
{
global::MEFFIntegration.MEFFIntegration wrapper = new global::MEFFIntegration.MEFFIntegration();
IMarketData data;
MarketDataQuery query = new MarketDataQuery();
query.Ticker = "GRF";
query.Date = new DateTime(2013, 6, 3);
query.MarketDataType = typeof(Scalar).ToString();
query.Field = "close";
Status status = wrapper.GetMarketData(query, out data);
Assert.That(!status.HasErrors, status.ErrorMessage);
Assert.AreEqual(new DateTime(2013, 6, 3), data.TimeStamp);
Assert.That(data is Scalar);
Assert.AreEqual(28, (data as Scalar).Value, 1);
}
public void TestRequestMultipleEntryCurrencyConversion()
{
global::YahooFinanceIntegration.YahooFinanceIntegration wrapper = new global::YahooFinanceIntegration.YahooFinanceIntegration();
IMarketData[] data;
DateTime[] dates;
MarketDataQuery query = new MarketDataQuery();
query.Ticker = "GOOG";
query.Date = new DateTime(2011, 1, 31);
query.MarketDataType = typeof(Scalar).ToString();
query.Field = "open";
query.Market = "EU";
Status status = wrapper.GetTimeSeries(query, new DateTime(2011, 2, 1), out dates, out data);
Assert.That(!status.HasErrors, status.ErrorMessage);
Assert.AreEqual(2, data.Length);
Assert.AreEqual(2, dates.Length);
Assert.AreEqual(new DateTime(2011, 2, 1), data[1].TimeStamp);
Assert.AreEqual(new DateTime(2011, 1, 31), data[0].TimeStamp);
Assert.That(data[0] is Scalar);
Assert.That(data[1] is Scalar);
Assert.AreEqual(441, (data[1] as Scalar).Value, 1);
Assert.AreEqual(446, (data[0] as Scalar).Value, 1);
query.Field = "close";
status = wrapper.GetTimeSeries(query, new DateTime(2011, 2, 1), out dates, out data);
Assert.That(!status.HasErrors, status.ErrorMessage);
Assert.AreEqual(2, data.Length);
Assert.AreEqual(2, dates.Length);
Assert.AreEqual(new DateTime(2011, 2, 1), data[1].TimeStamp);
Assert.AreEqual(new DateTime(2011, 1, 31), data[0].TimeStamp);
Assert.That(data[0] is Scalar);
Assert.That(data[1] is Scalar);
Assert.AreEqual(446, (data[1] as Scalar).Value, 1);
Assert.AreEqual(444, (data[0] as Scalar).Value, 1);
}
public void TestRequestMultipleEntry()
{
global::EuropeanCentralBankIntegration.EuropeanCentralBankIntegration wrapper = new global::EuropeanCentralBankIntegration.EuropeanCentralBankIntegration();
IMarketData[] data;
DateTime[] dates;
MarketDataQuery query = new MarketDataQuery();
query.Ticker = "EUCFZAR";
query.Date = new DateTime(2011, 1, 31);
query.MarketDataType = typeof(Scalar).ToString();
query.Field = "close";
Status status = wrapper.GetTimeSeries(query, new DateTime(2011, 2, 1), out dates, out data);
Assert.That(!status.HasErrors, status.ErrorMessage);
Assert.AreEqual(2, data.Length);
Assert.AreEqual(2, dates.Length);
Assert.AreEqual(new DateTime(2011, 2, 1), data[0].TimeStamp);
Assert.AreEqual(new DateTime(2011, 1, 31), data[1].TimeStamp);
Assert.That(data[0] is Scalar);
Assert.That(data[1] is Scalar);
Assert.AreEqual(9.8480, (data[0] as Scalar).Value, 0.0001);
Assert.AreEqual(9.8458, (data[1] as Scalar).Value, 0.0001);
query.Ticker = "EURZAR";
status = wrapper.GetTimeSeries(query, new DateTime(2011, 2, 1), out dates, out data);
Assert.That(!status.HasErrors, status.ErrorMessage);
Assert.AreEqual(2, data.Length);
Assert.AreEqual(2, dates.Length);
Assert.AreEqual(new DateTime(2011, 2, 1), data[0].TimeStamp);
Assert.AreEqual(new DateTime(2011, 1, 31), data[1].TimeStamp);
Assert.That(data[1] is Scalar);
Assert.That(data[0] is Scalar);
Assert.AreEqual(9.8480, (data[0] as Scalar).Value, 0.0001);
Assert.AreEqual(9.8458, (data[1] as Scalar).Value, 0.0001);
}
/// <summary>
/// Gets the market data from a single day.
/// </summary>
/// <param name="mdq">
/// A <see cref="MarketDataQuery"/> with the data request.
/// </param>
/// <param name="marketData">
/// In case of success, the requested market data as <see cref="IMarketData"/>.
/// </param>
/// <returns>
/// A <see cref="RefreshStatus"/> indicating if the query was successful.
/// </returns>
public RefreshStatus GetMarketData(MarketDataQuery mdq, out IMarketData marketData)
{
if (mdq.MarketDataType == typeof(Fairmat.MarketData.CallPriceMarketData).ToString())
{
return(GetCallPriceMarketData(mdq, out marketData));
}
// Reuse the Historical time series to get the single quote
// (Equal start/end date = get the quote of the day).
DateTime[] dates;
IMarketData[] marketDataArray;
RefreshStatus status = GetTimeSeries(mdq, mdq.Date, out dates, out marketDataArray);
// If there were errors already just report them back.
if (status.HasErrors)
{
marketData = null;
}
else
{
// If all was succesful try to prepare data for this type of query.
status = new RefreshStatus();
// Do some sanity check on the gathered data.
if (marketDataArray.Length != 1 && dates.Length != 1 && dates[0] != mdq.Date)
{
status.HasErrors = true;
status.ErrorMessage += "GetMarketData: Requested date " +
"or Market Data not available.";
marketData = null;
}
else
{
// If they pass just take the first element as result
// (which must be also the only one).
marketData = marketDataArray[0];
}
}
return(status);
}
/// <summary>
/// Retrieves available call and put options for a given ticker.
/// </summary>
/// <param name="mdq">The market data query.</param>
/// <param name="marketData">The requested market data.</param>
/// <returns>The result of the query.</returns>
private RefreshStatus GetCallPriceMarketData(MarketDataQuery mdq, out IMarketData marketData)
{
marketData = null;
Fairmat.MarketData.CallPriceMarketData data = new Fairmat.MarketData.CallPriceMarketData();
List <MEFFHistoricalQuote> options = MEFFAPI.GetOptions(mdq.Ticker, mdq.Date);
foreach (MEFFHistoricalQuote q in options)
{
Console.WriteLine(q.ContractCode + "\t" + q.StrikePrice + "\t" + q.MaturityDate.ToShortDateString() + "\t" + q.SettlPrice);
}
var status = OptionQuotesUtility.GetCallPriceMarketData(this, mdq, options.ConvertAll(x => (OptionQuotes.IOptionQuote)x), data);
if (status.HasErrors)
{
return(status);
}
marketData = data;
Console.WriteLine(data);
return(status);
}
/// <summary>
/// Gets a series of Historical Market Data from the starting date
/// to the end date.
/// </summary>
/// <param name="mdq">
/// A <see cref="MarketDataQuery"/> with the data request.
/// </param>
/// <param name="end">
/// A <see cref="DateTime"/> with the ending date of the period to fetch data from.
/// </param>
/// <param name="dates">
/// In case of success, a list of the dates data was fetched from in the requested period.
/// </param>
/// <param name="marketData">
/// In case of success, a list of the fetched market data day
/// by day corresponding to <see cref="dates"/>.
/// </param>
/// <returns>
/// A <see cref="RefreshStatus"/> indicating if the query was successful.
/// </returns>
public RefreshStatus GetTimeSeries(MarketDataQuery mdq, DateTime end, out DateTime[] dates, out IMarketData[] marketData)
{
RefreshStatus status = new RefreshStatus();
string currency;
bool invertedRequest = false;
// Check if it's a close request.
if (mdq.Field != "close")
{
// In case the request is not close return an error.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data not available (only " +
"close values are available, " +
mdq.Field + " was requested).";
return(status);
}
string ticker = RemoveTrailers(mdq.Ticker);
// Check that the requested value is available.
if (ticker.StartsWith("EUCF"))
{
// Extract the target currency name as that's used to request the data.
currency = ticker.Remove(0, 4);
}
else if (ticker.StartsWith("EUR"))
{
// Extract the target currency name as that's used to request the data.
currency = ticker.Remove(0, 3);
}
else if (ticker.EndsWith("EUR"))
{
// As EUR is the target currency this request is inverted compared to ECB data.
invertedRequest = true;
currency = ticker.Remove(ticker.LastIndexOf("EUR"), 3);
}
else
{
// Only EUR TO TARGET CURRENCY is supported using the format EUCF<TARGET CURRENCY>
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data not available (only " +
"conversion rates from EUR to another currency are " +
"available, " + mdq.Ticker + " was requested).";
return(status);
}
// For now only Scalar requests are handled.
if (mdq.MarketDataType == typeof(Scalar).ToString())
{
List <EuropeanCentralBankQuote> quotes = null;
try
{
// Request the data to the Market Data Provider.
quotes = EuropeanCentralBankAPI.GetHistoricalQuotes(currency, mdq.Date, end);
}
catch (Exception e)
{
// There can be conversion, server availability
// and other exceptions during this request.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data not available due " +
"to problems with the European Central Bank service: " +
e.Message;
return(status);
}
// Check if there is at least one result.
if (quotes.Count >= 1)
{
// Allocate the structures for the output.
marketData = new Scalar[quotes.Count];
dates = new DateTime[quotes.Count];
// Scan the list of quotes to prepare the data for Fairmat.
for (int i = 0; i < quotes.Count; i++)
{
// Fill the dates array from the date field of each quote.
dates[i] = quotes[i].Date;
// Prepare the single scalar data.
Scalar val = new Scalar();
val.TimeStamp = quotes[i].Date;
if (invertedRequest)
{
// Handle the conversion from other currencies to EUR.
val.Value = 1 / quotes[i].Value;
}
else
{
val.Value = quotes[i].Value;
}
// Put it in the output structure.
marketData[i] = val;
}
return(status);
}
else
{
// If there isn't at least one result return an error.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data not available: " +
"empty data set for the request.";
return(status);
}
}
else
{
// If control falls through here it means the request type was not supported.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data request type (" +
mdq.MarketDataType +
") not supported by the Market Data Provider.";
return(status);
}
}
/// <summary>
/// Gets a series of Historical Market Data from the starting date
/// to the end date.
/// </summary>
/// <param name="mdq">
/// A <see cref="MarketDataQuery"/> with the data request.
/// </param>
/// <param name="end">
/// A <see cref="DateTime"/> with the ending date of the period to fetch data from.
/// </param>
/// <param name="dates">
/// In case of success, a list of the dates data was fetched from in the requested period.
/// </param>
/// <param name="marketData">
/// In case of success, a list of the fetched market data day
/// by day corresponding to <see cref="dates"/>.
/// </param>
/// <returns>
/// A <see cref="RefreshStatus"/> indicating if the query was successful.
/// </returns>
public RefreshStatus GetTimeSeries(MarketDataQuery mdq, DateTime end, out DateTime[] dates, out IMarketData[] marketData)
{
RefreshStatus status = new RefreshStatus();
// Check if close value was requested.
switch (mdq.Field)
{
case "close":
{
break;
}
default:
{
// In case the request is not close return an error.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data not available (only " +
"close values are available, " +
mdq.Field + " was requested).";
return(status);
}
}
// For now only Scalar requests are handled.
if (mdq.MarketDataType == typeof(Scalar).ToString())
{
List <MEFFHistoricalQuote> quotes = null;
try
{
// Request the data to the Market Data Provider.
quotes = MEFFAPI.GetHistoricalQuotes(TickerUtility.PreparseSymbol(mdq.Ticker), mdq.Date, end);
}
catch (Exception e)
{
// There can be conversion, server availability
// and other exceptions during this request.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data not available due " +
"to problems with MEFF service: " + e.Message;
return(status);
}
// Check if there is at least one result.
if (quotes.Count >= 1)
{
// Allocate the structures for the output.
marketData = new Scalar[quotes.Count];
dates = new DateTime[quotes.Count];
// Scan the list of quotes to prepare the data for Fairmat.
for (int i = 0; i < quotes.Count; i++)
{
// Fill the dates array from the date field of each quote.
dates[i] = quotes[i].SessionDate;
// Prepare the single scalar data.
Scalar val = new Scalar();
val.TimeStamp = quotes[i].SessionDate;
val.Value = quotes[i].SettlPrice;
// Put it in the output structure.
marketData[i] = val;
}
return(status);
}
else
{
// If there isn't at least one result return an error.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data not available: " +
"empty data set for the request.";
return(status);
}
}
else
{
// If control falls through here it means the request type was not supported.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data request type (" +
mdq.MarketDataType +
") not supported by the Market Data Provider.";
return(status);
}
}
/// <summary>
/// Retrieves available call and put options for a given ticker.
/// </summary>
/// <param name="mdq">The market data query.</param>
/// <param name="marketData">The requested market data.</param>
/// <returns>A <see cref="RefreshStatus"/> with the status of the result.</returns>
private RefreshStatus GetCallPriceMarketData(MarketDataQuery mdq, out IMarketData marketData)
{
marketData = null;
//Check if the market data is in cache
string cachedName = Path.Combine(Path.GetTempPath(), "CallPrices" + mdq.Ticker + mdq.Date.Year + mdq.Date.Month + mdq.Date.Day);
List <YahooOptionChain> optionChains = null;
if (System.IO.File.Exists(cachedName))
{
try
{
optionChains = (List <YahooOptionChain>)DVPLI.ObjectSerialization.ReadFromFile(cachedName);
}
catch
{
//Failed to read from cache
}
}
//if not found in cache try to get from the Yahoo service
if (optionChains == null)
{
//Yahoo returns only last traded options hence, we assume that the only
//valid dates are Today and Yesterday
DateTime tMax = DateTime.Today;
DateTime tMin = tMax.AddDays(-1);
if (tMax.DayOfWeek == DayOfWeek.Monday)
{
tMin = tMax.AddDays(-3);
}
if (mdq.Date.Date < tMin || mdq.Date.Date > tMax)
{
return(new RefreshStatus("Options are not available for the requested period. Set the valuation date to Yesterday"));
}
// Request options does not seems to give the option effectively
// tradaded at a given date but the options that are still being traded.
optionChains = YahooFinanceAPI.RequestOptions(mdq.Ticker);
try
{
DVPLI.ObjectSerialization.WriteToFile(cachedName, optionChains);
}
catch
{
}
}
Fairmat.MarketData.CallPriceMarketData data = new Fairmat.MarketData.CallPriceMarketData();
// Extract a list of YahooOption from the YahooOptionChain List.
List <YahooOption> options = new List <YahooOption>();
foreach (YahooOptionChain q in optionChains)
{
Console.WriteLine(q.Symbol + " " + q.Expiration);
foreach (YahooOption o in q.Options)
{
// Loads into YahooOption the needed information.
o.Maturity = q.Expiration;
options.Add(o);
}
}
// Populate the CallPriceMarketData data structure
var status = OptionQuotesUtility.GetCallPriceMarketData(this, mdq, options.ConvertAll(x => (IOptionQuote)x), data);
if (status.HasErrors)
{
return(status);
}
marketData = data;
Console.WriteLine(data);
return(status);
}
/// <summary>
/// Gets a series of Historical Market Data from the starting date
/// to the end date.
/// </summary>
/// <param name="mdq">
/// A <see cref="MarketDataQuery"/> with the data request.
/// </param>
/// <param name="end">
/// A <see cref="DateTime"/> with the ending date of the period to fetch data from.
/// </param>
/// <param name="dates">
/// In case of success, a list of the dates data was fetched from in the requested period.
/// </param>
/// <param name="marketData">
/// In case of success, a list of the fetched market data day
/// by day corresponding to <see cref="dates"/>.
/// </param>
/// <returns>
/// A <see cref="RefreshStatus"/> indicating if the query was successful.
/// </returns>
public RefreshStatus GetTimeSeries(MarketDataQuery mdq, DateTime end, out DateTime[] dates, out IMarketData[] marketData)
{
RefreshStatus status = new RefreshStatus();
// Holds whathever we should take market close or market open values.
bool closeRequest;
// Holds the currency conversion target in case a market different than
// US is choosen. This handles conversion from USD values provided by yahoo.
string targetMarket = null;
string ticker = TickerUtility.PreparseSymbol(mdq.Ticker);
bool divisionTransformation = false;
bool inverseTransformation = false;
// Check if open or close value was requested.
switch (mdq.Field)
{
case "open":
{
closeRequest = false;
break;
}
case "close":
{
closeRequest = true;
break;
}
default:
{
// In case the request is neither open or close return an error.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data not available (only " +
"open and close values are available, " +
mdq.Field + " was requested).";
return(status);
}
}
// Gather in which currency to get the data, this will require
// an additional data fetching for the target currency for the same time period.
if (mdq.Market.Length > 0 && mdq.Market != "US")
{
// Try to convert the entries in the Fairmat drop down box,
// for the rest rely on the user.
switch (mdq.Market)
{
case "EU":
{
targetMarket = "EUR";
break;
}
case "GB":
{
targetMarket = "GBP";
break;
}
case "JP":
{
targetMarket = "JPY";
break;
}
case "CH":
{
targetMarket = "CHF";
break;
}
case "HK":
{
targetMarket = "HKD";
break;
}
default:
{
// In the fallback scenario just use directly the provided string.
targetMarket = mdq.Market;
break;
}
}
}
// Check for currencies and handle them in a special way.
// Check the single currency only (eg: EUR for USDEUR).
if (GetCurrencyList().Contains(ticker))
{
ticker += "=X";
// Disable the feature for this for now.
targetMarket = null;
}
else
{
// Attempt a more throughout parsing. Check for <currency><currency> formats.
foreach (string currency in GetCurrencyList())
{
if (ticker.StartsWith(currency))
{
if (currency == "USD")
{
// If usd is in the ticker name it's a special case due to the way
// Yahoo! Finance keeps currencies.
ticker = ticker.Remove(0, 3) + "=X";
targetMarket = null;
}
else if (ticker.Remove(0, 3) == "USD")
{
// This is the inverse of the previous case.
// From other currency to USD. Similarly to above it's a special case.
ticker = currency + "=X";
targetMarket = null;
inverseTransformation = true;
}
else
{
// Normal not USD to not USD currency conversions.
targetMarket = currency;
ticker = ticker.Remove(0, 3) + "=X";
divisionTransformation = true;
}
break;
}
}
}
// For now only Scalar requests are handled.
if (mdq.MarketDataType == typeof(Scalar).ToString())
{
List <YahooHistoricalQuote> quotes = null;
Dictionary <DateTime, YahooHistoricalQuote> currencyQuotes = new Dictionary <DateTime, YahooHistoricalQuote>();
try
{
// Request the data to the Market Data Provider.
quotes = YahooFinanceAPI.GetHistoricalQuotes(ticker, mdq.Date, end);
if (targetMarket != null)
{
// If we need currency quotes in order to handle currency conversions
// fetch them now.
List <YahooHistoricalQuote> fetchedCurrencyQuotes = YahooFinanceAPI.GetHistoricalQuotes(targetMarket + "=X", mdq.Date, end);
// Put all items in a dictionary for easy fetching.
fetchedCurrencyQuotes.ForEach(x => currencyQuotes.Add(x.Date, x));
}
}
catch (Exception e)
{
// There can be conversion, server availability
// and other exceptions during this request.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data not available due " +
"to problems with Yahoo! Finance: " + e.Message;
return(status);
}
// Check if there is at least one result.
if (quotes.Count >= 1)
{
// Allocate the structures for the output.
List <Scalar> readyMarketData = new List <Scalar>();
List <DateTime> readyDates = new List <DateTime>();
// Scan the list of quotes to prepare the data for Fairmat.
for (int i = 0; i < quotes.Count; i++)
{
// Prepare the single scalar data.
Scalar val = new Scalar();
val.TimeStamp = quotes[i].Date;
val.Value = (closeRequest == true) ? quotes[i].Close : quotes[i].Open;
// Handle currency conversions if needed.
if (currencyQuotes != null)
{
// Check if the entry in a date exists also for the
// currency conversion, if not discard the data.
if (!currencyQuotes.ContainsKey(quotes[i].Date))
{
// We skip this entry.
continue;
}
YahooHistoricalQuote currencyQuote = currencyQuotes[quotes[i].Date];
//if (divisionTransformation)
//{
// val.Value /= (closeRequest == true) ? currencyQuote.Close : currencyQuote.Open;
//}
//else
//{
// val.Value *= (closeRequest == true) ? currencyQuote.Close : currencyQuote.Open;
//}
}
// Apply an inverse transformation, used for currency values when going
// from a not USD currency to USD.
//if (inverseTransformation)
//{
// val.Value = 1 / val.Value;
//}
// Put it in the output structure.
readyMarketData.Add(val);
// Fill the dates array from the date field of each quote.
readyDates.Add(quotes[i].Date);
}
// Put in the output data.
marketData = readyMarketData.ToArray();
dates = readyDates.ToArray();
return(status);
}
else
{
// If there isn't at least one result return an error.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data not available: " +
"empty data set for the request.";
return(status);
}
}
else
{
// If control falls through here it means the request type was not supported.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data request type (" +
mdq.MarketDataType +
") not supported by the Market Data Provider.";
return(status);
}
}
/// <summary>
/// Populates CallPriceMarketData data structure from options
/// quotes and additional calls to market data.
/// </summary>
/// <param name="provider">The underlying market data provider.</param>
/// <param name="mdq">The underlying query.</param>
/// <param name="quotes">The options quotes list.</param>
/// <param name="data">The data structure to be populated.</param>
/// <returns>The status of the operation.</returns>
public static RefreshStatus GetCallPriceMarketData(IMarketDataProvider provider, MarketDataQuery mdq, List <IOptionQuote> quotes, Fairmat.MarketData.CallPriceMarketData data)
{
// Gets call options.
var calls = quotes.FindAll(x => x.Type == OptionQuoteType.Call);
var puts = quotes.FindAll(x => x.Type == OptionQuoteType.Put);
// Get maturities and strikes.
var maturtiesDates = quotes.Select(item => item.Maturity).Distinct().OrderBy(x => x).ToList();
var strikes = quotes.Select(item => item.Strike).Distinct().OrderBy(x => x).ToList();
data.Strike = (Vector)strikes.ToArray();
//var callMaturtiesDates = calls.Select(item => item.MaturityDate).Distinct().ToList();
Console.WriteLine("Maturities");
data.Maturity = new Vector(maturtiesDates.Count);
for (int z = 0; z < maturtiesDates.Count; z++)
{
data.Maturity[z] = RightValueDate.DatesDifferenceCalculator(mdq.Date, maturtiesDates[z]);
}
data.CallPrice = new Matrix(data.Maturity.Length, data.Strike.Length);
var putPrices = new Matrix(data.Maturity.Length, data.Strike.Length);
// Group maturities, calls, puts with respect to strikes.
Dictionary <double, Tuple <List <double>, List <double>, List <double> > > atm = new Dictionary <double, Tuple <List <double>, List <double>, List <double> > >();
for (int si = 0; si < data.Strike.Length; si++)
{
for (int mi = 0; mi < maturtiesDates.Count; mi++)
{
IOptionQuote callQuote = calls.Find(x => x.Strike == data.Strike[si] && x.Maturity == maturtiesDates[mi]);
if (callQuote != null)
{
data.CallPrice[mi, si] = callQuote.Price;
}
IOptionQuote putQuote = puts.Find(x => x.Strike == data.Strike[si] && x.Maturity == maturtiesDates[mi]);
if (putQuote != null)
{
putPrices[mi, si] = putQuote.Price;
}
if (callQuote != null && putQuote != null)
{
Tuple <List <double>, List <double>, List <double> > element = null;
if (atm.ContainsKey(data.Strike[si]))
{
element = atm[data.Strike[si]];
}
else
{
element = new Tuple <List <double>, List <double>, List <double> >(new List <double>(), new List <double>(), new List <double>());
atm.Add(data.Strike[si], element);
}
element.Item1.Add(data.Maturity[mi]);
element.Item2.Add(callQuote.Price);
element.Item3.Add(putQuote.Price);
}
}
}
Console.WriteLine("CallPrices");
Console.WriteLine(data.CallPrice);
Console.WriteLine("Putprices");
Console.WriteLine(putPrices);
// Request the spot price .
var mdq2 = DVPLI.ObjectSerialization.CloneObject(mdq) as MarketDataQuery;
mdq2.MarketDataType = typeof(Scalar).ToString();
IMarketData s0;
var s0Result = provider.GetMarketData(mdq2, out s0);
if (s0Result.HasErrors)
{
return(s0Result);
}
data.S0 = (s0 as Scalar).Value;
// Load atm info (get the strike with the higher number of elements).
int maxElements = -1;
double argMax = -1;
// Keeps the Strike-Spot distance.
double spotDistance = double.MaxValue;
// Find the options which minimize the distance from strike price and spot price.
foreach (double strike in atm.Keys)
{
double distance = Math.Abs(strike - data.S0);
if (distance < spotDistance)
{
spotDistance = distance;
maxElements = atm[strike].Item1.Count;
argMax = strike;
}
}
if (spotDistance != double.MaxValue)
{
data.StrikeATM = argMax;
data.MaturityATM = (Vector)atm[argMax].Item1.ToArray();
data.CallPriceATM = (Vector)atm[argMax].Item2.ToArray();
data.PutPriceATM = (Vector)atm[argMax].Item3.ToArray();
}
else
{
Console.WriteLine("Cannot find atm information");
}
data.Ticker = mdq.Ticker;
data.Market = mdq.Market;
data.Date = mdq.Date;
return(new RefreshStatus());
}
