public async Task <IActionResult> IntradayTimeSeries(int id)
{
string userId = this.User.QID();
if (userId == null)
{
return(Unauthorized());
}
QuantApp.Kernel.User user = QuantApp.Kernel.User.FindUser(userId);
Instrument instrument = Instrument.FindInstrument(id);
var ts = instrument.GetTimeSeries(TimeSeriesType.Last);
var jres = new List <object[]>();
if (ts != null && ts.Count != 0)
{
int count = ts.Count;
var t0 = instrument is Strategy && (instrument as Strategy).Portfolio != null ? ts[Math.Max(0, count - 10000)] : 0;
for (int i = Math.Max(0, count - 10000); i < count; i++)
{
DateTime date = ts.DateTimes[i];
double value = ts[i] - t0;
jres.Add(new object[] { Utils.Utils.ToJSTimestamp(date), value });
}
}
return(Ok(jres));
}
public async Task <IActionResult> TimeSeries(int id, string spot_type, string lastDate, int days = 20, int bid = -1, string b_type = "")
{
string userId = this.User.QID();
if (userId == null)
{
return(Unauthorized());
}
QuantApp.Kernel.User user = QuantApp.Kernel.User.FindUser(userId);
Instrument instrument = Instrument.FindInstrument(id);
TimeSeries ts_close = instrument.GetTimeSeries(instrument.InstrumentType == InstrumentType.ETF || instrument.InstrumentType == InstrumentType.Equity ? TimeSeriesType.AdjClose : TimeSeriesType.Close, DataProvider.DefaultProvider, true);
if (instrument.InstrumentType == InstrumentType.Strategy && spot_type != null && spot_type.Trim() != "" && spot_type.Trim() != "spot_close")
{
Strategy strategy = (instrument as Strategy);
if (strategy != null)
{
int tid = int.MinValue;
if (!int.TryParse(spot_type, out tid))
{
tid = strategy.MemoryTypeInt(spot_type);
}
ts_close = strategy.GetMemorySeries(tid);
}
if (ts_close == null || (ts_close != null && ts_close.Count == 0))
{
ts_close = instrument.GetTimeSeries((TimeSeriesType)Enum.Parse(typeof(TimeSeriesType), spot_type), DataProvider.DefaultProvider, true);
}
}
else if (!string.IsNullOrWhiteSpace(spot_type) && spot_type.Trim() != "spot_close")
{
ts_close = instrument.GetTimeSeries((TimeSeriesType)Enum.Parse(typeof(TimeSeriesType), spot_type), DataProvider.DefaultProvider, true);
}
TimeSeries bm_close = null;
if (bid != -1)
{
Instrument bm = Instrument.FindInstrument(bid);
bm_close = bm.GetTimeSeries(bm.InstrumentType == InstrumentType.ETF || bm.InstrumentType == InstrumentType.Equity ? TimeSeriesType.AdjClose : TimeSeriesType.Last, DataProvider.DefaultProvider, true);
if (bm.InstrumentType == InstrumentType.Strategy && b_type != null && b_type.Trim() != "" && b_type.Trim() != "spot_close")
{
Strategy strategy = (bm as Strategy);
if (strategy != null)
{
int tid = int.MinValue;
if (!int.TryParse(b_type, out tid))
{
tid = strategy.MemoryTypeInt(b_type);
}
bm_close = strategy.GetMemorySeries(tid);
}
if (bm_close == null || (bm_close != null && bm_close.Count == 0))
{
bm_close = instrument.GetTimeSeries((TimeSeriesType)Enum.Parse(typeof(TimeSeriesType), b_type), DataProvider.DefaultProvider, true);
}
}
else if (!string.IsNullOrWhiteSpace(b_type) && b_type.Trim() != "spot_close")
{
bm_close = bm.GetTimeSeries((TimeSeriesType)Enum.Parse(typeof(TimeSeriesType), b_type), DataProvider.DefaultProvider, true);
}
}
if (lastDate != null && ts_close != null && ts_close.Count != 0)
{
ts_close = ts_close.GetRange(ts_close.DateTimes[0], string.IsNullOrWhiteSpace(lastDate) ? DateTime.Today : DateTime.Parse(lastDate), AQI.AQILabs.Kernel.Numerics.Util.TimeSeries.RangeFillType.None);
}
var jres = new List <object[]>();
if (ts_close != null && ts_close.Count != 0)
{
int count = ts_close.Count;
var isStrategy = instrument is Strategy && (instrument as Strategy).Portfolio != null;
var t0 = isStrategy ? ts_close[Math.Max(0, count - 10000)] : 0;
double max = ts_close[0] - t0;
for (int i = Math.Max(0, count - 10000); i < count; i++)
{
DateTime date = ts_close.DateTimes[i];
double spot = ts_close[i] - t0;
double vol = 0;
try
{
vol = (count > days && i >= days ? ts_close.GetRange(i - days, i).LogReturn().StdDev *Math.Sqrt(252) : 0);
}
catch { }
max = Math.Max(spot, max);
double maxdd = isStrategy ? spot - max : (spot / max - 1.0);
if (instrument.InstrumentType == InstrumentType.Strategy && spot_type != null && spot_type.Trim() != "" && spot_type.Trim() != "spot_close")
{
vol = 0;
max = 0;
maxdd = 0;
}
double bm_spot = 0;
if (bm_close != null)
{
bm_spot = bm_close[date, AQI.AQILabs.Kernel.Numerics.Util.TimeSeries.DateSearchType.Previous];
}
jres.Add(new object[] { Utils.Utils.ToJSTimestamp(ts_close.DateTimes[i]), spot, vol * 100, maxdd * (isStrategy ? 1 : 100), bm_spot });
//jres.Add(new object[] { Utils.Utils.ToJSTimestamp(ts_close.DateTimes[i]), spot, vol, maxdd, flags.ContainsKey(date.Date) ? flags[date.Date].Content : "", flags.ContainsKey(date.Date) ? flags[date.Date].ID : "", bm_spot });
}
}
return(Ok(jres));
}
public async Task LabPatch(string id, string url = "")
{
string cokey = Request.Cookies["coflows"];
if (cokey != null)
{
if (AccountController.sessionKeys.ContainsKey(cokey))
{
QuantApp.Kernel.User quser = QuantApp.Kernel.User.FindUserBySecret(AccountController.sessionKeys[cokey]);
if (quser == null)
{
var content = Encoding.UTF8.GetBytes("Not Authorized...");
await Response.Body.WriteAsync(content, 0, content.Length);
return;
}
}
else
{
var content = Encoding.UTF8.GetBytes("Not Authorized...");
await Response.Body.WriteAsync(content, 0, content.Length);
return;
}
}
else
{
var content = Encoding.UTF8.GetBytes("Not Authorized...");
await Response.Body.WriteAsync(content, 0, content.Length);
return;
}
if (!Program.useJupyter)
{
Console.WriteLine("Jupyter is not on: " + id + " " + url);
var content = Encoding.UTF8.GetBytes("This CoFlows container doesn't have Jupter started...");
await Response.Body.WriteAsync(content, 0, content.Length);
}
else
{
if (url == null)
{
url = "";
}
var queryString = Request.QueryString;
url = "/lab/" + id + "/" + url + queryString.Value;
var headers = new List <KeyValuePair <string, string> >();
foreach (var head in Request.Headers)
{
foreach (var val in head.Value)
{
try
{
headers.Add(new KeyValuePair <string, string>(head.Key, val));
}
catch {}
}
}
var mem = new MemoryStream();
// Request.Body.CopyTo(mem);
try
{
await Request.Body.CopyToAsync(mem);
}
catch (Exception e) { Console.WriteLine(e); }
mem.Position = 0;
var _headers = headers;
var streamContent = new StreamContent(mem);
QuantApp.Kernel.User.ContextUser = new QuantApp.Kernel.UserData();
HttpClient _httpClient = new HttpClient();
if (_headers != null)
{
foreach (var head in _headers)
{
try
{
_httpClient.DefaultRequestHeaders.Add(head.Key, head.Value);
}
catch (Exception e)
{
}
}
}
int labPort = 0;
if (Program.useJupyter && !LabDB.ContainsKey(cokey + id))
{
QuantApp.Kernel.User quser = QuantApp.Kernel.User.FindUserBySecret(AccountController.sessionKeys[cokey]);
bool isRoot = quser.ID == "QuantAppSecure_root";
lastLabPort++;
LabDB[cokey + id] = lastLabPort;
var userName = System.Text.RegularExpressions.Regex.Replace(quser.Email, "[^a-zA-Z0-9 -]", "_");
var createUser = "******" + userName + "';userExists = newUser in list(map(lambda x: x.split(':')[0], subprocess.check_output(['getent', 'passwd']).decode('utf-8').split('\\n'))); print('User exists: ' + newUser) if userExists else subprocess.check_call(['adduser', '--gecos', '\"First Last,RoomNumber,WorkPhone,HomePhone\"', '--disabled-password', '--home', f'/app/mnt/home/{newUser}/', '--shell', '/bin/bash', f'{newUser}']); print('no need to edit .bashrc') if (('PS1=\"\\\\u:\\\\w> \"' in open(f'/app/mnt/home/{newUser}/.bashrc').read())) else open(f'/app/mnt/home/{newUser}/.bashrc', 'a').write('PS1=\"\\\\u:\\\\w> \"')";
// var createUser = "******" + userName + "';userExists = newUser in list(map(lambda x: x.split(':')[0], subprocess.check_output(['getent', 'passwd']).decode('utf-8').split('\\n'))); print('User exists: ' + newUser) if userExists else subprocess.check_call(['adduser', '--gecos', '\"First Last,RoomNumber,WorkPhone,HomePhone\"', '--disabled-password', '--home', f'/app/mnt/home/{newUser}/', '--shell', '/bin/bash', f'{newUser}']); print('no need to edit .bashrc') if userExists else open(f'/app/mnt/home/{newUser}/.bashrc', 'a').write('PS1=\"\\\\u:\\\\w> \"')";
var code = isRoot ? "import subprocess;subprocess.check_call(['jupyter', 'lab', '--port=" + lastLabPort + "', '--NotebookApp.notebook_dir=/app/mnt/', '--ip=*', '--NotebookApp.allow_remote_access=True', '--allow-root', '--no-browser', '--NotebookApp.token=\'\'', '--NotebookApp.password=\'\'', '--NotebookApp.disable_check_xsrf=True', '--NotebookApp.base_url=/lab/" + id + "'], cwd='/app/')" : "import subprocess;subprocess.check_call(['sudo', '-u', '" + userName + "', 'jupyter', 'lab', '--port=" + lastLabPort + "', '--NotebookApp.notebook_dir=/app/mnt/', '--ip=*', '--NotebookApp.allow_remote_access=True', '--no-browser', '--NotebookApp.token=\'\'', '--NotebookApp.password=\'\'', '--NotebookApp.disable_check_xsrf=True', '--NotebookApp.base_url=/lab/" + id + "'], cwd='/app/mnt/home/" + userName + "')";
var th = new System.Threading.Thread(() => {
using (Py.GIL())
{
Console.WriteLine("Starting Jupyter...");
if (!isRoot)
{
Console.WriteLine(createUser);
PythonEngine.Exec(createUser);
}
Console.WriteLine(code);
PythonEngine.Exec(code);
}
});
th.Start();
System.Threading.Thread.Sleep(1000 * 5);
}
labPort = LabDB[cokey + id];
var response = await _httpClient.PatchAsync("http://localhost:" + labPort + url, streamContent);
var content = await response.Content.ReadAsByteArrayAsync();
var rheaders = new List <KeyValuePair <string, string> >();
try
{
foreach (var head in response.Headers)
{
foreach (var val in head.Value)
{
try
{
rheaders.Add(new KeyValuePair <string, string>(head.Key, val));
}
catch (Exception e)
{
Console.WriteLine(e);
}
}
}
}
catch (Exception e) {}
foreach (var head in rheaders)
{
try
{
string key = head.Key.ToString();
string val = head.Value.ToString();
if (key == "Set-Cookie")
{
string[] vals = val.Split(';');
string[] keyValPair = vals[0].Split('=');
string cname = keyValPair[0];
string cval = keyValPair[1].Replace("\"", "");
var option = new CookieOptions();
if (vals.Length > 1)
{
string[] expiryPair = vals[1].Split('=');
string date_str = expiryPair[1];
option.Expires = DateTime.Parse(date_str);
}
if (vals.Length > 2)
{
string[] pathPair = vals[2].Split('=');
option.Path = pathPair[1];
}
Response.Cookies.Append(cname, cval, option);
}
else
{
Response.Headers.Add(key, val);
}
}
catch (Exception e)
{
}
}
Response.StatusCode = (int)response.StatusCode;
if (response.Content.Headers.ContentType != null)
{
Response.ContentType = response.Content.Headers.ContentType.ToString();
}
Response.ContentLength = content.Length;
if (content.Length > 0 && Response.StatusCode != 204)
{
await Response.Body.WriteAsync(content, 0, content.Length);
}
}
}
