/// <summary>
/// Returns the list of the tickers currently supported by this market data provider.
/// </summary>
/// <param name="filter">The filter to use to choose which symbols to return.</param>
/// <returns>The supported ticker array.</returns>
public ISymbolDefinition[] SupportedTickers(string filter = null)
{
List <string> tickers = new List <string>(MEFFAPI.GetTickerList());
List <ISymbolDefinition> symbols = new List <ISymbolDefinition>();
// Apply a filter if requested.
if (filter != null)
{
tickers = tickers.FindAll(x => x.StartsWith(filter));
}
// Put all in Symbol Definition Entries.
tickers.ForEach(x => symbols.Add(new SymbolDefinition(x, "MEFF Market Equity")));
return(symbols.ToArray());
}
/// <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>
/// Checks if the MEFF service is reachable
/// and answers to requests correctly.
/// </summary>
/// <remarks>
/// This is done by requesting a well known quote and checking if data is returned,
/// the sanity of the data is not checked.
/// </remarks>
/// <returns>
/// A <see cref="Status"/> indicating if the
/// MEFF service is working.
/// </returns>
public Status TestConnectivity()
{
// Prepare the default result, in case everything will go well.
Status state = new Status();
state.HasErrors = false;
state.ErrorMessage = string.Empty;
try
{
// Try simply requesting a single data series known to exist
// and to produce 1 result (we use GRF at 31 jan 2011).
List <MEFFHistoricalQuote> quotes = MEFFAPI.GetHistoricalQuotes("GRF",
new DateTime(2011, 1, 31),
new DateTime(2011, 1, 31));
if (quotes.Count != 1)
{
// If there is a number of results different than 1,
// it means the service is not answering as expected,
// so fail the test.
state.HasErrors = true;
state.ErrorMessage = "Data from MEFF not available or unreliable.";
}
}
catch (Exception e)
{
// If an exception was thrown during data fetching it means
// there is a problem with the service (either timeout,
// connection failure, or MEFF changed data format).
state.HasErrors = true;
state.ErrorMessage = "Unable to connect to MEFF service: " + e.Message;
}
return(state);
}
/// <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);
}
}
