private void ExecuteBeforeClose(object o)
{
Task taskA = new Task(() => _marketFeed.Dispose());
taskA.Start();
while (marketConnectionUp)
{
Thread.Sleep(1000);
}
log.Info("VolManager closed");
}
public void Start()
{
// Check if closing snapshot batch as run
if (_dbManager.TestClosePrice(Option.PreviousWeekDay(DateTime.Today)))
{
log.Error("Close price already inserted");
IsRunning = false;
return;
}
_marketFeed.Connect(_ttlogin, _ttPassword, ConnectionStatusHandler, PriceUpdateHandler, null);
_delay = DateTime.Now.AddSeconds(_delayTime);
while (DateTime.Now < _delay)
{
Thread.Sleep(1000);
}
var histoCollection = new List <HistoricalPrice>();
DateTime previousDay = Option.PreviousWeekDay(DateTime.Today);
foreach (var instru in _instruCollection)
{
double closePrice;
if (_instrumentPriceSafeDico.TryGetValue(instru.TtCode, out closePrice) && closePrice != 0)
{
histoCollection.Add(new HistoricalPrice()
{
AsOfDate = previousDay, ClosePrice = closePrice, InstrumentId = instru.Id
});
}
else
{
log.Info($"Close missing instrument: {instru.TtCode}");
}
}
_dbManager.AddClosePrice(histoCollection);
_marketFeed.Dispose();
}
/// <summary>
/// 1) Retreive all instruments from TTAPI
/// 2) Retreive all instruments from Database
/// 3) Insert the delta into Database
/// 4) Create default vol parameters for new maturity
/// </summary>
public void Start()
{
//Check Database connection
if (!_dbManager.TestConnection())
{
Console.WriteLine("Enable to access to database. Check VPN connection");
Console.ReadLine();
IsRunning = false;
return;
}
_marketFeed.Connect(_ttlogin, _ttPassword, ConnectionStatusHandler, null, DataUpdateHandler);
Instrument[] instruCollection = _dbManager.GetAllInstruments(DateTime.Today);
//wait 30sec to receive all the instruments info from MarketFeed
_delay = DateTime.Now.AddSeconds(_delayTime);
while (DateTime.Now < _delay)
{
Thread.Sleep(1000);
}
// remove from InstruInfoSafeDico instruments already present in DB
foreach (var instru in instruCollection)
{
if (_instruInfoSafeDico.ContainsKey(instru.Id))
{
Instrument suppresedInstru;
_instruInfoSafeDico.TryRemove(instru.Id, out suppresedInstru);
}
}
// insert new instruments into DB
List <Instrument> Newinstru = _instruInfoSafeDico.Values.ToList();
if (Newinstru.Any())
{
_dbManager.AddInstruments(Newinstru);
}
// load db vol parameters
Dictionary <string, VolParam> volParamDico = LoadVolParams();
string[] optionList = _dbManager.GetOptionProductNames();
DateTime[] maturityList = _dbManager.GetAvailableMaturity(DateTime.Today);
foreach (var option in optionList)
{
foreach (var maturity in maturityList)
{
string key = option + "_" + maturity.ToString("MMyyyy");
if (!volParamDico.ContainsKey(key))
{
// create default vol parameters if no params exist
var volParam = new VolParam()
{
A = 0, B = 0, Sigma = 0, Rho = 0, M = 0, MaturityDate = maturity, ProductId = option
};
_dbManager.AddVolParameter(volParam);
}
}
}
_marketFeed.Dispose();
}