private async Task EnrichBondWithRicFromTr(IEnumerable <SecurityEnrichmentDto> bondsWithoutRrpsRic)
{
try
{
if (!bondsWithoutRrpsRic.Any())
{
return;
}
foreach (var bond in bondsWithoutRrpsRic)
{
var request = new GetEnrichmentIdentifierRequest
{
Identifiers = new SecurityIdentifiers {
Isin = bond.Isin
}
};
this._logger.LogInformation($"EnrichBondWithRicFromTr requesting Ric for Isin {bond.Isin}.");
var tickPriceHistoryServiceClient = _tickPriceHistoryServiceClientFactory.Create();
var result = await tickPriceHistoryServiceClient.GetEnrichmentIdentifierAsync(request);
bond.Ric = result.Identifiers.Select(s => s.Ric).FirstOrDefault();
this._logger.LogInformation($"EnrichBondWithRicFromTr found Ric {bond.Ric} for Isin {bond.Isin}.");
}
}
catch (Exception ex)
{
this._logger.LogError(ex, "Error while enriching RIC from TR");
}
}
public async Task Handle(string systemProcessOperationId, ISystemProcessOperationThirdPartyDataRequestContext dataRequestContext, IReadOnlyCollection <MarketDataRequest> marketDataRequests)
{
if (marketDataRequests == null || !marketDataRequests.Any())
{
this._logger.LogError($"{nameof(RefinitivDataSynchroniser)} Handle received a null or empty market data request collection");
return;
}
var maxToDate = marketDataRequests.Select(a => a.UniverseEventTimeTo).Max();
var minFromDate = marketDataRequests.Select(a => a.UniverseEventTimeFrom).Min();
if (maxToDate != null && minFromDate != null)
{
var request = new GetEodPricingRequest
{
StartUtc = minFromDate.Value.ToUniversalTime().ToTimestamp(),
EndUtc = maxToDate.Value.ToUniversalTime().ToTimestamp(),
PollPeriod = _refinitivTickPriceHistoryApiConfig.RefinitivTickPriceHistoryApiPollingSeconds,
TimeOut = new Duration()
{
Seconds = _refinitivTickPriceHistoryApiConfig.RefinitivTickPriceHistoryApiTimeOutDurationSeconds
},
};
var ids = marketDataRequests.Select(req => new SecurityIdentifiers()
{
Ric = req.Identifiers.Ric,
Cusip = req.Identifiers.Cusip,
Isin = req.Identifiers.Isin,
Sedol = req.Identifiers.Sedol
});
request.Identifiers.AddRange(ids);
if (request.Identifiers.All(s => s.Ric == null))
{
this._logger.LogError($"{nameof(RefinitivDataSynchroniser)} Handle received a request that didn't have a RIC");
return;
}
this._logger.LogInformation($"{nameof(RefinitivDataSynchroniser)} Making request for the date range of {request.StartUtc} - {request.EndUtc} using the following RIC identifiers: " +
$"{string.Join(" ", request.Identifiers.Select(s => s.Ric).ToArray())}");
var tickPriceHistoryServiceClient = _tickPriceHistoryServiceClientFactory.Create();
await tickPriceHistoryServiceClient.GetEodPricingAsync(request);
this._logger.LogInformation($"{nameof(RefinitivDataSynchroniser)} Request returned for the date range of {request.StartUtc} - {request.EndUtc} using the following RIC identifiers: " +
$"{string.Join(" ", request.Identifiers.Select(s => s.Ric).ToArray())}");
}
else
{
this._logger.LogError($"{nameof(RefinitivDataSynchroniser)} Handle received a request collection with no dates");
return;
}
}
public async Task <IList <EndOfDaySecurityTimeBar> > GetInterdayTimeBars(DateTime?startDay, DateTime?endDay, IList <string> rics = null)
{
var allDayPeriods = SplitDateRangeByDay(startDay.Value, endDay.Value);
var result = new List <EndOfDaySecurityTimeBar>();
foreach (var period in allDayPeriods)
{
var request = new SecurityTimeBarQueryRequest()
{
};
var requestByRics = rics?.Where(w => !string.IsNullOrEmpty(w)).ToList() ?? new List <string>();
if (!requestByRics.Any())
{
requestByRics.Add(null);
}
var referenceId = Guid.NewGuid().ToString();
Timestamp startUtc = new Timestamp(Timestamp.FromDateTime(DateTime.SpecifyKind(period.Item1, DateTimeKind.Utc)));
Timestamp endUtc = new Timestamp(Timestamp.FromDateTime(DateTime.SpecifyKind(period.Item2, DateTimeKind.Utc)));
foreach (var item in requestByRics)
{
var subqueryRequest = new SecurityTimeBarSubqueryRequest()
{
StartUtc = startUtc,
EndUtc = endUtc,
ReferenceId = referenceId,
PolicyOptions = TimeBarPolicyOptions.EndOfDay
};
if (item != null)
{
subqueryRequest.Identifiers = new SecurityIdentifiers
{
Ric = item
};
}
request.Subqueries.Add(subqueryRequest);
}
var tickPriceHistoryServiceClient = tickPriceHistoryServiceClientFactory.Create();
var response = await tickPriceHistoryServiceClient
.QuerySecurityTimeBarsAsync(request).ResponseAsync;
foreach (var subResponse in response.SubResponses)
{
foreach (var timebar in subResponse.Timebars)
{
var endOfDaySecurityTimeBar = new EndOfDaySecurityTimeBar
{
SecurityIdentifiers = new SecurityIdentifier
{
Cusip = subResponse.Identifiers?.Cusip,
ExternalId = subResponse.Identifiers.ExternalIdentifiers,
Isin = subResponse.Identifiers.Isin,
Ric = subResponse.Identifiers.Ric,
Sedol = subResponse.Identifiers.Sedol
},
TimeBar = MapTimeBar(timebar)
};
result.Add(endOfDaySecurityTimeBar);
}
}
var success = response.Success;
}
return(result);
}