/// <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>
/// <remarks>
/// For Yahoo! Finance it's not possible to get the full list, so queries will return
/// data only if filtered.
/// </remarks>
public ISymbolDefinition[] SupportedTickers(string filter = null)
{
// Normalization of =X to strings without them.
Func <string, string> cleanCurrency = x => x.EndsWith("=X") ? x.Remove(x.Length - 2) : x;
try
{
if (filter != null && filter.Length > 0)
{
List <ISymbolDefinition> symbols = new List <ISymbolDefinition>();
YahooFinanceAPI.GetTickersWithFilter(filter).ForEach(x => symbols.Add(new SymbolDefinition(cleanCurrency((string)x["symbol"]), "Yahoo! Finance " + (string)x["typeDisp"] + " (" + (string)x["name"] + ")")));
return(symbols.ToArray());
}
}
catch (Exception)
{
}
return(new ISymbolDefinition[0]);
}
/// <summary>
/// Checks if the Yahoo! Finance 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
/// Yahoo! Finance 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 GOOG at 31 jan 2011).
List <YahooHistoricalQuote> quotes = YahooFinanceAPI.GetHistoricalQuotes("GOOG",
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 Yahoo! Finance 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 Yahoo! changed data format).
state.HasErrors = true;
state.ErrorMessage = "Unable to connect to Yahoo! Finance service: " + e.Message;
}
return(state);
}
/// <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);
}
}
