public void ShouldGetIntrdayFutureFromCarbon()
{
var args = new HelperRequestArgs()
{
EventDates = new[]
{
new DateTime(2016, 1, 27, 19, 0,0),
//new DateTime(2016, 3, 16, 19, 0, 0),
//new DateTime(2016, 4, 27, 19, 0, 0),
},
FrequencyOfPricing = new TimeSpan(0, 25, 0), // 5 min
NumDataPointsAroundEvent = 10,
Timezone = TZ.LN,
InputString = "FV1",
};
var data = Helper.CarbonIntradayGo(args);
foreach (var dataAroundEvent in data)
{
Console.WriteLine(@" ");
Console.WriteLine(@" ");
Console.WriteLine(@"-------------------------------------------");
Console.WriteLine(@"Event {0}", dataAroundEvent.EventDate);
foreach (var p in dataAroundEvent.FilledDataAroundEvent_Diff.Data)
{
Console.WriteLine(@"{0},{1}", p.Index, p.Value);
}
}
}
public static IEnumerable<DataAroundEvent> Go(HelperRequestArgs args_)
{
var ret = new List<DataAroundEvent>();
foreach (var eventTime in args_.EventDates)
{
var tsBefore = new TimeSpan(args_.FrequencyOfPricing.Ticks * (args_.NumDataPointsAroundEvent + 10));
var startDate = eventTime - tsBefore ;
var futures = Singleton<IntradayFutures>.Instance.Where(x => x.BbgTicker.StartsWith(args_.FutureGroup.BbgStart)
&& x.BbgTicker.ToUpper().EndsWith(args_.FutureGroup.Suffix)
&& x.FirstTrade < startDate.Date
&& x.LastTrade > startDate.Date);
if(args_.FutureGroup.LiquidContracts!=null && args_.FutureGroup.LiquidContracts.Count()>0)
futures = futures.Where(x=>args_.FutureGroup.LiquidContracts.Contains((MonthCode)x.LastTrade.Month));
int contractIndex = args_.ContractNumber - 1; // want to specify '1' as first, so '0' would be index of that
if (!futures.Any() || contractIndex > (futures.Count()-1))
{
Logger.Error(string.Format("Could not find {0} future for eventDate{1}", args_.FutureGroup, eventTime.Date.ToString("dd-MMM-yyyy")), typeof(Helper));
continue;
}
var future = futures
.OrderBy(x => x.LastTrade)
.ToArray()[contractIndex];
Logger.Debug(string.Format("{0} => contract = {1}", eventTime.ToString("dd-MMM-yyyy HH:mm"), future.BbgTicker), typeof(Helper));
if (false)
{
var pxs = future.GetPrices(args_.Timezone, startDate, eventTime + tsBefore, args_.FrequencyOfPricing,
false);
ret.Add(new DataAroundEvent(eventTime, future, pxs, args_.NumDataPointsAroundEvent));
}
else
{
var pxs = CarbonModel.GetIntradayCloseWithFrequency(new[] { future.BbgTicker }, TimeZoneHelper.ConvertLocalTimeToGmt(args_.Timezone, startDate),
TimeZoneHelper.ConvertLocalTimeToGmt(args_.Timezone, eventTime + tsBefore), string.Format("{0}m", args_.FrequencyOfPricing.TotalMinutes)).FirstOrDefault();
if (pxs != null)
{
var localPxs = HelperMethods.GmtToLocal(pxs.ToContruct().GetColumnValuesAsDDC(0), args_.Timezone);
// close bidask
ret.Add(new DataAroundEvent(eventTime, future, localPxs, args_.NumDataPointsAroundEvent));
}
}
}
return ret;
}
public static IEnumerable<DataAroundEvent> CarbonIntradayGo(HelperRequestArgs args_)
{
try
{
var dataGrabber = Singleton<IntradayDataGrabber>.Instance;
var dataModel = new StructureDataModelDouble(dataGrabber)
{
Components = new List<StructureDataItem<double>>()
};
var ret = new List<DataAroundEvent>();
var structures = StructureParser.StructureParser.ParseStruture(args_.InputString.ToUpper());
dataModel.Components.AddRange(structures.Select(s => new StructureDataItem<double>
{
Component = s.Key,
Multiplier = s.Value,
}).ToList());
//get eod data for time series chart
var eodDataGrabber = Singleton<EodDataGrabber>.Instance;
var eodModel = new StructureDataModelDouble(eodDataGrabber)
{
Components = new List<StructureDataItem<double>>()
};
eodModel.Components.AddRange(structures.Select(s => new StructureDataItem<double>
{
Component = s.Key,
Multiplier = s.Value,
}).ToList());
var eodData = eodModel.RetreiveData(args_.EventDates.OrderBy(x => x.Date).First().Date.AddDays(-126d),
DateTime.Today.AddDays(10), null);
foreach (var eventTime in args_.EventDates)
{
var tsBefore = new TimeSpan(args_.FrequencyOfPricing.Ticks*(args_.NumDataPointsAroundEvent + 10));
var startDate = eventTime - tsBefore;
//foreach (var structure in structures)
//{
var data = dataModel.RetreiveData(TimeZoneHelper.ConvertLocalTimeToGmt(args_.Timezone, startDate),
TimeZoneHelper.ConvertLocalTimeToGmt(args_.Timezone, eventTime + tsBefore),
string.Format("{0}m", args_.FrequencyOfPricing.TotalMinutes));
foreach (var item in data)
{
if (item.DataValue != null)
item.DataValue = HelperMethods.GmtToLocal(item.DataValue.ToContruct().GetColumnValuesAsDDC(0),
args_.Timezone);
}
if (data.Any())
ret.Add(new DataAroundEvent(eventTime, args_.InputString, dataModel.AggregateStructures(data),
args_.NumDataPointsAroundEvent)
{
EODData = eodModel.AggregateStructures(eodData),
IsIntraday = true,
});
}
return ret;
}
catch (Exception e)
{
Logger.Error(string.Format("Error when retrieving intraday data {0} ", e.Message), typeof (Helper));
return null;
}
}
public static IEnumerable<DataInterEvent> GoInterEvents(HelperRequestArgs args_)
{
var ret = new List<DataInterEvent>();
foreach (var set in args_.InterEventArgs.Events.Where(x=>x.StartDate.Date.Date < DateTime.Today))
{
var start = set.StartDate.Date.AddHours(-2d);
var end = set.EndDate.Date.AddHours(2d);
var futures = Singleton<IntradayFutures>.Instance.Where(x => x.BbgTicker.StartsWith(args_.FutureGroup.BbgStart)
&&
x.BbgTicker.ToUpper()
.EndsWith(args_.FutureGroup.Suffix)
&& x.FirstTrade < start.Date
&& x.LastTrade > end.Date);
if (args_.FutureGroup.LiquidContracts != null && args_.FutureGroup.LiquidContracts.Count() > 0)
futures = futures.Where(x => args_.FutureGroup.LiquidContracts.Contains((MonthCode) x.LastTrade.Month));
int contractIndex = args_.ContractNumber - 1; // want to specify '1' as first, so '0' would be index of that
if (!futures.Any() || contractIndex > (futures.Count() - 1))
{
Logger.Error(
string.Format("Could not find {0} future for eventSpan {1} to {2}", args_.FutureGroup,
set.StartDate.Date.ToString("dd-MMM-yyyy"), set.EndDate.Date.ToString("dd-MMM-yyyy")), typeof (Helper));
continue;
}
var future = futures
.OrderBy(x => x.LastTrade)
.ToArray()[contractIndex];
var pxs = future.GetPrices(args_.Timezone, start, end, args_.FrequencyOfPricing, false);
ret.Add(new DataInterEvent(set, false, future, pxs, args_.InterEventArgs));
}
return ret;
}
