private GetMinuteBarsRequest GetMinuteBarsRequest(MarketDataRequest request)
{
if (request == null || (!request?.IsValid() ?? true))
{
this._logger.LogError(
$"{nameof(BmllDataRequestsManager)} had a null request or a request that did not pass data request validation for {request?.Identifiers}");
return(null);
}
if (string.IsNullOrWhiteSpace(request.Identifiers.Figi))
{
this._logger.LogError($"{nameof(BmllDataRequestsManager)} asked to process a security without a figi");
return(null);
}
return(new GetMinuteBarsRequest
{
Figi = request.Identifiers.Figi,
From = request.UniverseEventTimeFrom.Value.Date,
To = request.UniverseEventTimeTo.Value.Date.AddDays(1).AddMilliseconds(-1),
Interval = "1min"
});
}
public MarketDataResponse <EquityInstrumentIntraDayTimeBar> GetForLatestDayOnly(MarketDataRequest request)
{
if (request == null || !request.IsValid())
{
this._logger.LogError("UniverseMarketCache received either a null or invalid request");
return(MarketDataResponse <EquityInstrumentIntraDayTimeBar> .MissingData());
}
this._logger.LogInformation(
$"UniverseMarketCache fetching for market {request?.MarketIdentifierCode} from {request?.UniverseEventTimeFrom} to {request?.UniverseEventTimeTo} as part of rule run {request?.SystemProcessOperationRuleRunId}");
if (!this._latestExchangeFrameBook.ContainsKey(request.MarketIdentifierCode))
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseMarketCache was not able to find the MIC {request.MarketIdentifierCode} in the latest exchange frame book. Recording missing data.");
return(MarketDataResponse <EquityInstrumentIntraDayTimeBar> .MissingData());
}
this._latestExchangeFrameBook.TryGetValue(request.MarketIdentifierCode, out var exchangeFrame);
if (exchangeFrame == null)
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseMarketCache was not able to find the MIC {request.MarketIdentifierCode} in the latest exchange frame book. Recording missing data.");
return(MarketDataResponse <EquityInstrumentIntraDayTimeBar> .MissingData());
}
var security =
exchangeFrame.Securities.FirstOrDefault(sec => Equals(sec.Security.Identifiers, request.Identifiers));
if (security == null)
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseMarketCache was not able to find the security {request.Identifiers} for MIC {request.MarketIdentifierCode} in the latest exchange frame book. Recording missing data.");
return(MarketDataResponse <EquityInstrumentIntraDayTimeBar> .MissingData());
}
if (exchangeFrame.Epoch > request.UniverseEventTimeTo ||
exchangeFrame.Epoch < request.UniverseEventTimeFrom)
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseMarketCache was not able to find the security {request.Identifiers} for MIC {request.MarketIdentifierCode} in the latest exchange frame book within a suitable data range to {request.UniverseEventTimeTo} from {request.UniverseEventTimeFrom}. Recording missing data.");
return(MarketDataResponse <EquityInstrumentIntraDayTimeBar> .MissingData());
}
this._logger.LogInformation(
$"UniverseMarketCache was able to find a match for {request.Identifiers} returning data.");
return(new MarketDataResponse <EquityInstrumentIntraDayTimeBar>(security, false, false));
}
/// <summary>
/// Assumes that any data implies that the whole data set/range is covered
/// </summary>
public MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > GetMarkets(MarketDataRequest request)
{
if (request == null || !request.IsValid())
{
this._logger.LogError("UniverseMarketCache received either a null or invalid request");
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
if (!this._marketHistory.TryGetValue(request.MarketIdentifierCode, out var marketStack))
{
this._logger.LogInformation(
$"UniverseMarketCache GetMarkets was not able to find a market history entry for {request.MarketIdentifierCode}");
this._dataRequestRepository.CreateDataRequest(request);
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
var securityDataTicks = marketStack.ActiveMarketHistory().Where(amh => amh != null)
.Select(
amh => amh.Securities?.FirstOrDefault(sec => Equals(sec.Security.Identifiers, request.Identifiers)))
.Where(sec => sec != null).Where(sec => sec.TimeStamp <= request.UniverseEventTimeTo)
.Where(sec => sec.TimeStamp >= request.UniverseEventTimeFrom).ToList();
if (!securityDataTicks.Any())
{
this._logger.LogInformation(
$"UniverseMarketCache GetMarkets was not able to find market data for the security on {request.MarketIdentifierCode} with ids {request.Identifiers}");
this._dataRequestRepository.CreateDataRequest(request);
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
this._logger.LogInformation(
$"UniverseMarketCache GetMarkets was able to find a market history entry for {request.MarketIdentifierCode} and id {request.Identifiers}");
return(new MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> >(securityDataTicks, false, false));
}
public MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > GetMarketsForRange(
MarketDataRequest request,
IReadOnlyCollection <DateRange> dates,
RuleRunMode runMode)
{
dates = dates?.Where(dat => dat != null)?.ToList();
if (dates == null || !dates.Any())
{
this._logger.LogError(
"UniverseMarketCache GetMarketsForRange received either a null or invalid request (dates)");
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
if (request == null || !request.IsValid())
{
this._logger.LogError(
"UniverseMarketCache GetMarketsForRange received either a null or invalid request");
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
var projectedRequests = dates.Select(
i => new MarketDataRequest(
null,
request.MarketIdentifierCode,
request.Cfi,
request.Identifiers,
i.Start,
i.End,
request.SystemProcessOperationRuleRunId,
request.IsCompleted,
DataSource.AnyIntraday)).ToList();
var responseList = new List <MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > >();
foreach (var paramSet in projectedRequests)
{
responseList.Add(this.GetMarkets(paramSet));
}
if (!responseList.Any())
{
this._logger.LogInformation(
$"UniverseMarketCache GetMarketsForRange had missing data for rule run id {request.SystemProcessOperationRuleRunId}");
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
if (runMode == RuleRunMode.ValidationRun && responseList.Any(o => o.HadMissingData))
{
this._logger.LogInformation(
$"UniverseMarketCache GetMarketsForRange was running a validation run and had missing data for rule run id {request.SystemProcessOperationRuleRunId}");
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
var isMissingData = responseList.Any(o => o.HadMissingData);
var responses = responseList.Where(i => i.Response != null).SelectMany(i => i.Response).ToList();
if (isMissingData)
{
this._logger.LogInformation(
$"UniverseMarketCache GetMarketsForRange was running and had missing data for rule run id {request.SystemProcessOperationRuleRunId} but is proceeding on a best effort basis");
}
// hide that we're missing data from the consumer
return(new MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> >(responses, false, true));
}
