private void backFillFromBloombergToNow()
{
var startTimeInGMT = TimeZoneHelper.ConvertDateTime(DateTime.Now, TimeZoneInfo.Local, TimeZoneInfo.Utc).StartOfDay();
var endTimeInGMT = TimeZoneHelper.ConvertDateTime(DateTime.Now.StartOfMinute(), TimeZoneInfo.Local, TimeZoneInfo.Utc);
{
var rd = new RelativeDate(IndexedDates, DateTime.Now.ToTZfromLocal(DispTimeZone), DispTimeZone);
var start = rd.GetDayBegin();
if (start.Index != RelativeDate.INVALID_INDEX)
startTimeInGMT = start.UnderlyingDate.ToGMTFromTZ(DispTimeZone);
}
{
var histBack = BbgTalk.HistoryRequester.GetIntradayBars(
startTimeInGMT,
endTimeInGMT,
BackContractBloombergTicker(),
BBG_LIVE_FIELD, 1);
backFill(histBack, DayField.BackValue, DayField.BackVolume);
}
{
var histFront = BbgTalk.HistoryRequester.GetIntradayBars(
startTimeInGMT,
endTimeInGMT,
FrontContractBloombergTicker(),
BBG_LIVE_FIELD, 1);
backFill(histFront, DayField.FrontValue, DayField.FrontVolume);
}
{
var spread = BbgTalk.HistoryRequester.GetIntradayBars(
startTimeInGMT,
endTimeInGMT,
SpreadContractBbgTicker(m_spreadTickerFormation),
BBG_LIVE_FIELD, 1);
backFill(spread, DayField.SpreadValue, DayField.SpreadVolume);
}
m_data.Keys.Sort((a, b) => a.CompareTo(b));
// right, bloomberg doesn't give us every minute when we ask for historical candles, so we need to backfill the data so that we have full data ( for every minute )
Line prior = null;
while (startTimeInGMT <= endTimeInGMT)
{
try
{
var dispDate = startTimeInGMT.ToTZfromGMT(DispTimeZone);
var rd = new RelativeDate(IndexedDates, dispDate, DispTimeZone);
if (rd.Index == RelativeDate.INVALID_INDEX) continue;
if (m_data.HasKey(rd))
{
var line = m_data.GetValue(rd, 0);
if (prior == null)
prior = line;
else
{
if (line.SpreadValue.IsZero())
line.SpreadValue = prior.SpreadValue;
if (line.BackContractValue.IsZero())
line.BackContractValue = prior.BackContractValue;
if (line.FrontContractValue.IsZero())
line.FrontContractValue = prior.FrontContractValue;
line.CalcSeriesValue(DefaultTail);
prior = line;
}
}
else
{
if (prior == null) continue;
var newLine = new Line
{
GMTDateTime = startTimeInGMT.ToString(Line.MongoDateFormat),
SpreadValue = prior.SpreadValue,
BackContractValue = prior.BackContractValue,
FrontContractValue = prior.FrontContractValue
};
newLine.CalcSeriesValue(DefaultTail);
m_data.SetValue(rd, 0, newLine);
prior = newLine;
}
}
finally
{
startTimeInGMT = startTimeInGMT.AddMinutes(1d);
}
}
m_data.Keys.Sort((a, b) => a.CompareTo(b));
}
public static RelativeDate GetPriorDayStart(this RelativeDate date_)
{
// what's the start of the date that has been passed in?
var dayBegin = date_.GetDayBegin();
// if we haven't managed to find the start of the day for the date passed in, then can't go any further
if (dayBegin.Index == RelativeDate.INVALID_INDEX) return dayBegin;
var priorRD = date_.IndexDates.FirstOrDefault(x => x.Index == dayBegin.Index - 1);
if (priorRD == null) return dayBegin;
var rd = new RelativeDate(date_.IndexDates, priorRD.Date, date_.DispTimeZone);
return rd.GetDayBegin();
}
protected override RelativeDate calcStartTime(RelativeDate livePoint_)
{
return livePoint_.GetDayBegin();
}