/// <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();
// Check if close value was requested.
switch (mdq.Field)
{
case "close":
{
break;
}
default:
{
// In case the request is not close return an error.
marketData = null;
dates = null;
status.HasErrors = true;
status.ErrorMessage += "GetTimeSeries: Market data not available (only " +
"close values are available, " +
mdq.Field + " was requested).";
return(status);
}
}
// For now only Scalar requests are handled.
if (mdq.MarketDataType == typeof(Scalar).ToString())
{
List <MEFFHistoricalQuote> quotes = null;
try
{
// Request the data to the Market Data Provider.
quotes = MEFFAPI.GetHistoricalQuotes(TickerUtility.PreparseSymbol(mdq.Ticker), mdq.Date, end);
}
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 MEFF service: " + e.Message;
return(status);
}
// Check if there is at least one result.
if (quotes.Count >= 1)
{
// Allocate the structures for the output.
marketData = new Scalar[quotes.Count];
dates = new DateTime[quotes.Count];
// Scan the list of quotes to prepare the data for Fairmat.
for (int i = 0; i < quotes.Count; i++)
{
// Fill the dates array from the date field of each quote.
dates[i] = quotes[i].SessionDate;
// Prepare the single scalar data.
Scalar val = new Scalar();
val.TimeStamp = quotes[i].SessionDate;
val.Value = quotes[i].SettlPrice;
// Put it in the output structure.
marketData[i] = val;
}
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);
}
}
/// <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);
}
}