/// <summary>
/// Calculates average price by specified dimensions and datetime of the timeslot.
/// </summary>
/// <returns>
/// <see cref="AveragePriceResult"/> in case Price records found by specified params.
/// Otherwise <code>null<code/>.
/// </returns>
public async Task <AveragePriceResult> CalculateAveragePrice(
DateTime dateTime,
string portfolioName = null,
string instrumentOwnerName = null,
string instrumentName = null)
{
if (dateTime < TimeSlot.Origin)
{
return(null);
}
var timeslot = TimeSlot.DateTimeToTimeSlot(dateTime);
var filter = BuildFilter(portfolioName, instrumentOwnerName, instrumentName);
var dimensions = SelectDimensions(portfolioName, instrumentOwnerName, instrumentName);
var response = await _druidClient.GroupByAsync <AveragePriceAggregationResult>(
aggr => ConfigureAggregationSpec(aggr, timeslot, filter, dimensions));
if (response.Data.Any())
{
var aggregationResult = response.Data.Single();
return(new AveragePriceResult(aggregationResult.Timestamp, aggregationResult.Event.AveragePrice));
}
return(null);
}
public void DateTimeToTimeSlot_ReturnsZeroTimeSlot_ForOrigin()
{
var dt = new DateTime(2018, 1, 1);
var timeslot = TimeSlot.DateTimeToTimeSlot(dt);
timeslot.Index.Should().Be(0);
timeslot.Start.Should().Be(dt);
timeslot.End.Should().Be(dt.AddSeconds(10_000));
}
public void DateTimeToTimeSlot_ReturnsCorrectTimeSlot(int year, int month, int day, int hour, int minute, int second)
{
var dt = new DateTime(year, month, day, hour, minute, second);
var expectedTimeslotStart = new DateTime(2018, 3, 15, 17, 26, 40);
var timeslot = TimeSlot.DateTimeToTimeSlot(dt);
timeslot.Index.Should().Be(637);
timeslot.Start.Should().Be(expectedTimeslotStart);
timeslot.End.Should().Be(expectedTimeslotStart.AddSeconds(10_000));
}
public async Task GetAverageBySingleRecord_ReturnsExactPrice()
{
var testRecord = _testDataRows.Single(r => r.Portfolio == "Barclays" && r.Owner == "Ford" && r.Instrument == "Swap");
var expectedDate = TimeSlot.DateTimeToTimeSlot(testRecord.Date).Start;
var expectedPrice = 712.54M;
var result = await _httpClient.GetAveragePrice(testRecord);
result.Should().NotBeNull();
result.Date.Should().Be(expectedDate);
result.Price.Should().Be(expectedPrice);
}
public async Task GetAveragePrice_CanCalculateBy_DateOnly()
{
var expectedDate = new DateTime(2018, 1, 1);
var expectedTimeSlot = TimeSlot.DateTimeToTimeSlot(expectedDate);
var testRecords = _testDataRows.Where(r => r.TimeSlot == expectedTimeSlot).ToList();
var expectedPrice = testRecords.Select(r => r.Price).Average().RoundTo(decimals: 3);
var result = await _httpClient.GetAveragePrice(new PriceRecordDimensions { Date = expectedDate });
result.Should().NotBeNull();
result.Date.Should().Be(expectedDate);
result.Price.RoundTo(decimals: 3).Should().Be(expectedPrice);
}
public async Task <AveragePriceDto> ExecuteAsync(DateTime time, string instrument, string owner, string portfolio)
{
int timeSlot = TimeSlot.DateTimeToTimeSlot(time);
IList <InstrumentPrice> pricesList = await _dbService.InstrumentPrices.Where(x =>
x.TimeSlot == timeSlot &&
x.Portfolio == portfolio &&
x.Instrument == instrument &&
x.InstrumentOwner == owner).ToListAsync();
if (!pricesList.Any())
{
return(null);
}
return(new AveragePriceDto()
{
Price = pricesList.Sum(x => x.Price) / pricesList.Count,
Date = TimeSlot.GetTimeSlotStartDate(timeSlot)
});
}
public void DateTimeToTimeSlot_ThrowsError_ForDateSmallerThanOrigin()
{
var dt = new DateTime(2017, 1, 1);
Assert.Throws <ValidationException>(() => TimeSlot.DateTimeToTimeSlot(dt));
}
public void DateTimeToTimeSlotWhenEpochStartTimePassedNumberShouldBeZero()
{
TimeSlot.DateTimeToTimeSlot(TimeSlot.EpochStart).ShouldBe(0);
}
public void DateTimeToTimeSlotValidUTCTimePassedNumberReturned()
{
TimeSlot.DateTimeToTimeSlot(new DateTime(2018, 03, 15, 17, 34, 50, DateTimeKind.Utc)).ShouldBe(637);
}
public void DateTimeToTimeSlotWhenTimeBeforeEpochStartPassedToCtorExceptionShouldBeThrown()
{
Should.Throw <ArgumentOutOfRangeException>(() => TimeSlot.DateTimeToTimeSlot(new DateTime(2000, 1, 1)));
}
private List <InstrumentPrice> ReadFromFile(string filePath)
{
List <InstrumentPrice> dataList = new List <InstrumentPrice>();
var fileStream = new StreamReader(filePath);
string line;
fileStream.ReadLine(); // Skip first line
InstrumentPrice instrumentPrice;
decimal price;
DateTime date;
while ((line = fileStream.ReadLine()) != null)
{
var properties = line.Split(',');
if (Decimal.TryParse(properties[4], out price))
{
if (DateTime.TryParseExact(properties[3], _format,
CultureInfo.InvariantCulture,
DateTimeStyles.None,
out date))
{
try
{
instrumentPrice = new InstrumentPrice(properties[0], properties[1], properties[2], date, TimeSlot.DateTimeToTimeSlot(date), price);
dataList.Add(instrumentPrice);
}
catch (Exception e)
{
_logger.LogInformation(e, "");
continue;
}
}
else
{
_logger.LogInformation($"Error parsing Date - {properties[3]}");
}
}
else
{
_logger.LogInformation($"Error parsing Price - {properties[4]}");
}
}
return(dataList);
}
