public string SubmitCloses(CloseSnapDTO[] closes)
{
using (SLog.NDC(ClientIP()))
{
SLog.log.InfoFormat("SubmitCloses({0})", closes.Count());
try
{
var sw = Stopwatch.StartNew();
var obj = ServiceHelpers.SubmitCloses(closes);
SLog.log.DebugFormat("Submit closes done in {0} ms.", sw.ElapsedMilliseconds);
}
catch (Exception ex)
{
SLog.log.Error("SubmitCloses", ex);
}
}
return "OK";
}
public static int SubmitCloses(CloseSnapDTO[] closes)
{
int numSaved = 0;
try
{
using(var dc = Symmetry.Data.SymmetryDataSource.ReadWrite())
{
var knownSources = new Dictionary<string, int>();
var instruments = dc.FIs.Select(i => new { i.SymmetryCode, i.FIID, i.InstrumentType }).ToDictionary(i => i.SymmetryCode.ToUpper(), i => new { i.FIID, i.InstrumentType} );
var snapFile = new StringBuilder();
snapFile.AppendLine("snap,date,source,instrument,type,value,force");
// go by snap then by date
foreach (var closeSnap in closes.GroupBy(c => c.Close))
{
foreach (var closeSnapOnDate in closeSnap.GroupBy(c => c.ValueDate))
{
var snap = QuoteHelpers.GetOrCreateMarketSnap(closeSnap.Key, closeSnapOnDate.Key, dc, ThrowBehavior.Throw);
SLog.log.InfoFormat("Attempting to process {0} closes for close {1} date {2}", closeSnapOnDate.Count(), closeSnap.Key, closeSnapOnDate.Key);
foreach (var close in closeSnapOnDate)
{
try
{
var sourceCode = close.Source.Trim().ToUpper();
if (!knownSources.ContainsKey(sourceCode))
{
var source = QuoteHelpers.GetOrCreateQuoteSource(sourceCode, dc, ThrowBehavior.Throw);
knownSources.Add(sourceCode, source.QuoteSourceID);
}
int sourceID = knownSources[sourceCode];
//int fiid = 0;
var instrumentCode = close.SymmetryCode.Trim().ToUpper();
QuoteValueType quoteType = QuoteValueType.NotSet;
switch (close.QuoteType.Trim().ToLower())
{
case "price":
quoteType = QuoteValueType.Price;
break;
case "yield":
quoteType = QuoteValueType.Yield;
break;
case "repo rate":
quoteType = QuoteValueType.RepoRate;
break;
case "implied vol":
quoteType = QuoteValueType.ImpliedVol;
break;
default:
throw new Exception(String.Format("Unknown quote type {0} for instrument {1} with value {2}", close.QuoteType, instrumentCode, close.QuoteValue));
}
if(instruments.ContainsKey(instrumentCode))
{
var dictionaryValue = instruments[instrumentCode];
if (ConfigHelpers.GetConfigBool("SaveIRFixingsOnly") && quoteType==QuoteValueType.Price && dictionaryValue.InstrumentType != InstrumentType.IRFixing)
continue;
snapFile.AppendFormat("{0},{1},{2},{3},{4},{5},{6}{7}", close.Close, close.ValueDate, sourceCode, instrumentCode, close.QuoteType, close.QuoteValue, close.Force, Environment.NewLine);
if (QuoteHelpers.SaveQuote(snap, sourceID, dictionaryValue.FIID, quoteType, close.QuoteValue, DateTime.UtcNow, dc, ThrowBehavior.Throw, close.Force))
{
numSaved++;
}
}
}
catch (Exception ex)
{
SLog.log.Error(String.Format("Error processing close for instrument {0} source {1} value {2}", close.SymmetryCode, close.Source, close.QuoteValue), ex);
}
}
}
}
try
{
var fileName = System.IO.Path.Combine(ConfigHelpers.GetConfigString("SnapFileDir"), String.Format("submitcloses_{0}_{1}.csv", (sCounter++), DateTime.UtcNow.ToString("yyyyMMdd_HHmmssfff")));
System.IO.File.WriteAllText(
fileName,
snapFile.ToString());
SLog.log.InfoFormat("Written closes to {0}", fileName);
} catch (Exception ex)
{
SLog.log.Warn("Error saving snaps to file", ex);
}
}
} catch(Exception ex)
{
SLog.log.Error("CloseSnap", ex);
}
return numSaved;
}
