public void AdjustsForSplitsCorrectly()
{
_data[1].Split = 10;
PriceAdjuster.AdjustData(ref _data);
Assert.AreEqual(10, _data[0].AdjClose);
Assert.AreEqual(100, _data[1].AdjClose);
}
/// <summary>
/// Adjusts OHLC data for dividends and splits.
/// </summary>
private void AdjustData(Instrument instrument, BarSize frequency)
{
var data = GetData(instrument, new DateTime(1900, 1, 1), DateTime.Now, frequency);
PriceAdjuster.AdjustData(ref data);
//data has been adjusted, save it to the db
UpdateData(data, instrument, frequency);
}
public void AdjustsForDividendsCorrectly()
{
_data[1].Dividend = 1;
_data[0].Close = 101;
PriceAdjuster.AdjustData(ref _data);
Assert.AreEqual(100, _data[0].AdjClose);
Assert.AreEqual(100, _data[1].AdjClose);
}
public void AdjustsForDividendsAndSplitsSimultaneouslyCorrectly()
{
_data[1].Dividend = 1;
_data[0].Close = 101;
_data[1].Split = 10;
PriceAdjuster.AdjustData(ref _data);
Assert.AreEqual(10, _data[0].AdjClose);
Assert.AreEqual(100, _data[1].AdjClose);
}
private void AdjustBtn_OnClick(object sender, RoutedEventArgs e)
{
var tmpData = Data.ToList();
PriceAdjuster.AdjustData(ref tmpData);
Data.Clear();
foreach (OHLCBar b in tmpData)
{
Data.Add(b);
}
}
public void LeavesDataUntouchedIfNoDividendsOrSplits()
{
PriceAdjuster.AdjustData(ref _data);
Assert.AreEqual(_data[0].AdjClose, _data[0].Close);
Assert.AreEqual(_data[1].AdjClose, _data[1].Close);
Assert.AreEqual(_data[2].AdjClose, _data[2].Close);
Assert.AreEqual(_data[3].AdjClose, _data[3].Close);
Assert.AreEqual(100, _data[0].Close);
Assert.AreEqual(100, _data[1].Close);
Assert.AreEqual(100, _data[2].Close);
Assert.AreEqual(100, _data[3].Close);
}
public void DoesNotCrashOnNullInput()
{
_data = null;
PriceAdjuster.AdjustData(ref _data);
}
//Downloads data from yahoo. First dividends and splits, then actual price data
private async Task <List <OHLCBar> > GetData(HistoricalDataRequest request)
{
var barSize = request.Frequency;
var startDate = request.StartingDate;
var endDate = request.EndingDate;
var instrument = request.Instrument;
var symbol = string.IsNullOrEmpty(instrument.DatasourceSymbol) ? instrument.Symbol : instrument.DatasourceSymbol;
if (barSize < BarSize.OneDay)
{
throw new Exception("Bar size not supporterd"); //yahoo can't give us anything better than 1 day
}
if (startDate > endDate)
{
throw new Exception("Start date after end date"); //obvious
}
var data = new List <OHLCBar>();
//Splits
string splitURL = string.Format(@"https://query1.finance.yahoo.com/v7/finance/download/{0}?period1={1}&period2={2}&interval=1d&events=split&crumb={3}",
symbol,
ToTimestamp(startDate),
ToTimestamp(endDate),
_crumb);
HttpResponseMessage response;
try
{
response = await _client.GetAsync(splitURL).ConfigureAwait(false);
}
catch (WebException ex)
{
_logger.Error(ex, "Yahoo downloader failure, URL: " + splitURL);
return(new List <OHLCBar>());
}
if (!response.IsSuccessStatusCode)
{
string errorMessage = string.Format("Error downloading split data from Yahoo, symbol {0}. Status code: {1} Url: ({2})",
instrument.Symbol,
response.StatusCode,
splitURL);
_logger.Log(LogLevel.Error, errorMessage);
RaiseEvent(Error, this, new ErrorArgs(0, errorMessage));
return(new List <OHLCBar>());
}
string contents = await response.Content.ReadAsStringAsync().ConfigureAwait(false);
//stick dividends and splits into their respective dictionaries to be used later
//the key is the date in yyyy-MM-dd format
//Split format:
//Date,Stock Splits
//2014-06-09,7/1
var splits = new Dictionary <string, decimal>();
string[] rows = contents.Split("\n".ToCharArray());
for (int j = 1; j < rows.Length - 1; j++) //start at 1 because the first line's a header
{
string[] items = rows[j].Split(",".ToCharArray());
decimal splitNumerator, splitDenominator;
string date = items[0];
string[] splitFactors = items[1].Trim().Split("/".ToCharArray());
if (decimal.TryParse(splitFactors[0], out splitNumerator) && decimal.TryParse(splitFactors[1], out splitDenominator))
{
splits.Add(date, splitNumerator / splitDenominator);
}
}
//Dividends
string divURL = string.Format(@"https://query1.finance.yahoo.com/v7/finance/download/{0}?period1={1}&period2={2}&interval=1d&events=div&crumb={3}",
symbol,
ToTimestamp(startDate),
ToTimestamp(endDate),
_crumb);
try
{
response = await _client.GetAsync(divURL).ConfigureAwait(false);
}
catch (WebException ex)
{
_logger.Error(ex, "Yahoo downloader failure, URL: " + divURL);
return(new List <OHLCBar>());
}
if (!response.IsSuccessStatusCode)
{
string errorMessage = string.Format("Error downloading dividend data from Yahoo, symbol {0}. Status code: {1} Url: ({2})",
instrument.Symbol,
response.StatusCode,
divURL);
_logger.Log(LogLevel.Error, errorMessage);
RaiseEvent(Error, this, new ErrorArgs(0, errorMessage));
return(new List <OHLCBar>());
}
//Dividend Format
//Date,Dividends
//2014-11-06,0.47
contents = await response.Content.ReadAsStringAsync().ConfigureAwait(false);
rows = contents.Split("\n".ToCharArray());
var dividends = new Dictionary <string, decimal>();
for (int j = 1; j < rows.Length - 1; j++) //start at 1 because the first line's a header
{
decimal dividend;
string[] items = rows[j].Split(",".ToCharArray());
string date = items[0];
if (decimal.TryParse(items[1], out dividend))
{
dividends.Add(date, dividend);
}
}
//now download the actual price data
//csv file comes in the following format:
//Date,Open,High,Low,Close,Adj Close,Volume
//2014-06-02,90.565712,90.690002,88.928574,628.650024,89.807144,92337700
string dataURL = string.Format(@"https://query1.finance.yahoo.com/v7/finance/download/{0}?period1={1}&period2={2}&interval=1d&events=history&crumb={3}",
symbol,
ToTimestamp(startDate),
ToTimestamp(endDate),
_crumb);
try
{
response = await _client.GetAsync(dataURL).ConfigureAwait(false);
}
catch (WebException ex)
{
_logger.Error(ex, "Yahoo downloader failure, URL: " + dataURL);
return(new List <OHLCBar>());
}
if (!response.IsSuccessStatusCode)
{
string errorMessage = string.Format("Error downloading dividend data from Yahoo, symbol {0}. Status code: {1} Url: ({2})",
instrument.Symbol,
response.StatusCode,
dataURL);
_logger.Log(LogLevel.Error, errorMessage);
RaiseEvent(Error, this, new ErrorArgs(0, errorMessage));
return(new List <OHLCBar>());
}
contents = await response.Content.ReadAsStringAsync().ConfigureAwait(false);
//parse the downloaded price data
rows = contents.Split("\n".ToCharArray());
for (int j = 1; j < rows.Count(); j++) //start at 1 because the first line's a header
{
if (string.IsNullOrEmpty(rows[j]))
{
continue;
}
string[] items = rows[j].Split(",".ToCharArray());
var bar = new OHLCBar();
if (dividends.ContainsKey(items[0]))
{
bar.Dividend = dividends[items[0]];
}
if (splits.ContainsKey(items[0]))
{
bar.Split = splits[items[0]];
}
//The OHL values are actually split adjusted, we want to turn them back
if (bar.Split.HasValue)
{
var ratio = bar.Split.Value;
for (int i = j - 2; i >= 0; i--)
{
data[i].Open = data[i].Open * ratio;
data[i].High = data[i].High * ratio;
data[i].Low = data[i].Low * ratio;
data[i].Close = data[i].Close * ratio;
}
}
try
{
var dt = DateTime.ParseExact(items[0], "yyyy-MM-dd", CultureInfo.InvariantCulture);
bar.DT = dt;
bar.Open = decimal.Parse(items[1]);
bar.High = decimal.Parse(items[2]);
bar.Low = decimal.Parse(items[3]);
bar.Close = decimal.Parse(items[4]);
bar.Volume = long.Parse(items[6]);
//set adj values so that in case they're not set later (eg if we only get one bar), they're still filled in
bar.AdjOpen = bar.Open;
bar.AdjHigh = bar.High;
bar.AdjLow = bar.Low;
bar.AdjClose = bar.Close;
//data check, sometimes a bunch of values will be zero - we don't want any of that
if (bar.Open == 0 || bar.High == 0 || bar.Low == 0 || bar.Close == 0)
{
_logger.Error($"Request for {request.Instrument.Symbol} returned faulty data - zeros at {bar.DT}");
return(data);
}
data.Add(bar);
}
catch
{
_logger.Error("Failed to parse line: " + rows[j]);
}
}
//For some reason the order of the data is sometimes reversed, make sure it's correct
data = data.OrderBy(x => x.DT).ToList();
//Note that due to the latest change, the adjusted close value is incorrect (doesn't include divs)
//so we need to calc adj values ourselves
PriceAdjuster.AdjustData(ref data);
_logger.Log(LogLevel.Info, string.Format("Downloaded {0} bars from Yahoo, symbol {1}.",
data.Count,
instrument.Symbol));
return(data);
}
