public static void Go()
{
var ctList = SI.Strategy.CTDs.Generator.Go();
var listOfMissing = new List<MonthYear>();
foreach (var v in ctList)
{
if (v.CT2 == null || v.CT3 == null || v.CT5 == null || v.CT7 == null || v.CT10 == null || v.CT30 == null)
if (!listOfMissing.Contains(v.RefundingMonth))
{
Logger.Debug(string.Format("Missing bonds for {0}", v.RefundingMonth), typeof(UpdateCTBondData));
listOfMissing.Add(v.RefundingMonth);
}
}
System.Net.ServicePointManager.SecurityProtocol = System.Net.SecurityProtocolType.Ssl3;
try
{
var cred = ServiceHelpers.GetCredentials();
using (var dc = SymmetryDataSource.ReadOnly())
{
using (var dsClient = new ExtractionServiceClient())
{
var isins = new Dictionary<string, ValidatedInstrument>();
foreach (var v in listOfMissing)
{
var request = new SearchInstrumentsRequest
{
CredentialsHeader = cred,
request = new InstrumentSearchRequestGovCorp
{
IdentifierType = "ISN",
IdentifierSearchValue = "US9128*",
PreferredIdentifierType = "ISN",
IsGovernmentGroup = true,
IssueDatePrimaryValue = new DateTime(v.Year, v.Month, 3),
IssueDateSecondaryValue = new DateTime(v.Year, v.Month, 25),
IssueDateComparisonOperator = "FROM",
}
};
var response = dsClient.SearchInstruments(request);
Array.ForEach(response.SearchInstrumentsResult.Instruments.Select(x => x.IdentifierValue).Distinct().ToArray(), (x) => Logger.Debug(x, typeof(UpdateCTBondData)));
foreach (var validatedInstrument in response.SearchInstrumentsResult.Instruments)
{
var isin = validatedInstrument.IdentifierValue;
if (isins.ContainsKey(isin))
{
if (validatedInstrument.Source.Equals("TWB"))
isins[isin] = validatedInstrument;
continue;
}
var fi = FIHelpers.GetFIBySymmetryCode(isin, dc, Symmetry.Core.ThrowBehavior.DontThrow);
if (fi == null)
isins.Add(isin, validatedInstrument);
}
}
if (isins.Count == 0)
return;
{
var request = new ExtractRequest
{
CredentialsHeader = cred,
request = new InstrumentExtractionRequestTermsAndConditions
{
Instruments = isins.ToList().Select(x => x.Value).ToArray(),
OutputFields = Enum.GetNames(typeof(FieldsToReturn))
.Select(x => typeof(FieldsToReturn).GetField(x.ToString()))
.Select(x => x.GetCustomAttribute<RSSFieldAttribute>().FieldName).ToArray()
}
};
var response = dsClient.Extract(request);
var pivoted = ExtractionUtility.PivotExtractionResult(response.ExtractResult.Columns, response.ExtractResult.RowCount, response.ExtractResult.Messages);
StringBuilder b = new StringBuilder();
b.AppendLine(ServiceHelpers.ToCsvLine(pivoted.ColumnNames));
foreach (var row in pivoted.Rows)
{
b.AppendLine(ServiceHelpers.ToCsvLine(row));
}
var path = @"e:\temp\missingBonds.csv";
FileInfo i = new FileInfo(path);
StreamWriter writer = i.CreateText();
writer.Write(b.ToString());
writer.Close();
}
}
}
}
catch (Exception ex_)
{
Logger.Error("blast", typeof(UpdateCTBondData), ex_);
}
}
protected override ReutersDSS.Service.ValidatedInstrument[] getValidatedInstruments(Data.SymmetryEntities dc_, ReutersDSS.Service.ExtractionServiceClient dsClient_, ReutersDSS.Service.CredentialsHeader credentials_)
{
// get the config document
var config = BondDiscoveryConfig.GetInstance();
if (config == null || config.Countries == null)
{
Symmetry.Core.SLog.log.Fatal("Could not load BondDiscoveryConfig instance");
return null;
}
var isinToValidatedInstrument = new Dictionary<string, ValidatedInstrument>();
foreach(var countryItem in config.Countries)
{
foreach(var subGroupItem in countryItem.Items)
{
// build up request
var request = new SearchInstrumentsRequest
{
CredentialsHeader = credentials_,
request = new InstrumentSearchRequestGovCorp
{
IdentifierType = "ISN",
IdentifierSearchValue = subGroupItem.SearchString ?? "*",
PreferredIdentifierType = "ISN",
IsGovernmentGroup = true,
CountryType=countryItem.CountryCode,
IssueDatePrimaryValue = DateTime.Today.Add(-m_lookBackPeriodForSearch),
IssueDateSecondaryValue = DateTime.Today.Add(m_lookBackPeriodForSearch),
IssueDateComparisonOperator = "FROM",
SubGroupType = subGroupItem.AssetSubGroup
}
};
SearchInstrumentsResponse response;
// do it
try
{
response = dsClient_.SearchInstruments(request);
}
catch
{
response = null;
}
if (response == null || response.SearchInstrumentsResult == null || response.SearchInstrumentsResult.Instruments == null)
continue;
// go through each ValidatedInstrument pulling out ISINs,
// as there are multiple brokers, isin may appear more than once
foreach (var validatedInstrument in response.SearchInstrumentsResult.Instruments)
{
var isin = validatedInstrument.IdentifierValue;
if (isinToValidatedInstrument.ContainsKey(isin))
{
// even if we know about it already, prefer tradeweb as a source
if(validatedInstrument.Source.Equals("TWB"))
isinToValidatedInstrument[isin]=validatedInstrument;
continue;
}
// do we know about it already?
var fi = FIHelpers.GetFIBySymmetryCode(isin,dc_,ThrowBehavior.DontThrow);
// if we don't then want to include it in our list of bonds to add to the database
if (fi == null)
{
SLog.log.Debug(string.Format("New bond to add: ISIN = {0}", isin));
isinToValidatedInstrument.Add(isin, validatedInstrument);
}
}
}
}
return isinToValidatedInstrument.Select(x => x.Value).ToArray();
}
protected override ReutersDSS.Service.ValidatedInstrument[] getValidatedInstruments(Data.SymmetryEntities dc_, ReutersDSS.Service.ExtractionServiceClient dsClient_, ReutersDSS.Service.CredentialsHeader credentials_)
{
var isinToValidatedInstrument = new Dictionary<string, ValidatedInstrument>();
foreach (var isn in m_isins)
{
// do we know about it already?
var fi = FIHelpers.GetFIBySymmetryCode(isn, dc_, ThrowBehavior.DontThrow);
if (fi != null)
{
SLog.log.Debug(string.Format("Bond with Isin={0} already exists in database", isn));
continue;
}
var request = new SearchInstrumentsRequest
{
CredentialsHeader = credentials_,
request = new InstrumentSearchRequestGovCorp
{
IdentifierType = "ISN",
IdentifierSearchValue = string.Format("{0}", isn),
PreferredIdentifierType = "ISN",
}
};
SearchInstrumentsResponse response;
// do it
try
{
response = dsClient_.SearchInstruments(request);
}
catch
{
response = null;
}
if (response == null || response.SearchInstrumentsResult == null || response.SearchInstrumentsResult.Instruments == null)
continue;
// go through each ValidatedInstrument pulling out ISINs,
// as there are multiple brokers, isin may appear more than once
foreach (var validatedInstrument in response.SearchInstrumentsResult.Instruments)
{
var isin = validatedInstrument.IdentifierValue;
if (isinToValidatedInstrument.ContainsKey(isin))
{
// even if we know about it already, prefer tradeweb as a source
if (validatedInstrument.Source.Equals("TWB"))
isinToValidatedInstrument[isin] = validatedInstrument;
continue;
}
SLog.log.Debug(string.Format("New bond to add: ISIN = {0}", isin));
isinToValidatedInstrument.Add(isin, validatedInstrument);
}
}
return isinToValidatedInstrument.Select(x => x.Value).ToArray();
}
