public static MarketPrices ReadData(IEnumerable<string> symbols,
string dataItem, TimeSeries timeSeries)
{
List<string> symbolsList = symbols.OrderBy(x => x).ToList();
MarketPrices allData2 = For(symbolsList, dataItem, timeSeries);
return allData2;
}
public void BasicDataAccessTest()
{
var da = DataAccess.GetInstance();
var timestamps = new TimeSeries(new[] { new DateTime(2012, 08, 30) });
IEnumerable<string> symbols = new List<string> { @"$DJI" };
da.GetMarketData(symbols, "Close", timestamps);
}
/// <summary>
/// Read data into a DataFrame, but check to see if it is in a cache first.
/// @param TimeSeries: List of TimeSeries for which the data values are needed. TimeSeries must be sorted.
/// @param symbols: The list of symbols for which the data values are needed
/// @param dataItem: The dataItem needed. Like open, close, volume etc. May be a list, in which case a list of DataFrame is returned.
/// @param bIncDelist: If true, delisted securities will be included.
/// @note: If a symbol is not found then a message is printed. All the values in the column for that stock will be NaN. Execution then
/// continues as usual. No errors are raised at the moment.
/// </summary>
public MarketPrices GetMarketData(IEnumerable<string> symbols, string dataItem, TimeSeries timeSeries)
{
string key = GetCacheKey(timeSeries, symbols, dataItem);
MarketPrices data = ReadCache(key);
if (data != null) return data;
data = MarketPrices.ReadData(symbols, dataItem, timeSeries);
CacheData(key, data);
return data;
}
private void ReadStock(string dataItem, string symbol, TimeSeries timeSeries)
{
try
{
StockPrices prices = StockPrices.ReadStock(symbol, dataItem, timeSeries);
Add(symbol, prices);
}
catch (FileNotFoundException)
{
Console.WriteLine(" Missing stock data for '" + symbol + "'. Ignoring.");
}
}
private static MarketPrices For(IEnumerable<string> symbols, string dataColumnName, TimeSeries timeSeries)
{
var r = new MarketPrices();
Console.WriteLine("Reading market data...");
Stopwatch stopwatch = Stopwatch.StartNew();
foreach (string symbol in symbols)
r.ReadStock(dataColumnName, symbol, timeSeries);
stopwatch.Stop();
Console.WriteLine(" Elapsed time: " + stopwatch.Elapsed);
return r;
}
public static StockPrices ReadStock(string symbol, string dataColumnName, TimeSeries dayOffsets)
{
var prices = new StockPrices(dayOffsets.Count);
string filePath = DataAccess.GetInstance().GetFilePath(symbol);
using (var csv = new CsvReader2(filePath))
{
while (csv.Read())
{
var date = csv.GetDateTime("Date");
int offset = dayOffsets.GetOffsetDaysFromStart(date);
if (offset < 0)
continue;
var price = csv.GetFloat(dataColumnName);
prices.Set(offset, price);
}
}
return prices;
}
private string GetCacheKey(TimeSeries tsList, IEnumerable<string> symbolList, string dataItem)
{
// Create the hash for the symbols
int hashsyms = symbolList.Select(sym => sym.GetHashCode()).Aggregate(0, (current, hash) => (current + hash)%10000000);
// Create the hash for the TimeSeries
int hashts = tsList.Start.GetHashCode() + tsList.Count;
string hashstr = "qstk-" + "-" + Math.Abs(hashsyms) + "-" + Math.Abs(hashts) + "-" + dataItem.GetHashCode();
return hashstr;
}
