public static async Task<string> GenerateQuickTesterResponse(GeneralStrategyParameters p_generalParams, string p_strategyName, Dictionary<string, StringValues> p_allParamsDict)
{
if (p_strategyName != "AdaptiveUberVxx")
return null;
Stopwatch stopWatchTotalResponse = Stopwatch.StartNew();
// if parameter is not present, then it is Unexpected, it will crash, and caller Catches it. Good.
//string assetsStr = p_allParamsDict["Assets"][0]; // "MDY,ILF,FEZ,EEM,EPP,VNQ,TLT"
Stopwatch stopWatch = Stopwatch.StartNew();
var getAllQuotesTask = StrategiesCommon.GetHistoricalAndRealtimesQuotesAsync(p_generalParams, (new string[] { "VXX", "SPY" }).ToList());
var getAllQuotesData = await getAllQuotesTask;
stopWatch.Stop();
string warningToUser = "", noteToUserBacktest = "", debugMessage = "", errorMessage = "";
DateTime startDate, endDate;
StrategiesCommon.DetermineBacktestPeriodCheckDataCorrectness(getAllQuotesData.Item1, new string[] { "VXX", "SPY" }, ref warningToUser, out startDate, out endDate);
List<DailyData> pv = StrategiesCommon.DeepCopyQuoteRange(getAllQuotesData.Item1[0], startDate, endDate);
var vxxQoutes = getAllQuotesData.Item1[0];
var spyQoutes = getAllQuotesData.Item1[1];
DoBacktestInTheTimeInterval_AdaptiveUberVxx(vxxQoutes, spyQoutes, 0.001, 0.001, "Long", pv, ref noteToUserBacktest);
stopWatchTotalResponse.Stop();
StrategyResult strategyResult = StrategiesCommon.CreateStrategyResultFromPV(pv,
warningToUser + "***" + noteToUserBacktest, errorMessage,
debugMessage + String.Format("SQL query time: {0:000}ms", getAllQuotesData.Item2.TotalMilliseconds) + String.Format(", RT query time: {0:000}ms", getAllQuotesData.Item3.TotalMilliseconds) + String.Format(", All query time: {0:000}ms", stopWatch.Elapsed.TotalMilliseconds) + String.Format(", TotalC#Response: {0:000}ms", stopWatchTotalResponse.Elapsed.TotalMilliseconds));
string jsonReturn = JsonConvert.SerializeObject(strategyResult);
return jsonReturn;
}
public static async Task<string> GenerateQuickTesterResponse(GeneralStrategyParameters p_generalParams, string p_strategyName, Dictionary<string, StringValues> p_allParamsDict)
{
if (p_strategyName != "VXX_SPY_Controversial")
return null;
Stopwatch stopWatchTotalResponse = Stopwatch.StartNew();
// if parameter is not present, then it is Unexpected, it will crash, and caller Catches it. Good.
string spyMinPctMoveStr = p_allParamsDict["SpyMinPctMove"][0];
string vxxMinPctMoveStr = p_allParamsDict["VxxMinPctMove"][0];
string longOrShortTrade = p_allParamsDict["LongOrShortTrade"][0];
double spyMinPctMove;
bool isParseSuccess = Double.TryParse(spyMinPctMoveStr, out spyMinPctMove);
if (!isParseSuccess)
{
throw new Exception("Error: spyMinPctMoveStr as " + spyMinPctMoveStr + " cannot be converted to number.");
}
double vxxMinPctMove;
isParseSuccess = Double.TryParse(vxxMinPctMoveStr, out vxxMinPctMove);
if (!isParseSuccess)
{
throw new Exception("Error: vxxMinPctMoveStr as " + vxxMinPctMoveStr + " cannot be converted to number.");
}
Stopwatch stopWatch = Stopwatch.StartNew();
var getAllQuotesTask = StrategiesCommon.GetHistoricalAndRealtimesQuotesAsync(p_generalParams, (new string[] { "VXX", "SPY" }).ToList());
var getAllQuotesData = await getAllQuotesTask;
stopWatch.Stop();
string warningToUser = "", noteToUserBacktest = "", debugMessage = "", errorMessage = "";
DateTime startDate, endDate;
StrategiesCommon.DetermineBacktestPeriodCheckDataCorrectness(getAllQuotesData.Item1, new string[] { "VXX", "SPY" }, ref warningToUser, out startDate, out endDate);
List<DailyData> pv = StrategiesCommon.DeepCopyQuoteRange(getAllQuotesData.Item1[0], startDate, endDate);
var vxxQoutes = getAllQuotesData.Item1[0];
var spyQoutes = getAllQuotesData.Item1[1];
if (String.Equals(p_strategyName, "VXX_SPY_Controversial", StringComparison.CurrentCultureIgnoreCase))
{
DoBacktestInTheTimeInterval_VXX_SPY_Controversial(vxxQoutes, spyQoutes, spyMinPctMove, vxxMinPctMove, longOrShortTrade, pv, ref noteToUserBacktest);
}
else
{
}
stopWatchTotalResponse.Stop();
StrategyResult strategyResult = StrategiesCommon.CreateStrategyResultFromPV(pv,
warningToUser + "***" + noteToUserBacktest, errorMessage,
debugMessage + String.Format("SQL query time: {0:000}ms", getAllQuotesData.Item2.TotalMilliseconds) + String.Format(", RT query time: {0:000}ms", getAllQuotesData.Item3.TotalMilliseconds) + String.Format(", All query time: {0:000}ms", stopWatch.Elapsed.TotalMilliseconds) + String.Format(", TotalC#Response: {0:000}ms", stopWatchTotalResponse.Elapsed.TotalMilliseconds));
string jsonReturn = JsonConvert.SerializeObject(strategyResult);
return jsonReturn;
}
public static async Task<string> GenerateQuickTesterResponse(GeneralStrategyParameters p_generalParams, string p_strategyName, Dictionary<string, StringValues> p_allParamsDict)
{
if (p_strategyName != "TotM")
return null;
Stopwatch stopWatchTotalResponse = Stopwatch.StartNew();
// if parameter is not present, then it is Unexpected, it will crash, and caller Catches it. Good.
string bullishTradingInstrument = p_allParamsDict["BullishTradingInstrument"][0];
string dailyMarketDirectionMaskSummerTotM = p_allParamsDict["DailyMarketDirectionMaskSummerTotM"][0];
string dailyMarketDirectionMaskSummerTotMM = p_allParamsDict["DailyMarketDirectionMaskSummerTotMM"][0];
string dailyMarketDirectionMaskWinterTotM = p_allParamsDict["DailyMarketDirectionMaskWinterTotM"][0];
string dailyMarketDirectionMaskWinterTotMM = p_allParamsDict["DailyMarketDirectionMaskWinterTotMM"][0];
//bullishTradingInstrument = bullishTradingInstrument.Replace("%20", " ");
int ind = bullishTradingInstrument.IndexOf(' '); // "long SPY", "long QQQ", "short VXX"
StrongAssert.True(ind != -1 && ind != (bullishTradingInstrument.Length - 1), "bullishTradingInstrument parameter cannot be interpreted: " + bullishTradingInstrument);
string stock = bullishTradingInstrument.Substring(ind + 1);
string longOrShortOnBullish = bullishTradingInstrument.Substring(0, ind);
Stopwatch stopWatch = Stopwatch.StartNew();
var getAllQuotesTask = StrategiesCommon.GetHistoricalAndRealtimesQuotesAsync(p_generalParams, (new string[] { stock }).ToList());
var getAllQuotesData = await getAllQuotesTask;
stopWatch.Stop();
var stockQoutes = getAllQuotesData.Item1[0];
string warningToUser = "", noteToUserBacktest = "", debugMessage = "", errorMessage = "";
List<DailyData> pv = StrategiesCommon.DetermineBacktestPeriodCheckDataCorrectness(stockQoutes, ref warningToUser);
DoBacktestInTheTimeInterval_TotM(stockQoutes, longOrShortOnBullish, dailyMarketDirectionMaskSummerTotM, dailyMarketDirectionMaskSummerTotMM, dailyMarketDirectionMaskWinterTotM, dailyMarketDirectionMaskWinterTotMM, pv, ref noteToUserBacktest);
stopWatchTotalResponse.Stop();
StrategyResult strategyResult = StrategiesCommon.CreateStrategyResultFromPV(pv,
//"Number of positions: <span> XXXX </span><br><br>test",
//"Number of positions: <span> {{nPositions}} </span><br><br>test",
"<b>Bullish</b> (Bearish) on days when mask is Up (Down).<br>" + warningToUser
+ ((!String.IsNullOrEmpty(warningToUser) && !String.IsNullOrEmpty(noteToUserBacktest)) ? "<br>" : "")
+ noteToUserBacktest,
errorMessage, debugMessage + String.Format("SQL query time: {0:000}ms", getAllQuotesData.Item2.TotalMilliseconds) + String.Format(", RT query time: {0:000}ms", getAllQuotesData.Item3.TotalMilliseconds) + String.Format(", All query time: {0:000}ms", stopWatch.Elapsed.TotalMilliseconds) + String.Format(", TotalC#Response: {0:000}ms", stopWatchTotalResponse.Elapsed.TotalMilliseconds));
string jsonReturn = JsonConvert.SerializeObject(strategyResult);
return jsonReturn;
}
public static async Task<Tuple<IList<List<DailyData>>, TimeSpan, TimeSpan>> GetHistoricalAndRealtimesQuotesAsync(GeneralStrategyParameters p_generalParams, List<string> p_tickers, CancellationToken p_canc = default(CancellationToken))
{
//- SPY 300K CSV SQLqueryTime (local server), msecond times for (for Azure in-house datacenter, these will be less)
//All data: Open, High, Low, Close, Volume : 886, 706, 1237, 761, 727, Avg = 863
//Only ClosePrice: 662, 680, 702, 820, 663, 692, Avg = 703
// if the Website is not local, but it is in the same Azure datacenter as the SQL center
//SQL query time (All OHLCV data): msec: 612, 614, 667, 772, 632, 613, 665, 662, Avg = 654
//SQL query time (only Close data): msec: 623, 624, 704, 614, 615, 621, 621, 722, 636, Avg = 642
//Conclusion:downloading only Closeprice from SQL, we can save 100msec (LocalServer website (non-datacenter website)) or 15msec (Azure server website when SQL server is very close), still worth it
ushort sqlReturnedColumns = QuoteRequest.TDC; // QuoteRequest.All or QuoteRequest.TDOHLCVS
//var sqlReturnTask = GetHistQuotesAsync(p_tickers.Select(r => new QuoteRequest { Ticker = r, nQuotes = Int32.MaxValue, NonAdjusted = false, ReturnedColumns = sqlReturnedColumns }), HQCommon.AssetType.Stock, true); // Ascending date order: TRUE, better to order it at the SQL server than locally. SQL has indexers
var sqlReturnTask = GetHistQuotesAsync(p_generalParams, p_tickers, sqlReturnedColumns);
Task<Tuple<IList<double?>, TimeSpan>> realtimeReturnTask = null;
if (p_generalParams.endDateUtc >= DateTime.UtcNow)
realtimeReturnTask = GetRealtimesQuotesAsync(p_tickers);
// Control returns here before GetHistoricalQuotesAsync() returns. // ... Prompt the user.
Console.WriteLine("Please wait patiently while I do SQL and realtime price queries.");
// Wait for the tasks to complete. // ... Display its results.
//var combinedAsyncTasksResults = await Task.WhenAll(sqlReturnTask, realtimeReturnTask); this cannot be done now, because the return values are different
if (realtimeReturnTask != null)
await Task.WhenAll(sqlReturnTask, realtimeReturnTask); // otherwise, the next await will wait the historical data
var sqlReturnData = await sqlReturnTask; //as they have all definitely finished, you could also use Task.Value, "However, I recommend using await because it's clearly correct, while Result can cause problems in other scenarios."
Tuple<IList<double?>, TimeSpan> realtimeReturnData = null;
if (realtimeReturnTask != null)
realtimeReturnData = await realtimeReturnTask; //as they have all definitely finished, you could also use Task.Value, "However, I recommend using await because it's clearly correct, while Result can cause problems in other scenarios."
var sqlReturn = sqlReturnData.Item1;
List<List<DailyData>> returnQuotes = null;
// sql query of "VXX.SQ" gives back tickers of VXX and also tickers of "VXX.SQ"
int closePriceIndex = -1;
if (sqlReturnedColumns == QuoteRequest.TDOHLCVS)
closePriceIndex = 5;
else if (sqlReturnedColumns == QuoteRequest.TDC)
closePriceIndex = 2;
else
throw new NotImplementedException();
returnQuotes = p_tickers.Select(ticker =>
{
string tickerWithoutDotSQ = "";
if (ticker.EndsWith(".SQ"))
tickerWithoutDotSQ = ticker.Substring(0, ticker.Length - ".SQ".Length);
return sqlReturn.Where(row => (string)row[0] == ticker || (string)row[0] == tickerWithoutDotSQ).Select(
row => new DailyData()
{
Date = ((DateTime)row[1]),
ClosePrice = (double)Convert.ToDecimal(row[closePriceIndex]) // row[2] is object(double) if it is a stock (because Adjustment multiplier), and object(float) if it is Indices. However Convert.ToDouble(row[2]) would convert 16.66 to 16.6599999
}).ToList();
}).ToList();
if (realtimeReturnData != null)
{
var todayDate = DateTime.UtcNow.Date;
var realtimeReturn = realtimeReturnData.Item1;
for (int i = 0; i < p_tickers.Count(); i++)
{
if (realtimeReturn[i] != null)
{
int todayInd = returnQuotes[i].FindLastIndex(r => r.Date == todayDate);
if (todayInd == -1) // if it is missing
{
returnQuotes[i].Add(new DailyData() { Date = todayDate, ClosePrice = (double)realtimeReturn[i] });
}
else // if it is already in the array, overwrite it
{
returnQuotes[i][todayInd].ClosePrice = (double)realtimeReturn[i];
}
}
}
}
return new Tuple<IList<List<DailyData>>, TimeSpan, TimeSpan>(returnQuotes, sqlReturnData.Item2, (realtimeReturnData != null) ? realtimeReturnData.Item2 : TimeSpan.Zero);
}
//public static async Task<Tuple<IList<object[]>,TimeSpan>> GetHistQuotesAsync(IEnumerable<QuoteRequest> p_req, HQCommon.AssetType p_at, bool? p_isAscendingDates = null, CancellationToken p_canc = default(CancellationToken))
public static async Task<Tuple<List<object[]>, TimeSpan>> GetHistQuotesAsync(GeneralStrategyParameters p_generalParams, List<string> p_tickers, ushort p_sqlReturnedColumns)
{
List<string> stockTickers = p_tickers.Where(r => !r.StartsWith("^")).ToList();
List<string> indicesTickers = p_tickers.Where(r => r.StartsWith("^")).ToList();
TimeZoneInfo etZone = null;
int requestNQuotes = Int32.MaxValue;
DateTime? requestStartDateExcgLocal = null, requestEndDateExcgLocal = null;
if (p_generalParams.startDateUtc != DateTime.MinValue)
{
ConvertUtcToExchangeLocal(p_generalParams.startDateUtc, ref etZone, ref requestStartDateExcgLocal);
}
if (p_generalParams.endDateUtc != DateTime.MaxValue)
{
ConvertUtcToExchangeLocal(p_generalParams.endDateUtc, ref etZone, ref requestEndDateExcgLocal);
}
Stopwatch stopWatch = Stopwatch.StartNew();
Task<IList<object[]>> stocksSqlReturnTask = null, indicesSqlReturnTask = null;
IList<object[]> stocksSqlReturn = null, indicesSqlReturn = null;
if (stockTickers.Count != 0)
stocksSqlReturnTask = SqlTools.LoadHistoricalQuotesAsync(stockTickers.Select(r => new QuoteRequest { Ticker = r, nQuotes = requestNQuotes, StartDate = requestStartDateExcgLocal, EndDate = requestEndDateExcgLocal, NonAdjusted = false, ReturnedColumns = p_sqlReturnedColumns }), DbCommon.AssetType.Stock, true); // Ascending date order: TRUE, better to order it at the SQL server than locally. SQL has indexers
if (indicesTickers.Count != 0)
indicesSqlReturnTask = SqlTools.LoadHistoricalQuotesAsync(indicesTickers.Select(r => new QuoteRequest { Ticker = r, nQuotes = requestNQuotes, StartDate = requestStartDateExcgLocal, EndDate = requestEndDateExcgLocal, NonAdjusted = false, ReturnedColumns = p_sqlReturnedColumns }), DbCommon.AssetType.BenchmarkIndex, true); // Ascending date order: TRUE, better to order it at the SQL server than locally. SQL has indexers
if (stockTickers.Count != 0)
stocksSqlReturn = await stocksSqlReturnTask;
if (indicesTickers.Count != 0)
indicesSqlReturn = await indicesSqlReturnTask;
stopWatch.Stop();
TimeSpan historicalQueryTimeSpan = stopWatch.Elapsed;
List<object[]> sqlReturn = null;
if (stocksSqlReturn != null)
sqlReturn = stocksSqlReturn.ToList(); // the return is a List() already if you look deeper in the implementation
if (indicesSqlReturn != null)
{
if (sqlReturn == null)
sqlReturn = indicesSqlReturn.ToList();
else
sqlReturn.AddRange(indicesSqlReturn.ToList());
}
return new Tuple<List<object[]>, TimeSpan>(sqlReturn, historicalQueryTimeSpan);
}
public static async Task<string> GenerateQuickTesterResponse(GeneralStrategyParameters p_generalParams, string p_strategyName, Dictionary<string, StringValues> p_allParamsDict)
{
if (p_strategyName != "LETFDiscrepancy1" && p_strategyName != "LETFDiscrepancy2" && p_strategyName != "LETFDiscrepancy3" && p_strategyName != "LETFDiscrepancy4")
return null;
Stopwatch stopWatchTotalResponse = Stopwatch.StartNew();
// if parameter is not present, then it is Unexpected, it will crash, and caller Catches it. Good.
string etfPairs = p_allParamsDict["ETFPairs"][0];
string rebalancingFrequency = p_allParamsDict["RebalancingFrequency"][0];
string etf1 = p_allParamsDict["ETF1"][0];
string weightStr1 = p_allParamsDict["Weight1"][0];
string etf2 = p_allParamsDict["ETF2"][0];
string weightStr2 = p_allParamsDict["Weight2"][0];
double weight1 = Double.NaN;
if (!Double.TryParse(weightStr1, out weight1))
return @"{ ""errorMessage"": ""Error: Weight1 cannot be converted to Number : " + weightStr1 + @""" }";
double weight2 = Double.NaN;
if (!Double.TryParse(weightStr2, out weight2))
return @"{ ""errorMessage"": ""Error: Weight2 cannot be converted to Number : " + weightStr2 + @""" }";
int ind = etfPairs.IndexOf('-');
if (ind == -1)
{
return @"{ ""errorMessage"": ""Error: cannot find tickers in : " + etfPairs + @""" }";
}
string etfPairs1 = etfPairs.Substring(0, ind);
string etfPairs2 = etfPairs.Substring(ind + 1);
string ticker1 = null, ticker2 = null;
if (p_strategyName == "LETFDiscrepancy4") // in HarryLong strategy use these as tickers
{
ticker1 = etf1;
ticker2 = etf2;
}else
{
ticker1 = etfPairs1;
ticker2 = etfPairs2;
}
int rebalancingTradingDays;
if (!Int32.TryParse(rebalancingFrequency.TrimEnd(new char[] { 'd', 'D' }), out rebalancingTradingDays))
rebalancingTradingDays = Int32.MaxValue; //So we don't rebalance
// startDates
// URE: Feb 2, 2007
// SRS: Feb 1, 2007
// XIV: Nov 30, 2010
// VXX: Jan 30, 2009
// FAS: Nov 19, 2008
// FAZ: Nov 19, 2008
List<string> tickers = new List<string>();
if (!ticker1.Equals("Cash"))
tickers.Add(ticker1);
if (!ticker2.Equals("Cash"))
tickers.Add(ticker2);
Stopwatch stopWatch = Stopwatch.StartNew();
var getAllQuotesTask = StrategiesCommon.GetHistoricalAndRealtimesQuotesAsync(p_generalParams, tickers);
Tuple<IList<List<DailyData>>, TimeSpan, TimeSpan> getAllQuotesData = await getAllQuotesTask;
stopWatch.Stop();
IList<List<DailyData>> quotes12 = getAllQuotesData.Item1;
List<DailyData> quotes1 = null, quotes2 = null;
if (!ticker1.Equals("Cash"))
{
quotes1 = quotes12[0];
quotes12.RemoveAt(0);
}
if (!ticker2.Equals("Cash"))
{
quotes2 = quotes12[0];
quotes12.RemoveAt(0);
}
if (quotes1 == null) // it is Cash, set it according to the other, but use cash
quotes1 = quotes2.Select(item => new DailyData() { Date = item.Date, ClosePrice = 100.0 }).ToList();
if (quotes2 == null) // it is Cash, set it according to the other, but use cash
quotes2 = quotes1.Select(item => new DailyData() { Date = item.Date, ClosePrice = 100.0 }).ToList();
string htmlNoteFromStrategy = "", warningToUser = "", noteToUserBacktest = "", debugMessage = "", errorMessage = "";
List<DailyData> pv = null;
if (String.Equals(p_strategyName, "LETFDiscrepancy1", StringComparison.CurrentCultureIgnoreCase))
{
pv = quotes1; // only testing: PV = First of the ETF pair
}
else
{
DateTime startDate, endDate;
StrategiesCommon.DetermineBacktestPeriodCheckDataCorrectness((new List<DailyData>[] { quotes1, quotes2 }).ToList(), new string[] { ticker1, ticker2 }, ref warningToUser, out startDate, out endDate);
pv = StrategiesCommon.DeepCopyQuoteRange(quotes1, startDate, endDate);
if (String.Equals(p_strategyName, "LETFDiscrepancy2", StringComparison.CurrentCultureIgnoreCase))
{
DoBacktestInTheTimeInterval_RebalanceToNeutral(quotes1, quotes2, rebalancingTradingDays, pv, ref warningToUser);
}
else if (String.Equals(p_strategyName, "LETFDiscrepancy3", StringComparison.CurrentCultureIgnoreCase))
{
DoBacktestInTheTimeInterval_AddToTheWinningSideWithLeverage(quotes1, quotes2, rebalancingTradingDays, pv, ref warningToUser);
}
else if (String.Equals(p_strategyName, "LETFDiscrepancy4", StringComparison.CurrentCultureIgnoreCase))
{
DoBacktestInTheTimeInterval_HarryLong(quotes1, quotes2, weight1 / 100.0, weight2 / 100.0, rebalancingTradingDays, pv, ref warningToUser);
}
else
{
}
}
stopWatchTotalResponse.Stop();
StrategyResult strategyResult = StrategiesCommon.CreateStrategyResultFromPV(pv,
htmlNoteFromStrategy + ". " + warningToUser + "***" + noteToUserBacktest, errorMessage,
debugMessage + String.Format("SQL query time: {0:000}ms", getAllQuotesData.Item2.TotalMilliseconds) + String.Format(", RT query time: {0:000}ms", getAllQuotesData.Item3.TotalMilliseconds) + String.Format(", All query time: {0:000}ms", stopWatch.Elapsed.TotalMilliseconds) + String.Format(", TotalC#Response: {0:000}ms", stopWatchTotalResponse.Elapsed.TotalMilliseconds));
string jsonReturn = JsonConvert.SerializeObject(strategyResult);
return jsonReturn;
//{
// "Name": "Apple",
// "Expiry": "2008-12-28T00:00:00",
// "Sizes": [
// "Small"
// ]
//}
//returnStr = "[" + String.Join(Environment.NewLine,
// (await Tools.GetHistoricalQuotesAsync(new[] {
// new QuoteRequest { Ticker = "VXX", nQuotes = 2, StartDate = new DateTime(2011,1,1), NonAdjusted = true },
// new QuoteRequest { Ticker = "SPY", nQuotes = 3 }
// }, HQCommon.AssetType.Stock))
// .Select(row => String.Join(",", row))) + "]";
//returnStr = returnStr.Replace(" 00:00:00", "");
//returnStr = returnStr.Replace("\n", ",");
//return @"[{""Symbol"":""VXX""},{""Symbol"":""^VIX"",""LastUtc"":""2015-01-08T19:25:48"",""Last"":17.45,""UtcTimeType"":""LastChangedTime""}]";
}
private async Task<Tuple<string, string>> GenerateRtpResponse()
{
string jsonpCallback = null;
string uriQuery = "";
try
{
uriQuery = this.HttpContext.Request.QueryString.ToString(); // "?s=VXX,XIV,^vix&f=ab&o=csv" from the URL http://localhost:58213/api/rtp?s=VXX,XIV,^vix&f=ab&o=csv
if (uriQuery.Length > 8192)
{//When you try to pass a string longer than 8192 charachters, a faultException will be thrown. There is a solution, but I don't want
throw new Exception("Error caught by WebApi Get():: uriQuery is longer than 8192: we don't process that. Uri: " + uriQuery);
}
uriQuery = uriQuery.Substring(1); // remove '?'
uriQuery = uriQuery.Replace("%20", " ").Replace("%5E", "^"); // de-coding from URL to normal things
// QueryString paramsQs = new QueryString("?" + p_params);
Dictionary<string, StringValues> allParamsDict = Microsoft.AspNetCore.WebUtilities.QueryHelpers.ParseQuery(uriQuery); // unlike ParseQueryString in System.Web, this returns a dictionary of type IDictionary<string, string[]>, so the value is an array of strings. This is how the dictionary handles multiple query string parameters with the same name.
StringValues jsonpStrVal;
if (allParamsDict.TryGetValue("jsonp", out jsonpStrVal)) // Strategy.ts.StartBacktest() doesn't fill this up, so 'jsonp' is not expected in query
jsonpCallback = jsonpStrVal[0];
string startDateStr = allParamsDict["StartDate"][0]; // if parameter is not present, then it is Unexpected, it will crash, and caller Catches it. Good.
string endDateStr = allParamsDict["EndDate"][0];
string strategyName = allParamsDict["strategy"][0];
DateTime startDate = DateTime.MinValue;
if (startDateStr.Length != 0)
{
if (!DateTime.TryParse(startDateStr, out startDate))
throw new Exception("Error: startDateStr couldn't be converted: " + uriQuery);
}
DateTime endDate = DateTime.MaxValue;
if (endDateStr.Length != 0)
{
if (!DateTime.TryParse(endDateStr, out endDate))
throw new Exception("Error: endDateStr couldn't be converted: " + uriQuery);
}
GeneralStrategyParameters generalParams = new GeneralStrategyParameters() { startDateUtc = startDate, endDateUtc = endDate };
string jsonString = (await AdaptiveUberVxx.GenerateQuickTesterResponse(generalParams, strategyName, allParamsDict));
if (jsonString == null)
jsonString = (await TotM.GenerateQuickTesterResponse(generalParams, strategyName, allParamsDict));
if (jsonString == null)
jsonString = await VXX_SPY_Controversial.GenerateQuickTesterResponse(generalParams, strategyName, allParamsDict);
if (jsonString == null)
jsonString = (await LEtfDistcrepancy.GenerateQuickTesterResponse(generalParams, strategyName, allParamsDict));
if (jsonString == null)
jsonString = (await TAA.GenerateQuickTesterResponse(generalParams, strategyName, allParamsDict));
if (jsonString == null)
throw new Exception("Strategy was not found in the WebApi: " + strategyName);
string reply = ResponseBuilder(jsonpCallback, jsonString);
//var jsonDownload = string.Empty;
////string queryString = @"?s=VXX,SVXY,UWM,TWM,^RUT&f=l"; // without JsonP, these tickers are streamed all the time
//Utils.Logger.Info($"RealtimePrice.GenerateRtpResponse(). Sending '{this.HttpContext.Request.QueryString.ToString()}'");
//string reply = VirtualBrokerMessage.Send(this.HttpContext.Request.QueryString.ToString(), VirtualBrokerMessageID.GetRealtimePrice).Result;
//Utils.Logger.Info($"RealtimePrice.GenerateRtpResponse(). Received '{reply}'");
return new Tuple<string, string>(reply, "application/json");
}
catch (Exception e)
{
string errMsg = $"Error. Exception in QuickTester.GenerateRtpResponse() UriQuery: '{uriQuery}'";
Utils.Logger.Error(e, errMsg);
string reply = ResponseBuilder(jsonpCallback, @"{ ""errorMessage"": """ + errMsg + @", Exception.Message: " + e.Message + @""" }");
return new Tuple<string, string>(reply, "application/json");
}
}
public static async Task<string> GenerateQuickTesterResponse(GeneralStrategyParameters p_generalParams, string p_strategyName, Dictionary<string, StringValues> p_allParamsDict)
{
if (p_strategyName != "TAA")
return null;
Stopwatch stopWatchTotalResponse = Stopwatch.StartNew();
// if parameter is not present, then it is Unexpected, it will crash, and caller Catches it. Good.
string assetsStr = p_allParamsDict["Assets"][0]; // "MDY,ILF,FEZ,EEM,EPP,VNQ,TLT"
string assetsConstantLeverageStr = p_allParamsDict["AssetsConstantLeverage"][0]; // "1,1,1,-1,1.5,2,2"
string rebalancingFrequencyStr = p_allParamsDict["RebalancingFrequency"][0]; // "Weekly,Fridays"; // "Daily, 2d"(trading days),"Weekly, Fridays", "Monthly, T+1"/"Monthly, T-1" (first/last trading day of the month),
string pctChannelLookbackDaysStr = p_allParamsDict["PctChannelLookbackDays"][0]; // "30-60-120-252"
string pctChannelPctLimitsStr = p_allParamsDict["PctChannelPctLimits"][0]; // "30-70"
string pctChannelIsConditionalStr = p_allParamsDict["PctChannelIsConditional"][0]; // "Yes"
string histVolLookbackDaysStr = p_allParamsDict["HistVolLookbackDays"][0]; // "20"
string dynamicLeverageClmtParamsStr = p_allParamsDict["DynamicLeverageClmtParams"][0]; // "SMA(SPX,50d,200d); PR(XLU,VTI,20d)"; // SPX 50/200 crossover; PR=PriceRatio of XLU/VTI for 20 days
string uberVxxEventsParamsStr = p_allParamsDict["UberVxxEventsParams"][0]; // "FOMC;Holidays"
RebalancingPeriodicity rebalancingPeriodicity = RebalancingPeriodicity.Weekly;
DayOfWeek weeklyRebalancingWeekDay = DayOfWeek.Friday;
int[] pctChannelLookbackDays = pctChannelLookbackDaysStr.Split(new char[] { '-' }, StringSplitOptions.RemoveEmptyEntries).Select(r => Int32.Parse(r)).ToArray();
string[] pctChannelPctLimitsStr2 = pctChannelPctLimitsStr.Split(new char[] { '-' }, StringSplitOptions.RemoveEmptyEntries);
double pctChannelPctLimitLower = Double.Parse(pctChannelPctLimitsStr2[0]) / 100.0;
double pctChannelPctLimitUpper = Double.Parse(pctChannelPctLimitsStr2[1]) / 100.0;
int histVolLookbackDays = Int32.Parse(histVolLookbackDaysStr);
int clmt1_shorterDays = 50, clmt1_longerDays = 200, clmt2_utilsLookbackDays = 20;
string[] tickers = assetsStr.Split(new char[] { ',' }, StringSplitOptions.RemoveEmptyEntries);
bool isNonActiveAssetsPlayedByCash = true;
string cashSubstituteTicker = "SHY"; // ""
List<string> tickersNeeded = tickers.ToList();
if (!String.IsNullOrEmpty(cashSubstituteTicker))
tickersNeeded.Add(cashSubstituteTicker);
Stopwatch stopWatch = Stopwatch.StartNew();
var getAllQuotesTask = StrategiesCommon.GetHistoricalAndRealtimesQuotesAsync(p_generalParams, tickersNeeded);
Tuple<IList<List<DailyData>>, TimeSpan, TimeSpan> getAllQuotesData = await getAllQuotesTask;
stopWatch.Stop();
IList<List<DailyData>> quotes;
List<DailyData> cashSubstituteQuotes = null;
if (String.IsNullOrEmpty(cashSubstituteTicker))
quotes = getAllQuotesData.Item1;
else
{
quotes = getAllQuotesData.Item1.ToList().GetRange(0, tickers.Length);
cashSubstituteQuotes = getAllQuotesData.Item1[tickers.Length];
}
string warningToUser = "", noteToUserBacktest = "", debugMessage = "", errorMessage = "";
List<DailyData> pv;
DoBacktestInTheTimeInterval_TAA(quotes, tickers,
rebalancingPeriodicity, weeklyRebalancingWeekDay,
pctChannelLookbackDays, pctChannelPctLimitLower, pctChannelPctLimitUpper, histVolLookbackDays,
clmt1_shorterDays, clmt1_longerDays, clmt2_utilsLookbackDays,
isNonActiveAssetsPlayedByCash, cashSubstituteQuotes,
ref warningToUser, ref noteToUserBacktest, ref errorMessage, ref debugMessage, out pv);
stopWatchTotalResponse.Stop();
StrategyResult strategyResult = StrategiesCommon.CreateStrategyResultFromPV(pv,
warningToUser + "***" + noteToUserBacktest,
errorMessage,
debugMessage + String.Format("SQL query time: {0:000}ms", getAllQuotesData.Item2.TotalMilliseconds) + String.Format(", RT query time: {0:000}ms", getAllQuotesData.Item3.TotalMilliseconds) + String.Format(", All query time: {0:000}ms", stopWatch.Elapsed.TotalMilliseconds) + String.Format(", TotalC#Response: {0:000}ms", stopWatchTotalResponse.Elapsed.TotalMilliseconds));
string jsonReturn = JsonConvert.SerializeObject(strategyResult);
return jsonReturn;
}
