private SpreadTimeBar BuildSpread(
FinancialInstrumentTimeBarCsv csv,
decimal spreadAsk,
decimal spreadBid,
decimal spreadPrice,
Volume spreadVolume)
{
return(new SpreadTimeBar(
new Money(spreadAsk, csv.Currency),
new Money(spreadBid, csv.Currency),
new Money(spreadPrice, csv.Currency),
spreadVolume));
}
private IntradayPrices BuildIntradayPrices(
FinancialInstrumentTimeBarCsv csv,
decimal open,
decimal close,
decimal high,
decimal low)
{
var openPrice = open != 0 ? new Money(open, csv.Currency) : (Money?)null;
var closePrice = close != 0 ? new Money(close, csv.Currency) : (Money?)null;
var highPrice = high != 0 ? new Money(high, csv.Currency) : (Money?)null;
var lowPrice = low != 0 ? new Money(low, csv.Currency) : (Money?)null;
var intradayPrices = new IntradayPrices(openPrice, closePrice, highPrice, lowPrice);
return(intradayPrices);
}
private FinancialInstrument BuildSecurity(FinancialInstrumentTimeBarCsv csv)
{
return(new FinancialInstrument(
InstrumentTypes.Equity,
new InstrumentIdentifiers(
string.Empty,
string.Empty,
null,
csv.SecurityClientIdentifier,
csv.Sedol,
csv.Isin,
csv.Figi,
csv.Cusip,
csv.ExchangeSymbol,
csv.Lei,
csv.BloombergTicker,
csv.Ric),
csv.SecurityName,
csv.Cfi,
csv.Currency,
csv.IssuerIdentifier));
}
public FinancialInstrumentTimeBarCsv Map(EquityInstrumentIntraDayTimeBar equityInstrumentIntraDayTimeBar)
{
if (equityInstrumentIntraDayTimeBar == null)
{
this.FailedMapTotal += 1;
this._logger?.LogError(
"Failed to map security tick to financial instrument time bar csv due to being passed a null value");
return(null);
}
var financialInstrumentTimeBarCsv = new FinancialInstrumentTimeBarCsv
{
Volume =
equityInstrumentIntraDayTimeBar.SpreadTimeBar.Volume.Traded
.ToString(),
DailyVolume =
equityInstrumentIntraDayTimeBar.DailySummaryTimeBar
.DailyVolume.Traded.ToString(),
Timestamp =
equityInstrumentIntraDayTimeBar.TimeStamp.ToString(
"yyyy-MM-ddTHH:mm:ss"),
MarketCap =
equityInstrumentIntraDayTimeBar.DailySummaryTimeBar
.MarketCap?.ToString(),
ListedSecurities =
equityInstrumentIntraDayTimeBar.DailySummaryTimeBar
.ListedSecurities?.ToString(),
Currency = equityInstrumentIntraDayTimeBar.SpreadTimeBar.Price
.Currency.Code,
// Spread
Ask = equityInstrumentIntraDayTimeBar.SpreadTimeBar.Ask.Value
.ToString(),
Bid = equityInstrumentIntraDayTimeBar.SpreadTimeBar.Bid.Value
.ToString(),
Price = equityInstrumentIntraDayTimeBar.SpreadTimeBar.Price
.Value.ToString()
};
// Market
if (equityInstrumentIntraDayTimeBar.Market != null)
{
financialInstrumentTimeBarCsv.MarketIdentifierCode =
equityInstrumentIntraDayTimeBar.Market.MarketIdentifierCode;
financialInstrumentTimeBarCsv.MarketName = equityInstrumentIntraDayTimeBar.Market.Name;
}
// Intraday Prices
if (equityInstrumentIntraDayTimeBar.DailySummaryTimeBar.IntradayPrices != null)
{
financialInstrumentTimeBarCsv.Open = equityInstrumentIntraDayTimeBar.DailySummaryTimeBar.IntradayPrices
.Open?.Value.ToString();
financialInstrumentTimeBarCsv.Close = equityInstrumentIntraDayTimeBar.DailySummaryTimeBar.IntradayPrices
.Close?.Value.ToString();
financialInstrumentTimeBarCsv.Low = equityInstrumentIntraDayTimeBar.DailySummaryTimeBar.IntradayPrices
.Low?.Value.ToString();
financialInstrumentTimeBarCsv.High = equityInstrumentIntraDayTimeBar.DailySummaryTimeBar.IntradayPrices
.High?.Value.ToString();
}
// Security Identifiers
if (equityInstrumentIntraDayTimeBar.Security != null)
{
// Security
financialInstrumentTimeBarCsv.SecurityName = equityInstrumentIntraDayTimeBar.Security.Name;
financialInstrumentTimeBarCsv.Cfi = equityInstrumentIntraDayTimeBar.Security.Cfi;
financialInstrumentTimeBarCsv.IssuerIdentifier =
equityInstrumentIntraDayTimeBar.Security.IssuerIdentifier;
// Security Identifiers
financialInstrumentTimeBarCsv.SecurityClientIdentifier =
equityInstrumentIntraDayTimeBar.Security.Identifiers.ClientIdentifier;
financialInstrumentTimeBarCsv.Sedol = equityInstrumentIntraDayTimeBar.Security.Identifiers.Sedol;
financialInstrumentTimeBarCsv.Isin = equityInstrumentIntraDayTimeBar.Security.Identifiers.Isin;
financialInstrumentTimeBarCsv.Figi = equityInstrumentIntraDayTimeBar.Security.Identifiers.Figi;
financialInstrumentTimeBarCsv.Cusip = equityInstrumentIntraDayTimeBar.Security.Identifiers.Cusip;
financialInstrumentTimeBarCsv.ExchangeSymbol =
equityInstrumentIntraDayTimeBar.Security.Identifiers.ExchangeSymbol;
financialInstrumentTimeBarCsv.Lei = equityInstrumentIntraDayTimeBar.Security.Identifiers.Lei;
financialInstrumentTimeBarCsv.BloombergTicker =
equityInstrumentIntraDayTimeBar.Security.Identifiers.BloombergTicker;
}
return(financialInstrumentTimeBarCsv);
}
public EquityInstrumentIntraDayTimeBar Map(FinancialInstrumentTimeBarCsv csv)
{
if (csv == null)
{
this.FailedParseTotal += 1;
this._logger?.LogError("Failed to parse security tick csv due to being passed a null value");
return(null);
}
var failedRead = false;
if (!int.TryParse(csv.Volume, out var volume))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable volume {csv.Volume} for row {csv.RowId}");
failedRead = true;
}
if (!int.TryParse(csv.DailyVolume, out var dailyVolume))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable daily volume {csv.DailyVolume} for row {csv.RowId}");
failedRead = true;
}
if (!DateTime.TryParse(csv.Timestamp, out var timeStamp))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable timestamp {csv.Timestamp} for row {csv.RowId}");
failedRead = true;
}
decimal marketCap = 0;
if (!string.IsNullOrWhiteSpace(csv.MarketCap) && !decimal.TryParse(csv.MarketCap, out marketCap))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable market cap {csv.MarketCap} for row {csv.RowId}");
failedRead = true;
}
decimal spreadAsk = 0;
if (!string.IsNullOrWhiteSpace(csv.Ask) && !decimal.TryParse(csv.Ask, out spreadAsk))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable spread ask price {csv.Ask} for row {csv.RowId}");
failedRead = true;
}
decimal spreadBid = 0;
if (!string.IsNullOrWhiteSpace(csv.Bid) && !decimal.TryParse(csv.Bid, out spreadBid))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable spread bid price {csv.Bid} for row {csv.RowId}");
failedRead = true;
}
decimal spreadPrice = 0;
if (!string.IsNullOrWhiteSpace(csv.Price) && !decimal.TryParse(csv.Price, out spreadPrice))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable spread price {csv.Price} for row {csv.RowId}");
failedRead = true;
}
var listedSecurities = 0;
if (!string.IsNullOrWhiteSpace(csv.ListedSecurities) &&
!int.TryParse(csv.ListedSecurities, out listedSecurities))
{
this._logger?.LogError(
$"Failed to parse listed securities due to being passed an unparseable listed security {csv.ListedSecurities} for row {csv.RowId}");
failedRead = true;
}
decimal open = 0;
if (!string.IsNullOrWhiteSpace(csv.Open) && !decimal.TryParse(csv.Open, out open))
{
this._logger?.LogError(
$"Failed to parse open price due to being passed an unparseable price {csv.Open} for row {csv.RowId}");
failedRead = true;
}
decimal close = 0;
if (!string.IsNullOrWhiteSpace(csv.Close) && !decimal.TryParse(csv.Close, out close))
{
this._logger?.LogError(
$"Failed to parse close price due to being passed an unparseable price {csv.Close} for row {csv.RowId}");
failedRead = true;
}
decimal high = 0;
if (!string.IsNullOrWhiteSpace(csv.High) && !decimal.TryParse(csv.High, out high))
{
this._logger?.LogError(
$"Failed to parse high price due to being passed an unparseable price {csv.High} for row {csv.RowId}");
failedRead = true;
}
decimal low = 0;
if (!string.IsNullOrWhiteSpace(csv.Low) && !decimal.TryParse(csv.Low, out low))
{
this._logger?.LogError(
$"Failed to parse low price due to being passed an unparseable price {csv.Low} for row {csv.RowId}");
failedRead = true;
}
if (failedRead)
{
this.FailedParseTotal += 1;
return(null);
}
var security = this.BuildSecurity(csv);
var spread = this.BuildSpread(csv, spreadAsk, spreadBid, spreadPrice, new Volume(volume));
var intradayPrices = this.BuildIntradayPrices(csv, open, close, high, low);
var dailySummary = new DailySummaryTimeBar(
marketCap,
csv.Currency,
intradayPrices,
listedSecurities,
new Volume(dailyVolume),
timeStamp);
var market = new Market(string.Empty, csv.MarketIdentifierCode, csv.MarketName, MarketTypes.STOCKEXCHANGE);
return(new EquityInstrumentIntraDayTimeBar(security, spread, dailySummary, timeStamp, market));
}
