public static MarketSnap GetOrCreateMarketSnap(string marketSnapCode, DateTime snapDate, SymmetryEntities dc, ThrowBehavior behavior = ThrowBehavior.Throw)
{
try
{
var schedule = dc.MarketSnapSchedules.Single(s => s.MarketSnapCode.Equals(marketSnapCode));
var snap = dc.MarketSnaps.SingleOrDefault(s => s.MarketSnapSchedule.MarketSnapCode.Equals(marketSnapCode, StringComparison.InvariantCultureIgnoreCase) &&
s.ValueDate == snapDate);
if (snap == null)
{
snap = new MarketSnap
{
ValueDate = snapDate,
MarketSnapSchedule = schedule
};
dc.MarketSnaps.Add(snap);
}
return snap;
}
catch (Exception ex)
{
Exceptions.Rethrow("GetOrCreateMarketSnap", behavior, ex);
}
return null;
}
private bool saveResponses(IList<ExtractClass> items_, SymmetryEntities dc_, MarketSnap snap_)
{
if (items_ == null || !items_.Any())
return false;
var symmetryCodeToPrices = new SortedDictionary<string, decimal?[]>();
int objectLength = Enum.GetValues(typeof(RIC_SOURCE)).Length;
foreach (var response in items_.Where(x=>x.BidPrice.HasValue && x.AskPrice.HasValue))
{
try
{
var fi = FIHelpers.GetFIByAnyIdentifier(response.RIC, dc_, ThrowBehavior.Throw);
// extract bid / ask price from line
var scaledValue = Convert.ToDecimal(response.BidPrice.Value + response.AskPrice.Value)/2/100;
// save this particular source of a price
var ricSource = RICHelper.GetSourceFromRIC(response.RIC);
SaveQuote(fi.FIID, QuoteValueType.Price, getQuoteSource(ricSource, dc_), scaledValue, dc_, snap_);
// get array to store
decimal?[] values;
if (!symmetryCodeToPrices.ContainsKey(fi.SymmetryCode))
{
values = new decimal?[objectLength];
symmetryCodeToPrices[fi.SymmetryCode] = values;
}
else
{
values = symmetryCodeToPrices[fi.SymmetryCode];
}
// if the bidaskdate isn't the snapDate (i.e. =stale price), then don't want to include it in the average
if (response.BidAskDate.HasValue && response.BidAskDate.Value.Date < snap_.ValueDate)
{
SLog.log.InfoFormat(
"Not going to include quote with RIC=[{0}] as snapDate is {1} which is stale relative to {2}",
response.RIC,
response.BidAskDate.Value,
snap_.ValueDate);
continue;
}
// store in array to take average later
RIC_SOURCE src = RICHelper.GetRICsourceFromRIC(response.RIC);
values[(int) src] = scaledValue;
}
catch (Exception ex_)
{
SLog.log.Error(
string.Format("Error extracting {0} pricing values from Datascope response row ({1})", sName, response.RIC),
ex_);
}
}
foreach (var code in symmetryCodeToPrices.Keys)
{
var nonZeros = symmetryCodeToPrices[code].Where(x => x.HasValue);
if (!nonZeros.Any()) continue;
decimal averagedValue = nonZeros.Select(x => x.Value).Average();
var fi = FIHelpers.GetFIBySymmetryCode(code, dc_);
// save quote to 'SYM' for this market snap
SaveQuote(
fiid_: fi.FIID,
quoteType_: QuoteValueType.Price,
quoteSource_: getQuoteSource(_symmetryQuoteSource, dc_),
value_: averagedValue,
dc_: dc_,
snap_: snap_);
}
return true;
}
protected override void processResponsesFromDataScope(SymmetryEntities dc_, MarketSnap snap_, string marketSnapCode_)
{
OutputToCSV(m_resultsFromDataScope);
var list = new List<ExtractClass>();
foreach(var response in m_resultsFromDataScope)
{
foreach(var row in response.Rows)
{
try
{
var ric = GetValueFromObjectArray<string>((int)FieldsToReturn.RIC, row, ThrowBehavior.Throw);
// extract bid / ask price from line
var bid = GetValueFromObjectArray<double>((int)FieldsToReturn.BidPrice, row, ThrowBehavior.Throw);
var ask = GetValueFromObjectArray<double>((int)FieldsToReturn.AskPrice, row, ThrowBehavior.Throw);
list.Add(new ExtractClass()
{
RIC = ric,
BidPrice = bid,
AskPrice = ask
});
}
catch (Exception ex_)
{
SLog.log.Error(string.Format("Error extracting {0} pricing values from Datascope response row ({1})", sName, ServiceHelpers.ToCsvLine(row)), ex_);
}
}
}
saveResponses(list, dc_, snap_);
}
protected override void processResponsesFromDataScope(SymmetryEntities dc_, MarketSnap snap_, string marketSnapCode_)
{
OutputToCSV(m_resultsFromDataScope);
var list = new List<ExtractClass>();
foreach (var response in m_resultsFromDataScope)
{
foreach (var row in response.Rows)
{
try
{
// extract values
var ric = GetValueFromObjectArray<string>((int)FieldsToReturn.RIC, row, ThrowBehavior.Throw);
var fi = m_ric_to_FIs[ric];
var fix = GetValueFromObjectArray<double>((int)FieldsToReturn.UniversalClosePrice, row,ThrowBehavior.Throw);
var closeDate = GetValueFromObjectArray<DateTime>((int)FieldsToReturn.UniversalClosePriceDate, row, ThrowBehavior.Throw);
list.Add(new ExtractClass()
{
RIC = ric,
Value = fix,
CloseDate = closeDate
});
}
catch (Exception ex_)
{
SLog.log.Error(string.Format("Error extracting {0} pricing values from Datascope response row ({1})", sName, ServiceHelpers.ToCsvLine(row)), ex_);
}
}
}
saveValues(list, dc_, snap_.MarketSnapSchedule.MarketSnapCode);
}
public abstract void SaveResults(SymmetryEntities dc_, MarketSnap snapToSaveTo_, string marketSnapCode_);
public EDItem(FI databaseObject_, SymmetryEntities dc_, MarketSnap snap_, QuoteSource source_)
{
Underlying = databaseObject_;
Snap = snap_;
var px = QuoteHelpers.GetQuoteValue(snap_.MarketSnapID, source_.QuoteSourceID, databaseObject_.FIID, QuoteValueType.Price, dc_, ThrowBehavior.DontThrow);
if (px.HasValue)
{
ClosePrice = Convert.ToDouble(px.Value);
SLog.log.DebugFormat("{0} px = {1}", databaseObject_.SymmetryCode, ClosePrice);
var opt1Strike = ClosePrice - (ClosePrice % 0.125);
OptionBelowPrice = new EDOptionItem(databaseObject_, opt1Strike, ClosePrice, Underlying, snap_.ValueDate);
SLog.log.DebugFormat("{0} belowStrikeToQueryFor = {1}", databaseObject_.SymmetryCode, opt1Strike);
var opt2Strike = opt1Strike + 0.125;
OptionAbovePrice = new EDOptionItem(databaseObject_, opt2Strike, ClosePrice, Underlying, snap_.ValueDate);
SLog.log.DebugFormat("{0} aboveStrikeToQueryFor = {1}", databaseObject_.SymmetryCode, opt2Strike);
}
else
{
SLog.log.ErrorFormat("No price saved for {0} for marketSnapID = {1}", databaseObject_.SymmetryCode,
snap_.MarketSnapID);
}
}
protected override void processResponsesFromDataScope(SymmetryEntities dc_, MarketSnap saveToThisSnap_, string marketSnapCode_)
{
OutputToCSV(m_resultsFromDataScope);
foreach (var response in m_resultsFromDataScope)
{
foreach (var row in response.Rows)
{
try
{
var ric = GetValueFromObjectArray<string>((int)FieldsToReturn.RIC, row, ThrowBehavior.Throw);
var optionItem = m_ricToOptionItem[ric];
double price = 0.0025; // this is the default value as the closest to zero that
try
{
var date = GetValueFromObjectArray<DateTime>((int)FieldsToReturn.UniversalClosePriceDate, row, ThrowBehavior.Throw);
if (date.Date != m_markDate)
{
SLog.log.Error(string.Format("Too late for markDate. Process was run for MarkDate={0} but datascope values are for {1}", m_markDate.ToString("dd-MMM-yyyy"), date.ToString("dd-MMM-yyyy")));
}
else
{
var rowPrice = GetValueFromObjectArray<double>((int)FieldsToReturn.UniversalClosePrice, row, ThrowBehavior.Throw);
price = rowPrice;
}
}
catch
{
SLog.log.Debug(string.Format("{0}-no price returned-will default to 0.0025", ric));
}
SLog.log.DebugFormat("{0} price = {1}", optionItem.ReutersTicker, price);
optionItem.Price = price;
}
catch (Exception ex_)
{
SLog.log.Error(string.Format("Error extracting {0} pricing values from Datascope response row ({1})", sName, ServiceHelpers.ToCsvLine(row)), ex_);
}
}
}
foreach (var item in m_items)
{
var convexity = item.Convexity;
if (convexity.HasValue)
{
var saveValue = Convert.ToDecimal(convexity.Value / 10000d);
SaveQuote(item.Underlying.FIID, QuoteValueType.ImpliedVol, getQuoteSource(_symmetryQuoteSource, dc_), saveValue, dc_, item.Snap);
SaveQuoteAsMLPMLP(item.Underlying.FIID, QuoteValueType.ImpliedVol, saveValue, dc_, item.Snap.ValueDate);
}
}
}
public static bool SaveQuote(MarketSnap snap, int sourceID, int fiid, QuoteValueType valueType, decimal value, DateTime? lastUpdated, SymmetryEntities dc, ThrowBehavior behavior = ThrowBehavior.Throw, bool overwrite = true)
{
bool saved = false;
//FIChangeTracking.DisableChangeTracking(ref dc);
try
{
var existingQuote = dc.Quotes.SingleOrDefault(q => q.MarketSnapID == snap.MarketSnapID && q.QuoteSourceID == sourceID && q.FIID == fiid);
if (existingQuote == null)
{
existingQuote = new Quote
{
LastUpdated = lastUpdated ?? DateHelpers.GetNow(),
FIID = fiid,
QuoteSourceID = sourceID,
MarketSnap = snap,
MarketSnapID = snap.MarketSnapID
};
dc.Quotes.Add(existingQuote);
dc.SaveChanges();
}
var existingQuoteValue = dc.QuoteValues.SingleOrDefault(q => q.QuoteID == existingQuote.QuoteID && q.QuoteValueType == valueType);
if (existingQuoteValue != null && overwrite)
{
if (existingQuoteValue.Value != value)
{
existingQuoteValue.Value = value;
existingQuote.LastUpdated = lastUpdated ?? DateHelpers.GetNow();
//FIChangeTracking.SetModified(existingQuoteValue, dc);
saved = true;
}
}
else
{
dc.QuoteValues.Add(new QuoteValue
{
QuoteValueType = valueType,
Value = value,
QuoteID = existingQuote.QuoteID
});
saved = true;
}
dc.SaveChanges();
}
catch (Exception ex)
{
Exceptions.Rethrow("SaveQuote", behavior, ex);
}
finally
{
//FIChangeTracking.EnableChangeTracking(ref dc);
}
return saved;
}
private bool saveResponses(IList<ExtractClass> items_, SymmetryEntities dc_, MarketSnap snap_)
{
if (items_ == null || !items_.Any())
return false;
// want to save everything as 'SYM'
QuoteSource symQS = getQuoteSource(_symmetryQuoteSource, dc_);
foreach (var v in items_.Where(x => !string.IsNullOrEmpty(x.Identifier)))
{
try
{
var fi = FIHelpers.GetFIBySymmetryCode(v.Identifier, dc_, ThrowBehavior.DontThrow);
if (fi == null && !string.IsNullOrEmpty(v.ISIN))
fi = FIHelpers.GetFIByIdentifier(v.ISIN, IdentifierType.ISIN, dc_, ThrowBehavior.DontThrow);
if (fi == null && v.Identifier.Contains("=")) // could be a RIC that was sent in
{
fi = FIHelpers.GetFIByAnyIdentifier(v.Identifier.Split('=')[0], dc_, ThrowBehavior.Throw);
}
if (fi == null)
{
SLog.log.ErrorFormat(
"Could not find fi for the given pricing line. Will not be able to save any prices. [File Identifer={0}]",
fi.SymmetryCode);
continue;
}
// maintain RIC code
if(!string.IsNullOrEmpty(v.RIC))
{
var currentRICId = FIHelpers.GetFIIdentifier(v.Identifier, IdentifierType.RIC, dc_, ThrowBehavior.DontThrow);
if (string.IsNullOrEmpty(currentRICId) || String.Compare(currentRICId, v.RIC, StringComparison.OrdinalIgnoreCase) != 0)
FIBondHelpers.SetOrUpdateIdentifier(fi, IdentifierType.RIC, v.RIC, dc_);
}
var ricSource = RICHelper.GetSourceFromRIC(v.RIC);
// save price and yield (from setup)
{
var qs = getQuoteSource(ricSource, dc_);
// sometimes we only get yield values in both price/yield fields, so we have to go
// on the magnitude of the value to determine what it is that has been sent.
// if we get a yield through only, then we need to calculate the price by a call to carbon
decimal? yield = null;
decimal? price = null;
// look at the price first
{
if (v.BidPrice.HasValue && v.AskPrice.HasValue)
{
var mid = Convert.ToDecimal(v.BidPrice.Value + v.AskPrice.Value) / 2M;
// if the value is less than 10, then assume it's a yield
if (Math.Abs(mid) < 10M)
{
yield = mid * 0.01M;
}
else
{
price = mid;
}
}
}
{
if (v.BidYield.HasValue)
{
var mid = v.AskYield.HasValue
? Convert.ToDecimal(v.BidYield.Value + v.AskYield.Value)/2M
: Convert.ToDecimal(v.BidYield.Value);
// if the value is less than 10, then assume it's a yield
if (Math.Abs(mid) < 10M)
{
yield = mid * 0.01M;
}
else
{
price = mid;
}
}
}
// if we only have a yield, then calc the price
if (yield.HasValue && !price.HasValue)
{
try
{
var result = BondSpreadRetriever.GetSpreads(
bond_: fi.FIBond,
priceType_: QuoteValueType.Yield,
priceValue_: Convert.ToDouble(yield.Value),
curveType_: SwapCurveType.USD3mLibor,
asOf_: snap_.ValueDate.Date.AddHours(23).AddMinutes(59),
client_: CarbonDataSource.GetPersistedInstance());
if (result != null && result.Price.HasValue)
price = Convert.ToDecimal(result.Price.Value * 100d);
}
catch (Exception ex_)
{
SLog.log.Error(string.Format("Error calculating price for bond with identifier = {0}", v.Identifier), ex_);
}
}
// have we got anything to save?
if (yield.HasValue)
{
// save value for provider (e.g. TWEB / ICAP)
if(qs!=null) SaveQuote(fi.FIID, QuoteValueType.Yield, qs, yield.Value, dc_, snap_);
// save value for 'us' (e.g. SYM)
SaveQuote(fi.FIID, QuoteValueType.Yield, symQS, yield.Value, dc_, snap_);
}
if (price.HasValue)
{
// save value for provider (e.g. TWEB / ICAP)
if(qs!=null) SaveQuote(fi.FIID, QuoteValueType.Price, qs, price.Value, dc_, snap_);
// save value for 'us' (e.g. SYM)
SaveQuote(fi.FIID, QuoteValueType.Price, symQS, price.Value, dc_, snap_);
}
}
}
catch (Exception ex_)
{
SLog.log.Error(string.Format("Error extracting values for row with identifier = {0}", v.Identifier), ex_);
}
}
return true;
}
protected override void processResponsesFromDataScope(SymmetryEntities dc_, MarketSnap snapToSaveTo_, string marketSnapCode_)
{
// output to CSV locally
OutputToCSV(m_resultsFromDataScope);
var list = new List<ExtractClass>();
var extractSetups = new[]
{
new extractSetup
{
QT=QuoteValueType.Price,
AskField=FieldsToReturn.AskPrice,
BidField=FieldsToReturn.BidPrice,
Scalar=1
},
new extractSetup
{
QT=QuoteValueType.Yield,
AskField=FieldsToReturn.AskYield,
BidField=FieldsToReturn.BidYield,
Scalar=1
}
};
foreach(var response in m_resultsFromDataScope)
{
foreach (var row in response.Rows)
{
try
{
var isin = GetValueFromObjectArray<string>((int)FieldsToReturn.OriginalIdentifier, row, ThrowBehavior.Throw);
var ric = GetValueFromObjectArray<string>((int)FieldsToReturn.RIC, row, ThrowBehavior.Throw);
var status = GetValueFromObjectArray<string>((int) FieldsToReturn.AssetStatus, row, ThrowBehavior.DontThrow);
var saveItem = new ExtractClass()
{
Identifier = isin,
RIC = ric,
AssetStatus=status
};
// save price and yield (from setup)
foreach (var setupItem in extractSetups)
{
var bidprice = GetValueFromObjectArray<double>((int)setupItem.BidField, row, ThrowBehavior.Throw);
var askprice = GetValueFromObjectArray<double>((int)setupItem.AskField, row, ThrowBehavior.Throw);
if (setupItem.QT == QuoteValueType.Price)
{
saveItem.AskPrice = askprice;
saveItem.BidPrice = bidprice;
}
else
{
saveItem.AskYield = askprice;
saveItem.BidYield = bidprice;
}
list.Add(saveItem);
}
}
catch (Exception ex_)
{
SLog.log.Error(string.Format("Error extracting {0} pricing values from Datascope response row ({1})", sName, ServiceHelpers.ToCsvLine(row)), ex_);
}
}
}
saveResponses(list, dc_, snapToSaveTo_);
}