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Sean
2025-03-25 21:42:32 -04:00
parent c266eecfeb
commit 30c33d3cfd
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MarketData/MarketDataLib/DataAccess/OptionsDA.cs Executable file
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using System;
using System.Collections.Generic;
using System.Text;
using MySql.Data.MySqlClient;
using MarketData.MarketDataModel;
using MarketData.Utils;
using MarketData.Numerical;
namespace MarketData.DataAccess
{
public class OptionsDA
{
private OptionsDA()
{
}
public static List<String> GetOptionsSymbolIn(List<String> symbols)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
List<String> optionSymbols = new List<String>();
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select distinct symbol from options where symbol in ").Append(SqlUtils.CreateInClause(symbols)).Append(" order by symbol asc");
strQuery = sb.ToString();
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while (sqlDataReader.Read())
{
optionSymbols.Add(sqlDataReader.GetString(0));
}
return optionSymbols;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return null;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) sqlDataReader.Close();
if (null != sqlConnection) sqlConnection.Close();
}
}
public static Options GetOptions(String symbol, DateTime earliestDate)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
Options options = new Options();
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol, expiration_date,option_type,strike,bid,ask,volume,open_interest,modified from options ");
sb.Append("where symbol='").Append(symbol).Append("'");
sb.Append(" and expiration_date>='").Append(Utility.DateTimeToStringYYYYHMMHDD(earliestDate)).Append("'");
sb.Append(" order by option_type,expiration_date asc, strike desc");
strQuery = sb.ToString();
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while (sqlDataReader.Read())
{
Option option = new Option();
option.Symbol = sqlDataReader.GetString(0);
option.Expiration = sqlDataReader.GetDateTime(1);
option.Type = ("C".Equals(sqlDataReader.GetString(2)) ? OptionTypeEnum.CallOption : OptionTypeEnum.PutOption);
if (!sqlDataReader.IsDBNull(3)) option.Strike = sqlDataReader.GetDouble(3);
else option.Strike = double.NaN;
if (!sqlDataReader.IsDBNull(4)) option.Bid = sqlDataReader.GetDouble(4);
else option.Bid = double.NaN;
if (!sqlDataReader.IsDBNull(5)) option.Ask = sqlDataReader.GetDouble(5);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(6)) option.Volume = sqlDataReader.GetInt32(6);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(7)) option.OpenInterest = sqlDataReader.GetDouble(7);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(8)) option.Modified = sqlDataReader.GetDateTime(8);
else option.Modified = Utility.Epoch;
options.Add(option);
}
return options;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return null;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) sqlDataReader.Close();
if (null != sqlConnection) sqlConnection.Close();
}
}
public static Options GetOptions(String symbol, DateTime earliestDate,OptionTypeEnum optionType)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
Options options = new Options();
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol, expiration_date,option_type,strike,bid,ask,volume,open_interest,modified from options ");
sb.Append("where symbol='").Append(symbol).Append("'");
sb.Append(" and expiration_date>='").Append(Utility.DateTimeToStringYYYYHMMHDD(earliestDate)).Append("'");
sb.Append(" and option_type='").Append(optionType.Equals(OptionTypeEnum.CallOption) ? "C" : "P").Append("'");
sb.Append(" order by option_type,expiration_date asc, strike desc");
strQuery = sb.ToString();
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while (sqlDataReader.Read())
{
Option option = new Option();
option.Symbol = sqlDataReader.GetString(0);
option.Expiration = sqlDataReader.GetDateTime(1);
option.Type = ("C".Equals(sqlDataReader.GetString(2)) ? OptionTypeEnum.CallOption : OptionTypeEnum.PutOption);
if (!sqlDataReader.IsDBNull(3)) option.Strike = sqlDataReader.GetDouble(3);
else option.Strike = double.NaN;
if (!sqlDataReader.IsDBNull(4)) option.Bid = sqlDataReader.GetDouble(4);
else option.Bid = double.NaN;
if (!sqlDataReader.IsDBNull(5)) option.Ask = sqlDataReader.GetDouble(5);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(6)) option.Volume = sqlDataReader.GetInt32(6);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(7)) option.OpenInterest = sqlDataReader.GetDouble(7);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(8)) option.Modified = sqlDataReader.GetDateTime(8);
else option.Modified = Utility.Epoch;
options.Add(option);
}
return options;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return null;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) sqlDataReader.Close();
if (null != sqlConnection) sqlConnection.Close();
}
}
public static Options GetOptions(String symbol)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
Options options = new Options();
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol, expiration_date,option_type,strike,bid,ask,volume,open_interest,modified from options where symbol='").Append(symbol).Append("' order by option_type,expiration_date asc, strike desc");
strQuery = sb.ToString();
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while (sqlDataReader.Read())
{
Option option = new Option();
option.Symbol = sqlDataReader.GetString(0);
option.Expiration = sqlDataReader.GetDateTime(1);
option.Type = ("C".Equals(sqlDataReader.GetString(2)) ?OptionTypeEnum.CallOption : OptionTypeEnum.PutOption);
if (!sqlDataReader.IsDBNull(3)) option.Strike = sqlDataReader.GetDouble(3);
else option.Strike = double.NaN;
if (!sqlDataReader.IsDBNull(4)) option.Bid = sqlDataReader.GetDouble(4);
else option.Bid = double.NaN;
if (!sqlDataReader.IsDBNull(5)) option.Ask = sqlDataReader.GetDouble(5);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(6)) option.Volume = sqlDataReader.GetInt32(6);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(7)) option.OpenInterest = sqlDataReader.GetDouble(7);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(8)) option.Modified = sqlDataReader.GetDateTime(8);
else option.Modified = Utility.Epoch;
options.Add(option);
}
return options;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return null;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) sqlDataReader.Close();
if (null != sqlConnection) sqlConnection.Close();
}
}
public static Options GetOptions(String symbol,OptionTypeEnum optionType)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
Options options = new Options();
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol, expiration_date,option_type,strike,bid,ask,volume,open_interest,modified from options where symbol='").Append(symbol).Append("'");
sb.Append(" and option_type='").Append(optionType.Equals(OptionTypeEnum.CallOption)?"C":"P").Append("'");
sb.Append(" order by option_type,expiration_date asc, strike desc");
strQuery = sb.ToString();
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while (sqlDataReader.Read())
{
Option option = new Option();
option.Symbol = sqlDataReader.GetString(0);
option.Expiration = sqlDataReader.GetDateTime(1);
option.Type = ("C".Equals(sqlDataReader.GetString(2)) ? OptionTypeEnum.CallOption : OptionTypeEnum.PutOption);
if (!sqlDataReader.IsDBNull(3)) option.Strike = sqlDataReader.GetDouble(3);
else option.Strike = double.NaN;
if (!sqlDataReader.IsDBNull(4)) option.Bid = sqlDataReader.GetDouble(4);
else option.Bid = double.NaN;
if (!sqlDataReader.IsDBNull(5)) option.Ask = sqlDataReader.GetDouble(5);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(6)) option.Volume = sqlDataReader.GetInt32(6);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(7)) option.OpenInterest = sqlDataReader.GetDouble(7);
else option.Ask = double.NaN;
if (!sqlDataReader.IsDBNull(8)) option.Modified = sqlDataReader.GetDateTime(8);
else option.Modified = Utility.Epoch;
options.Add(option);
}
return options;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return null;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) sqlDataReader.Close();
if (null != sqlConnection) sqlConnection.Close();
}
}
public static bool DeleteOptions(String symbol)
{
MySqlConnection sqlConnection = null;
MySqlCommand sqlCommand = null;
String strQuery = null;
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("delete from options where symbol='").Append(symbol).Append("' ");
strQuery = sb.ToString();
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlCommand.ExecuteNonQuery();
sqlCommand.Dispose();
sqlCommand = null;
return true;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG, exception);
return false;
}
finally
{
if (null != sqlCommand) { sqlCommand.Dispose(); sqlCommand = null; }
if (null != sqlConnection) { sqlConnection.Close(); sqlConnection = null; }
}
}
private static bool DeleteOption(Option option, MySqlTransaction sqlTransaction)
{
MySqlConnection sqlConnection = null;
MySqlCommand sqlCommand = null;
String strQuery = null;
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("delete from options where symbol=").Append(SqlUtils.AddQuotes(option.Symbol));
sb.Append(" and expiration_date=").Append(SqlUtils.AddQuotes(Utility.DateTimeToStringYYYYHMMHDD(option.Expiration)));
sb.Append(" and strike=").Append(Utility.FormatNumber(option.Strike,2));
sb.Append(" and option_type=").Append(SqlUtils.AddQuotes(option.Type.Equals(OptionTypeEnum.CallOption) ? "C" : "P"));
strQuery = sb.ToString();
// MDTrace.WriteLine(LogLevel.DEBUG,String.Format("DeleteOption {0},{1},{2},{3}",option.Symbol,Utility.DateTimeToStringMMHDDHYYYY(option.Expiration),option.Type.Equals(OptionTypeEnum.CallOption)?"Call":"Put",option.Strike));
sqlCommand = new MySqlCommand(strQuery, sqlConnection, sqlTransaction);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlCommand.ExecuteNonQuery();
sqlCommand.Dispose();
sqlCommand = null;
return true;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return false;
}
finally
{
if (null != sqlCommand) { sqlCommand.Dispose(); sqlCommand = null; }
if (null != sqlConnection) { sqlConnection.Close(); sqlConnection = null; }
}
}
// private static bool DeleteOption(Option option)
// {
// MySqlConnection sqlConnection = null;
// MySqlCommand sqlCommand = null;
// MySqlTransaction sqlTransaction=null;
// String strQuery = null;
// try
// {
// StringBuilder sb = new StringBuilder();
// sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
// sqlTransaction = sqlConnection.BeginTransaction(System.Data.IsolationLevel.ReadCommitted);
// sb.Append("delete from options where symbol=").Append(SqlUtils.AddQuotes(option.Symbol));
// sb.Append(" and expiration_date=").Append(SqlUtils.AddQuotes(Utility.DateTimeToStringYYYYHMMHDD(option.Expiration)));
// sb.Append(" and strike=").Append(Utility.FormatNumber(option.Strike,2));
// sb.Append(" and option_type=").Append(SqlUtils.AddQuotes(option.Type.Equals(OptionTypeEnum.CallOption) ? "C" : "P"));
// strQuery = sb.ToString();
//// MDTrace.WriteLine(LogLevel.DEBUG,String.Format("DeleteOption {0},{1},{2},{3}",option.Symbol,Utility.DateTimeToStringMMHDDHYYYY(option.Expiration),option.Type.Equals(OptionTypeEnum.CallOption)?"Call":"Put",option.Strike));
// sqlCommand = new MySqlCommand(strQuery, sqlConnection, sqlTransaction);
// sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
// sqlCommand.ExecuteNonQuery();
// sqlTransaction.Commit();
// sqlCommand.Dispose();
// sqlCommand = null;
// return true;
// }
// catch (Exception exception)
// {
// MDTrace.WriteLine(LogLevel.DEBUG,exception);
// return false;
// }
// finally
// {
// if (null != sqlCommand) { sqlCommand.Dispose(); sqlCommand = null; }
// if (null != sqlConnection) { sqlConnection.Close(); sqlConnection.Dispose();sqlConnection = null; }
// if(null!=sqlTransaction){sqlTransaction.Dispose();sqlTransaction=null;}
// }
// }
public static bool AddOptions(Options options)
{
foreach (Option option in options)
{
AddOption(option);
}
return true;
}
public static bool AddOption(Option option)
{
MySqlConnection sqlConnection = null;
MySqlTransaction sqlTransaction = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
try
{
// MDTrace.WriteLine(LogLevel.DEBUG,"[AddOption]Enter");
DateTime modified = DateTime.Now;
if (null == option) return false;
// DeleteOption(option);
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sqlTransaction = sqlConnection.BeginTransaction(System.Data.IsolationLevel.ReadCommitted);
DeleteOption(option,sqlTransaction);
StringBuilder sb=new StringBuilder();
sb.Append("insert into options(symbol,expiration_date,option_type,strike,last_price,change_price,bid,ask,volume,open_interest,modified)values(");
sb.Append(SqlUtils.AddQuotes(option.Symbol)).Append(",");
sb.Append(SqlUtils.AddQuotes((Utility.DateTimeToStringYYYYHMMHDD(option.Expiration)))).Append(",");
sb.Append(SqlUtils.AddQuotes(option.Type.Equals(OptionTypeEnum.CallOption)?"C":"P")).Append(",");
if (!double.IsNaN(option.Strike)) sb.Append(Utility.FormatNumber(option.Strike,2)).Append(",");
else sb.Append("null").Append(",");
if (!double.IsNaN(option.Last)) sb.Append(option.Last).Append(",");
else sb.Append("null").Append(",");
if (!double.IsNaN(option.Change)) sb.Append(option.Change).Append(",");
else sb.Append("null").Append(",");
if (!double.IsNaN(option.Bid)) sb.Append(option.Bid).Append(",");
else sb.Append("null").Append(",");
if (!double.IsNaN(option.Ask)) sb.Append(option.Ask).Append(",");
else sb.Append("null").Append(",");
if (!double.IsNaN(option.Volume)) sb.Append(option.Volume).Append(",");
else sb.Append("null").Append(",");
if (!double.IsNaN(option.OpenInterest)) sb.Append(option.OpenInterest).Append(",");
else sb.Append("null").Append(",");
sb.Append(SqlUtils.AddQuotes(Utility.DateTimeToStringYYYYHMMHDD(modified)));
sb.Append(")");
strQuery = sb.ToString();
// MDTrace.WriteLine(LogLevel.DEBUG,String.Format("AddOption {0},{1},{2},{3}",option.Symbol,Utility.DateTimeToStringMMHDDHYYYY(option.Expiration),option.Type.Equals(OptionTypeEnum.CallOption)?"Call":"Put",option.Strike));
sqlCommand = new MySqlCommand(strQuery, sqlConnection, sqlTransaction);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlCommand.ExecuteNonQuery();
sqlTransaction.Commit();
sqlTransaction.Dispose();
sqlTransaction=null;
return true;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return false;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlConnection) sqlConnection.Close();
if (null != sqlTransaction) sqlTransaction.Dispose();
// MDTrace.WriteLine(LogLevel.DEBUG,"[AddOption]LEAVE");
}
}
}
}