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Add Beta36 and Beta06

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This commit is contained in:
Sean
2025-05-05 20:11:48 -04:00
parent 8e0c28abd4
commit 3d1843f688
8 changed files with 232 additions and 27 deletions
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159
MarketData/MarketDataLib/DataAccess/FundamentalDA.cs
View File

@@ -10,6 +10,134 @@ namespace MarketData.DataAccess
private FundamentalDA()
{
}
/// <summary>
/// Gets a distinct list of asof dates from the fundamentals
/// </summary>
/// <returns></returns>
public static List<DateTime> GetDistinctAsOf()
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand =null;
List<DateTime> dates = new List<DateTime>();
String strQuery = null;
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select distinct(asof) from fundamentals order by 1 desc");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while (sqlDataReader.Read())
{
dates.Add(sqlDataReader.GetDateTime(0));
}
return dates;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return null;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();}
if (null != sqlConnection) sqlConnection.Close();
}
}
/// <summary>
/// Gets the symbols for a particular asof date
/// </summary>
/// <returns></returns>
public static List<String> GetSymbolsAsOf(DateTime asof)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand =null;
List<String> symbols = new List<String>();
String strQuery = null;
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol from fundamentals where asof =").Append(SqlUtils.ToSqlDate(asof,true)).Append(" order by 1 asc");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while (sqlDataReader.Read())
{
symbols.Add(sqlDataReader.GetString(0));
}
return symbols;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return null;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) {sqlDataReader.Close();sqlDataReader.Dispose();}
if (null != sqlConnection) sqlConnection.Close();
}
}
/// <summary>
/// Updates the beta36 and bet6 for a symbol for a specific date
/// </summary>
/// <returns></returns>
public static bool UpdateBeta(String symbol,DateTime asof,double beta36, double beta06)
{
MySqlConnection sqlConnection = null;
MySqlTransaction sqlTransaction = null;
MySqlCommand sqlCommand =null;
List<String> symbols = new List<String>();
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("update fundamentals set ");
sb.Append("beta_calc_36=");
if (!Double.IsNaN(beta36)) sb.Append(beta36).Append(",");
else sb.Append("null").Append(",");
sb.Append("beta_calc_06=");
if (!Double.IsNaN(beta06)) sb.Append(beta06);
else sb.Append("null");
sb.Append(" where ");
sb.Append("symbol='").Append(symbol).Append("' and asof =").Append(SqlUtils.ToSqlDate(asof,true));
strQuery = sb.ToString();
sqlCommand = new MySqlCommand(strQuery, sqlConnection, sqlTransaction);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlCommand.ExecuteNonQuery();
sqlTransaction.Commit();
return true;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return false;
}
finally
{
if(null != sqlTransaction)sqlTransaction.Dispose();
if(null != sqlCommand)sqlCommand.Dispose();
if(null != sqlConnection) sqlConnection.Close();
}
}
public static bool CheckFundamentalModifiedOn(String symbol,DateTime modified)
{
MySqlConnection sqlConnection = null;
@@ -45,7 +173,6 @@ namespace MarketData.DataAccess
if (null != sqlConnection) sqlConnection.Close();
}
}
public static TimeSeriesCollection GetTotalCashMils(String symbol)
{
MySqlConnection sqlConnection = null;
@@ -203,7 +330,7 @@ namespace MarketData.DataAccess
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source from fundamentals where symbol=");
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06 from fundamentals where symbol=");
sb.Append("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof=(select max(asof) from fundamentals where symbol='").Append(symbol).Append("')");
strQuery = sb.ToString(); ;
@@ -242,6 +369,8 @@ namespace MarketData.DataAccess
if (!sqlDataReader.IsDBNull(27)) fundamental.EBIT = sqlDataReader.GetDouble(27);
if (!sqlDataReader.IsDBNull(28)) fundamental.EnterpriseValue = sqlDataReader.GetDouble(28);
if (!sqlDataReader.IsDBNull(29)) fundamental.Source = sqlDataReader.GetString(29);
if (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30);
if (!sqlDataReader.IsDBNull(31)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31);
BalanceSheet balanceSheet=BalanceSheetDA.GetBalanceSheetOnOrBefore(symbol,fundamental.AsOf,BalanceSheet.PeriodType.Annual);
if(null!=balanceSheet&&!double.IsNaN(balanceSheet.TotalStockHolderEquity)&&!double.IsNaN(fundamental.TotalDebt)&&0!=fundamental.TotalDebt)fundamental.DebtToEquity=fundamental.TotalDebt/balanceSheet.TotalStockHolderEquity;
return fundamental;
@@ -269,7 +398,7 @@ namespace MarketData.DataAccess
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source from fundamentals where symbol=");
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06 from fundamentals where symbol=");
sb.Append("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(asof)).Append("'").Append(";");
strQuery = sb.ToString(); ;
@@ -309,6 +438,8 @@ namespace MarketData.DataAccess
if (!sqlDataReader.IsDBNull(27)) fundamental.EBIT = sqlDataReader.GetDouble(27);
if (!sqlDataReader.IsDBNull(28)) fundamental.EnterpriseValue = sqlDataReader.GetDouble(28);
if (!sqlDataReader.IsDBNull(29)) fundamental.Source = sqlDataReader.GetString(29);
if (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30);
if (!sqlDataReader.IsDBNull(3)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31);
if (null != balanceSheet && !double.IsNaN(balanceSheet.TotalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt) && 0 != fundamental.TotalDebt)
{
fundamental.DebtToEquity=fundamental.TotalDebt/balanceSheet.TotalStockHolderEquity;
@@ -366,7 +497,6 @@ namespace MarketData.DataAccess
}
}
/// <summary>
/// Retrieve latest MarketCap, PE, EBITDA, RevenuePerShare for all symbols with aasof being no more recent than the provided date
/// Given a tradeDate of 04/18/2025 this method might return a collection similar to below. The model returned is a subset of the fundamental
@@ -388,7 +518,7 @@ namespace MarketData.DataAccess
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("SELECT A.asof,A.symbol, A.market_cap,A.ebitda,A.pe,A.revenue_per_share FROM fundamentals A JOIN ");
sb.Append("SELECT A.asof,A.symbol, A.market_cap,A.ebitda,A.pe,A.revenue_per_share,A.beta,A.beta_calc_36,A.beta_calc_06 FROM fundamentals A JOIN ");
sb.Append("(SELECT MAX(asof) asof,symbol FROM fundamentals WHERE asof<=").Append("'");
sb.Append(Utility.DateTimeToStringYYYYHMMHDD(tradeDate.Date));
sb.Append("'");
@@ -407,6 +537,9 @@ namespace MarketData.DataAccess
if(!sqlDataReader.IsDBNull(3)) fundamental.EBITDA = sqlDataReader.GetDouble(3);
if(!sqlDataReader.IsDBNull(4)) fundamental.PE = sqlDataReader.GetDouble(4);
if(!sqlDataReader.IsDBNull(5)) fundamental.RevenuePerShare = sqlDataReader.GetDouble(5);
if(!sqlDataReader.IsDBNull(6)) fundamental.Beta = sqlDataReader.GetDouble(6);
if(!sqlDataReader.IsDBNull(7)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(7);
if(!sqlDataReader.IsDBNull(8)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(8);
if(!fundamentals.ContainsKey(fundamental.Symbol))fundamentals.Add(fundamental.Symbol,fundamental);
}
return fundamentals;
@@ -437,7 +570,7 @@ namespace MarketData.DataAccess
if(null==maxDate)return null;
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source from fundamentals where symbol=");
sb.Append("select symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,book_value_per_share*shares_outstanding as equity,trailing_pe,ebit,enterprise_value,source,beta_calc_36,beta_calc_06 from fundamentals where symbol=");
sb.Append("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(maxDate.Value)).Append("'");
sb.Append(" limit 1");
@@ -478,6 +611,8 @@ namespace MarketData.DataAccess
if (!sqlDataReader.IsDBNull(27)) fundamental.EBIT = sqlDataReader.GetDouble(27);
if (!sqlDataReader.IsDBNull(28)) fundamental.EnterpriseValue = sqlDataReader.GetDouble(28);
if (!sqlDataReader.IsDBNull(29)) fundamental.Source = sqlDataReader.GetString(29);
if (!sqlDataReader.IsDBNull(30)) fundamental.BetaCalc36 = sqlDataReader.GetDouble(30);
if (!sqlDataReader.IsDBNull(31)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31);
if (!double.IsNaN(totalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt))
{
if(0.00==totalStockHolderEquity)fundamental.TotalDebt=0.00;
@@ -513,7 +648,7 @@ namespace MarketData.DataAccess
{
Fundamental fundamental = fundamentals[index];
StringBuilder sb = new StringBuilder();
sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) ");
sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_06,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) ");
sb.Append("values(");
sb.Append("'").Append(fundamental.Symbol).Append("'").Append(",");
sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.AsOf)).Append("'").Append(",");
@@ -521,6 +656,10 @@ namespace MarketData.DataAccess
else sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.NextEarningsDate)).Append("'").Append(",");
if (!Double.IsNaN(fundamental.Beta)) sb.Append(fundamental.Beta).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc36)) sb.Append(fundamental.BetaCalc36).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc06)) sb.Append(fundamental.BetaCalc06).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.Low52)) sb.Append(fundamental.Low52).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.High52)) sb.Append(fundamental.High52).Append(",");
@@ -605,7 +744,7 @@ namespace MarketData.DataAccess
sqlTransaction = sqlConnection.BeginTransaction(System.Data.IsolationLevel.ReadCommitted);
DeleteFundamental(fundamental, sqlConnection, sqlTransaction);
StringBuilder sb = new StringBuilder();
sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) ");
sb.Append("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_06,low52,high52,volume,market_cap,pe,eps,peg,return_on_assets,return_on_equity,total_cash,total_debt,shares_outstanding,revenue,revenue_per_share,qtrly_revenue_growth,gross_profit,ebitda,net_income_available_to_common,book_value_per_share,operating_cashflow,leveraged_free_cashflow,trailing_pe,ebit,enterprise_value,source) ");
sb.Append("values(");
sb.Append("'").Append(fundamental.Symbol).Append("'").Append(",");
sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.AsOf)).Append("'").Append(",");
@@ -613,6 +752,10 @@ namespace MarketData.DataAccess
else sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.NextEarningsDate)).Append("'").Append(",");
if (!Double.IsNaN(fundamental.Beta)) sb.Append(fundamental.Beta).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc36)) sb.Append(fundamental.BetaCalc36).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc06)) sb.Append(fundamental.BetaCalc06).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.Low52)) sb.Append(fundamental.Low52).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.High52)) sb.Append(fundamental.High52).Append(",");

6
MarketData/MarketDataLib/Helper/FundamentalMarketDataHelper.cs
View File

@@ -6,6 +6,7 @@ using System.Threading;
using MarketData.MarketDataModel;
using MarketData.DataAccess;
using MarketData.Utils;
using MarketData.Numerical;
namespace MarketData.Helper
{
@@ -219,6 +220,8 @@ namespace MarketData.Helper
{
Fundamental priorFundamental=FundamentalDA.GetFundamental(symbol);
fundamental.MergeFrom(priorFundamental); // if any fields are missing on this run then carry forward fields from previous run
fundamental.BetaCalc36=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,36);
fundamental.BetaCalc06=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,6);
FundamentalDA.InsertFundamental(fundamental);
MDTrace.WriteLine(LogLevel.DEBUG,Fundamental.Header);
MDTrace.WriteLine(LogLevel.DEBUG,fundamental.ToString());
@@ -243,6 +246,8 @@ namespace MarketData.Helper
if(null!=nextEarningsDate)fundamental.NextEarningsDate=nextEarningsDate.Value;
Fundamental priorFundamental=FundamentalDA.GetFundamental(symbol);
fundamental.MergeFrom(priorFundamental); // if any fields are missing on this run then carry forward fields from previous run
fundamental.BetaCalc36=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,36);
fundamental.BetaCalc06=BetaGenerator.Beta(fundamental.Symbol,fundamental.AsOf,6);
FundamentalDA.InsertFundamental(fundamental);
MDTrace.WriteLine(LogLevel.DEBUG,Fundamental.Header);
MDTrace.WriteLine(LogLevel.DEBUG,fundamental.ToString());
@@ -257,4 +262,3 @@ namespace MarketData.Helper
}
}
}

20
MarketData/MarketDataLib/MarketDataModel/FundamentalV2.cs
View File

@@ -19,7 +19,10 @@ namespace MarketData.MarketDataModel
private double marketCap;
private double pe;
private double ebitda;
private double revenuePerShare;
private double revenuePerShare;
private double beta;
private double betaCalc36;
private double betaCalc06;
public FundamentalV2()
{
@@ -54,5 +57,20 @@ namespace MarketData.MarketDataModel
get { return ebitda; }
set { ebitda = value; }
}
public double Beta
{
get { return beta; }
set { beta = value; }
}
public double BetaCalc36
{
get { return betaCalc36; }
set { betaCalc36 = value; }
}
public double BetaCalc06
{
get { return betaCalc06; }
set { betaCalc06 = value; }
}
}
}

17
MarketData/MarketDataLib/MarketDataModel/Fundamentals.cs
View File

@@ -18,6 +18,8 @@ namespace MarketData.MarketDataModel
private DateTime asOf;
private DateTime nextEarningsDate;
private double beta;
private double betaCalc36;
private double betaCalc06;
private double low52;
private double high52;
private Int64 volume;
@@ -74,6 +76,16 @@ namespace MarketData.MarketDataModel
get { return beta; }
set { beta = value; }
}
public double BetaCalc36
{
get { return betaCalc36; }
set { betaCalc36 = value; }
}
public double BetaCalc06
{
get { return betaCalc06; }
set { betaCalc06 = value; }
}
public double Low52
{
get { return low52; }
@@ -329,6 +341,8 @@ namespace MarketData.MarketDataModel
sb.Append("Source,");
sb.Append("NextEarningsDate").Append(",");
sb.Append("Beta").Append(",");
sb.Append("BetaCalc36").Append(",");
sb.Append("BetaCalc06").Append(",");
sb.Append("Low52").Append(",");
sb.Append("High52").Append(",");
sb.Append("Volume").Append(",");
@@ -366,6 +380,8 @@ namespace MarketData.MarketDataModel
sb.Append(null == Source ? "" : Source).Append(",");
sb.Append(Utility.DateTimeToStringMMSDDSYYYY(NextEarningsDate)).Append(",");
sb.Append(String.Format("{0:0.00}",Beta )).Append(",");
sb.Append(String.Format("{0:0.00}",BetaCalc36 )).Append(",");
sb.Append(String.Format("{0:0.00}",BetaCalc06 )).Append(",");
sb.Append(String.Format("{0:0.00}",Low52)).Append(",");
sb.Append(String.Format("{0:0.00}",High52)).Append(",");
sb.Append(String.Format("{0:0.00}", Volume)).Append(",");
@@ -396,3 +412,4 @@ namespace MarketData.MarketDataModel
}
}
}