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Add BarChart supplemental feed

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Sean
2025-06-27 21:38:37 -04:00
parent bd93d7af44
commit 3fb36991ff
4 changed files with 308 additions and 84 deletions
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230
MarketData/MarketDataLib/Helper/PricingMarketDataHelper.cs
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@@ -165,47 +165,15 @@ namespace MarketData.Helper
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("[UpdatePricesBigCharts]End, total took {0}(ms)",profiler.End()));
}
}
public bool UpdatePricesYahooSweep(DateTime? startDate=null) // get prices from Yahoo
{
Profiler profiler=new Profiler();
try
{
symbols=PricingDA.GetSymbols();
currentIndex=0;
if(null==startDate) startDate=DateTime.Now;
while(true)
{
List<String> queueSymbols=GetQueueSymbols();
if(null==queueSymbols||0==queueSymbols.Count) break;
ManualResetEvent[] resetEvents=new ManualResetEvent[queueSymbols.Count];
for(int eventIndex=0;eventIndex<resetEvents.Length;eventIndex++)
{
resetEvents[eventIndex]=new ManualResetEvent(false);
}
for(int index=0;index<queueSymbols.Count;index++)
{
PricingThreadHelper pricingThreadHelper=new PricingThreadHelper(queueSymbols[index],startDate.Value,resetEvents[index]);
ThreadPool.QueueUserWorkItem(ThreadPoolCallbackUpdatePricesYahooSweep,pricingThreadHelper);
try{Thread.Sleep(WaitBetweenRequests);}catch(Exception){;}
}
MDTrace.WriteLine(LogLevel.DEBUG,"UpdatePricesYahooSweep, waiting for queued items to complete.");
WaitHandle.WaitAll(resetEvents);
}
return true;
}
finally
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("[UpdatePricesYahooSweep]End, total took {0}(ms)",profiler.End()));
}
}
public bool UpdatePricesAsOfSymbol(String symbol,DateTime asOf) // get prices from BigCharts
public bool UpdatePricesYahooSweep(DateTime? startDate = null) // get prices from Yahoo
{
Profiler profiler=new Profiler();
Profiler profiler = new Profiler();
try
{
symbols=new List<String>();
symbols.Add(symbol);
currentIndex=0;
symbols = PricingDA.GetSymbols();
currentIndex = 0;
if (null == startDate) startDate = DateTime.Now;
while (true)
{
List<String> queueSymbols = GetQueueSymbols();
@@ -217,19 +185,92 @@ namespace MarketData.Helper
}
for (int index = 0; index < queueSymbols.Count; index++)
{
PricingThreadHelper pricingThreadHelper = new PricingThreadHelper(queueSymbols[index], resetEvents[index],asOf);
ThreadPool.QueueUserWorkItem(ThreadPoolCallbackUpdatePricesAsOf, pricingThreadHelper);
try{Thread.Sleep(WaitBetweenRequests);}catch(Exception){;}
PricingThreadHelper pricingThreadHelper = new PricingThreadHelper(queueSymbols[index], startDate.Value, resetEvents[index]);
ThreadPool.QueueUserWorkItem(ThreadPoolCallbackUpdatePricesYahooSweep, pricingThreadHelper);
try { Thread.Sleep(WaitBetweenRequests); } catch (Exception) {; }
}
MDTrace.WriteLine(LogLevel.DEBUG,"UpdatePricesAsOfSymbol, waiting for queued items to complete.");
MDTrace.WriteLine(LogLevel.DEBUG, "UpdatePricesYahooSweep, waiting for queued items to complete.");
WaitHandle.WaitAll(resetEvents);
}
return true;
}
finally
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("[UpdatePricesAsOfSymbol]End, total took {0}(ms)",profiler.End()));
}
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("[UpdatePricesYahooSweep]End, total took {0}(ms)", profiler.End()));
}
}
/// <summary>
/// UpdatePricesBarChartSweep - This feed will retrieve latest price. It will not use a date
/// </summary>
/// <param name="startDate"></param>
/// <returns></returns>
public bool UpdatePricesBarChartSweep(DateTime? startDate = null) // get prices from BarCharts
{
Profiler profiler = new Profiler();
try
{
symbols = PricingDA.GetSymbols();
if (null == startDate) startDate = DateTime.Now;
currentIndex = 0;
while (true)
{
List<String> queueSymbols = GetQueueSymbols();
if (null == queueSymbols || 0 == queueSymbols.Count) break;
ManualResetEvent[] resetEvents = new ManualResetEvent[queueSymbols.Count];
for (int eventIndex = 0; eventIndex < resetEvents.Length; eventIndex++)
{
resetEvents[eventIndex] = new ManualResetEvent(false);
}
for (int index = 0; index < queueSymbols.Count; index++)
{
PricingThreadHelper pricingThreadHelper = new PricingThreadHelper(queueSymbols[index], startDate.Value, resetEvents[index]);
ThreadPool.QueueUserWorkItem(ThreadPoolCallbackUpdatePricesBarChartSweep, pricingThreadHelper);
try { Thread.Sleep(WaitBetweenRequests); } catch (Exception) {; }
}
MDTrace.WriteLine(LogLevel.DEBUG, "UpdatePricesBarChartSweep, waiting for queued items to complete.");
WaitHandle.WaitAll(resetEvents);
}
return true;
}
finally
{
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("[UpdatePricesBarChartSweep]End, total took {0}(ms)", profiler.End()));
}
}
public bool UpdatePricesAsOfSymbol(String symbol, DateTime asOf) // get prices from BigCharts
{
Profiler profiler = new Profiler();
try
{
symbols = new List<String>();
symbols.Add(symbol);
currentIndex = 0;
while (true)
{
List<String> queueSymbols = GetQueueSymbols();
if (null == queueSymbols || 0 == queueSymbols.Count) break;
ManualResetEvent[] resetEvents = new ManualResetEvent[queueSymbols.Count];
for (int eventIndex = 0; eventIndex < resetEvents.Length; eventIndex++)
{
resetEvents[eventIndex] = new ManualResetEvent(false);
}
for (int index = 0; index < queueSymbols.Count; index++)
{
PricingThreadHelper pricingThreadHelper = new PricingThreadHelper(queueSymbols[index], resetEvents[index], asOf);
ThreadPool.QueueUserWorkItem(ThreadPoolCallbackUpdatePricesAsOf, pricingThreadHelper);
try { Thread.Sleep(WaitBetweenRequests); } catch (Exception) {; }
}
MDTrace.WriteLine(LogLevel.DEBUG, "UpdatePricesAsOfSymbol, waiting for queued items to complete.");
WaitHandle.WaitAll(resetEvents);
}
return true;
}
finally
{
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("[UpdatePricesAsOfSymbol]End, total took {0}(ms)", profiler.End()));
}
}
public bool UpdatePriceAsOfSymbolYahoo(String symbol,DateTime asOf) // get prices from Yahoo
{
@@ -492,19 +533,33 @@ namespace MarketData.Helper
{
pricingThreadHelper.ResetEvent.Set();
}
}
public void ThreadPoolCallbackUpdatePricesBarChartSweep(Object pricingThreadHelperContext)
{
PricingThreadHelper pricingThreadHelper=(PricingThreadHelper)pricingThreadHelperContext;
try
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Load price (BarChart), Thread {0} started for {1}...",Thread.CurrentThread.ManagedThreadId,pricingThreadHelper.Symbol));
UpdatePriceBarChartSweep(pricingThreadHelper.Symbol,pricingThreadHelper.PricingDate);
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Load price (BarChart), Thread {0} ended for {1}",Thread.CurrentThread.ManagedThreadId,pricingThreadHelper.Symbol));
}
finally
{
pricingThreadHelper.ResetEvent.Set();
}
}
public void ThreadPoolCallbackUpdatePricesAsOf(Object pricingThreadHelperContext)
{
PricingThreadHelper pricingThreadHelper = (PricingThreadHelper)pricingThreadHelperContext;
PricingThreadHelper pricingThreadHelper = (PricingThreadHelper)pricingThreadHelperContext;
try
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Load price, Thread {0} started for {1}...", Thread.CurrentThread.ManagedThreadId, pricingThreadHelper.Symbol));
UpdatePriceAsOfEx(pricingThreadHelper.Symbol,pricingThreadHelper.StartDate.Value);
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Load price, Thread {0} ended for {1}", Thread.CurrentThread.ManagedThreadId, pricingThreadHelper.Symbol));
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Load price, Thread {0} started for {1}...", Thread.CurrentThread.ManagedThreadId, pricingThreadHelper.Symbol));
UpdatePriceAsOfEx(pricingThreadHelper.Symbol, pricingThreadHelper.StartDate.Value);
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Load price, Thread {0} ended for {1}", Thread.CurrentThread.ManagedThreadId, pricingThreadHelper.Symbol));
}
finally
{
pricingThreadHelper.ResetEvent.Set();
pricingThreadHelper.ResetEvent.Set();
}
}
public void ThreadPoolCallbackGetMissingPrice(Object pricingThreadHelperContext)
@@ -733,7 +788,7 @@ namespace MarketData.Helper
price=MarketDataHelper.GetDailyPrice(symbol,pricingDate);
if(null==price)
{
MDTrace.WriteLine(LogLevel.DEBUG,"No price (UpdatePriceYahoo) for '"+symbol+"'");
MDTrace.WriteLine(LogLevel.DEBUG,"No price (UpdatePriceYahooSweep) for '"+symbol+"'");
return;
}
else if(!price.IsValid)
@@ -752,35 +807,86 @@ namespace MarketData.Helper
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Exception {0}",exception.ToString()));
}
}
public static void UpdatePriceAsOfEx(String symbol,DateTime asOf)
/// <summary>
/// This feed is intended to supplement BigCharts and Yahoo feed.
/// It should run in the UPDATEDAILY2 chain after Yahoo during the nightly price capture.
/// It will only retrieve price for the current date AND it expects us to have a price for the previous business date.
/// In other words it will not fill pricing gaps, it will only add "tonights" price to an already established pricing history
/// </summary>
/// <param name="symbol"></param>
/// <param name="pricingDate"></param>
public static void UpdatePriceBarChartSweep(String symbol, DateTime pricingDate)
{
try
{
DateGenerator dateGenerator = new DateGenerator();
DateTime prevBusinessDay = dateGenerator.FindPrevBusinessDay(pricingDate);
Price price = PricingDA.GetPrice(symbol); // retrieve the latest price for this symbol
if (null == price) // we don't have a price for the symbol so return
{
return;
}
if (price.Date.Date.Equals(pricingDate.Date))
{
MDTrace.WriteLine(LogLevel.DEBUG, $"Already have latest price for {symbol} on {price.Date.ToShortDateString()}");
return;
}
if (!prevBusinessDay.Date.Equals(price.Date.Date))
{
MDTrace.WriteLine(LogLevel.DEBUG, $"Expected a date of {prevBusinessDay.ToShortDateString()} for {symbol} but found {price.Date.ToShortDateString()}");
return;
}
MDTrace.WriteLine(LogLevel.DEBUG,$"Latest price for {symbol} is {price.Date.Date.ToShortDateString()}");
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("UpdatePriceBarChartSweep: Requesting latest price for {0} ", symbol));
price = MarketDataHelper.GetLatestPriceBarChart(symbol);
if (null == price)
{
MDTrace.WriteLine(LogLevel.DEBUG, "(UpdatePriceBarChartSweep) No price for '" + symbol + "'");
return;
}
else if (!price.IsValid)
{
MDTrace.WriteLine(LogLevel.DEBUG, "(UpdatePriceBarChartSweep) Invalid price for '" + symbol + "'");
return;
}
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("(UpdatePriceBarChartSweep) Inserting price {0}...", price.ToString()));
PricingDA.InsertPrice(price);
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("(UpdatePriceBarChartSweep) Exception {0}", exception.ToString()));
}
}
public static void UpdatePriceAsOfEx(String symbol, DateTime asOf)
{
try
{
DateTime latestDate = PricingDA.GetLatestDate(symbol);
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Latest pricing date for {0} is {1}",symbol,latestDate.ToShortDateString()));
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Latest pricing date for {0} is {1}", symbol, latestDate.ToShortDateString()));
if (latestDate.Equals(asOf))
{
MDTrace.WriteLine(LogLevel.DEBUG,"Already have price for '" + symbol + "' on "+Utility.DateTimeToStringMMHDDHYYYY(asOf));
MDTrace.WriteLine(LogLevel.DEBUG, "Already have price for '" + symbol + "' on " + Utility.DateTimeToStringMMHDDHYYYY(asOf));
return;
}
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Retrieving price for {0} on {1} from BigCharts",symbol,asOf.ToShortDateString()));
Price price = MarketDataHelper.GetPriceAsOf(symbol,asOf);
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Retrieving price for {0} on {1} from BigCharts", symbol, asOf.ToShortDateString()));
Price price = MarketDataHelper.GetPriceAsOf(symbol, asOf);
if (null == price)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Error retrieving price for {0} on {1}",symbol,asOf.ToShortDateString()));
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Error retrieving price for {0} on {1}", symbol, asOf.ToShortDateString()));
return;
}
MDTrace.WriteLine(LogLevel.DEBUG,Price.Header);
MDTrace.WriteLine(LogLevel.DEBUG,price.ToString());
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Inserting price {0}...",price.ToString()));
MDTrace.WriteLine(LogLevel.DEBUG, Price.Header);
MDTrace.WriteLine(LogLevel.DEBUG, price.ToString());
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Inserting price {0}...", price.ToString()));
PricingDA.InsertPrice(price);
MDTrace.WriteLine(LogLevel.DEBUG,"");
MDTrace.WriteLine(LogLevel.DEBUG, "");
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception.ToString());
MDTrace.WriteLine(LogLevel.DEBUG, exception.ToString());
}
}
}
public static void LoadPricesSymbolEx(String symbol,DateTime pricingDate)
{