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Add BetaCalc36,24,06 . Optimize MG

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Sean
2025-05-09 17:40:13 -04:00
parent f30d753352
commit e60d95b143
7 changed files with 517 additions and 17 deletions
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34
MarketDataLib/DataAccess/FundamentalDA.cs
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@@ -94,10 +94,10 @@ namespace MarketData.DataAccess
}
/// <summary>
/// Updates the beta36 and bet6 for a symbol for a specific date
/// Updates the beta36, beta24, and bet06 for a symbol for a specific date
/// </summary>
/// <returns></returns>
public static bool UpdateBeta(String symbol,DateTime asof,double beta36, double beta06)
public static bool UpdateBeta(String symbol,DateTime asof,double beta36, double beta24, double beta06)
{
MySqlConnection sqlConnection = null;
MySqlTransaction sqlTransaction = null;
@@ -112,12 +112,20 @@ namespace MarketData.DataAccess
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_24=");
if (!Double.IsNaN(beta24)) sb.Append(beta24).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();
@@ -332,7 +340,7 @@ 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,beta_calc_36,beta_calc_06 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,beta_calc_24 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(); ;
@@ -373,6 +381,7 @@ namespace MarketData.DataAccess
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 (!sqlDataReader.IsDBNull(32)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(32);
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;
@@ -400,7 +409,7 @@ 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,beta_calc_36,beta_calc_06 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,beta_calc_24 from fundamentals where symbol=");
sb.Append("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(asof)).Append("'").Append(";");
strQuery = sb.ToString(); ;
@@ -441,7 +450,8 @@ namespace MarketData.DataAccess
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 (!sqlDataReader.IsDBNull(31)) fundamental.BetaCalc06 = sqlDataReader.GetDouble(31);
if (!sqlDataReader.IsDBNull(32)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(32);
if (null != balanceSheet && !double.IsNaN(balanceSheet.TotalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt) && 0 != fundamental.TotalDebt)
{
fundamental.DebtToEquity=fundamental.TotalDebt/balanceSheet.TotalStockHolderEquity;
@@ -520,7 +530,7 @@ 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,A.beta,A.beta_calc_36,A.beta_calc_06 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,A.beta_calc_24 FROM fundamentals A JOIN ");
sb.Append("(SELECT MAX(asof) asof,symbol FROM fundamentals WHERE asof<=").Append("'");
sb.Append(Utility.DateTimeToStringYYYYHMMHDD(tradeDate.Date));
sb.Append("'");
@@ -542,6 +552,7 @@ namespace MarketData.DataAccess
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(!sqlDataReader.IsDBNull(9)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(9);
if(!fundamentals.ContainsKey(fundamental.Symbol))fundamentals.Add(fundamental.Symbol,fundamental);
}
return fundamentals;
@@ -572,7 +583,7 @@ 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,beta_calc_36,beta_calc_06 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,beta_calc_24 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");
@@ -615,6 +626,7 @@ namespace MarketData.DataAccess
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 (!sqlDataReader.IsDBNull(32)) fundamental.BetaCalc24 = sqlDataReader.GetDouble(32);
if (!double.IsNaN(totalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt))
{
if(0.00==totalStockHolderEquity)fundamental.TotalDebt=0.00;
@@ -650,7 +662,7 @@ namespace MarketData.DataAccess
{
Fundamental fundamental = fundamentals[index];
StringBuilder sb = new StringBuilder();
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("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_24,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(",");
@@ -660,6 +672,8 @@ namespace MarketData.DataAccess
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc36)) sb.Append(fundamental.BetaCalc36).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc24)) sb.Append(fundamental.BetaCalc24).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(",");
@@ -746,7 +760,7 @@ 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,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("insert into fundamentals (symbol,asof,next_earnings_date,beta,beta_calc_36,beta_calc_24,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(",");
@@ -756,6 +770,8 @@ namespace MarketData.DataAccess
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc36)) sb.Append(fundamental.BetaCalc36).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BetaCalc24)) sb.Append(fundamental.BetaCalc24).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(",");