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marketdata/MarketDataLib/DataAccess/FundamentalDA.cs
Sean 2882559651 Fix GetMonthlyPrices in Prices. It was not correctly returning monthly prices. 
This was causing an issue in the SharpeRatioGenerator whereby the SharpeRatio was not being calculated correctly where the asof date would
fall on a weekend of holiday.
Also, added a ReasonCategory to the CMCanidate as well as a Violation summary line in the model output to show where violations occur.
Had I implemented this previously I might have detected the SharpeRatio issue sooner.
Also added GetFundamentalMaxDateTop in the FundamentalDA which I used during debugging but is not currently being used anywhere.
2025-02-02 14:59:14 -05:00

767 lines
42 KiB
C#
Raw Blame History

using System;
using System.Collections.Generic;
using System.Text;
using MySql.Data.MySqlClient;
using MarketData.MarketDataModel;
using MarketData.Utils;
namespace MarketData.DataAccess
{
public class FundamentalDA
{
private FundamentalDA()
{
}
public static bool CheckFundamentalModifiedOn(String symbol,DateTime modified)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand =null;
String strQuery = null;
DateTime maxDate = DateTime.Parse("01-01-0001");
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select count(*) from fundamentals").Append(" ");
sb.Append("where symbol='").Append(symbol).Append("'").Append(" ");
sb.Append("and asof='").Append(Utility.DateTimeToStringYYYYHMMHDD(modified)).Append("'");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
sqlDataReader.Read();
int recordCount = sqlDataReader.GetInt32(0);
return 0 == recordCount ? false : true;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return false;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if (null != sqlDataReader) sqlDataReader.Close();
if (null != sqlConnection) sqlConnection.Close();
}
}
public static DateTime GetLatestDate(String symbol)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
DateTime maxDate = DateTime.Parse("01-01-0001");
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select max(asof) from fundamentals").Append(" ");
sb.Append("where symbol='").Append(symbol).Append("'");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
if (sqlDataReader.Read())
{
if (!sqlDataReader.IsDBNull(0))maxDate=sqlDataReader.GetDateTime(0);
}
return maxDate;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
return maxDate;
}
finally
{
if(null!=sqlCommand)sqlCommand.Dispose();
if(null!=sqlDataReader)sqlDataReader.Close();
if(null != sqlConnection) sqlConnection.Close();
}
}
public static TimeSeriesCollection GetTotalCashMils(String symbol)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand =null;
TimeSeriesCollection timeSeriesCollection=new TimeSeriesCollection();
String strQuery = null;
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol,asof,total_cash from fundamentals where symbol='").Append(symbol).Append("' order by asof desc");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while (sqlDataReader.Read())
{
TimeSeriesElement timeSeriesElement=new TimeSeriesElement();
timeSeriesElement.Symbol=sqlDataReader.GetString(0);
timeSeriesElement.AsOf=sqlDataReader.GetDateTime(1);
if(!sqlDataReader.IsDBNull(2))timeSeriesElement.Value=sqlDataReader.GetDouble(2)/1000000.00;
else timeSeriesElement.Value=double.NaN;
timeSeriesElement.Type=TimeSeriesElement.ElementType.OTHER;
timeSeriesElement.OtherType="Total_Cash";
if(double.IsNaN(timeSeriesElement.Value))continue;
timeSeriesCollection.Add(timeSeriesElement);
}
return timeSeriesCollection;
}
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 TimeSeriesCollection GetPERatio(String symbol)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand =null;
TimeSeriesCollection timeSeriesCollection=new TimeSeriesCollection();
String strQuery = null;
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select symbol,asof,pe from fundamentals where symbol='").Append(symbol).Append("' order by asof desc");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while (sqlDataReader.Read())
{
TimeSeriesElement timeSeriesElement=new TimeSeriesElement();
timeSeriesElement.Symbol=sqlDataReader.GetString(0);
timeSeriesElement.AsOf=sqlDataReader.GetDateTime(1);
if(!sqlDataReader.IsDBNull(2))timeSeriesElement.Value=sqlDataReader.GetDouble(2);
else timeSeriesElement.Value=double.NaN;
timeSeriesElement.Type=TimeSeriesElement.ElementType.OTHER;
timeSeriesElement.OtherType="PE";
if(double.IsNaN(timeSeriesElement.Value))continue;
timeSeriesCollection.Add(timeSeriesElement);
}
return timeSeriesCollection;
}
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 TimeSeriesCollection GetEPS(String symbol,DateTime? maxDate=null)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand = null;
TimeSeriesCollection timeSeriesCollection = new TimeSeriesCollection();
String strQuery = null;
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
if(null==maxDate)sb.Append("select symbol,asof,eps from fundamentals where symbol='").Append(symbol).Append("' order by asof desc");
else sb.Append("select symbol,asof,eps from fundamentals where symbol='").Append(symbol).Append("'").Append(" and asof<=").Append(SqlUtils.AddQuotes(SqlUtils.ToSqlDateTime(maxDate.Value))).Append(" order by asof desc");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while (sqlDataReader.Read())
{
TimeSeriesElement timeSeriesElement = new TimeSeriesElement();
timeSeriesElement.Symbol = sqlDataReader.GetString(0);
timeSeriesElement.AsOf = sqlDataReader.GetDateTime(1);
if (!sqlDataReader.IsDBNull(2)) timeSeriesElement.Value = sqlDataReader.GetDouble(2);
else timeSeriesElement.Value = double.NaN;
timeSeriesElement.Type = TimeSeriesElement.ElementType.OTHER;
timeSeriesElement.OtherType = "EPS";
if (double.IsNaN(timeSeriesElement.Value)) continue;
timeSeriesCollection.Add(timeSeriesElement);
}
return timeSeriesCollection;
}
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 Fundamental GetFundamental(String symbol)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand =null;
String strQuery = null;
try
{
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("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof=(select max(asof) from fundamentals where symbol='").Append(symbol).Append("')");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
if (!sqlDataReader.Read()) return null;
Fundamental fundamental = new Fundamental();
fundamental.Symbol=sqlDataReader.GetString(0);
fundamental.AsOf = sqlDataReader.GetDateTime(1);
if (!sqlDataReader.IsDBNull(2)) fundamental.NextEarningsDate = sqlDataReader.GetDateTime(2);
if (!sqlDataReader.IsDBNull(3)) fundamental.Beta = sqlDataReader.GetDouble(3);
if (!sqlDataReader.IsDBNull(4)) fundamental.Low52 = sqlDataReader.GetDouble(4);
if (!sqlDataReader.IsDBNull(5)) fundamental.High52 = sqlDataReader.GetDouble(5);
if (!sqlDataReader.IsDBNull(6)) fundamental.Volume = sqlDataReader.GetInt64(6);
if (!sqlDataReader.IsDBNull(7)) fundamental.MarketCap = sqlDataReader.GetDouble(7);
if (!sqlDataReader.IsDBNull(8)) fundamental.PE = sqlDataReader.GetDouble(8);
if (!sqlDataReader.IsDBNull(9)) fundamental.EPS = sqlDataReader.GetDouble(9);
if (!sqlDataReader.IsDBNull(10)) fundamental.PEG = sqlDataReader.GetDouble(10);
if (!sqlDataReader.IsDBNull(11)) fundamental.ReturnOnAssets = sqlDataReader.GetDouble(11);
if (!sqlDataReader.IsDBNull(12)) fundamental.ReturnOnEquity = sqlDataReader.GetDouble(12);
if (!sqlDataReader.IsDBNull(13)) fundamental.TotalCash = sqlDataReader.GetDouble(13);
if (!sqlDataReader.IsDBNull(14)) fundamental.TotalDebt = sqlDataReader.GetDouble(14);
if (!sqlDataReader.IsDBNull(15)) fundamental.SharesOutstanding = sqlDataReader.GetDouble(15);
if (!sqlDataReader.IsDBNull(16)) fundamental.Revenue = sqlDataReader.GetDouble(16);
if (!sqlDataReader.IsDBNull(17)) fundamental.RevenuePerShare = sqlDataReader.GetDouble(17);
if (!sqlDataReader.IsDBNull(18)) fundamental.QtrlyRevenueGrowth = sqlDataReader.GetDouble(18);
if (!sqlDataReader.IsDBNull(19)) fundamental.GrossProfit = sqlDataReader.GetDouble(19);
if (!sqlDataReader.IsDBNull(20)) fundamental.EBITDA = sqlDataReader.GetDouble(20);
if (!sqlDataReader.IsDBNull(21)) fundamental.NetIncomeAvailableToCommon = sqlDataReader.GetDouble(21);
if (!sqlDataReader.IsDBNull(22)) fundamental.BookValuePerShare = sqlDataReader.GetDouble(22);
if (!sqlDataReader.IsDBNull(23)) fundamental.OperatingCashflow = sqlDataReader.GetDouble(23);
if (!sqlDataReader.IsDBNull(24)) fundamental.LeveragedFreeCashflow = sqlDataReader.GetDouble(24);
if (!sqlDataReader.IsDBNull(25)) fundamental.Equity = sqlDataReader.GetDouble(25);
if (!sqlDataReader.IsDBNull(26)) fundamental.TrailingPE = sqlDataReader.GetDouble(26);
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);
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;
}
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 Fundamental GetFundamental(String symbol, DateTime asof)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
try
{
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("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(asof)).Append("'").Append(";");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
if (!sqlDataReader.Read()) return null;
BalanceSheet balanceSheet=BalanceSheetDA.GetBalanceSheetOnOrBefore(symbol,asof,BalanceSheet.PeriodType.Annual);
Fundamental fundamental = new Fundamental();
fundamental.Symbol = sqlDataReader.GetString(0);
fundamental.AsOf = sqlDataReader.GetDateTime(1);
if (!sqlDataReader.IsDBNull(2)) fundamental.NextEarningsDate = sqlDataReader.GetDateTime(2);
if (!sqlDataReader.IsDBNull(3)) fundamental.Beta = sqlDataReader.GetDouble(3);
if (!sqlDataReader.IsDBNull(4)) fundamental.Low52 = sqlDataReader.GetDouble(4);
if (!sqlDataReader.IsDBNull(5)) fundamental.High52 = sqlDataReader.GetDouble(5);
if (!sqlDataReader.IsDBNull(6)) fundamental.Volume = sqlDataReader.GetInt64(6);
if (!sqlDataReader.IsDBNull(7)) fundamental.MarketCap = sqlDataReader.GetDouble(7);
if (!sqlDataReader.IsDBNull(8)) fundamental.PE = sqlDataReader.GetDouble(8);
if (!sqlDataReader.IsDBNull(9)) fundamental.EPS = sqlDataReader.GetDouble(9);
if (!sqlDataReader.IsDBNull(10)) fundamental.PEG = sqlDataReader.GetDouble(10);
if (!sqlDataReader.IsDBNull(11)) fundamental.ReturnOnAssets = sqlDataReader.GetDouble(11);
if (!sqlDataReader.IsDBNull(12)) fundamental.ReturnOnEquity = sqlDataReader.GetDouble(12);
if (!sqlDataReader.IsDBNull(13)) fundamental.TotalCash = sqlDataReader.GetDouble(13);
if (!sqlDataReader.IsDBNull(14)) fundamental.TotalDebt = sqlDataReader.GetDouble(14);
if (!sqlDataReader.IsDBNull(15)) fundamental.SharesOutstanding = sqlDataReader.GetDouble(15);
if (!sqlDataReader.IsDBNull(16)) fundamental.Revenue = sqlDataReader.GetDouble(16);
if (!sqlDataReader.IsDBNull(17)) fundamental.RevenuePerShare = sqlDataReader.GetDouble(17);
if (!sqlDataReader.IsDBNull(18)) fundamental.QtrlyRevenueGrowth = sqlDataReader.GetDouble(18);
if (!sqlDataReader.IsDBNull(19)) fundamental.GrossProfit = sqlDataReader.GetDouble(19);
if (!sqlDataReader.IsDBNull(20)) fundamental.EBITDA = sqlDataReader.GetDouble(20);
if (!sqlDataReader.IsDBNull(21)) fundamental.NetIncomeAvailableToCommon = sqlDataReader.GetDouble(21);
if (!sqlDataReader.IsDBNull(22)) fundamental.BookValuePerShare = sqlDataReader.GetDouble(22);
if (!sqlDataReader.IsDBNull(23)) fundamental.OperatingCashflow = sqlDataReader.GetDouble(23);
if (!sqlDataReader.IsDBNull(24)) fundamental.LeveragedFreeCashflow = sqlDataReader.GetDouble(24);
if (!sqlDataReader.IsDBNull(25)) fundamental.Equity = sqlDataReader.GetDouble(25);
if (!sqlDataReader.IsDBNull(26)) fundamental.TrailingPE = sqlDataReader.GetDouble(26);
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 (null != balanceSheet && !double.IsNaN(balanceSheet.TotalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt) && 0 != fundamental.TotalDebt)
{
fundamental.DebtToEquity=fundamental.TotalDebt/balanceSheet.TotalStockHolderEquity;
}
return fundamental;
}
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();
}
}
// get the maximum date on record on or before asof
public static DateTime? GetMaxDateFromFundamental(String symbol,DateTime asof)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
DateTime? maxDate=null;
try
{
StringBuilder sb = new StringBuilder();
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sb.Append("select asof from fundamentals where symbol=");
sb.Append("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof<=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(asof)).Append("'");
sb.Append(" order by asof desc ");
sb.Append(" limit 1");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
if (!sqlDataReader.Read()) return maxDate;
if(!sqlDataReader.IsDBNull(0))maxDate=sqlDataReader.GetDateTime(0);
return maxDate;
}
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 Fundamental GetFundamentalMaxDate(String symbol, DateTime asof)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
try
{
DateTime? maxDate=GetMaxDateFromFundamental(symbol,asof); // get the maximum date on record on or before max date
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("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(maxDate.Value)).Append("'");
sb.Append(" limit 1");
strQuery = sb.ToString(); ;
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
if (!sqlDataReader.Read()) return null;
double totalStockHolderEquity=BalanceSheetDA.GetTotalStockHolderEquityOnOrBefore(symbol,asof,BalanceSheet.PeriodType.Annual);
Fundamental fundamental = new Fundamental();
fundamental.Symbol = sqlDataReader.GetString(0);
fundamental.AsOf = sqlDataReader.GetDateTime(1);
if (!sqlDataReader.IsDBNull(2)) fundamental.NextEarningsDate = sqlDataReader.GetDateTime(2);
if (!sqlDataReader.IsDBNull(3)) fundamental.Beta = sqlDataReader.GetDouble(3);
if (!sqlDataReader.IsDBNull(4)) fundamental.Low52 = sqlDataReader.GetDouble(4);
if (!sqlDataReader.IsDBNull(5)) fundamental.High52 = sqlDataReader.GetDouble(5);
if (!sqlDataReader.IsDBNull(6)) fundamental.Volume = sqlDataReader.GetInt64(6);
if (!sqlDataReader.IsDBNull(7)) fundamental.MarketCap = sqlDataReader.GetDouble(7);
if (!sqlDataReader.IsDBNull(8)) fundamental.PE = sqlDataReader.GetDouble(8);
if (!sqlDataReader.IsDBNull(9)) fundamental.EPS = sqlDataReader.GetDouble(9);
if (!sqlDataReader.IsDBNull(10)) fundamental.PEG = sqlDataReader.GetDouble(10);
if (!sqlDataReader.IsDBNull(11)) fundamental.ReturnOnAssets = sqlDataReader.GetDouble(11);
if (!sqlDataReader.IsDBNull(12)) fundamental.ReturnOnEquity = sqlDataReader.GetDouble(12);
if (!sqlDataReader.IsDBNull(13)) fundamental.TotalCash = sqlDataReader.GetDouble(13);
if (!sqlDataReader.IsDBNull(14)) fundamental.TotalDebt = sqlDataReader.GetDouble(14);
if (!sqlDataReader.IsDBNull(15)) fundamental.SharesOutstanding = sqlDataReader.GetDouble(15);
if (!sqlDataReader.IsDBNull(16)) fundamental.Revenue = sqlDataReader.GetDouble(16);
if (!sqlDataReader.IsDBNull(17)) fundamental.RevenuePerShare = sqlDataReader.GetDouble(17);
if (!sqlDataReader.IsDBNull(18)) fundamental.QtrlyRevenueGrowth = sqlDataReader.GetDouble(18);
if (!sqlDataReader.IsDBNull(19)) fundamental.GrossProfit = sqlDataReader.GetDouble(19);
if (!sqlDataReader.IsDBNull(20)) fundamental.EBITDA = sqlDataReader.GetDouble(20);
if (!sqlDataReader.IsDBNull(21)) fundamental.NetIncomeAvailableToCommon = sqlDataReader.GetDouble(21);
if (!sqlDataReader.IsDBNull(22)) fundamental.BookValuePerShare = sqlDataReader.GetDouble(22);
if (!sqlDataReader.IsDBNull(23)) fundamental.OperatingCashflow = sqlDataReader.GetDouble(23);
if (!sqlDataReader.IsDBNull(24)) fundamental.LeveragedFreeCashflow = sqlDataReader.GetDouble(24);
if (!sqlDataReader.IsDBNull(25)) fundamental.Equity = sqlDataReader.GetDouble(25);
if (!sqlDataReader.IsDBNull(26)) fundamental.TrailingPE = sqlDataReader.GetDouble(26);
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 (!double.IsNaN(totalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt))
{
if(0.00==totalStockHolderEquity)fundamental.TotalDebt=0.00;
else fundamental.DebtToEquity=fundamental.TotalDebt/totalStockHolderEquity;
}
return fundamental;
}
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 Fundamentals GetFundamentalMaxDateTop(String symbol, DateTime asof, int top)
{
MySqlConnection sqlConnection = null;
MySqlDataReader sqlDataReader = null;
MySqlCommand sqlCommand=null;
String strQuery = null;
Fundamentals fundamentals = new Fundamentals();
try
{
DateTime? maxDate=GetMaxDateFromFundamental(symbol,asof); // get the maximum date on record on or before max date
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("'").Append(symbol).Append("'").Append(" ");
sb.Append("and asof<=").Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(maxDate.Value)).Append("'");
sb.Append(" order by asof desc ");
sb.Append(" limit ").Append(top);
strQuery = sb.ToString();
sqlCommand = new MySqlCommand(strQuery, sqlConnection);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlDataReader = sqlCommand.ExecuteReader();
while(sqlDataReader.Read())
{
double totalStockHolderEquity=BalanceSheetDA.GetTotalStockHolderEquityOnOrBefore(symbol,asof,BalanceSheet.PeriodType.Annual);
Fundamental fundamental = new Fundamental();
fundamental.Symbol = sqlDataReader.GetString(0);
fundamental.AsOf = sqlDataReader.GetDateTime(1);
if (!sqlDataReader.IsDBNull(2)) fundamental.NextEarningsDate = sqlDataReader.GetDateTime(2);
if (!sqlDataReader.IsDBNull(3)) fundamental.Beta = sqlDataReader.GetDouble(3);
if (!sqlDataReader.IsDBNull(4)) fundamental.Low52 = sqlDataReader.GetDouble(4);
if (!sqlDataReader.IsDBNull(5)) fundamental.High52 = sqlDataReader.GetDouble(5);
if (!sqlDataReader.IsDBNull(6)) fundamental.Volume = sqlDataReader.GetInt64(6);
if (!sqlDataReader.IsDBNull(7)) fundamental.MarketCap = sqlDataReader.GetDouble(7);
if (!sqlDataReader.IsDBNull(8)) fundamental.PE = sqlDataReader.GetDouble(8);
if (!sqlDataReader.IsDBNull(9)) fundamental.EPS = sqlDataReader.GetDouble(9);
if (!sqlDataReader.IsDBNull(10)) fundamental.PEG = sqlDataReader.GetDouble(10);
if (!sqlDataReader.IsDBNull(11)) fundamental.ReturnOnAssets = sqlDataReader.GetDouble(11);
if (!sqlDataReader.IsDBNull(12)) fundamental.ReturnOnEquity = sqlDataReader.GetDouble(12);
if (!sqlDataReader.IsDBNull(13)) fundamental.TotalCash = sqlDataReader.GetDouble(13);
if (!sqlDataReader.IsDBNull(14)) fundamental.TotalDebt = sqlDataReader.GetDouble(14);
if (!sqlDataReader.IsDBNull(15)) fundamental.SharesOutstanding = sqlDataReader.GetDouble(15);
if (!sqlDataReader.IsDBNull(16)) fundamental.Revenue = sqlDataReader.GetDouble(16);
if (!sqlDataReader.IsDBNull(17)) fundamental.RevenuePerShare = sqlDataReader.GetDouble(17);
if (!sqlDataReader.IsDBNull(18)) fundamental.QtrlyRevenueGrowth = sqlDataReader.GetDouble(18);
if (!sqlDataReader.IsDBNull(19)) fundamental.GrossProfit = sqlDataReader.GetDouble(19);
if (!sqlDataReader.IsDBNull(20)) fundamental.EBITDA = sqlDataReader.GetDouble(20);
if (!sqlDataReader.IsDBNull(21)) fundamental.NetIncomeAvailableToCommon = sqlDataReader.GetDouble(21);
if (!sqlDataReader.IsDBNull(22)) fundamental.BookValuePerShare = sqlDataReader.GetDouble(22);
if (!sqlDataReader.IsDBNull(23)) fundamental.OperatingCashflow = sqlDataReader.GetDouble(23);
if (!sqlDataReader.IsDBNull(24)) fundamental.LeveragedFreeCashflow = sqlDataReader.GetDouble(24);
if (!sqlDataReader.IsDBNull(25)) fundamental.Equity = sqlDataReader.GetDouble(25);
if (!sqlDataReader.IsDBNull(26)) fundamental.TrailingPE = sqlDataReader.GetDouble(26);
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 (!double.IsNaN(totalStockHolderEquity) && !double.IsNaN(fundamental.TotalDebt))
{
if(0.00==totalStockHolderEquity)fundamental.TotalDebt=0.00;
else fundamental.DebtToEquity=fundamental.TotalDebt/totalStockHolderEquity;
}
fundamentals.Add(fundamental);
}
return fundamentals;
}
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 InsertFundamentals(Fundamentals fundamentals)
{
MySqlConnection sqlConnection = null;
MySqlTransaction sqlTransaction = null;
String strQuery = null;
try
{
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
sqlTransaction = sqlConnection.BeginTransaction(System.Data.IsolationLevel.ReadCommitted);
DeleteFundamentals(fundamentals, sqlConnection, sqlTransaction);
for (int index = 0; index < fundamentals.Count; index++)
{
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("values(");
sb.Append("'").Append(fundamental.Symbol).Append("'").Append(",");
sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.AsOf)).Append("'").Append(",");
if (Utility.IsEpoch(fundamental.NextEarningsDate)) sb.Append("null").Append(",");
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.Low52)) sb.Append(fundamental.Low52).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.High52)) sb.Append(fundamental.High52).Append(",");
else sb.Append("null").Append(",");
sb.Append(fundamental.Volume).Append(",");
if (!Double.IsNaN(fundamental.MarketCap)) sb.Append(fundamental.MarketCap).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.PE)) sb.Append(fundamental.PE).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.EPS)) sb.Append(fundamental.EPS).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.PEG)) sb.Append(fundamental.PEG).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.ReturnOnAssets))sb.Append(fundamental.ReturnOnAssets).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.ReturnOnEquity)) sb.Append(fundamental.ReturnOnEquity).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.TotalCash)) sb.Append(fundamental.TotalCash).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.TotalDebt)) sb.Append(fundamental.TotalDebt).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.SharesOutstanding)) sb.Append(fundamental.SharesOutstanding).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.Revenue)) sb.Append(fundamental.Revenue).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.RevenuePerShare)) sb.Append(fundamental.RevenuePerShare).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.QtrlyRevenueGrowth)) sb.Append(fundamental.QtrlyRevenueGrowth).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.GrossProfit)) sb.Append(fundamental.GrossProfit).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.EBITDA)) sb.Append(fundamental.EBITDA).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.NetIncomeAvailableToCommon)) sb.Append(fundamental.NetIncomeAvailableToCommon).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BookValuePerShare)) sb.Append(fundamental.BookValuePerShare).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.OperatingCashflow)) sb.Append(fundamental.OperatingCashflow).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.LeveragedFreeCashflow)) sb.Append(fundamental.LeveragedFreeCashflow).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.TrailingPE)) sb.Append(fundamental.TrailingPE).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.EBIT)) sb.Append(fundamental.EBIT).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.EnterpriseValue)) sb.Append(fundamental.EnterpriseValue).Append(",");
else sb.Append("null").Append(",");
if (null != fundamental.Source) sb.Append(SqlUtils.AddQuotes(fundamental.Source));
else sb.Append("null");
sb.Append(")");
strQuery = sb.ToString();
MySqlCommand sqlCommand = new MySqlCommand(strQuery, sqlConnection, sqlTransaction);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlCommand.ExecuteNonQuery();
sqlCommand.Dispose();
}
sqlTransaction.Commit();
return true;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
MDTrace.WriteLine(LogLevel.DEBUG,"Query was '"+strQuery+"'");
return false;
}
finally
{
if(null!=sqlTransaction)sqlTransaction.Dispose();
if (null != sqlConnection) sqlConnection.Close();
}
}
public static bool InsertFundamental(Fundamental fundamental)
{
MySqlConnection sqlConnection = null;
MySqlTransaction sqlTransaction = null;
String strQuery = null;
try
{
sqlConnection = SqlUtils.CreateMySqlConnection(MainDataSource.Instance.LocateDataSource("market_data"));
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("values(");
sb.Append("'").Append(fundamental.Symbol).Append("'").Append(",");
sb.Append("'").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.AsOf)).Append("'").Append(",");
if (Utility.IsEpoch(fundamental.NextEarningsDate)) sb.Append("null").Append(",");
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.Low52)) sb.Append(fundamental.Low52).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.High52)) sb.Append(fundamental.High52).Append(",");
else sb.Append("null").Append(",");
sb.Append(fundamental.Volume).Append(",");
if (!Double.IsNaN(fundamental.MarketCap)) sb.Append(fundamental.MarketCap).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.PE)) sb.Append(fundamental.PE).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.EPS)) sb.Append(fundamental.EPS).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.PEG)) sb.Append(fundamental.PEG).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.ReturnOnAssets))sb.Append(fundamental.ReturnOnAssets).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.ReturnOnEquity)) sb.Append(fundamental.ReturnOnEquity).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.TotalCash)) sb.Append(fundamental.TotalCash).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.TotalDebt)) sb.Append(fundamental.TotalDebt).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.SharesOutstanding)) sb.Append(fundamental.SharesOutstanding).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.Revenue)) sb.Append(fundamental.Revenue).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.RevenuePerShare)) sb.Append(fundamental.RevenuePerShare).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.QtrlyRevenueGrowth)) sb.Append(fundamental.QtrlyRevenueGrowth).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.GrossProfit)) sb.Append(fundamental.GrossProfit).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.EBITDA)) sb.Append(fundamental.EBITDA).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.NetIncomeAvailableToCommon)) sb.Append(fundamental.NetIncomeAvailableToCommon).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.BookValuePerShare)) sb.Append(fundamental.BookValuePerShare).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.OperatingCashflow)) sb.Append(fundamental.OperatingCashflow).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.LeveragedFreeCashflow)) sb.Append(fundamental.LeveragedFreeCashflow).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.TrailingPE)) sb.Append(fundamental.TrailingPE).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.EBIT)) sb.Append(fundamental.EBIT).Append(",");
else sb.Append("null").Append(",");
if (!Double.IsNaN(fundamental.EnterpriseValue)) sb.Append(fundamental.EnterpriseValue).Append(",");
else sb.Append("null").Append(",");
if (null != fundamental.Source) sb.Append(SqlUtils.AddQuotes(fundamental.Source));
else sb.Append("null");
sb.Append(")");
strQuery = sb.ToString();
MySqlCommand sqlCommand = new MySqlCommand(strQuery, sqlConnection, sqlTransaction);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlCommand.ExecuteNonQuery();
sqlCommand.Dispose();
sqlTransaction.Commit();
return true;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,exception);
MDTrace.WriteLine(LogLevel.DEBUG,"Query was '"+strQuery+"'");
return false;
}
finally
{
if(null!=sqlTransaction)sqlTransaction.Dispose();
if (null != sqlConnection) sqlConnection.Close();
}
}
private static bool DeleteFundamentals(Fundamentals fundamentals, MySqlConnection sqlConnection, MySqlTransaction sqlTransaction)
{
for (int index = 0; index < fundamentals.Count; index++)
{
DeleteFundamental(fundamentals[index], sqlConnection, sqlTransaction);
}
return true;
}
private static bool DeleteFundamental(Fundamental fundamental, MySqlConnection sqlConnection, MySqlTransaction sqlTransaction)
{
StringBuilder sb = new StringBuilder();
String strQuery = null;
try
{
sb.Append("delete from fundamentals where ");
sb.Append("symbol='").Append(fundamental.Symbol).Append("'");
sb.Append(" and ");
sb.Append("asof='").Append(Utility.DateTimeToStringYYYYHMMHDD(fundamental.AsOf)).Append("'");
strQuery = sb.ToString();
MySqlCommand sqlCommand = new MySqlCommand(strQuery, sqlConnection, sqlTransaction);
sqlCommand.CommandTimeout = SqlUtils.COMMAND_TIMEOUT;
sqlCommand.ExecuteNonQuery();
sqlCommand.Dispose();
return true;
}
catch (Exception exception)
{
sqlTransaction.Rollback();
MDTrace.WriteLine(LogLevel.DEBUG,exception);
if (null != strQuery) MDTrace.WriteLine(LogLevel.DEBUG,"Query was " + strQuery);
return false;
}
finally
{
}
}
}
}
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