125 lines
4.2 KiB
C#
125 lines
4.2 KiB
C#
using Backend.MarketDataRequest;
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using Npgsql;
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namespace Backend.DatabaseHandler
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{
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public sealed class PostgresHistoricalMarketDataCache : IHistoricalMarketDataCache
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{
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private readonly string _connectionString;
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public PostgresHistoricalMarketDataCache(IConfiguration configuration)
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{
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_connectionString = configuration.GetConnectionString("MarketDataDb")
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?? throw new InvalidOperationException("Missing connection string: MarketDataDb");
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}
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public async Task<List<HistoricalBarRecord>> GetBarsAsync(
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string symbol,
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HistoricalBarSize barSize,
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HistoricalWhatToShow whatToShow,
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bool useRth,
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DateTime startUtc,
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DateTime endUtc,
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CancellationToken cancellationToken = default)
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{
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var results = new List<HistoricalBarRecord>();
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await using var conn = new NpgsqlConnection(_connectionString);
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await conn.OpenAsync(cancellationToken);
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const string sql = """
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SELECT symbol, bar_size, what_to_show, use_rth, timestamp_utc,
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open, high, low, close, volume
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FROM historical_equity_bars
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WHERE symbol = @symbol
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AND bar_size = @bar_size
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AND what_to_show = @what_to_show
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AND use_rth = @use_rth
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AND timestamp_utc >= @start_utc
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AND timestamp_utc <= @end_utc
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ORDER BY timestamp_utc ASC;
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""";
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await using var cmd = new NpgsqlCommand(sql, conn);
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cmd.Parameters.AddWithValue("symbol", symbol);
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cmd.Parameters.AddWithValue("bar_size", barSize.ToIbString());
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cmd.Parameters.AddWithValue("what_to_show", whatToShow.ToIbString());
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cmd.Parameters.AddWithValue("use_rth", useRth);
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cmd.Parameters.AddWithValue("start_utc", startUtc);
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cmd.Parameters.AddWithValue("end_utc", endUtc);
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await using var reader = await cmd.ExecuteReaderAsync(cancellationToken);
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while (await reader.ReadAsync(cancellationToken))
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{
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results.Add(new HistoricalBarRecord
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{
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Symbol = reader.GetString(0),
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BarSize = reader.GetString(1),
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WhatToShow = reader.GetString(2),
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UseRth = reader.GetBoolean(3),
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TimestampUtc = reader.GetDateTime(4),
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Open = reader.GetDouble(5),
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High = reader.GetDouble(6),
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Low = reader.GetDouble(7),
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Close = reader.GetDouble(8),
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Volume = reader.GetInt64(9)
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});
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}
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return results;
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}
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public async Task UpsertBarsAsync(
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IEnumerable<HistoricalBarRecord> bars,
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CancellationToken cancellationToken = default)
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{
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var barList = bars.ToList();
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if (barList.Count == 0)
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return;
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await using var conn = new NpgsqlConnection(_connectionString);
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await conn.OpenAsync(cancellationToken);
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await using var tx = await conn.BeginTransactionAsync(cancellationToken);
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const string sql = """
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INSERT INTO historical_equity_bars
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(
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symbol, bar_size, what_to_show, use_rth, timestamp_utc,
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open, high, low, close, volume
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)
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VALUES
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(
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@symbol, @bar_size, @what_to_show, @use_rth, @timestamp_utc,
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@open, @high, @low, @close, @volume
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)
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ON CONFLICT (symbol, bar_size, what_to_show, use_rth, timestamp_utc)
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DO UPDATE SET
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open = EXCLUDED.open,
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high = EXCLUDED.high,
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low = EXCLUDED.low,
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close = EXCLUDED.close,
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volume = EXCLUDED.volume;
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""";
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foreach (var bar in barList)
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{
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await using var cmd = new NpgsqlCommand(sql, conn, tx);
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cmd.Parameters.AddWithValue("symbol", bar.Symbol);
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cmd.Parameters.AddWithValue("bar_size", bar.BarSize);
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cmd.Parameters.AddWithValue("what_to_show", bar.WhatToShow);
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cmd.Parameters.AddWithValue("use_rth", bar.UseRth);
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cmd.Parameters.AddWithValue("timestamp_utc", bar.TimestampUtc);
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cmd.Parameters.AddWithValue("open", bar.Open);
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cmd.Parameters.AddWithValue("high", bar.High);
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cmd.Parameters.AddWithValue("low", bar.Low);
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cmd.Parameters.AddWithValue("close", bar.Close);
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cmd.Parameters.AddWithValue("volume", bar.Volume);
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await cmd.ExecuteNonQueryAsync(cancellationToken);
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}
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await tx.CommitAsync(cancellationToken);
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}
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}
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} |