package handlers import ( "gopkg.in/gorp.v1" "time" ) type Price struct { PriceId int64 SecurityId int64 CurrencyId int64 Date time.Time Value string // String representation of decimal price of Security in Currency units, suitable for passing to big.Rat.SetString() RemoteId string // unique ID from source, for detecting duplicates } func InsertPriceTx(transaction *gorp.Transaction, p *Price) error { err := transaction.Insert(p) if err != nil { return err } return nil } func CreatePriceIfNotExist(transaction *gorp.Transaction, price *Price) error { if len(price.RemoteId) == 0 { // Always create a new price if we can't match on the RemoteId err := InsertPriceTx(transaction, price) if err != nil { return err } return nil } var prices []*Price _, err := transaction.Select(&prices, "SELECT * from prices where SecurityId=? AND CurrencyId=? AND Date=? AND Value=?", price.SecurityId, price.CurrencyId, price.Date, price.Value) if err != nil { return err } if len(prices) > 0 { return nil // price already exists } err = InsertPriceTx(transaction, price) if err != nil { return err } return nil } // Return the latest price for security in currency units before date func GetLatestPrice(transaction *gorp.Transaction, security, currency *Security, date *time.Time) (*Price, error) { var p Price err := transaction.SelectOne(&p, "SELECT * from prices where SecurityId=? AND CurrencyId=? AND Date <= ? ORDER BY Date DESC LIMIT 1", security.SecurityId, currency.SecurityId, date) if err != nil { return nil, err } return &p, nil } // Return the earliest price for security in currency units after date func GetEarliestPrice(transaction *gorp.Transaction, security, currency *Security, date *time.Time) (*Price, error) { var p Price err := transaction.SelectOne(&p, "SELECT * from prices where SecurityId=? AND CurrencyId=? AND Date >= ? ORDER BY Date ASC LIMIT 1", security.SecurityId, currency.SecurityId, date) if err != nil { return nil, err } return &p, nil } // Return the price for security in currency closest to date func GetClosestPriceTx(transaction *gorp.Transaction, security, currency *Security, date *time.Time) (*Price, error) { earliest, _ := GetEarliestPrice(transaction, security, currency, date) latest, err := GetLatestPrice(transaction, security, currency, date) // Return early if either earliest or latest are invalid if earliest == nil { return latest, err } else if err != nil { return earliest, nil } howlate := earliest.Date.Sub(*date) howearly := date.Sub(latest.Date) if howearly < howlate { return latest, nil } else { return earliest, nil } } func GetClosestPrice(db *DB, security, currency *Security, date *time.Time) (*Price, error) { transaction, err := db.Begin() if err != nil { return nil, err } price, err := GetClosestPriceTx(transaction, security, currency, date) if err != nil { transaction.Rollback() return nil, err } err = transaction.Commit() if err != nil { transaction.Rollback() return nil, err } return price, nil }