private bool SafeDownload(string path)
{
bool result = false;
try
{
Log("Downloading quotes...");
using (DataFeedImpl impl = DataFeedImpl.Create())
{
DataFeed feed = impl.Instance;
using (DataFeedStorage storage = new DataFeedStorage(path, StorageProvider.Ntfs, 1, feed, false))
{
HistoryInfo info = storage.Online.GetQuotesInfo(m_symbol, 0);
string availbaleFrom = info.AvailableFrom.ToString(cDateTimeFormat);
string availableTo = info.AvailableTo.ToString(cDateTimeFormat);
Log("Quotes history available from = {0} to = {1}", availbaleFrom, availableTo);
DateTime startTime = m_timestamp.AddSeconds(-m_duration);
Log("Start time = {0}", startTime.ToString(cDateTimeFormat));
DateTime endTime = m_timestamp;
Log("End time = {0}", endTime.ToString(cDateTimeFormat));
this.Quotes = storage.Online.GetQuotes(m_symbol, startTime, endTime, 0);
}
}
Log("{0} quotes have been loaded", this.Quotes.Length);
result = this.Quotes.Length > 0;
}
catch (Exception ex)
{
Log(ex.Message);
}
return(result);
}
/// <summary>
/// The constructor takes snapshot from manager.
/// </summary>
/// <param name="snapshot">a snapshot instance</param>
/// <param name="storage"></param>
/// <param name="symbol"></param>
/// <param name="periodicity"></param>
/// <param name="priceType"></param>
/// <exception cref="System.ArgumentNullException">if snapshot is null</exception>
public Snapshot(Snapshot snapshot, DataFeedStorage storage, string symbol, BarPeriod periodicity, PriceType priceType)
{
if (snapshot == null)
{
throw new ArgumentNullException(nameof(snapshot));
}
if (storage == null)
{
throw new ArgumentNullException(nameof(storage));
}
this.IsFeedLoggedOn = snapshot.IsFeedLoggedOn;
this.IsTradeLoggedOn = snapshot.IsTradeLoggedOn;
this.AccountInfo = snapshot.AccountInfo;
this.FeedSessionInfo = snapshot.FeedSessionInfo;
this.TradeSessionInfo = snapshot.TradeSessionInfo;
this.TradeRecords = snapshot.TradeRecords;
this.Positions = snapshot.Positions;
this.Quotes = snapshot.Quotes;
this.Symbols = snapshot.Symbols;
this.storage = storage;
this.symbol = symbol;
this.periodicity = periodicity;
this.priceType = priceType;
this.synchronizer = snapshot.synchronizer;
}
public SymbolBarsDataSource(DataFeed dataFeed, DataFeedStorage storage, string symbol, PriceType priceType)
{
this.dataFeed = dataFeed;
this.storage = storage;
this.symbol = symbol;
this.priceType = priceType;
this.Name = symbol + (priceType == PriceType.Ask ? " (ASK)" : " (BID)");
}
void ThreadMethod()
{
try
{
var from = this.from;
var to = this.to;
this.AdjustTimes(ref from, ref to);
Directory.CreateDirectory(this.location);
var retries = 0;
using (var storage = new DataFeedStorage(this.location, this.storageType, this.dataFeed, true))
{
for (var current = from; this.continueMonitoring && (current < to);)
{
if (retries == 0)
{
this.Log("Synchronizing = {0}", current);
}
else
{
this.Log("Synchronizing = {0}; retries = {1}", current, retries);
}
var next = this.Download(storage, current);
if (current == next)
{
if (retries == this.retries)
{
break;
}
retries++;
}
else
{
retries = 0;
current = next;
this.Log("Synchronized");
}
}
this.Log("Flushing quotes storage");
}
this.Log("Quotes storage has been flushed");
}
catch (Exception ex)
{
this.Log(ex.Message);
}
this.RaiseFinish();
this.thread = null;
}
public void Dispose()
{
if (this.Feed != null)
{
this.Feed.Stop();
this.Feed.Dispose();
this.Feed = null;
}
if (this.Storage != null)
{
this.Storage.Dispose();
this.Storage = null;
}
}
public void SetupPathsAndConnect(string rootPath)
{
if (Initialized)
{
throw new InvalidOperationException("Fdk seems to be initialized for second time");
}
Initialized = true;
// create and specify log directory
string root;
if (string.IsNullOrEmpty(rootPath))
{
var assembly = Assembly.GetEntryAssembly();
root = assembly == null?Directory.GetCurrentDirectory() : assembly.Location;
root = Path.GetDirectoryName(root);
if (root == null)
{
throw new InvalidDataException("FDK assembly's directory seems to be invalid");
}
}
else
{
root = rootPath;
}
var logsPath = Path.Combine(root, "Logs\\Fix");
Directory.CreateDirectory(logsPath);
Builder.FixLogDirectory = logsPath;
Feed = new DataFeed(Builder.ToString())
{
SynchOperationTimeout = 18000
};
var storagePath = Path.Combine(root, "Storage");
Directory.CreateDirectory(storagePath);
Storage = new DataFeedStorage(storagePath, StorageProvider.Ntfs, Feed, true);
}
public StorageDataSourceProvider()
{
this.dataFeed = CreateDataFeed();
this.storage = new DataFeedStorage(Settings.Default.DataSources_FDK_StorageLocation, StorageProvider.Ntfs, this.dataFeed, flushOnDispose: true);
this.dataFeed.Start();
var symbols = this.GetSymbols();
var sources = symbols.Select(o =>
{
return(new []
{
new SymbolBarsDataSource(this.dataFeed, this.storage, o, PriceType.Bid),
new SymbolBarsDataSource(this.dataFeed, this.storage, o, PriceType.Ask)
});
});
this.DataSources = sources.SelectMany(o => o)
.ToArray();
}
void ExportBars(StreamWriter writer, DataFeedStorage storage)
{
writer.WriteLine("Time,Open,High,Low,Close,Volume");
var bars = new Bars(storage.Offline, m_symbol, PriceType.Bid, m_period, m_from, m_to);
foreach (var element in bars)
{
if (!continueMonitoring)
{
break;
}
var dateTime = element.From.ToString("yyyy.MM.dd HH:mm:ss.fff");
var stOpen = element.Open.ToString(CultureInfo.InvariantCulture);
var stHigh = element.High.ToString(CultureInfo.InvariantCulture);
var stLow = element.Low.ToString(CultureInfo.InvariantCulture);
var stClose = element.Close.ToString(CultureInfo.InvariantCulture);
var stVolume = element.Volume.ToString(CultureInfo.InvariantCulture);
writer.WriteLine("{0},{1},{2},{3},{4},{5}", dateTime, stOpen, stHigh, stLow, stClose, stVolume);
this.RaiseProgress(element.From);
}
}
protected override void OnUpdate(SingleAdviser <int> adviser)
{
lock (obj)
{
foreach (string currSymbol in listSymbols)
{
Level2 level2 = adviser.GetLevel2(currSymbol);
if (!level2.Exist || level2.HasBeenChanged)
{
continue;
}
LastTask = LastTask.ContinueWith(ant =>
{
DataFeedStorage dfs = dictKeyToStorage[GetKey(adviser.Tag, currSymbol)];
dfs.Import(level2.ToQuote().ToEnumerable(), false, true, true);
}
);
//listCodeToBankSaver[adviser.Tag].AddQuote(level2);
}
}
}
DateTime Download(DataFeedStorage storage, DateTime time)
{
try
{
var result = time + Interval;
if (this.period == null)
{
var marketDepth = includeLevel2 ? 0 : 1;
storage.Synchronize(this.symbol, time, result, marketDepth);
}
else
{
storage.Synchronize(this.symbol, this.priceType, this.period, time, result);
}
return(result);
}
catch (Exception ex)
{
this.Log("Exception = {0}", ex.Message);
Thread.Sleep(1000);
return(time);
}
}
void ExportTicks(StreamWriter writer, DataFeedStorage storage)
{
writer.WriteLine("Time,Ask,Bid,AskVolume,BidVolume");
var quotes = new QuotesSingleSequence(storage.Offline, m_symbol, m_from, m_to, 1);
var previousBidPrice = double.NaN;
var previousAskPrice = double.NaN;
foreach (var element in quotes)
{
if (!continueMonitoring)
{
break;
}
var bid = element.Bids[0];
var ask = element.Asks[0];
if (this.m_removeDuplicateEntries)
{
if (previousBidPrice == bid.Price && previousAskPrice == ask.Price)
{
continue;
}
previousBidPrice = bid.Price;
previousAskPrice = ask.Price;
}
var dateTime = element.CreatingTime.ToString("yyyy.MM.dd HH:mm:ss.fff");
var bidPrice = bid.Price.ToString(CultureInfo.InvariantCulture);
var askPrice = ask.Price.ToString(CultureInfo.InvariantCulture);
var bidVolume = (bid.Volume / m_contractSize).ToString(CultureInfo.InvariantCulture);
var askVolume = (ask.Volume / m_contractSize).ToString(CultureInfo.InvariantCulture);
writer.WriteLine("{0},{1},{2},{3},{4}", dateTime, askPrice, bidPrice, askVolume, bidVolume);
this.RaiseProgress(element.CreatingTime);
}
}
static void Main(string[] args)
{
if (args.Length == 4)
{
var location = args[0];
var symbol = args[1];
var source = args[2];
var target = args[3];
using (var storage = new DataFeedStorage(location, StorageProvider.Ntfs, null, true))
{
storage.RebuildBarsFromBars(symbol, source, target);
}
}
else
{
Console.WriteLine("Usage:");
Console.WriteLine("\tFeedRebuilder <location> <symbol> <source periodicity> <target periodicity>");
Console.WriteLine("List of supported periodicities:");
Console.WriteLine("\tS1 S10 M1 M5 M15 M30 H1 H4 D1 W1 MN1");
Console.WriteLine("Example:");
Console.WriteLine("\tFeedRebuilder C:\\Storage EURUSD M15 M30");
}
}
void ThreadMethod()
{
var status = true;
string message = null;
try
{
using (var storage = new DataFeedStorage(m_storageLocation, StorageProvider.Ntfs, null, false))
{
using (var writer = new StreamWriter(m_outputFile))
{
if (m_period != null)
{
this.ExportBars(writer, storage);
}
else
{
this.ExportTicks(writer, storage);
}
}
}
}
catch (Exception ex)
{
status = false;
message = ex.ToString();
}
var func = this.Finish;
if (func != null)
{
var e = new FinishEventArgs(status, message);
func(this, e);
}
}
