private static void UpdateContract(FuturesContract contract, Tick tick)
{
if (tick.TickType == TickType.Trade)
{
contract.LastPrice = tick.Price;
}
else if (tick.TickType == TickType.Quote)
{
if (tick.AskPrice != 0m)
{
contract.AskPrice = tick.AskPrice;
contract.AskSize = (long)tick.AskSize;
}
if (tick.BidPrice != 0m)
{
contract.BidPrice = tick.BidPrice;
contract.BidSize = (long)tick.BidSize;
}
}
else if (tick.TickType == TickType.OpenInterest)
{
if (tick.Value != 0m)
{
contract.OpenInterest = tick.Value;
}
}
}
private static void UpdateContract(FuturesContract contract, TradeBar tradeBar)
{
if (tradeBar.Close == 0m)
{
return;
}
contract.LastPrice = tradeBar.Close;
contract.Volume = (long)tradeBar.Volume;
}
public FuturesContract Get(string code)
{
FuturesContract item = new FuturesContract();
var items = GetInternal(code);
if (items != null && items.Count > 0)
{
item = items[0];
}
return(item);
}
private static void UpdateContract(FuturesContract contract, QuoteBar quote)
{
if (quote.Ask != null && quote.Ask.Close != 0m)
{
contract.AskPrice = quote.Ask.Close;
contract.AskSize = (long)quote.LastAskSize;
}
if (quote.Bid != null && quote.Bid.Close != 0m)
{
contract.BidPrice = quote.Bid.Close;
contract.BidSize = (long)quote.LastBidSize;
}
}
public int Create(FuturesContract item)
{
var dbCommand = _dbHelper.GetStoredProcCommand(SP_Create);
_dbHelper.AddInParameter(dbCommand, "@Code", System.Data.DbType.String, item.Code);
_dbHelper.AddInParameter(dbCommand, "@Name", System.Data.DbType.String, item.Name);
_dbHelper.AddInParameter(dbCommand, "@Exchange", System.Data.DbType.String, item.Exchange);
_dbHelper.AddInParameter(dbCommand, "@PriceLimits", System.Data.DbType.Decimal, item.PriceLimits);
_dbHelper.AddInParameter(dbCommand, "@Deposit", System.Data.DbType.Decimal, item.Deposit);
_dbHelper.AddInParameter(dbCommand, "@ListedDate", System.Data.DbType.DateTime, item.FirstTradingDay);
_dbHelper.AddInParameter(dbCommand, "@LastTradingDay", System.Data.DbType.DateTime, item.LastTradingDay);
_dbHelper.AddInParameter(dbCommand, "@LastDeliveryDay", System.Data.DbType.DateTime, item.LastDeliveryDay);
return(_dbHelper.ExecuteNonQuery(dbCommand));
}
public List <FuturesContract> GetInternal(string code)
{
var dbCommand = _dbHelper.GetStoredProcCommand(SP_Get);
if (!string.IsNullOrEmpty(code))
{
_dbHelper.AddInParameter(dbCommand, "@Code", System.Data.DbType.String, code);
}
List <FuturesContract> itemList = new List <FuturesContract>();
var reader = _dbHelper.ExecuteReader(dbCommand);
if (reader.HasRows)
{
while (reader.Read())
{
FuturesContract item = new FuturesContract();
item.Code = (string)reader["Code"];
item.Name = (string)reader["Name"];
item.Exchange = (string)reader["Exchange"];
item.PriceLimits = (double)(decimal)reader["PriceLimits"];
item.Deposit = (double)(decimal)reader["Deposit"];
if (reader["ListedDate"] != null && reader["ListedDate"] != DBNull.Value)
{
item.FirstTradingDay = (DateTime)reader["ListedDate"];
}
if (reader["LastTradingDay"] != DBNull.Value)
{
item.LastTradingDay = (DateTime)reader["LastTradingDay"];
}
if (reader["LastDeliveryDay"] != DBNull.Value)
{
item.LastDeliveryDay = (DateTime)reader["LastDeliveryDay"];
}
itemList.Add(item);
}
}
reader.Close();
_dbHelper.Close(dbCommand);
return(itemList);
}
private static bool HandleFuturesData(DateTime algorithmTime, BaseData baseData, FuturesChains futuresChains, Security security)
{
var symbol = baseData.Symbol;
FuturesChain chain;
var canonical = Symbol.Create(symbol.ID.Symbol, SecurityType.Future, symbol.ID.Market);
if (!futuresChains.TryGetValue(canonical, out chain))
{
chain = new FuturesChain(canonical, algorithmTime);
futuresChains[canonical] = chain;
}
var universeData = baseData as FuturesChainUniverseDataCollection;
if (universeData != null)
{
foreach (var contractSymbol in universeData.FilteredContracts)
{
chain.FilteredContracts.Add(contractSymbol);
}
return(false);
}
FuturesContract contract;
if (!chain.Contracts.TryGetValue(baseData.Symbol, out contract))
{
var underlyingSymbol = baseData.Symbol.Underlying;
contract = new FuturesContract(baseData.Symbol, underlyingSymbol)
{
Time = baseData.EndTime,
LastPrice = security.Close,
BidPrice = security.BidPrice,
BidSize = (long)security.BidSize,
AskPrice = security.AskPrice,
AskSize = (long)security.AskSize,
OpenInterest = security.OpenInterest
};
chain.Contracts[baseData.Symbol] = contract;
}
// populate ticks and tradebars dictionaries with no aux data
switch (baseData.DataType)
{
case MarketDataType.Tick:
var tick = (Tick)baseData;
chain.Ticks.Add(tick.Symbol, tick);
UpdateContract(contract, tick);
break;
case MarketDataType.TradeBar:
var tradeBar = (TradeBar)baseData;
chain.TradeBars[symbol] = tradeBar;
contract.LastPrice = tradeBar.Close;
break;
case MarketDataType.QuoteBar:
var quote = (QuoteBar)baseData;
chain.QuoteBars[symbol] = quote;
UpdateContract(contract, quote);
break;
case MarketDataType.Base:
chain.AddAuxData(baseData);
break;
}
return(true);
}
