public QuoteSeries GetHistoricalQuotes(IHistoricalDataProvider provider, Instrument instrument, DateTime datetime1, DateTime datetime2)
{
if (provider.IsDisconnected)
{
provider.Connect();
}
DataNotifier @class = new DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
this.dictionary_0.Add(text, @class);
provider.Send(new HistoricalDataRequest(instrument, datetime1, datetime2, DataObjectType.Quote)
{
RequestId = text
});
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
this.dictionary_0.Remove(text);
var qs = new QuoteSeries("");
foreach (var data in @class.Data)
{
var objs = data.Objects;
for (int i = 0; i < objs.Length; i++)
{
qs.Add((Quote)objs[i]);
}
}
return(qs);
}
public HistoricalDataEventArgs(string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength) : base()
{
this.RequestId = requestId;
this.Instrument = instrument;
this.Provider = provider;
this.DataLength = dataLength;
}
public void SetProvider(IHistoricalDataProvider provider)
{
this.tlNlxfyMLv = provider;
foreach (HistoricalDataType historicalDataType in Enum.GetValues(typeof(HistoricalDataType)))
{
if ((provider.DataType & historicalDataType) == historicalDataType)
{
this.j4UkPEuPyL.Items.Add((object)historicalDataType);
}
}
if (provider.BarSizes.Length == 0)
{
this.UkjlhoxVlP.DropDownStyle = ComboBoxStyle.Simple;
}
else
{
this.UkjlhoxVlP.DropDownStyle = ComboBoxStyle.DropDownList;
List <int> list = new List <int>((IEnumerable <int>)provider.BarSizes);
list.Sort();
foreach (int num in list)
{
this.UkjlhoxVlP.Items.Add((object)num);
}
}
this.ItskcDWUqc.Minimum = 1;
this.ItskcDWUqc.Value = 1;
this.ItskcDWUqc.Maximum = provider.MaxConcurrentRequests != -1 ? provider.MaxConcurrentRequests : 5;
this.HV3kzfxOak.Text = this.ItskcDWUqc.Value.ToString();
this.Text = string.Format(RNaihRhYEl0wUmAftnB.aYu7exFQKN(20846), (object)provider.Name);
}
public HistoricalDataEventArgs(string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength) : base()
{
this.RequestId = requestId;
this.Instrument = instrument;
this.Provider = provider;
this.DataLength = dataLength;
}
public void SetProvider(IHistoricalDataProvider provider)
{
this.provider = provider;
foreach (HistoricalDataType historicalDataType in Enum.GetValues(typeof(HistoricalDataType)))
{
if ((int)(byte)(provider.DataType & historicalDataType) == (byte)historicalDataType)
{
this.cbxDataTypes.Items.Add(historicalDataType);
}
}
List <long> list = new List <long>();
if (provider.BarSizes.Length == 0)
{
list.Add(1L);
list.Add(2L);
list.Add(3L);
list.Add(5L);
list.Add(10L);
list.Add(15L);
list.Add(20L);
list.Add(30L);
list.Add(60L);
list.Add(120L);
list.Add(180L);
list.Add(300L);
list.Add(600L);
list.Add(900L);
list.Add(1200L);
list.Add(1800L);
list.Add(3600L);
list.Add(7200L);
list.Add(10800L);
list.Add(21600L);
}
else
{
foreach (long num in provider.BarSizes)
{
list.Add(num);
}
}
list.Sort();
foreach (long barSize in list)
{
this.cbxBarSize.Items.Add(new BarSizeItem(barSize));
}
this.trbMaxRequests.Minimum = 1;
this.trbMaxRequests.Value = 1;
this.trbMaxRequests.Maximum = provider.MaxConcurrentRequests != -1 ? provider.MaxConcurrentRequests : 5;
this.tbxMaxRequests.Text = this.trbMaxRequests.Value.ToString();
this.Text = string.Format("Download Historical Data - {0}", provider.Name);
if (this.cbxDataTypes.Items.Count <= 0)
{
return;
}
this.cbxDataTypes.SelectedIndex = 0;
}
public static QuoteArray GetHistoricalQuotes(IHistoricalDataProvider provider, Instrument instrument, DateTime datetime1, DateTime datetime2)
{
ArrayList arrayList = DataManager.r6ZT8iFUv(provider, instrument, DataManager.EDataSeries.Quote, datetime1, datetime2, -1L);
QuoteArray quoteArray = new QuoteArray();
foreach (Quote quote in arrayList)
{
quoteArray.Add(quote);
}
return(quoteArray);
}
public static TradeArray GetHistoricalTrades(IHistoricalDataProvider provider, Instrument instrument, DateTime datetime1, DateTime datetime2)
{
ArrayList arrayList = DataManager.r6ZT8iFUv(provider, instrument, DataManager.EDataSeries.Trade, datetime1, datetime2, -1L);
TradeArray tradeArray = new TradeArray();
foreach (Trade trade in arrayList)
{
tradeArray.Add(trade);
}
return(tradeArray);
}
public static DailySeries GetHistoricalDailies(IHistoricalDataProvider provider, Instrument instrument, DateTime date1, DateTime date2)
{
ArrayList arrayList = DataManager.r6ZT8iFUv(provider, instrument, DataManager.EDataSeries.Daily, date1, date2, -1L);
DailySeries dailySeries = new DailySeries();
foreach (Daily daily in arrayList)
{
dailySeries.Add(daily);
}
return(dailySeries);
}
public static BarSeries GetHistoricalBars(IHistoricalDataProvider provider, Instrument instrument, DateTime datetime1, DateTime datetime2, long barSize)
{
ArrayList arrayList = DataManager.r6ZT8iFUv(provider, instrument, DataManager.EDataSeries.Bar, datetime1, datetime2, barSize);
BarSeries barSeries = new BarSeries();
foreach (Bar bar in arrayList)
{
barSeries.Add(bar);
}
return(barSeries);
}
public static BarSeries GetHistoricalBars(string provider, Instrument instrument, DateTime begin, DateTime end, int size)
{
BarSeries barSeries = new BarSeries();
if (FreeQuant.Providers.ProviderManager.HistoricalDataProviders.Contains(provider))
{
IHistoricalDataProvider provider1 = FreeQuant.Providers.ProviderManager.HistoricalDataProviders[provider];
foreach (FreeQuant.Data.Bar bar in size != 86400 ? (FreeQuant.Series.TimeSeries)FreeQuant.Instruments.DataManager.GetHistoricalBars(provider1, instrument.instrument, begin, end, (long)size) : (FreeQuant.Series.TimeSeries)FreeQuant.Instruments.DataManager.GetHistoricalDailies(provider1, instrument.instrument, begin, end))
{
barSeries.series.Add(bar);
}
}
return(barSeries);
}
public TickSeries GetHistoricalTicks(IHistoricalDataProvider provider, TickType type, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
if (provider.IsDisconnected)
{
provider.Connect();
}
DataNotifier @class = new DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(text, @class);
}
HistoricalDataRequest request = null;
switch (type)
{
case TickType.Bid:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Bid);
break;
case TickType.Ask:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Ask);
break;
case TickType.Trade:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Trade);
break;
}
request.RequestId = text;
provider.Send(request);
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(text);
}
var ts = new TickSeries("", "");
foreach (var data in @class.Data)
{
var objs = data.Objects;
foreach (var tick in objs)
{
ts.Add((Tick)tick);
}
}
return(ts);
}
public ImportHistoricalDataWidget(string providerName)
{
this.Build();
this.instruments = new HashSet <Instrument>();
// this.taskItems = new Dictionary<string, ImportTaskViewItem>();
this.requests = new List <HistoricalDataRequest>();
this.workingRequests = new HashSet <string>();
this.lastQuotes = new Dictionary <string, Quote>();
var f = Framework.Current;
this.provider = f.ProviderManager.GetProvider(providerName) as IHistoricalDataProvider;
f.EventManager.Dispatcher.HistoricalData += new HistoricalDataEventHandler(this.OnHistoricalData);
f.EventManager.Dispatcher.HistoricalDataEnd += new HistoricalDataEndEventHandler(this.OnHistoricalDataEnd);
}
private static ArrayList r6ZT8iFUv(IHistoricalDataProvider provider, Instrument instrument, DataManager.EDataSeries dataType, DateTime beginDate, DateTime endDate, long barSize)
{
if (provider == null)
{
throw new ArgumentNullException("Provider is null");
}
if (instrument == null)
{
throw new ArgumentNullException("Instrument is null");
}
if (!provider.IsConnected)
{
provider.Connect(10000);
if (!provider.IsConnected)
{
throw new InvalidOperationException("Provider cannot make a connection");
}
}
HistoricalDataRequest request = new HistoricalDataRequest();
request.Instrument = instrument;
switch (dataType)
{
case DataManager.EDataSeries.Daily:
request.DataType = HistoricalDataType.Daily;
break;
case DataManager.EDataSeries.Trade:
request.DataType = HistoricalDataType.Trade;
break;
case DataManager.EDataSeries.Quote:
request.DataType = HistoricalDataType.Quote;
break;
case DataManager.EDataSeries.Bar:
request.DataType = HistoricalDataType.Bar;
request.BarSize = barSize;
break;
}
request.BeginDate = beginDate;
request.EndDate = endDate;
return(new HistoricalDataGetter(provider, request).GetData());
}
public TickSeries GetHistoricalTrades(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
HistoricalDataRequest request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, 4);
provider.Send(request);
this.handle = new ManualResetEventSlim(false);
this.handle.Wait();
TickSeries tickSeries = new TickSeries("");
if (this.historicalData != null)
{
foreach (HistoricalData current in this.historicalData)
{
DataObject[] objects = current.Objects;
for (int i = 0; i < objects.Length; i++)
{
DataObject dataObject = objects[i];
tickSeries.Add((Trade)dataObject);
}
}
}
this.historicalData = null;
return tickSeries;
}
public static BarSeries GetHistoricalBars(string provider, Instrument instrument, DateTime begin, DateTime end, int size)
{
BarSeries barSeries = new BarSeries();
if (SmartQuant.Providers.ProviderManager.HistoricalDataProviders.Contains(provider))
{
IHistoricalDataProvider provider2 = SmartQuant.Providers.ProviderManager.HistoricalDataProviders[provider];
SmartQuant.Series.BarSeries barSeries2;
if (size == 86400)
{
barSeries2 = SmartQuant.Instruments.DataManager.GetHistoricalDailies(provider2, instrument.instrument, begin, end);
}
else
{
barSeries2 = SmartQuant.Instruments.DataManager.GetHistoricalBars(provider2, instrument.instrument, begin, end, (long)size);
}
foreach (SmartQuant.Data.Bar bar in barSeries2)
{
barSeries.series.Add(bar);
}
}
return(barSeries);
}
public BarSeries GetHistoricalBars(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2, BarType barType, long barSize)
{
if (provider.IsDisconnected)
{
provider.Connect();
}
DataManager.DataNotifier @class = new DataManager.DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(text, @class);
}
provider.Send(new HistoricalDataRequest(instrument, dateTime1, dateTime2, 6)
{
RequestId = text,
BarType = new BarType?(barType),
BarSize = new long?(barSize)
});
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(text);
}
var bs = new BarSeries("", "", -1, -1);
foreach (var data in @class.Data)
{
var objs = data.Objects;
for (int i = 0; i < objs.Length; i++)
{
bs.Add((Bar)objs[i]);
}
}
return(bs);
}
public List <Fundamental> GetHistoricalFundamentals(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
if (provider.IsDisconnected)
{
provider.Connect();
}
var @class = new DataNotifier();
var guid = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(guid, @class);
}
provider.Send(new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Fundamental)
{
RequestId = guid
});
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(guid);
}
return(@class.Data.SelectMany(current => current.Objects).Cast <Fundamental>().ToList());
}
public TickSeries GetHistoricalTrades(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
HistoricalDataRequest request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, 4);
provider.Send(request);
this.handle = new ManualResetEventSlim(false);
this.handle.Wait();
TickSeries tickSeries = new TickSeries("");
if (this.historicalData != null)
{
foreach (HistoricalData current in this.historicalData)
{
DataObject[] objects = current.Objects;
for (int i = 0; i < objects.Length; i++)
{
DataObject dataObject = objects[i];
tickSeries.Add((Trade)dataObject);
}
}
}
this.historicalData = null;
return(tickSeries);
}
public HistoricalDataErrorEventArgs(string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength, string message)
: base(requestId, instrument, provider, dataLength)
{
this.Message = message;
}
public HistoricalDataGetter(IHistoricalDataProvider provider, HistoricalDataRequest request)
{
this.provider = provider;
this.request = request;
}
public HistoricalBarEventArgs(Bar bar, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength) : base(requestId, instrument, provider, dataLength)
{
this.Bar = bar;
}
public HistoricalDataGetter(IHistoricalDataProvider provider, HistoricalDataRequest request)
{
this.provider = provider;
this.request = request;
}
public HistoricalQuoteEventArgs(Quote quote, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength)
: base(requestId, instrument, provider, dataLength)
{
this.Quote = quote;
}
public static async Task <IEnumerable <DataLoadResult> > GetData(this IHistoricalDataProvider provider, MarketSeriesBase series, DateTime?startDate, DateTime endDate, bool cacheOnly = false, bool writeCache = true, TimeSpan?maxOutOfDate = null, int totalDesiredBars = 0, bool forceRetrieve = false, bool forceReretrieveEmptyData = false, CancellationToken?cancellationToken = null)
{
logger.LogTrace($"[GetData] {series} {startDate} - {endDate}");
await series.DataLock.WaitAsync().ConfigureAwait(false);
try
{
if (!startDate.HasValue)
{
startDate = endDate;
}
if (!maxOutOfDate.HasValue)
{
maxOutOfDate = HistoricalDataUtils.GetDefaultMaxOutOfDate(series);
}
List <DataLoadResult> results = new List <DataLoadResult>();
DateTime nextChunkDate;
if (series.HasAccount && series.Account.IsBacktesting)
{
nextChunkDate = DateTime.FromBinary(Math.Min(series.Account.BacktestEndDate.ToBinary(), series.OpenTime.First().ToBinary()));
}
else
{
if (cacheOnly)
{
nextChunkDate = endDate;
if (nextChunkDate == default(DateTime))
{
nextChunkDate = startDate.Value;
}
}
else
{
nextChunkDate = DateTime.UtcNow + TimeSpan.FromMinutes(1);
}
}
DataLoadResult dataLoadResult = null;
int giveUpAfterNoData = GetGiveUpAfterNoData(series.TimeFrame);
do
{
if (nextChunkDate == default(DateTime))
{
break;
}
DateTime chunkStart;
DateTime chunkEnd;
HistoricalDataCacheFile.GetChunkRange(series.TimeFrame, nextChunkDate, out chunkStart, out chunkEnd);
dataLoadResult = await provider.GetDataForChunk(series, chunkStart, chunkEnd, cacheOnly, writeCache, forceReretrieveEmptyData : forceReretrieveEmptyData, cancellationToken : cancellationToken).ConfigureAwait(false);
results.Add(dataLoadResult);
nextChunkDate = chunkStart - TimeSpan.FromMinutes(1);
if (!dataLoadResult.IsAvailable)
{
giveUpAfterNoData--;
}
else
{
giveUpAfterNoData = GetGiveUpAfterNoData(series.TimeFrame);
}
//Debug.WriteLine($"[data {series}] {dataLoadResult}" + (cacheOnly?" (CACHE ONLY)":""));
} while (giveUpAfterNoData > 0 &&
((nextChunkDate != default(DateTime) && nextChunkDate > startDate.Value) ||
series.Count < totalDesiredBars)
);
return(results);
}
finally
{
series.DataLock.Release();
}
}
protected override void OnInit()
{
this.provider = (IHistoricalDataProvider)this.args[0];
this.framework.EventManager.Dispatcher.HistoricalData += new HistoricalDataEventHandler(this.Dispatcher_HistoricalData);
this.framework.EventManager.Dispatcher.HistoricalDataEnd += new HistoricalDataEndEventHandler(this.Dispatcher_HistoricalDataEnd);
}
public TickSeries GetHistoricalTrades(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2) => GetHistoricalTicks(provider, TickType.Trade, instrument, dateTime1, dateTime2);
public QuoteSeries GetHistoricalQuotes(IHistoricalDataProvider provider, Instrument instrument) => GetHistoricalQuotes(provider, instrument, DateTime.MinValue, DateTime.MaxValue);
public List<Fundamental> GetHistoricalFundamentals(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
if (provider.IsDisconnected)
{
provider.Connect();
}
var @class = new DataNotifier();
var guid = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(guid, @class);
}
provider.Send(new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Fundamental)
{
RequestId = guid
});
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(guid);
}
return @class.Data.SelectMany(current => current.Objects).Cast<Fundamental>().ToList();
}
public TickSeries GetHistoricalTicks(IHistoricalDataProvider provider, TickType type, Instrument instrument, DateTime dateTime1, DateTime dateTime2)
{
if (provider.IsDisconnected)
provider.Connect();
DataNotifier @class = new DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(text, @class);
}
HistoricalDataRequest request = null;
switch (type)
{
case TickType.Bid:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Bid);
break;
case TickType.Ask:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Ask);
break;
case TickType.Trade:
request = new HistoricalDataRequest(instrument, dateTime1, dateTime2, DataObjectType.Trade);
break;
}
request.RequestId = text;
provider.Send(request);
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(text);
}
var ts = new TickSeries("", "");
foreach (var data in @class.Data)
{
var objs = data.Objects;
foreach (var tick in objs)
ts.Add((Tick)tick);
}
return ts;
}
protected override void OnInit()
{
this.provider = (IHistoricalDataProvider) this.args[0];
this.framework.EventManager.Dispatcher.HistoricalData += new HistoricalDataEventHandler(this.Dispatcher_HistoricalData);
this.framework.EventManager.Dispatcher.HistoricalDataEnd += new HistoricalDataEndEventHandler(this.Dispatcher_HistoricalDataEnd);
}
public HistoricalMarketDepthEventArgs(MarketDepth marketDepth, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength)
: base(requestId, instrument, provider, dataLength)
{
this.MarketDepth = marketDepth;
}
private static ArrayList r6ZT8iFUv(IHistoricalDataProvider provider, Instrument instrument, DataManager.EDataSeries dataType, DateTime beginDate, DateTime endDate, long barSize)
{
if (provider == null)
throw new ArgumentNullException("Provider is null");
if (instrument == null)
throw new ArgumentNullException("Instrument is null");
if (!provider.IsConnected)
{
provider.Connect(10000);
if (!provider.IsConnected)
throw new InvalidOperationException("Provider cannot make a connection");
}
HistoricalDataRequest request = new HistoricalDataRequest();
request.Instrument = instrument;
switch (dataType)
{
case DataManager.EDataSeries.Daily:
request.DataType = HistoricalDataType.Daily;
break;
case DataManager.EDataSeries.Trade:
request.DataType = HistoricalDataType.Trade;
break;
case DataManager.EDataSeries.Quote:
request.DataType = HistoricalDataType.Quote;
break;
case DataManager.EDataSeries.Bar:
request.DataType = HistoricalDataType.Bar;
request.BarSize = barSize;
break;
}
request.BeginDate = beginDate;
request.EndDate = endDate;
return new HistoricalDataGetter(provider, request).GetData();
}
public HistoricalBarEventArgs(Bar bar, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength) : base(requestId, instrument, provider, dataLength)
{
this.Bar = bar;
}
public HistoricalQuoteEventArgs(Quote quote, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength)
: base(requestId, instrument, provider, dataLength)
{
this.Quote = quote;
}
/// <summary>
/// Load data from cache if available, or else retrieve from source.
/// </summary>
/// <param name="provider"></param>
/// <param name="series"></param>
/// <param name="chunkStart"></param>
/// <param name="chunkEnd"></param>
/// <param name="cacheOnly"></param>
/// <param name="writeCache">If true, write any retrieved data to cache</param>
/// <param name="maxOutOfDate"></param>
/// <param name="forceRetrieve"></param>
/// <param name="cancellationToken"></param>
/// <returns></returns>
public static async Task <DataLoadResult> GetDataForChunk(this IHistoricalDataProvider provider, MarketSeriesBase series, DateTime chunkStart, DateTime chunkEnd, bool cacheOnly = false, bool writeCache = true, TimeSpan?maxOutOfDate = null, bool forceRetrieve = false, bool forceReretrieveEmptyData = false, CancellationToken?cancellationToken = null)
{
logger.LogTrace($"[GetDataForChunk] {series} {chunkStart}");
if (!maxOutOfDate.HasValue)
{
maxOutOfDate = HistoricalDataUtils.GetDefaultMaxOutOfDate(series);
}
if (chunkStart >= series.DataStartDate && chunkEnd <= series.DataEndDate)
{
var chunkEndPastLast = chunkEnd - series.OpenTime.LastValue;
if (chunkEndPastLast <= TimeSpan.Zero)
{
//logger.LogTrace($"[{series}] Already contains data for {chunkStart} - {chunkEnd}");
return(DataLoadResult.AlreadyLoaded);
}
var nowPastLast = DateTime.UtcNow - series.OpenTime.LastValue;
if (!forceRetrieve && nowPastLast < maxOutOfDate)
{
//logger.LogTrace($"[{series}] Already contains data for {chunkStart} - {chunkEnd} (Only slightly out of date: {nowPastLast})");
return(DataLoadResult.AlreadyLoaded);
}
}
var cacheFile = await HistoricalDataCacheFile.GetCacheFile(series, chunkStart).ConfigureAwait(false);
DataLoadResult result = cacheFile.DataLoadResult;
bool isUpToDateAfterClose = series.CloseTime.HasValue && cacheFile.QueryDate > series.CloseTime.Value;
if (!forceRetrieve && (!forceReretrieveEmptyData || !cacheFile.EmptyData) && cacheFile.IsPersisted && (isUpToDateAfterClose || cacheFile.OutOfDateTimeSpan < maxOutOfDate.Value)
//&& (chunkEnd > DateTime.UtcNow || !result.IsPartial)
)
{
//Debug.WriteLine($"[cache available {series}] Chunk {chunkStart}");
if (!cacheOnly)
{
if (result.Bars == null)
{
result.Bars = new List <TimedBar>();
}
ImportData(series, result);
//if (series is MarketSeries) // TOC#7 OLD
//{
// var s = series as MarketSeries;
// if (s != null) { s.Add(cacheFile.Bars, result.StartDate, result.EndDate); }
//}
//else if (series is MarketSeries) // TOC#7
//{
// var s = series as MarketTickSeries;
// if (s != null) { s.Add(cacheFile.Ticks, result.StartDate, result.EndDate); }
//}
}
}
else
{
var str = forceRetrieve ? "FORCE RETRIEVE" : (forceReretrieveEmptyData && cacheFile.EmptyData) ? "RERETRIEVE EMPTY DATA" : "CACHE MISS";
logger.LogInformation($"[{series} {str}] Retrieving chunk {chunkStart} ");
#if DEBUG
logger.LogTrace($"<<<cache debug>>> cacheFile.IsPersisted {cacheFile.IsPersisted}, isUpToDateAfterClose {isUpToDateAfterClose}, cacheFile.OutOfDateTimeSpan < maxOutOfDate.Value {cacheFile.OutOfDateTimeSpan < maxOutOfDate.Value} ");
#endif
var loader = new object();
try
{
series.OnLoadingStarted(loader);
result = await provider.RetrieveDataForChunk(series, chunkStart, cacheOnly, writeCache, cancellationToken : cancellationToken).ConfigureAwait(false);
if (result.Faulted)
{
throw new Exception("Retrieve data for chunk failed");
}
//if (LinkWithAccountData && Account != null && ResultBars.Count > 0)
if (!cacheOnly)
{
ImportData(series, result);
}
}
finally
{
series.OnLoadingFinished(loader);
}
if (writeCache)
{
if (!result.Faulted)
{
//UpdateProgress(0.98, "Writing data into cache"); // FUTURE: Async?
TaskManager.OnFireAndForget(HistoricalDataCacheFile.SaveCacheFile(result), name: $"Save cache for {series.SymbolCode} from {chunkStart} - {chunkEnd}");
}
}
else
{
logger.LogTrace("WRITECACHE OFF");
}
}
return(result);
}
public void SetProvider(IHistoricalDataProvider provider)
{
this.tlNlxfyMLv = provider;
foreach (HistoricalDataType historicalDataType in Enum.GetValues(typeof (HistoricalDataType)))
{
if ((provider.DataType & historicalDataType) == historicalDataType)
this.j4UkPEuPyL.Items.Add((object) historicalDataType);
}
if (provider.BarSizes.Length == 0)
{
this.UkjlhoxVlP.DropDownStyle = ComboBoxStyle.Simple;
}
else
{
this.UkjlhoxVlP.DropDownStyle = ComboBoxStyle.DropDownList;
List<int> list = new List<int>((IEnumerable<int>) provider.BarSizes);
list.Sort();
foreach (int num in list)
this.UkjlhoxVlP.Items.Add((object) num);
}
this.ItskcDWUqc.Minimum = 1;
this.ItskcDWUqc.Value = 1;
this.ItskcDWUqc.Maximum = provider.MaxConcurrentRequests != -1 ? provider.MaxConcurrentRequests : 5;
this.HV3kzfxOak.Text = this.ItskcDWUqc.Value.ToString();
this.Text = string.Format(RNaihRhYEl0wUmAftnB.aYu7exFQKN(20846), (object) provider.Name);
}
public HistoricalMarketDepthEventArgs(MarketDepth marketDepth, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength)
: base(requestId, instrument, provider, dataLength)
{
this.MarketDepth = marketDepth;
}
internal HistoricalDataProvider(IHistoricalDataProvider provider) : base(provider)
{
}
internal HistoricalDataProvider(IHistoricalDataProvider provider)
: base((IProvider)provider)
{
}
public HistoricalTradeEventArgs(Trade trade, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength)
: base(requestId, instrument, provider, dataLength)
{
this.Trade = trade;
}
public TickSeries GetHistoricalTrades(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2) => GetHistoricalTicks(provider, TickType.Trade, instrument, dateTime1, dateTime2);
public HistoricalDataErrorEventArgs(string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength, string message)
: base(requestId, instrument, provider, dataLength)
{
this.Message = message;
}
public static BarSeries GetHistoricalBars(IHistoricalDataProvider provider, Instrument instrument, DateTime datetime1, DateTime datetime2, long barSize)
{
ArrayList arrayList = DataManager.r6ZT8iFUv(provider, instrument, DataManager.EDataSeries.Bar, datetime1, datetime2, barSize);
BarSeries barSeries = new BarSeries();
foreach (Bar bar in arrayList)
barSeries.Add(bar);
return barSeries;
}
public static TradeArray GetHistoricalTrades(IHistoricalDataProvider provider, Instrument instrument, DateTime datetime1, DateTime datetime2)
{
ArrayList arrayList = DataManager.r6ZT8iFUv(provider, instrument, DataManager.EDataSeries.Trade, datetime1, datetime2, -1L);
TradeArray tradeArray = new TradeArray();
foreach (Trade trade in arrayList)
tradeArray.Add(trade);
return tradeArray;
}
public BarSeries GetHistoricalBars(IHistoricalDataProvider provider, Instrument instrument, DateTime dateTime1, DateTime dateTime2, BarType barType, long barSize)
{
if (provider.IsDisconnected)
provider.Connect();
DataManager.DataNotifier @class = new DataManager.DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
{
this.dictionary_0.Add(text, @class);
}
provider.Send(new HistoricalDataRequest(instrument, dateTime1, dateTime2, 6)
{
RequestId = text,
BarType = new BarType?(barType),
BarSize = new long?(barSize)
});
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
{
this.dictionary_0.Remove(text);
}
var bs = new BarSeries("", "", -1, -1);
foreach (var data in @class.Data)
{
var objs = data.Objects;
for (int i = 0; i < objs.Length; i++)
bs.Add((Bar)objs[i]);
}
return bs;
}
public void SetProvider(IHistoricalDataProvider provider)
{
this.provider = provider;
foreach (HistoricalDataType historicalDataType in Enum.GetValues(typeof (HistoricalDataType)))
{
if ((int) (byte) (provider.DataType & historicalDataType) == (byte)historicalDataType)
this.cbxDataTypes.Items.Add(historicalDataType);
}
List<long> list = new List<long>();
if (provider.BarSizes.Length == 0)
{
list.Add(1L);
list.Add(2L);
list.Add(3L);
list.Add(5L);
list.Add(10L);
list.Add(15L);
list.Add(20L);
list.Add(30L);
list.Add(60L);
list.Add(120L);
list.Add(180L);
list.Add(300L);
list.Add(600L);
list.Add(900L);
list.Add(1200L);
list.Add(1800L);
list.Add(3600L);
list.Add(7200L);
list.Add(10800L);
list.Add(21600L);
}
else
{
foreach (long num in provider.BarSizes)
list.Add(num);
}
list.Sort();
foreach (long barSize in list)
this.cbxBarSize.Items.Add(new BarSizeItem(barSize));
this.trbMaxRequests.Minimum = 1;
this.trbMaxRequests.Value = 1;
this.trbMaxRequests.Maximum = provider.MaxConcurrentRequests != -1 ? provider.MaxConcurrentRequests : 5;
this.tbxMaxRequests.Text = this.trbMaxRequests.Value.ToString();
this.Text = string.Format("Download Historical Data - {0}", provider.Name);
if (this.cbxDataTypes.Items.Count <= 0)
return;
this.cbxDataTypes.SelectedIndex = 0;
}
public static DailySeries GetHistoricalDailies(IHistoricalDataProvider provider, Instrument instrument, DateTime date1, DateTime date2)
{
ArrayList arrayList = DataManager.r6ZT8iFUv(provider, instrument, DataManager.EDataSeries.Daily, date1, date2, -1L);
DailySeries dailySeries = new DailySeries();
foreach (Daily daily in arrayList)
dailySeries.Add(daily);
return dailySeries;
}
public QuoteSeries GetHistoricalQuotes(IHistoricalDataProvider provider, Instrument instrument) => GetHistoricalQuotes(provider, instrument, DateTime.MinValue, DateTime.MaxValue);
public static QuoteArray GetHistoricalQuotes(IHistoricalDataProvider provider, Instrument instrument, DateTime datetime1, DateTime datetime2)
{
ArrayList arrayList = DataManager.r6ZT8iFUv(provider, instrument, DataManager.EDataSeries.Quote, datetime1, datetime2, -1L);
QuoteArray quoteArray = new QuoteArray();
foreach (Quote quote in arrayList)
quoteArray.Add(quote);
return quoteArray;
}
public QuoteSeries GetHistoricalQuotes(IHistoricalDataProvider provider, Instrument instrument, DateTime datetime1, DateTime datetime2)
{
if (provider.IsDisconnected)
provider.Connect();
DataNotifier @class = new DataNotifier();
string text = Guid.NewGuid().ToString();
lock (this.dictionary_0)
this.dictionary_0.Add(text, @class);
provider.Send(new HistoricalDataRequest(instrument, datetime1, datetime2, DataObjectType.Quote) { RequestId = text });
@class.ReadyEvent.WaitOne();
lock (this.dictionary_0)
this.dictionary_0.Remove(text);
var qs = new QuoteSeries("");
foreach (var data in @class.Data)
{
var objs = data.Objects;
for (int i = 0; i < objs.Length; i++)
qs.Add((Quote)objs[i]);
}
return qs;
}
public HistoricalTradeEventArgs(Trade trade, string requestId, IFIXInstrument instrument, IHistoricalDataProvider provider, int dataLength)
: base(requestId, instrument, provider, dataLength)
{
this.Trade = trade;
}
public override void Run()
{
// Prepare running.
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// Get trading instruments.
Instrument ins1 = InstrumentManager.Instruments["IF1612"];
// Create SMA Crossover with Loading data on start strategy.
// and add trading instruments.
DoubleMA_Crossover smaCrossoverLOS = new DoubleMA_Crossover(framework, "SMACrossoverLOS");
smaCrossoverLOS.Instruments.Add(ins1);
// Set strategy as main.
strategy = smaCrossoverLOS;
Console.WriteLine("Prepare running in {0} mode...", framework.StrategyManager.Mode);
// 开始时间是前一个交易日，这个地方要按自己策略的实际情况进行调整
DateTime startDate = DateTime.Now.DayOfWeek == DayOfWeek.Monday ? DateTime.Now.AddDays(-3).Date : DateTime.Now.AddDays(-1).Date;
DateTime historicalData1EndTime = startDate;
// 取本地的数据的最后时间
DataSeries ins1DataSeries = framework.DataManager.GetDataSeries(ins1, DataObjectType.Trade);
if (ins1DataSeries != null && ins1DataSeries.Count > 0)
{
historicalData1EndTime = ins1DataSeries.DateTime2;
}
// 以两个时间的最大值为起点
historicalData1EndTime = new DateTime(Math.Max(historicalData1EndTime.Ticks, startDate.Ticks));
// Load and save historical trades from QuantBase provider.
IHistoricalDataProvider quantBase = framework.ProviderManager.GetHistoricalDataProvider(94);
if (quantBase.Status == ProviderStatus.Disconnected)
{
quantBase.Connect();
}
// 等待连接成功，订阅太快了不行
while (!quantBase.IsConnected)
{
Thread.Sleep(1000);
}
// Load historical trades.
Console.WriteLine("Load historical data.");
TickSeries ins1TickSeries = framework.DataManager.GetHistoricalTrades(quantBase, ins1, historicalData1EndTime, DateTime.Now);
Console.WriteLine("Save historical data.");
// Save historical trades.
foreach (Trade trade in ins1TickSeries)
{
framework.DataManager.Save(ins1, trade);
}
// Set DataSimulator's dates.
DataSimulator.DateTime1 = startDate;
DataSimulator.DateTime2 = DateTime.Now;
// Set null for event filter.
framework.EventManager.Filter = null;
// Set property for suspend trading during simulation.
DoubleMA_Crossover.SuspendTrading = true;
// Add 5 minute bars (300 seconds) for trading instruments.
BarFactory.Add(ins1, SmartQuant.BarType.Time, barSize);
// Run in simulation.
Console.WriteLine("Run in Backtest mode.");
// Save current strategy mode.
StrategyMode mode = framework.StrategyManager.Mode;
// Set backtest mode.
framework.StrategyManager.Mode = StrategyMode.Backtest;
StartStrategy(StrategyMode.Backtest);
// Run.
Console.WriteLine("Run in {0} mode.", framework.StrategyManager.Mode);
// Restore strategy mode.
framework.StrategyManager.Mode = mode;
// Get provider for realtime.
Provider quantRouter = framework.ProviderManager.GetProvider(99) as Provider;
if (quantRouter.Status == ProviderStatus.Disconnected)
{
quantRouter.Connect();
}
while (!quantRouter.IsConnected)
{
Thread.Sleep(1000);
}
// Set property for trading.
DoubleMA_Crossover.SuspendTrading = false;
if (framework.StrategyManager.Mode == StrategyMode.Paper)
{
// Set QuantRouter as data provider.
strategy.DataProvider = quantRouter as IDataProvider;
}
else if (framework.StrategyManager.Mode == StrategyMode.Live)
{
// Set QuantRouter as data and execution provider.
strategy.DataProvider = quantRouter as IDataProvider;
strategy.ExecutionProvider = quantRouter as IExecutionProvider;
}
StartStrategy(framework.StrategyManager.Mode);
}
