public AsyncUnaryCall <SecurityTimeBarQueryResponse> QuerySecurityTimeBarsAsync(SecurityTimeBarQueryRequest request)
{
var response = new SecurityTimeBarQueryResponse
{
Success = true
};
response.SubResponses.AddRange(_currentRunData.Where(w => (request.Subqueries.FirstOrDefault()?.Identifiers == null ||
w.Identifiers.Ric == request.Subqueries.FirstOrDefault()?.Identifiers.Ric) &&
w.Timebars.All(a =>
a.EpochUtc.ToDateTime().Date >= request.Subqueries.First().StartUtc.ToDateTime().Date&&
a.EpochUtc.ToDateTime().Date <= request.Subqueries.First().EndUtc.ToDateTime().Date)));
return(new AsyncUnaryCall <SecurityTimeBarQueryResponse>(Task.FromResult(response), null, null, null, null));
}
public async Task <IList <EndOfDaySecurityTimeBar> > GetInterdayTimeBars(DateTime?startDay, DateTime?endDay, IList <string> rics = null)
{
var allDayPeriods = SplitDateRangeByDay(startDay.Value, endDay.Value);
var result = new List <EndOfDaySecurityTimeBar>();
foreach (var period in allDayPeriods)
{
var request = new SecurityTimeBarQueryRequest()
{
};
var requestByRics = rics?.Where(w => !string.IsNullOrEmpty(w)).ToList() ?? new List <string>();
if (!requestByRics.Any())
{
requestByRics.Add(null);
}
var referenceId = Guid.NewGuid().ToString();
Timestamp startUtc = new Timestamp(Timestamp.FromDateTime(DateTime.SpecifyKind(period.Item1, DateTimeKind.Utc)));
Timestamp endUtc = new Timestamp(Timestamp.FromDateTime(DateTime.SpecifyKind(period.Item2, DateTimeKind.Utc)));
foreach (var item in requestByRics)
{
var subqueryRequest = new SecurityTimeBarSubqueryRequest()
{
StartUtc = startUtc,
EndUtc = endUtc,
ReferenceId = referenceId,
PolicyOptions = TimeBarPolicyOptions.EndOfDay
};
if (item != null)
{
subqueryRequest.Identifiers = new SecurityIdentifiers
{
Ric = item
};
}
request.Subqueries.Add(subqueryRequest);
}
var tickPriceHistoryServiceClient = tickPriceHistoryServiceClientFactory.Create();
var response = await tickPriceHistoryServiceClient
.QuerySecurityTimeBarsAsync(request).ResponseAsync;
foreach (var subResponse in response.SubResponses)
{
foreach (var timebar in subResponse.Timebars)
{
var endOfDaySecurityTimeBar = new EndOfDaySecurityTimeBar
{
SecurityIdentifiers = new SecurityIdentifier
{
Cusip = subResponse.Identifiers?.Cusip,
ExternalId = subResponse.Identifiers.ExternalIdentifiers,
Isin = subResponse.Identifiers.Isin,
Ric = subResponse.Identifiers.Ric,
Sedol = subResponse.Identifiers.Sedol
},
TimeBar = MapTimeBar(timebar)
};
result.Add(endOfDaySecurityTimeBar);
}
}
var success = response.Success;
}
return(result);
}
