public static List <TradingHours> GetTradingHours(ContractDetails contractDetails)
{
var dateFormat = "yyyyMMdd:HHmm";
var output = new List <TradingHours>();
var tradingHours = contractDetails.TradingHours.Split(";");
foreach (var item in tradingHours)
{
var tradingHoursItem = item.Trim();
if (tradingHoursItem.Length > 0)
{
if (ValidTradingHoursItem(tradingHoursItem))
{
var hours = tradingHoursItem.Split("-");
var tradingHour = new TradingHours
{
Start = DateTime.ParseExact(hours[0].Trim(), dateFormat, CultureInfo.InvariantCulture),
End = DateTime.ParseExact(hours[1].Trim(), dateFormat, CultureInfo.InvariantCulture)
};
output.Add(tradingHour);
}
}
}
return(output);
}
public ActionResult PostTradingHours(PostEditPageViewModel model)
{
var id = User.FindFirst(System.Security.Claims.ClaimTypes.NameIdentifier).Value;
var currentUser = _traderStore.GetAll().FirstOrDefault(u => u.TraderId == Guid.Parse(id));
if (string.IsNullOrWhiteSpace(model.StartTime))
{
return(BadRequest(new AuthResponse {
Errror = "Error, trading hours not set!"
}));
}
try
{
var createTradingHours = new TradingHours
{
StartTime = model.StartTime,
EndTime = model.EndTime,
TraderId = currentUser.TraderId
};
_tradeTimeStore.Post(createTradingHours);
}
catch (Exception)
{
return(BadRequest(new AuthResponse {
Errror = " trading hours not set"
}));
//throw;
}
return(Ok(model));
}
private void requestAndDrawSettlement(DateTime time)
{
DateTime previousEnd = TradingHours.String2TradingHours(RTHTemplate).GetPreviousTradingDayEnd(time);
DateTime previousEnd2 = TradingHours.String2TradingHours(RTHTemplate).GetPreviousTradingDayEnd(previousEnd.AddMinutes(-1));
//Print("PREVIOUS END "+time+" = "+previousEnd+" "+previousEnd2);
BarsRequest barsRequest = new BarsRequest(BarsArray[0].Instrument, previousEnd.AddDays(-2), previousEnd);
barsRequest.BarsPeriod = new BarsPeriod {
BarsPeriodType = BarsPeriodType.Day, Value = 1
};
DateTime time0 = Times[0][0];
DateTime time1 = Times[0][1];
barsRequest.Request(new Action <BarsRequest, ErrorCode, string>((bars, errorCode, errorMessage) =>
{
if (errorCode != ErrorCode.NoError)
{
//Print(string.Format("Error on requesting bars: {0}, {1}", errorCode, errorMessage));
Log("JBMarketProfileLevels could not load settled bars", LogLevel.Error);
return;
}
double settlement2 = 0;
if (bars.Bars.Count > 0)
{
for (int i = bars.Bars.Count - 1; i >= 0; i--)
{
if (DateTime.Compare(bars.Bars.GetTime(i), previousEnd2) <= 0)
{
settlement2 = bars.Bars.GetClose(i);
break;
}
else if (DateTime.Compare(bars.Bars.GetTime(i), previousEnd) <= 0)
{
this.settlement = bars.Bars.GetClose(i);
}
}
if (DateTime.Compare(time0, previousEnd) <= 0)
{
DrawSettlementRay("SETTLEM " + previousEnd.ToString("MMM dd"), time1, settlement, time, SettlementColor);
}
else
{
DrawSettlementRay("SETTLEM " + previousEnd.ToString("MMM dd"), previousEnd, settlement, time, SettlementColor);
}
if (settlement2 > 0)
{
DrawSettlementRay("SETTLEM " + previousEnd2.ToString("MMM dd"), previousEnd2, settlement2, time, SettlementColor);
}
}
}));
}
private TradingHours Xlon()
{
var tradingHours = new TradingHours
{
OpenOffsetInUtc = TimeSpan.FromHours(8),
CloseOffsetInUtc = TimeSpan.FromHours(16),
Mic = "XLON"
};
return(tradingHours);
}
async void DownloadLastPriceYF(Asset[] p_assets, TradingHours p_tradingHoursNow) // takes ? ms from WinPC
{
Utils.Logger.Debug("DownloadLastPriceYF() START");
m_nYfDownload++;
try
{
// https://query1.finance.yahoo.com/v7/finance/quote?symbols=AAPL,AMZN returns all the fields.
// https://query1.finance.yahoo.com/v7/finance/quote?symbols=QQQ%2CSPY%2CGLD%2CTLT%2CVXX%2CUNG%2CUSO&fields=symbol%2CregularMarketPreviousClose%2CregularMarketPrice%2CmarketState%2CpostMarketPrice%2CpreMarketPrice // returns just the specified fields.
// "marketState":"PRE" or "marketState":"POST", In PreMarket both "preMarketPrice" and "postMarketPrice" are returned.
var yfTickers = p_assets.Select(r => (r as Stock) !.YfTicker).ToArray();
var quotes = await Yahoo.Symbols(yfTickers).Fields(new Field[] { Field.Symbol, Field.RegularMarketPreviousClose, Field.RegularMarketPrice, Field.MarketState, Field.PostMarketPrice, Field.PreMarketPrice }).QueryAsync();
foreach (var quote in quotes)
{
Asset?sec = null;
foreach (var s in p_assets)
{
if ((s as Stock) !.YfTicker == quote.Key)
{
sec = s;
break;
}
}
if (sec != null)
{
dynamic?lastVal = float.NaN;
string fieldStr = (p_tradingHoursNow == TradingHours.PreMarketTrading) ? "PreMarketPrice" : "PostMarketPrice";
// TLT doesn't have premarket data. https://finance.yahoo.com/quote/TLT "quoteSourceName":"Delayed Quote", while others: "quoteSourceName":"Nasdaq Real Time Price"
if (!quote.Value.Fields.TryGetValue(fieldStr, out lastVal))
{
lastVal = (float)quote.Value.RegularMarketPrice; // fallback: the last regular-market Close price both in Post and next Pre-market
}
sec.LastValue = (float)lastVal;
}
}
}
catch (Exception e)
{
Utils.Logger.Error(e, "DownloadLastPriceYF()");
}
}
public override int GetInitialLookBackDays(BarsPeriod barsPeriod, TradingHours tradingHours, int barsBack)
{
int minutesPerWeek = 0;
lock (tradingHours.Sessions)
{
foreach (Session session in tradingHours.Sessions)
{
int beginDay = (int)session.BeginDay;
int endDay = (int)session.EndDay;
if (beginDay > endDay)
{
endDay += 7;
}
minutesPerWeek += (endDay - beginDay) * 1440 + ((session.EndTime / 100) * 60 + (session.EndTime % 100)) - ((session.BeginTime / 100) * 60 + (session.BeginTime % 100));
}
}
return((int)Math.Max(1, Math.Ceiling(barsBack / Math.Max(1, minutesPerWeek / 7.0 / barsPeriod.Value) * 1.05)));
}
public override int GetInitialLookBackDays(BarsPeriod barsPeriod, TradingHours tradingHours, int barsBack)
{
switch (BarsPeriod.BaseBarsPeriodType)
{
case BarsPeriodType.Day: return((int)Math.Ceiling(barsPeriod.BaseBarsPeriodValue * barsBack * 7.0 / 4.5));
case BarsPeriodType.Minute:
int minutesPerWeek = 0;
lock (tradingHours.Sessions)
{
foreach (Session session in tradingHours.Sessions)
{
int beginDay = (int)session.BeginDay;
int endDay = (int)session.EndDay;
if (beginDay > endDay)
{
endDay += 7;
}
minutesPerWeek += (endDay - beginDay) * 1440 + session.EndTime / 100 * 60 + session.EndTime % 100 - (session.BeginTime / 100 * 60 + session.BeginTime % 100);
}
}
return((int)Math.Max(1, Math.Ceiling(barsBack / Math.Max(1, minutesPerWeek / 7.0 / barsPeriod.BaseBarsPeriodValue) * 1.05)));
case BarsPeriodType.Month: return(barsPeriod.BaseBarsPeriodValue * barsBack * 31);
case BarsPeriodType.Second: return((int)Math.Max(1, Math.Ceiling(barsBack / Math.Max(1, 8.0 * 60 * 60 / barsPeriod.BaseBarsPeriodValue)) * 7.0 / 5.0)); // 8 hours
case BarsPeriodType.Tick: return(1);
case BarsPeriodType.Volume: return(1);
case BarsPeriodType.Week: return(barsPeriod.BaseBarsPeriodValue * barsBack * 7);
case BarsPeriodType.Year: return(barsPeriod.BaseBarsPeriodValue * barsBack * 365);
default: return(1);
}
}
public override int GetInitialLookBackDays(BarsPeriod barsPeriod, TradingHours tradingHours, int barsBack)
{
switch (BarsPeriod.BaseBarsPeriodType)
{
case BarsPeriodType.Day: return(new DayBarsType().GetInitialLookBackDays(barsPeriod, tradingHours, barsBack));
case BarsPeriodType.Minute: return(new MinuteBarsType().GetInitialLookBackDays(barsPeriod, tradingHours, barsBack));
case BarsPeriodType.Month: return(new MonthBarsType().GetInitialLookBackDays(barsPeriod, tradingHours, barsBack));
case BarsPeriodType.Second: return(new SecondBarsType().GetInitialLookBackDays(barsPeriod, tradingHours, barsBack));
case BarsPeriodType.Tick: return(new TickBarsType().GetInitialLookBackDays(barsPeriod, tradingHours, barsBack));
case BarsPeriodType.Volume: return(new VolumeBarsType().GetInitialLookBackDays(barsPeriod, tradingHours, barsBack));
case BarsPeriodType.Week: return(new WeekBarsType().GetInitialLookBackDays(barsPeriod, tradingHours, barsBack));
case BarsPeriodType.Year: return(new YearBarsType().GetInitialLookBackDays(barsPeriod, tradingHours, barsBack));
default: return(new MinuteBarsType().GetInitialLookBackDays(barsPeriod, tradingHours, barsBack));
}
}
public override int GetInitialLookBackDays(BarsPeriod period, TradingHours tradingHours, int barsBack)
{
return((int)Math.Max(1, Math.Ceiling(barsBack / Math.Max(1, 8.0 * 60 * 60 / period.Value)) * 7.0 / 5.0));
}
public override int GetInitialLookBackDays(BarsPeriod barsPeriod, TradingHours tradingHours, int barsBack)
{
return(barsPeriod.Value * barsBack * 365);
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Indicator here.";
Name = "JBMarketProfileLevels";
Calculate = Calculate.OnEachTick;
IsOverlay = true;
DisplayInDataBox = true;
DrawOnPricePanel = true;
DrawHorizontalGridLines = true;
DrawVerticalGridLines = true;
PaintPriceMarkers = true;
ScaleJustification = NinjaTrader.Gui.Chart.ScaleJustification.Right;
//Disable this property if your indicator requires custom values that cumulate with each new market data event.
//See Help Guide for additional information.
IsSuspendedWhileInactive = true;
LineWidth = 2;
LineStyle = DashStyleHelper.Dot;
ShowPOC = true;
ShowONPOC = true;
ShowVA = false;
ShowONVA = false;
ShowHILO = true;
ShowONHILO = true;
ShowSettlement = true;
HILOColor = Brushes.Red;
VAColor = Brushes.White;
POCColor = Brushes.Magenta;
ONHILOColor = Brushes.Red;
ONVAColor = Brushes.White;
ONPOCColor = Brushes.Magenta;
SettlementColor = Brushes.DarkOrange;
Opacity = 100;
BrokenOpacity = 45;
LabelFont = new Gui.Tools.SimpleFont("Arial", 8);
RTHTemplate = "CME US Index Futures RTH";
ONTemplate = "Overnight Template";
tpoProfiles = new List <JBTPOProfile>();
initDone = false;
}
else if (State == State.Configure)
{
try {
TradingHours.String2TradingHours(RTHTemplate).GetPreviousTradingDayEnd(DateTime.Now); // Test if template exists
AddDataSeries(BarsArray[0].Instrument.FullName, new BarsPeriod {
BarsPeriodType = BarsPeriodType.Minute, Value = 30
}, RTHTemplate);
try {
TradingHours.String2TradingHours(ONTemplate).GetPreviousTradingDayEnd(DateTime.Now); // Test if template exists
AddDataSeries(BarsArray[0].Instrument.FullName, new BarsPeriod {
BarsPeriodType = BarsPeriodType.Minute, Value = 30
}, ONTemplate);
initDone = true;
} catch (Exception e) {
Draw.TextFixed(this, "NinjaScriptInfo", "JBMarketProfileLevels error loading trading hours with template name '" + ONTemplate + "', check properties", TextPosition.Center);
Log("JBMarketProfileLevels could not load specified trading hours templates", LogLevel.Error);
}
} catch (Exception e) {
Draw.TextFixed(this, "NinjaScriptInfo", "JBMarketProfileLevels error loading trading hours with template name '" + RTHTemplate + "', check properties", TextPosition.Center);
Log("JBMarketProfileLevels could not load specified trading hours templates", LogLevel.Error);
}
AllowRemovalOfDrawObjects = true;
//test();
}
else if (State == State.Historical)
{
if (!initDone)
{
return;
}
if (!Bars.IsTickReplay)
{
Draw.TextFixed(this, "NinjaScriptInfo", "JBMarketProfileLevels needs tick replay enabled on the data series", TextPosition.Center);
Log("JBMarketProfileLevels needs tick replay enabled on the data series", LogLevel.Error);
initDone = false;
}
else
{
rthSessionIterator = new SessionIterator(BarsArray[RTH]);
ethSessionIterator = new SessionIterator(BarsArray[ETH]);
SetZOrder(-1);
}
}
else if (State == State.Transition)
{
if (!initDone)
{
return;
}
if (tpoProfile != null)
{
update(tpoProfile);
}
requestAndDrawSettlement(DateTime.Now);
}
else if (State == State.Realtime)
{
if (Instrument != null && Instrument.MarketData != null && Instrument.MarketData.Settlement != null)
{
settlement = Instrument.MarketData.Settlement.Price;
requestAndDrawSettlement(DateTime.Now);
}
}
}
public override int GetInitialLookBackDays(BarsPeriod period, TradingHours tradingHours, int barsBack)
{
return(3);
}
public override int GetInitialLookBackDays(BarsPeriod barsPeriod, TradingHours tradingHours, int barsBack)
{
return((int)Math.Ceiling(barsPeriod.Value * barsBack * 7.0 / 4.5));
}
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Name = "Num Touches";
Buys = new ConcurrentDictionary <double, long>();
BackColor = Brushes.Transparent;
BarColor = Application.Current.TryFindResource("brushVolumeColumnBackground") as Brush;
BuyColor = Brushes.Green;
DefaultWidth = 160;
PreviousWidth = -1;
DisplayText = true;
ForeColor = Application.Current.TryFindResource("brushVolumeColumnForeground") as Brush;
ImmutableBarColor = Application.Current.TryFindResource("immutableBrushVolumeColumnBackground") as Brush;
ImmutableForeColor = Application.Current.TryFindResource("immutableBrushVolumeColumnForeground") as Brush;
IsDataSeriesRequired = true;
LastVolumes = new ConcurrentDictionary <double, long>();
SellColor = Brushes.Red;
Sells = new ConcurrentDictionary <double, long>();
Bidask = VolumeSide.bid;
}
else if (State == State.Configure)
{
if (UiWrapper != null && PresentationSource.FromVisual(UiWrapper) != null)
{
Matrix m = PresentationSource.FromVisual(UiWrapper).CompositionTarget.TransformToDevice;
double dpiFactor = 1 / m.M11;
gridPen = new Pen(Application.Current.TryFindResource("BorderThinBrush") as Brush, 1 * dpiFactor);
halfPenWidth = gridPen.Thickness * 0.5;
}
if (SuperDom.Instrument != null && SuperDom.IsConnected)
{
BarsPeriod bp = new BarsPeriod
{
MarketDataType = MarketDataType.Last,
BarsPeriodType = BarsPeriodType.Tick,
Value = 1
};
SuperDom.Dispatcher.InvokeAsync(() => SuperDom.SetLoadingString());
clearLoadingSent = false;
if (BarsRequest != null)
{
BarsRequest.Update -= OnBarsUpdate;
BarsRequest = null;
}
BarsRequest = new BarsRequest(SuperDom.Instrument,
Cbi.Connection.PlaybackConnection != null ? Cbi.Connection.PlaybackConnection.Now : Core.Globals.Now,
Cbi.Connection.PlaybackConnection != null ? Cbi.Connection.PlaybackConnection.Now : Core.Globals.Now);
BarsRequest.BarsPeriod = bp;
BarsRequest.TradingHours = (TradingHoursData == TradingHours.UseInstrumentSettings || TradingHours.Get(TradingHoursData) == null) ? SuperDom.Instrument.MasterInstrument.TradingHours : TradingHours.Get(TradingHoursData);
BarsRequest.Update += OnBarsUpdate;
BarsRequest.Request((request, errorCode, errorMessage) =>
{
// Make sure this isn't a bars callback from another column instance
if (request != BarsRequest)
{
return;
}
lastMaxIndex = 0;
maxVolume = 0;
totalBuyVolume = 0;
totalLastVolume = 0;
totalSellVolume = 0;
Sells.Clear();
Buys.Clear();
LastVolumes.Clear();
if (State >= NinjaTrader.NinjaScript.State.Terminated)
{
return;
}
if (errorCode == Cbi.ErrorCode.UserAbort)
{
if (State <= NinjaTrader.NinjaScript.State.Terminated)
{
if (SuperDom != null && !clearLoadingSent)
{
SuperDom.Dispatcher.InvokeAsync(() => SuperDom.ClearLoadingString());
clearLoadingSent = true;
}
}
request.Update -= OnBarsUpdate;
request.Dispose();
request = null;
return;
}
if (errorCode != Cbi.ErrorCode.NoError)
{
request.Update -= OnBarsUpdate;
request.Dispose();
request = null;
if (SuperDom != null && !clearLoadingSent)
{
SuperDom.Dispatcher.InvokeAsync(() => SuperDom.ClearLoadingString());
clearLoadingSent = true;
}
}
else if (errorCode == Cbi.ErrorCode.NoError)
{
SessionIterator superDomSessionIt = new SessionIterator(request.Bars);
bool isInclude60 = request.Bars.BarsType.IncludesEndTimeStamp(false);
if (superDomSessionIt.IsInSession(Core.Globals.Now, isInclude60, request.Bars.BarsType.IsIntraday))
{
for (int i = 0; i < request.Bars.Count; i++)
{
DateTime time = request.Bars.BarsSeries.GetTime(i);
if ((isInclude60 && time <= superDomSessionIt.ActualSessionBegin) || (!isInclude60 && time < superDomSessionIt.ActualSessionBegin))
{
continue;
}
double ask = request.Bars.BarsSeries.GetAsk(i);
double bid = request.Bars.BarsSeries.GetBid(i);
double close = request.Bars.BarsSeries.GetClose(i);
long volume = request.Bars.BarsSeries.GetVolume(i);
if (ask != double.MinValue && close >= ask)
{
Buys.AddOrUpdate(close, volume, (price, oldVolume) => oldVolume + volume);
totalBuyVolume += volume;
}
else if (bid != double.MinValue && close <= bid)
{
Sells.AddOrUpdate(close, volume, (price, oldVolume) => oldVolume + volume);
totalSellVolume += volume;
}
long newVolume;
LastVolumes.AddOrUpdate(close, newVolume = volume, (price, oldVolume) => newVolume = 0);
totalLastVolume += volume;
if (newVolume > maxVolume)
{
maxVolume = newVolume;
}
}
lastMaxIndex = request.Bars.Count - 1;
// Repaint the column on the SuperDOM
OnPropertyChanged();
}
if (SuperDom != null && !clearLoadingSent)
{
SuperDom.Dispatcher.InvokeAsync(() => SuperDom.ClearLoadingString());
clearLoadingSent = true;
}
}
});
}
}
else if (State == State.Active)
{
if (!DisplayText)
{
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .AddHandler(UiWrapper, "MouseMove", OnMouseMove);
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .AddHandler(UiWrapper, "MouseEnter", OnMouseEnter);
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .AddHandler(UiWrapper, "MouseLeave", OnMouseLeave);
mouseEventsSubscribed = true;
}
}
else if (State == State.Terminated)
{
if (BarsRequest != null)
{
BarsRequest.Update -= OnBarsUpdate;
BarsRequest.Dispose();
}
BarsRequest = null;
if (SuperDom != null && !clearLoadingSent)
{
SuperDom.Dispatcher.InvokeAsync(() => SuperDom.ClearLoadingString());
clearLoadingSent = true;
}
if (!DisplayText && mouseEventsSubscribed)
{
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .RemoveHandler(UiWrapper, "MouseMove", OnMouseMove);
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .RemoveHandler(UiWrapper, "MouseEnter", OnMouseEnter);
WeakEventManager <System.Windows.Controls.Panel, MouseEventArgs> .RemoveHandler(UiWrapper, "MouseLeave", OnMouseLeave);
mouseEventsSubscribed = false;
}
lastMaxIndex = 0;
maxVolume = 0;
totalBuyVolume = 0;
totalLastVolume = 0;
totalSellVolume = 0;
Sells.Clear();
Buys.Clear();
LastVolumes.Clear();
}
}