/// <summary>
///
/// </summary>
void _historyClient_OnDataEvent(int lRequestId, object pHist, enumHistEventType evt)
{
List <DataBar> extractedBars = new List <DataBar>();
if (pHist is MbtHistDayBar)
{
MbtHistDayBar bars = (MbtHistDayBar)pHist;
bars.First();
while (bars.Eof == false)
{
decimal open = (decimal)bars.Open;
decimal close = (decimal)bars.Close;
decimal high = (decimal)bars.High;
decimal low = (decimal)bars.Low;
extractedBars.Insert(0, new DataBar(bars.CloseDate, open, high, low, close, bars.TotalVolume));
bars.Next();
}
}
else if (pHist is MbtHistMinBar)
{
MbtHistMinBar bars = (MbtHistMinBar)pHist;
bars.First();
while (bars.Eof == false)
{
decimal open = (decimal)bars.Open;
decimal close = (decimal)bars.Close;
decimal high = (decimal)bars.High;
decimal low = (decimal)bars.Low;
extractedBars.Insert(0, new DataBar(bars.UTCDateTime, open, high, low, close, bars.TotalVolume));
bars.Next();
}
}
DataHistoryOperation operation = (DataHistoryOperation)_operationStub.GetOperationById(lRequestId.ToString());
if (operation != null)
{
_operationStub.CompleteOperation(lRequestId.ToString(), new DataHistoryUpdate(operation.Request.Period, extractedBars));
}
}
/// <summary>
///
/// </summary>
void _historyClient_OnDataEvent(int lRequestId, object pHist, enumHistEventType evt)
{
List<DataBar> extractedBars = new List<DataBar>();
if (pHist is MbtHistDayBar)
{
MbtHistDayBar bars = (MbtHistDayBar)pHist;
bars.First();
while (bars.Eof == false)
{
decimal open = (decimal)bars.Open;
decimal close = (decimal)bars.Close;
decimal high = (decimal)bars.High;
decimal low = (decimal)bars.Low;
extractedBars.Insert(0, new DataBar(bars.CloseDate, open, high, low, close, bars.TotalVolume));
bars.Next();
}
}
else if (pHist is MbtHistMinBar)
{
MbtHistMinBar bars = (MbtHistMinBar)pHist;
bars.First();
while (bars.Eof == false)
{
decimal open = (decimal)bars.Open;
decimal close = (decimal)bars.Close;
decimal high = (decimal)bars.High;
decimal low = (decimal)bars.Low;
extractedBars.Insert(0, new DataBar(bars.UTCDateTime, open, high, low, close, bars.TotalVolume));
bars.Next();
}
}
DataHistoryOperation operation = (DataHistoryOperation)_operationStub.GetOperationById(lRequestId.ToString());
if (operation != null)
{
_operationStub.CompleteOperation(lRequestId.ToString(), new DataHistoryUpdate(operation.Request.Period, extractedBars));
}
}
//pmh MbtHist events ####################################################################################
public void m_HistMgr_OnDataEvent(int lRequestId, object pHist, enumHistEventType evt)
{
debug(String.Format("m_HistMgr_OnDataEvent lRequestId: {0}, evt: {1}", lRequestId, evt));
Bar b;
int date, time;
long vol;
decimal open, high, low, close;
string symbol;
// Notice we are using lRequestId in the original SendRequest()s to indicate whether we're
// dealing with a Day, Min or Tick bar object. Process accordingly.
BarRequest br;
int MbtCustInt;
//pmh ?!? debug("Unknown barrequest handle: ");
if (!_barhandle2barrequest.TryGetValue(lRequestId, out br))
{
debug("Unknown barrequest handle, lRequestId: " + lRequestId);
return;
}
int lRequestType = lRequestId % 10;
switch (lRequestType)
{
case 1:
//pmh ?!? - debug("number of client");
MbtHistDayBar barDay = pHist as MbtHistDayBar;
debug("Day bar, " + barDay.Count + " recs");
barDay.Last();
while (!barDay.Bof)
{
debug("number of client"); //pmh ?!?
symbol = barDay.Symbol; //pmh - 10/4/12 - was absent, but not sure if needed
open = Convert.ToDecimal(barDay.Open, System.Globalization.CultureInfo.InvariantCulture);
high = Convert.ToDecimal(barDay.High, System.Globalization.CultureInfo.InvariantCulture);
low = Convert.ToDecimal(barDay.Low, System.Globalization.CultureInfo.InvariantCulture);
close = Convert.ToDecimal(barDay.Close, System.Globalization.CultureInfo.InvariantCulture);
vol = Convert.ToInt64(barDay.TotalVolume, System.Globalization.CultureInfo.InvariantCulture);
date = Util.ToTLDate(barDay.CloseDate);
time = 0;
MbtCustInt = MbtDayInt2CustInt((int)br.Interval / 100);
b = new BarImpl(open, high, low, close, vol, date, time, barDay.Symbol, MbtCustInt);
debug("number of client" + tl.NumClients);
debug("bar" + BarImpl.Serialize(b));
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
barDay.Previous();
}
//use this message to inform that the data for requestID is completed
tl.TLSend(Convert.ToString(lRequestId), MessageTypes.CUSTOM40, br.Client);
break;
case 2:
MbtHistMinBar barMin = pHist as MbtHistMinBar;
debug("Min bar, " + barMin.Count + " recs");
barMin.Last();
while (!barMin.Bof)
{
symbol = barMin.Symbol; //pmh - 10/4/12 - was absent, but not sure if needed
open = Convert.ToDecimal(barMin.Open, System.Globalization.CultureInfo.InvariantCulture);
high = Convert.ToDecimal(barMin.High, System.Globalization.CultureInfo.InvariantCulture);
low = Convert.ToDecimal(barMin.Low, System.Globalization.CultureInfo.InvariantCulture);
close = Convert.ToDecimal(barMin.Close, System.Globalization.CultureInfo.InvariantCulture);
vol = Convert.ToInt64(barMin.TotalVolume, System.Globalization.CultureInfo.InvariantCulture);
date = Util.ToTLDate(barMin.LocalDateTime);
time = Util.ToTLTime(barMin.LocalDateTime);
MbtCustInt = MbtMinInt2CustInt((int)br.Interval / 100);
b = new BarImpl(open, high, low, close, vol, date, time, barMin.Symbol, MbtCustInt);
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
barMin.Previous();
}
//use this message to inform that the data for requestID is completed
tl.TLSend(Convert.ToString(lRequestId), MessageTypes.CUSTOM40, br.Client);
break;
case 3:
/* pmh
* 0 = All ticks
* 1 = Trade ticks
* 2 = Bid/Ask ticks
* 3 = Bid ticks
* 4 = Ask ticks
*/
MbtHistTick barTick = pHist as MbtHistTick;
debug("Tick bar, " + barTick.Count + " recs (showing only 1 - Trade ticks)");
TickImpl k = new TickImpl(barTick.Symbol);
//MBT default tick data is trade data
int lTickFilter = 1;
barTick.First();
switch (lTickFilter)
{
case 1:
while (!barTick.Bof)
{
k.symbol = barTick.Symbol; //pmh - 10/4/12 - was absent, but not sure if needed
k.trade = Convert.ToDecimal(barTick.Price);
k.ex = barTick.Exchange;
k.size = barTick.Volume;
k.date = Util.ToTLDate(barTick.LocalDateTime);
k.time = Util.ToTLTime(barTick.LocalDateTime);
SendNewTick(k);
barTick.Previous();
};
break;
}
break;
case 4: //pmh - 9/15/12 - PV bars
MbtHistPVBar barPV = pHist as MbtHistPVBar;
debug("PV bar, " + barPV.Count + " recs");
barPV.Last();
while (!barPV.Bof)
{
open = high = low = 0;
symbol = barPV.Symbol; //pmh - 10/4/12 - was absent, but not sure if needed
close = Convert.ToDecimal(barPV.Price, System.Globalization.CultureInfo.InvariantCulture);
vol = Convert.ToInt64(barPV.Volume, System.Globalization.CultureInfo.InvariantCulture);
date = Util.ToTLDate(barPV.LocalDateTime);
time = Util.ToTLTime(barPV.LocalDateTime);
MbtCustInt = MbtMinInt2CustInt((int)br.Interval / 100);
b = new BarImpl(open, high, low, close, vol, date, time, barPV.Symbol, MbtCustInt);
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
barPV.Previous();
}
//use this message to inform that the data for requestID is completed
tl.TLSend(Convert.ToString(lRequestId), MessageTypes.CUSTOM40, br.Client);
break;
}
if (_barrequests.hasItems)
{
// BarRequest br1= new BarRequest();
try
{
br = _barrequests.Read();
submitBarRequest(br);
}
catch (Exception ex)
{
debug("error on historical bar request: " + br.ToString());
debug(ex.Message + ex.StackTrace);
}
}
else waitforhistorical2complete = false;
}
public void m_Hist_OnDataEvent(int lRequestId, object pHist, enumHistEventType evt)
{
debug("Processing Id: " + lRequestId + " evt: " + evt);
Bar b;
int date, time; long vol;
decimal open, high, low, close;
string symbol;
// Notice we are using lRequestId in the original SendRequest()s to indicate whether we're
// dealing with a Day, Min or Tick bar object. Process accordingly.
BarRequest br;
int MbtCustInt;
debug("Unknown barrequest handle: ");
if (!_barhandle2barrequest.TryGetValue(lRequestId, out br))
{
debug("Unknown barrequest handle: " + lRequestId);
return;
}
int lRequestType = lRequestId % 10;
switch (lRequestType)
{
case 1:
debug("number of client");
MbtHistDayBar mhd = pHist as MbtHistDayBar;
mhd.Last();
while (!mhd.Bof)
{
debug("number of client");
open = Convert.ToDecimal(mhd.Open, System.Globalization.CultureInfo.InvariantCulture);
high = Convert.ToDecimal(mhd.High, System.Globalization.CultureInfo.InvariantCulture);
low = Convert.ToDecimal(mhd.Low, System.Globalization.CultureInfo.InvariantCulture);
close = Convert.ToDecimal(mhd.Close, System.Globalization.CultureInfo.InvariantCulture);
vol = Convert.ToInt64(mhd.TotalVolume, System.Globalization.CultureInfo.InvariantCulture);
date = Util.ToTLDate(mhd.CloseDate);
time = 0;
MbtCustInt = MbtDayInt2CustInt((int)br.Interval / 100);
b = new BarImpl(open, high, low, close, vol, date, time, mhd.Symbol, MbtCustInt);
debug("number of client" + tl.NumClients);
debug("bar" + BarImpl.Serialize(b));
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
mhd.Previous();
}
//use this mesage to inform that the data for requestID is compeleted
tl.TLSend(Convert.ToString(lRequestId), MessageTypes.CUSTOM40, br.Client);
break;
case 2:
MbtHistMinBar mhm = pHist as MbtHistMinBar;
mhm.Last();
while (!mhm.Bof)
{
open = Convert.ToDecimal(mhm.Open, System.Globalization.CultureInfo.InvariantCulture);
high = Convert.ToDecimal(mhm.High, System.Globalization.CultureInfo.InvariantCulture);
low = Convert.ToDecimal(mhm.Low, System.Globalization.CultureInfo.InvariantCulture);
close = Convert.ToDecimal(mhm.Close, System.Globalization.CultureInfo.InvariantCulture);
vol = Convert.ToInt64(mhm.TotalVolume, System.Globalization.CultureInfo.InvariantCulture);
date = Util.ToTLDate(mhm.LocalDateTime);
time = Util.ToTLTime(mhm.LocalDateTime);
MbtCustInt = MbtMinInt2CustInt((int)br.Interval / 100);
b = new BarImpl(open, high, low, close, vol, date, time, mhm.Symbol, MbtCustInt);
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
mhm.Previous();
}
//use this mesage to inform that the data for requestID is compeleted
tl.TLSend(Convert.ToString(lRequestId), MessageTypes.CUSTOM40, br.Client);
break;
case 3:
MbtHistTick mht = pHist as MbtHistTick;
TickImpl k = new TickImpl(mht.Symbol);
//MBT default tick data is trade data
int lTickFilter = 1;
mht.First();
switch (lTickFilter)
{
case 1:
while (!mht.Bof)
{
k.trade = Convert.ToDecimal(mht.Price);
k.ex = mht.Exchange;
k.size = mht.Volume;
k.date = Util.ToTLDate(mht.LocalDateTime);
k.time = Util.ToTLTime(mht.LocalDateTime);
SendNewTick(k);
mht.Previous();
}
; break;
}
break;
}
if (_barrequests.hasItems)
{
// BarRequest br1= new BarRequest();
try
{
br = _barrequests.Read();
submitBarRequest(br);
}
catch (Exception ex)
{
debug("error on historical bar request: " + br.ToString());
debug(ex.Message + ex.StackTrace);
}
}
else waitforhistorical2complete = false;
}
