public Level1SummaryUpdateEventArgs(string line)
{
try
{
var fields = line.Split(',');
_summary = fields[0] == "P";
_symbol = fields[1];
_notFound = line.Contains("Not Found");
if (_notFound) return;
if (!double.TryParse(fields[3], out _last)) _last = 0;
if (!double.TryParse(fields[4], out _change)) _change = 0;
if (!double.TryParse(fields[5], out _change)) _percentChange = 0;
if (!int.TryParse(fields[6], out _totalVolume)) _totalVolume = 0;
if (!int.TryParse(fields[7], out _incrementalVolume)) _incrementalVolume = 0;
if (!double.TryParse(fields[8], out _high)) _high = 0;
if (!double.TryParse(fields[9], out _low)) _low = 0;
if (!double.TryParse(fields[10], out _bid)) _bid = 0;
if (!double.TryParse(fields[11], out _ask)) _ask = 0;
if (!int.TryParse(fields[12], out _bidSize)) _bidSize = 0;
if (!int.TryParse(fields[13], out _askSize)) _askSize = 0;
if (!int.TryParse(fields[14], out _tick)) _tick = 0;
if (!int.TryParse(fields[15], out _bidTick)) _bidTick = 0;
if (!double.TryParse(fields[16], out _range)) _range = 0;
if (!string.IsNullOrEmpty(fields[17]))
{
switch (fields[17].Substring(fields[17].Length - 1, 1))
{
case "t":
_updateType = UpdateType.Trade;
break;
case "T":
_updateType = UpdateType.ExtendedTrade;
break;
case "b":
_updateType = UpdateType.Bid;
break;
case "a":
_updateType = UpdateType.Ask;
break;
default:
_updateType = UpdateType.Other;
break;
}
}
else
{
return;
}
if (!int.TryParse(fields[18], out _openInterest)) _openInterest = 0;
if (!double.TryParse(fields[19], out _open)) _open = 0;
if (!double.TryParse(fields[20], out _close)) _close = 0;
if (!double.TryParse(fields[21], out _spread)) _spread = 0;
if (!double.TryParse(fields[23], out _settle)) _settle = 0;
if (!int.TryParse(fields[24], out _delay)) _delay = 0;
_shortRestricted = false;
if (fields[26] == "R") _shortRestricted = true;
if (!double.TryParse(fields[27], out _netAssetValue)) _netAssetValue = 0;
if (!double.TryParse(fields[28], out _averageMaturity)) _averageMaturity = 0;
if (!double.TryParse(fields[29], out _7DayYield)) _7DayYield = 0;
if (!DateTime.TryParseExact(fields[30], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _lastTradeDate)) _lastTradeDate = DateTime.MinValue;
if (!double.TryParse(fields[32], out _extendedTradingLast)) _extendedTradingLast = 0;
if (!int.TryParse(fields[34], out _regionalVolume)) _regionalVolume = 0;
if (!double.TryParse(fields[35], out _netAssetValue2)) _netAssetValue2 = 0;
if (!double.TryParse(fields[36], out _extendedTradingChange)) _extendedTradingChange = 0;
if (!double.TryParse(fields[37], out _extendedTradingDifference)) _extendedTradingDifference = 0;
if (!double.TryParse(fields[38], out _priceEarningsRatio)) _priceEarningsRatio = 0;
if (!double.TryParse(fields[39], out _percentOffAverageVolume)) _percentOffAverageVolume = 0;
if (!double.TryParse(fields[40], out _bidChange)) _bidChange = 0;
if (!double.TryParse(fields[41], out _askChange)) _askChange = 0;
if (!double.TryParse(fields[42], out _changeFromOpen)) _changeFromOpen = 0;
_marketOpen = false;
if (fields[43] == "1") _marketOpen = true;
if (!double.TryParse(fields[44], out _volatility)) _volatility = 0;
if (!double.TryParse(fields[45], out _marketCapitalization)) _marketCapitalization = 0;
_fractionDisplayCode = fields[46];
_decimalPrecision = fields[47];
_daysToExpiration = fields[48];
if (!int.TryParse(fields[49], out _previousDayVolume)) _previousDayVolume = 0;
if (!double.TryParse(fields[51], out _openRange1)) _openRange1 = 0;
if (!double.TryParse(fields[52], out _closeRange1)) _closeRange1 = 0;
if (!double.TryParse(fields[53], out _openRange2)) _openRange2 = 0;
if (!double.TryParse(fields[54], out _closeRange2)) _closeRange2 = 0;
if (!int.TryParse(fields[55], out _numberOfTradesToday)) _numberOfTradesToday = 0;
_bidTime = new Time(fields[56]);
_askTime = new Time(fields[57]);
if (!double.TryParse(fields[58], out _vwap)) _vwap = 0;
if (!int.TryParse(fields[59], out _tickId)) _tickId = 0;
_financialStatusIndicator = fields[60];
if (!DateTime.TryParseExact(fields[61], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _settlementDate)) _settlementDate = DateTime.MinValue;
if (!int.TryParse(fields[62], out _tradeMarketCenter)) _tradeMarketCenter = 0;
if (!int.TryParse(fields[63], out _bidMarketCenter)) _bidMarketCenter = 0;
if (!int.TryParse(fields[64], out _askMarketCenter)) _askMarketCenter = 0;
_tradeTime = new Time(fields[65]);
_availableRegions = fields[66];
}
catch (Exception err)
{
Logging.Log.Debug("IQLevel1Client.Init(): " + err.Message);
}
}
public int RequestIntervalData(string symbol, Interval interval, DateTime start, DateTime?end, bool oldToNew, Time timeStartInDay = null, Time timeEndInDay = null)
{
_lastRequestNumber++;
var reqNo = LookupType.REQ_HST_INT.ToString() + _lastRequestNumber.ToString("0000000");
//if (timeStartInDay == null) timeStartInDay = _timeMarketOpen;
//if (timeEndInDay == null) timeEndInDay = _timeMarketClose;
var reqString = string.Format("HIT,{0},{1},{2},{3},{4},{5},{6},{7},{8},{9}\r\n", symbol, interval.Seconds.ToString("0000000"),
start.ToString("yyyyMMdd HHmmss"), end.HasValue ? end.Value.ToString("yyyyMMdd HHmmss") : "",
"", timeStartInDay == null ? "" : timeStartInDay.IQFeedFormat, timeEndInDay == null ? "" : timeEndInDay.IQFeedFormat, oldToNew ? "1" : "0",
reqNo, _histDataPointsPerSend.ToString("0000000"));
Send(reqString);
OnLookupEvent(new LookupEventArgs(reqNo, LookupType.REQ_HST_INT, LookupSequence.MessageStart));
return(_lastRequestNumber);
}
public Level1RegionalEventArgs(string line)
{
var fields = line.Split(',');
_symbol = fields[1];
if (!double.TryParse(fields[3], out _regionalBid)) _regionalBid = 0;
if (!int.TryParse(fields[4], out _regionalBidSize)) _regionalBidSize = 0;
_regionalBidTime = new Time(fields[5]);
if (!double.TryParse(fields[6], out _regionalAsk)) _regionalAsk = 0;
if (!int.TryParse(fields[7], out _regionalAskSize)) _regionalAskSize = 0;
_regionalAskTime = new Time(fields[8]);
_fractionDisplayCode = fields[9];
_decimalPrecision = fields[10];
_marketCenter = fields[11];
}
public int RequestIntervalData(string symbol, Interval interval, int days, bool oldToNew, Time timeStartInDay = null, Time timeEndInDay = null)
{
_lastRequestNumber++;
var reqNo = LookupType.REQ_HST_INT.ToString() + _lastRequestNumber.ToString("0000000");
if (timeStartInDay == null)
{
timeStartInDay = _timeMarketOpen;
}
if (timeEndInDay == null)
{
timeEndInDay = _timeMarketClose;
}
var reqString = string.Format("HID,{0},{1},{2},{3},{4},{5},{6},{7},{8}\r\n", symbol, interval.Seconds.ToString("0000000"),
days.ToString("0000000"), _histMaxDataPoints.ToString("0000000"), timeStartInDay.IQFeedFormat, timeEndInDay.IQFeedFormat,
oldToNew ? "1" : "0", reqNo, _histDataPointsPerSend.ToString("0000000"));
Send(reqString);
OnLookupEvent(new LookupEventArgs(reqNo, LookupType.REQ_HST_INT, LookupSequence.MessageStart));
return(_lastRequestNumber);
}
public Level1SummaryUpdateEventArgs(string line)
{
try
{
var fields = line.Split(',');
_summary = fields[0] == "P";
_symbol = fields[1];
_notFound = line.Contains("Not Found");
if (_notFound)
{
return;
}
if (!double.TryParse(fields[3], out _last))
{
_last = 0;
}
if (!double.TryParse(fields[4], out _change))
{
_change = 0;
}
if (!double.TryParse(fields[5], out _change))
{
_percentChange = 0;
}
if (!int.TryParse(fields[6], out _totalVolume))
{
_totalVolume = 0;
}
if (!int.TryParse(fields[7], out _incrementalVolume))
{
_incrementalVolume = 0;
}
if (!double.TryParse(fields[8], out _high))
{
_high = 0;
}
if (!double.TryParse(fields[9], out _low))
{
_low = 0;
}
if (!double.TryParse(fields[10], out _bid))
{
_bid = 0;
}
if (!double.TryParse(fields[11], out _ask))
{
_ask = 0;
}
if (!int.TryParse(fields[12], out _bidSize))
{
_bidSize = 0;
}
if (!int.TryParse(fields[13], out _askSize))
{
_askSize = 0;
}
if (!int.TryParse(fields[14], out _tick))
{
_tick = 0;
}
if (!int.TryParse(fields[15], out _bidTick))
{
_bidTick = 0;
}
if (!double.TryParse(fields[16], out _range))
{
_range = 0;
}
if (!string.IsNullOrEmpty(fields[17]))
{
switch (fields[17].Substring(fields[17].Length - 1, 1))
{
case "t":
_updateType = UpdateType.Trade;
break;
case "T":
_updateType = UpdateType.ExtendedTrade;
break;
case "b":
_updateType = UpdateType.Bid;
break;
case "a":
_updateType = UpdateType.Ask;
break;
default:
_updateType = UpdateType.Other;
break;
}
}
else
{
return;
}
if (!int.TryParse(fields[18], out _openInterest))
{
_openInterest = 0;
}
if (!double.TryParse(fields[19], out _open))
{
_open = 0;
}
if (!double.TryParse(fields[20], out _close))
{
_close = 0;
}
if (!double.TryParse(fields[21], out _spread))
{
_spread = 0;
}
if (!double.TryParse(fields[23], out _settle))
{
_settle = 0;
}
if (!int.TryParse(fields[24], out _delay))
{
_delay = 0;
}
_shortRestricted = false;
if (fields[26] == "R")
{
_shortRestricted = true;
}
if (!double.TryParse(fields[27], out _netAssetValue))
{
_netAssetValue = 0;
}
if (!double.TryParse(fields[28], out _averageMaturity))
{
_averageMaturity = 0;
}
if (!double.TryParse(fields[29], out _7DayYield))
{
_7DayYield = 0;
}
if (!DateTime.TryParseExact(fields[30], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _lastTradeDate))
{
_lastTradeDate = DateTime.MinValue;
}
if (!double.TryParse(fields[32], out _extendedTradingLast))
{
_extendedTradingLast = 0;
}
if (!int.TryParse(fields[34], out _regionalVolume))
{
_regionalVolume = 0;
}
if (!double.TryParse(fields[35], out _netAssetValue2))
{
_netAssetValue2 = 0;
}
if (!double.TryParse(fields[36], out _extendedTradingChange))
{
_extendedTradingChange = 0;
}
if (!double.TryParse(fields[37], out _extendedTradingDifference))
{
_extendedTradingDifference = 0;
}
if (!double.TryParse(fields[38], out _priceEarningsRatio))
{
_priceEarningsRatio = 0;
}
if (!double.TryParse(fields[39], out _percentOffAverageVolume))
{
_percentOffAverageVolume = 0;
}
if (!double.TryParse(fields[40], out _bidChange))
{
_bidChange = 0;
}
if (!double.TryParse(fields[41], out _askChange))
{
_askChange = 0;
}
if (!double.TryParse(fields[42], out _changeFromOpen))
{
_changeFromOpen = 0;
}
_marketOpen = false;
if (fields[43] == "1")
{
_marketOpen = true;
}
if (!double.TryParse(fields[44], out _volatility))
{
_volatility = 0;
}
if (!double.TryParse(fields[45], out _marketCapitalization))
{
_marketCapitalization = 0;
}
_fractionDisplayCode = fields[46];
_decimalPrecision = fields[47];
_daysToExpiration = fields[48];
if (!int.TryParse(fields[49], out _previousDayVolume))
{
_previousDayVolume = 0;
}
if (!double.TryParse(fields[51], out _openRange1))
{
_openRange1 = 0;
}
if (!double.TryParse(fields[52], out _closeRange1))
{
_closeRange1 = 0;
}
if (!double.TryParse(fields[53], out _openRange2))
{
_openRange2 = 0;
}
if (!double.TryParse(fields[54], out _closeRange2))
{
_closeRange2 = 0;
}
if (!int.TryParse(fields[55], out _numberOfTradesToday))
{
_numberOfTradesToday = 0;
}
_bidTime = new Time(fields[56]);
_askTime = new Time(fields[57]);
if (!double.TryParse(fields[58], out _vwap))
{
_vwap = 0;
}
if (!int.TryParse(fields[59], out _tickId))
{
_tickId = 0;
}
_financialStatusIndicator = fields[60];
if (!DateTime.TryParseExact(fields[61], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _settlementDate))
{
_settlementDate = DateTime.MinValue;
}
if (!int.TryParse(fields[62], out _tradeMarketCenter))
{
_tradeMarketCenter = 0;
}
if (!int.TryParse(fields[63], out _bidMarketCenter))
{
_bidMarketCenter = 0;
}
if (!int.TryParse(fields[64], out _askMarketCenter))
{
_askMarketCenter = 0;
}
_tradeTime = new Time(fields[65]);
_availableRegions = fields[66];
}
catch (Exception err)
{
Logging.Log.Debug("IQLevel1Client.Init(): " + err.Message);
}
}
public int RequestIntervalData(string symbol, Interval interval, DateTime start, DateTime? end, bool oldToNew, Time timeStartInDay = null, Time timeEndInDay = null)
{
_lastRequestNumber++;
var reqNo = LookupType.REQ_HST_INT.ToString() + _lastRequestNumber.ToString("0000000");
//if (timeStartInDay == null) timeStartInDay = _timeMarketOpen;
//if (timeEndInDay == null) timeEndInDay = _timeMarketClose;
var reqString = string.Format("HIT,{0},{1},{2},{3},{4},{5},{6},{7},{8},{9}\r\n", symbol, interval.Seconds.ToString("0000000"),
start.ToString("yyyyMMdd HHmmss"), end.HasValue ? end.Value.ToString("yyyyMMdd HHmmss") : "",
"", timeStartInDay == null ? "" : timeStartInDay.IQFeedFormat, timeEndInDay == null ? "" : timeEndInDay.IQFeedFormat, oldToNew ? "1" : "0",
reqNo, _histDataPointsPerSend.ToString("0000000"));
Send(reqString);
OnLookupEvent(new LookupEventArgs(reqNo, LookupType.REQ_HST_INT, LookupSequence.MessageStart));
return _lastRequestNumber;
}
public int RequestIntervalData(string symbol, Interval interval, int days, bool oldToNew, Time timeStartInDay = null, Time timeEndInDay = null)
{
_lastRequestNumber++;
var reqNo = LookupType.REQ_HST_INT.ToString() + _lastRequestNumber.ToString("0000000");
if (timeStartInDay == null) timeStartInDay = _timeMarketOpen;
if (timeEndInDay == null) timeEndInDay = _timeMarketClose;
var reqString = string.Format("HID,{0},{1},{2},{3},{4},{5},{6},{7},{8}\r\n", symbol, interval.Seconds.ToString("0000000"),
days.ToString("0000000"), _histMaxDataPoints.ToString("0000000"), timeStartInDay.IQFeedFormat, timeEndInDay.IQFeedFormat,
oldToNew ? "1" : "0", reqNo, _histDataPointsPerSend.ToString("0000000"));
Send(reqString);
OnLookupEvent(new LookupEventArgs(reqNo, LookupType.REQ_HST_INT, LookupSequence.MessageStart));
return _lastRequestNumber;
}
// Constructor
public IQLookupHistorySymbolClient(int bufferSize)
: base(IQSocket.GetEndPoint(PortType.Lookup), bufferSize)
{
_histDataPointsPerSend = 500;
_timeMarketOpen = new Time(09, 30, 00);
_timeMarketClose = new Time(16, 00, 00);
_lastRequestNumber = -1;
_histMaxDataPoints = 5000;
}