internal static string CombinedBarsRangeTime(string symbol, BarPeriod barPeriod, DateTime startTime, DateTime endTime, double barCountDbl)
{
var isTimeZero = FdkHelper.IsTimeZero(startTime);
BarData[] barsDataBid;
BarData[] barsDataAsk;
if (FdkHelper.IsTimeZero(startTime))
{
var barCount = (int)barCountDbl;
if (barCount == 0)
{
barCount = FdkBars.HugeCount;
}
barsDataAsk = CalculateBarsForSymbolArray(symbol, PriceType.Ask, endTime, barPeriod, barCount);
barsDataBid = CalculateBarsForSymbolArray(symbol, PriceType.Bid, endTime, barPeriod, barCount);
}
else
{
barsDataAsk = CalculateBarsForSymbolArrayRangeTime(symbol, PriceType.Ask, startTime, endTime, barPeriod);
barsDataBid = CalculateBarsForSymbolArrayRangeTime(symbol, PriceType.Bid, startTime, endTime, barPeriod);
}
ReversIfNeed(barsDataAsk);
ReversIfNeed(barsDataBid);
var barsData = FdkBarsMerger.ProcessedBarsResult(barsDataBid, barsDataAsk);
//LogBars(barsData);
var bars = FdkVars.RegisterVariable(barsData, "bars");
return(bars);
}
public static string GetLocalQuoteSnapshot(double id)
{
var quotes = BuildSnapshotFromMonitor(id);
string result = FdkVars.RegisterVariable(quotes, "localSnapshot");
return(result);
}
public static double[] GetBarsAskHigh(string pairBars)
{
var barData = FdkVars.GetValue <PairBar[]>(pairBars);
return(FdkBars.GetBarsHigh(barData
.SelectToArray(barPair => barPair.Ask.ToBarData())));
}
/// <summary>
/// Get quote packed
/// </summary>
/// <param name="symbol">Symbol to get quotes on</param>
/// <param name="startTime"></param>
/// <param name="endTime"></param>
/// <param name="levelDbl"></param>
/// <returns></returns>
public static string GetQuotePacked(string symbol, DateTime startTime, DateTime endTime, double levelDbl = 2)
{
try
{
var level = (int)levelDbl;
Log.InfoFormat("FdkLevel2.GetQuotePacked( symbol: {0}, startTime: {1}, endTime: {2}, level: {3} {4})",
symbol, startTime, endTime, levelDbl, startTime.Kind.ToString());
Quote[] quotesData = FdkQuotes.CalculateHistoryForSymbolArray(symbol, startTime, endTime, level);
var quoteLevel2Data = BuildQuoteMultiLevelData(quotesData, level);
var quoteHistory = FdkVars.RegisterVariable(quoteLevel2Data, "quotesL2");
return(quoteHistory);
}
catch (OutOfMemoryException ex)
{
Log.Error("Too large amount of data. Adjust the query");
throw;
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
finally
{
GC.Collect();
}
}
/// <summary>
/// Get the bar data as pairs
/// </summary>
/// <param name="symbol"></param>
/// <param name="barPeriodStr"></param>
/// <param name="startTime"></param>
/// <param name="endTime"></param>
/// <param name="barCountDbl"></param>
/// <returns></returns>
public static string ComputeGetPairBars(string symbol, string barPeriodStr, DateTime startTime, DateTime endTime, double barCountDbl)
{
try
{
var barPeriod = FdkHelper.GetFieldByName <BarPeriod>(barPeriodStr);
if (barPeriod == null)
{
return(String.Empty);
}
Log.InfoFormat("FdkBarPairs.ComputeBarPairs( symbol: {0}, barPeriod: {1}, startTime: {2}, endTime: {3}, barCount: {4})",
symbol, barPeriodStr, startTime, endTime, barCountDbl);
PairBar[] barsData;
if (FdkHelper.IsTimeZero(startTime))
{
var barCount = (int)barCountDbl;
barsData = GetPairBarsSymbolArray(symbol, barPeriod, endTime, -barCount);
}
else
{
barsData = GetPairBarsSymbolArrayRangeTime(symbol, barPeriod, startTime, endTime);
}
var bars = FdkVars.RegisterVariable(barsData, "barPairs");
return(bars);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
public static DateTime[] GetBarsAskFrom(string pairBars)
{
var barData = FdkVars.GetValue <PairBar[]>(pairBars);
return(barData
.Select(barPair => ValidTimeFromTwoTimes(TimeFrom(barPair.Bid), TimeFrom(barPair.Ask)))
.ToArray());
}
public static string GetTradeTransactionReportAll()
{
var tradeRecordsStream = Trade.Server.GetTradeTransactionReports(TimeDirection.Forward, false, null, null)
.ToArray().ToList();
var tradeRecordList = tradeRecordsStream.ToArray();
var varName = FdkVars.RegisterVariable(tradeRecordList, "tradeReports");
return(varName);
}
public static string ComputeBarsRangeTime(string symbol, string priceTypeStr, string barPeriodStr,
DateTime startTime, DateTime endTime, double barCountDbl)
{
Stopwatch stopWatch = Stopwatch.StartNew();
try
{
var barPeriod = FdkHelper.GetFieldByName <BarPeriod>(barPeriodStr);
if (barPeriod == null)
{
return(string.Empty);
}
if (priceTypeStr == "BidAsk")
{
return(CombinedBarsRangeTime(symbol, barPeriod, startTime, endTime, barCountDbl));
}
var priceType = FdkHelper.ParseEnumStr <PriceType>(priceTypeStr);
if (priceType == null)
{
return(string.Empty);
}
Log.InfoFormat("FdkBars.ComputeBarsRangeTime( symbol: {0}, barPeriod: {1}, startTime: {2}, endTime: {3}, barCount: {4} priceType: {5})",
symbol, barPeriodStr, startTime, endTime, barCountDbl, priceType);
BarData[] barsData;
if (FdkHelper.IsTimeZero(startTime))
{
var barCount = (int)barCountDbl;
if (barCount == 0)
{
barCount = HugeCount;
}
barsData = CalculateBarsForSymbolArray(symbol, priceType.Value, endTime, barPeriod, barCount);
}
else
{
barsData = CalculateBarsForSymbolArrayRangeTime(symbol, priceType.Value, startTime, endTime, barPeriod);
}
Log.InfoFormat("Elapsed time: {0} ms for {1} items", stopWatch.ElapsedMilliseconds, barsData.Length);
var bars = FdkVars.RegisterVariable(barsData, "bars");
return(bars);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
public static string ComputeGetPairBarsRange(string symbol, string barPeriodStr, DateTime startTime, DateTime endTime)
{
var barPeriod = FdkHelper.GetFieldByName <BarPeriod>(barPeriodStr);
if (barPeriod == null)
{
return(string.Empty);
}
var barsData = FdkBarPairs.GetPairBarsSymbolArrayRangeTime(symbol, barPeriod, startTime, endTime);
var bars = FdkVars.RegisterVariable(barsData, "barPairs");
return(bars);
}
public static string GetSessionInfo()
{
try
{
var sessionInfo = Feed.Server.GetSessionInfo();
var result = FdkVars.RegisterVariable(sessionInfo, "SessionInfo");
return(result);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
public static string SnapshotMonitoredSymbol(double id)
{
try
{
var quotes = BuildSnapshotFromMonitor(id);
var resultVarName = FdkVars.RegisterVariable(quotes, "rt_quotes_snapshot");
return(resultVarName);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
public static string GetSymbolInfos()
{
try
{
var symbolInfos = Symbols;
var varName = FdkVars.RegisterVariable(symbolInfos, "symbolsInfo");
return(varName);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
public static string GetCurrencyInfos()
{
try
{
var symbolInfos = FdkHelper.Wrapper.ConnectLogic.Feed.Cache.Currencies;
var varName = FdkVars.RegisterVariable(symbolInfos, "currencyInfo");
return(varName);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
public static string GetTradeHistory()
{
try
{
TradeRecord[] tradeRecords = Trade.Server.GetTradeRecords()
.ToArray();
var varName = FdkVars.RegisterVariable(tradeRecords, "trades");
return(varName);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
public static string ComputeQuoteHistory(string symbol, DateTime startTime, DateTime endTime, double depthDbl)
{
try
{
var depth = (int)depthDbl;
Log.InfoFormat("FdkQuotes.ComputeQuoteHistory( symbol: {0}, startTime: {1}, endTime: {2}, level: {3})",
symbol, startTime, endTime, depthDbl);
var quotesData = CalculateHistoryForSymbolArray(symbol, startTime, endTime, depth);
var quoteHistory = FdkVars.RegisterVariable(quotesData, "quotes");
return(quoteHistory);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
public static string GetTradeTransactionReport(DateTime from, DateTime to)
{
try
{
Log.InfoFormat("FdkTradeReports.GetTradeTransactionReport( from: {0}, to: {1}",
from, to);
var tradeRecordsStream = Trade.Server.GetTradeTransactionReports(TimeDirection.Forward, false, from, to)
.ToArray().ToList();
var tradeRecordList = tradeRecordsStream.ToArray();
var varName = FdkVars.RegisterVariable(tradeRecordList, "tradeReports");
return(varName);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
/// <summary>
/// Get quote packed
/// </summary>
/// <param name="symbol">Symbol to get quotes on</param>
/// <param name="startTime"></param>
/// <param name="endTime"></param>
/// <param name="levelDbl"></param>
/// <returns></returns>
public static string GetQuotePacked(string symbol, DateTime startTime, DateTime endTime, double levelDbl = 2)
{
try
{
var level = (int)levelDbl;
Log.InfoFormat("FdkLevel2.GetQuotePacked( symbol: {0}, startTime: {1}, endTime: {2}, level: {3})",
symbol, startTime, endTime, levelDbl);
Quote[] quotesData = FdkQuotes.CalculateHistoryForSymbolArray(symbol, startTime, endTime, level);
var quoteLevel2Data = BuildQuoteMultiLevelData(quotesData, level);
var quoteHistory = FdkVars.RegisterVariable(quoteLevel2Data, "quotesL2");
return(quoteHistory);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
public static string ComputeBarsRangeTime(string symbol, string priceTypeStr, string barPeriodStr,
DateTime startTime, DateTime endTime, double barCountDbl)
{
try
{
var barPeriod = FdkHelper.GetFieldByName <BarPeriod>(barPeriodStr);
if (barPeriod == null)
{
return(string.Empty);
}
var priceType = FdkHelper.ParseEnumStr <PriceType>(priceTypeStr);
if (priceType == null)
{
return(string.Empty);
}
Log.InfoFormat("FdkBars.ComputeBarsRangeTime( symbol: {0}, barPeriod: {1}, startTime: {2}, endTime: {3}, barCount: {4})",
symbol, barPeriodStr, startTime, endTime, barCountDbl);
Bar[] barsData;
if (FdkHelper.IsTimeZero(startTime))
{
var barCount = (int)barCountDbl;
barsData = CalculateBarsForSymbolArray(symbol, priceType.Value, endTime, barPeriod, barCount);
}
else
{
barsData = CalculateBarsForSymbolArrayRangeTime(symbol, priceType.Value, startTime, endTime, barPeriod);
}
var bars = FdkVars.RegisterVariable(barsData, "bars");
return(bars);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
public static string GetTradeRecords(DateTime startTime, DateTime endTime)
{
try
{
var allTrades = Trade.Server.GetTradeRecords();
TradeRecord[] tradeRecords = allTrades
.Where(trade => OpenTradeTypes.Contains(trade.Type))
.Where(tr => tr.Created != null && (tr.Created >= startTime && tr.Created <= endTime))
.ToArray();
Log.InfoFormat("FdkTrade.GetTradeRecords( start: {0}, end: {1}",
startTime, endTime);
var varName = FdkVars.RegisterVariable(tradeRecords, "trades");
return(varName);
}
catch (Exception ex)
{
Log.Error(ex);
throw;
}
}
public static double[] QuotesSpread(string bars)
{
var quotes = FdkVars.GetValue <Quote[]>(bars);
return(QuoteArraySpread(quotes));
}
public static DateTime[] QuoteRealTimeReceivingTime(string snapshotName)
{
var quotes = FdkVars.GetValue <FdkRealTimeQuote[]>(snapshotName);
return(quotes.SelectToArray(bid => bid.ReceivingTime.AddUtc()));
}
public static double[] QuoteRealTimeAskVolume(string snapshotName)
{
var quotes = FdkVars.GetValue <FdkRealTimeQuote[]>(snapshotName);
return(quotes.SelectToArray(bid => bid.AskVolume));
}
public static double[] GetBarsBidClose(string pairBars)
{
var barData = FdkVars.GetValue <PairBar[]>(pairBars);
return(FdkBars.GetBarsClose(barData.SelectToArray(barPair => barPair.Bid)));
}
public static DateTime[] GetBarsBidTo(string pairBars)
{
var barData = FdkVars.GetValue <PairBar[]>(pairBars);
return(FdkBars.GetBarsTo(barData.SelectToArray(barPair => barPair.Bid)));
}
public static double[] GetCurrencySortOrder(string currencyInfo)
{
var currencyInfos = FdkVars.GetValue <CurrencyInfo[]>(currencyInfo);
return(currencyInfos.SelectToArray(b => (double)b.SortOrder));
}
public static double[] GetCurrencyPrecision(string currencyInfo)
{
var currencyInfos = FdkVars.GetValue <CurrencyInfo[]>(currencyInfo);
return(currencyInfos.SelectToArray(b => (double)b.Precision));
}
public static string[] GetCurrencyName(string currencyInfo)
{
var currencyInfos = FdkVars.GetValue <CurrencyInfo[]>(currencyInfo);
return(currencyInfos.SelectToArray(b => b.Name));
}
public static string[] GetCurrencyDescription(string currencyInfo)
{
var currencyInfos = FdkVars.GetValue <CurrencyInfo[]>(currencyInfo);
return(currencyInfos.SelectToArray(b => b.Description));
}
public static DateTime[] QuotesCreatingTime(string bars)
{
var quotes = FdkVars.GetValue <Quote[]>(bars);
return(QuoteArrayCreateTime(quotes));
}
public static double[] GetBarsAskVolume(string pairBars)
{
var barData = FdkVars.GetValue <PairBar[]>(pairBars);
return(FdkBars.GetBarsVolume(barData.SelectToArray(barPair => barPair.Ask)));
}