public K2DataObjects.PriceBar[] GetPriceBars(string mnemonic, long startTick, int count)
{
using (K2DataObjects.DataContext db = new K2DataObjects.DataContext(_connectString))
{
var barSet =
(from bar in db.PriceBars
where (bar.Mnemonic == mnemonic) && (bar.TimeStamp >= startTick)
select bar).Take(count);
return (barSet.ToArray());
}
}
public K2DataObjects.PriceBar GetLastPriceBars(string mnemonic, long startTick)
{
using (K2DataObjects.DataContext db = new K2DataObjects.DataContext(_connectString))
{
var barSet =
(from bar in db.PriceBars
where (bar.Mnemonic == mnemonic) && (bar.TimeStamp >= startTick)
select bar).LastOrDefault();
return (barSet);
}
}
public void Insert(K2DataObjects.PriceBar inBar, bool allowUpdate)
{
try
{
using (K2DataObjects.DataContext db = new K2DataObjects.DataContext(_connectString))
{
var dbPriceBars =
(from bar in db.PriceBars
where bar.Mnemonic == inBar.Mnemonic &&
bar.ItemType == inBar.ItemType &&
bar.ItemSize == inBar.ItemSize &&
bar.TimeStamp == inBar.TimeStamp &&
bar.RequestID == inBar.RequestID
select bar).SingleOrDefault();
if (dbPriceBars != null)
{
if (allowUpdate)
{
db.PriceBars.DeleteOnSubmit(dbPriceBars);
db.SubmitChanges();
}
else
{
throw new Exception("bar exists");
}
}
db.PriceBars.InsertOnSubmit(inBar);
db.SubmitChanges();
}
}
catch (Exception myE)
{
m_Log.Error("Insert", myE);
}
}
public decimal[][] GetCurveValues(string mnemonic, long startTick, int count, List<string> headerIDs)
{
try
{
Dictionary<string, int> headerIndex = new Dictionary<string, int>();
int i = 0;
foreach (string header in headerIDs)
{
if (!headerIndex.ContainsKey(header))
{
headerIndex.Add(header, i++);
}
}
List<decimal[]> cvResult = new List<decimal[]>();
using (K2DataObjects.DataContext db = new K2DataObjects.DataContext(_connectString))
{
var curveValueSet =
(from cv in db.CurveValues
where (cv.Mnemonic == mnemonic) && (cv.TimeStamp >= startTick)
orderby cv.TimeStamp
select cv);
long prevTimeStamp = 0;
decimal[] headerValues=null;
// NEED TO AGGRGATE TO N second chuncks so match bars
// ELSE NEED SOME FAST LOOK UP
long roundedTime = 0;
foreach (K2DataObjects.CurveValue v in curveValueSet)
{
roundedTime = RoundTimeStamp(v.TimeStamp, 60000);
if (prevTimeStamp != roundedTime)
{
// DONT ADD IF NOT USED i.e. 0 values
headerValues = new decimal[headerIDs.Count];
cvResult.Add(headerValues);
prevTimeStamp = roundedTime;
if (cvResult.Count >= count)
{
break;
}
}
if (headerIndex.ContainsKey(v.HeaderID))
{
// MARK ROW AS USED
if (v.Value > 0)
{
headerValues[headerIndex[v.HeaderID]] = v.Value;
}
}
if (headerIndex.ContainsKey("TimeStamp"))
{
if (v.Value > 0)
{
headerValues[headerIndex["TimeStamp"]] = v.TimeStamp;
}
}
}
}
return cvResult.ToArray();
}
catch (Exception ex)
{
}
return null;
}
public void Insert(K2DataObjects.CurveValue inCurveValue, bool allowUpdate)
{
try
{
using (K2DataObjects.DataContext db = new K2DataObjects.DataContext(_connectString))
{
var dbCurveVals =
(from cv in db.CurveValues
where cv.Mnemonic == inCurveValue.Mnemonic &&
cv.ItemType == inCurveValue.ItemType &&
cv.ItemSize == inCurveValue.ItemSize &&
cv.TimeStamp == inCurveValue.TimeStamp &&
cv.RequestID == inCurveValue.RequestID &&
cv.HeaderID == inCurveValue.HeaderID
select cv).SingleOrDefault();
if (dbCurveVals != null)
{
if (allowUpdate)
{
db.CurveValues.DeleteOnSubmit(dbCurveVals);
db.SubmitChanges();
}
else
{
throw new Exception("bar exists");
}
}
db.CurveValues.InsertOnSubmit(inCurveValue);
db.SubmitChanges();
}
}
catch (Exception myE)
{
m_Log.Error("Insert", myE);
}
}
public long GetLastCurveValueTimeTick(string mnemonic, long startTick)
{
try
{
using (K2DataObjects.DataContext db = new K2DataObjects.DataContext(_connectString))
{
var curveValueSet =
(from cv in db.CurveValues
where (cv.Mnemonic == mnemonic) && (cv.TimeStamp >= startTick)
orderby cv.TimeStamp
select cv).LastOrDefault();
return curveValueSet.TimeStamp;
}
}
catch (Exception ex)
{
}
return 0;
}
