public NCDFile(NCDFileType ncdFileType, string path)
{
_ncdFileType = ncdFileType;
if (!File.Exists(path))
{
throw new FileNotFoundException();
}
_br = new BinaryReader(new MemoryStream(File.ReadAllBytes(path)));
_fileName = Path.GetFileName(path);
_tickSizeTime = _br.ReadUInt32();
_tickSizePrice = _br.ReadDouble();
_fileStartPrice = _lastPrice = _br.ReadDouble();
_fileStartDateTicks = (long)_br.ReadUInt64();
_fileStartDateTime = _lastDateTime = TimeZoneInfo.ConvertTime(
new DateTime((long)_fileStartDateTicks),
TimeZoneInfo.Local /*ApplicationTimeZone*/);
}
public NCDFiles(NCDFileType ncdFileType, string instrumentId, DateTime date, int numberDaysForward = 0, int numberDaysBack = 0)
{
_NCDFileType = ncdFileType;
_instrumentId = instrumentId;
// build file list
DateTime startDate = date.Date.AddDays(-numberDaysBack);
DateTime endDate = date.Date.AddDays(numberDaysForward);
string instrumentDataPath = null;
if (_NCDFileType == NCDFileType.Minute)
{
instrumentDataPath = Path.Combine(NinjaTrader.GlobalOptions.HistoricalDataPath, "minute", instrumentId);
}
else if (_NCDFileType == NCDFileType.Tick)
{
instrumentDataPath = Path.Combine(NinjaTrader.GlobalOptions.HistoricalDataPath, "tick", instrumentId);
}
else
{
throw new Exception($"Invalid NCDFileType: {_NCDFileType}");
}
_files = new List <string>(
Directory.GetFiles(instrumentDataPath).Where(filePath =>
(DateTime.ParseExact(Path.GetFileName(filePath).Substring(0, 8), "yyyyMMdd", CultureInfo.InvariantCulture)
.Between(startDate, endDate))).OrderBy(filePath => filePath)
);
if (_files.Count == 0)
{
if (startDate == endDate)
{
throw new Exception($"No files found for date: {date:MM/dd/yyyy}.");
}
else
{
throw new Exception($"No files found for date range: {startDate:MM/dd/yyyy} - {endDate:MM/dd/yyyy}.");
}
}
_filesLeft = new List <string>(_files);
GetNextFile();
}
