public void HistoricalDataRequestsAreForwardedToTheBroker()
{
var instrument = new Instrument
{
ID = 1,
Symbol = "SPY",
Datasource = new Datasource {
ID = 1, Name = "MockSource"
},
Exchange = new Exchange
{
ID = 1,
Name = "Exchange",
Timezone = "Eastern Standard Time"
}
};
var request = new HistoricalDataRequest(instrument, BarSize.OneDay, new DateTime(2012, 1, 1), new DateTime(2013, 1, 1));
_client.RequestHistoricalData(request);
// TODO: Think about delay amount
Thread.Sleep(1500);
_historicalDataBrokerMock.Verify(
x => x.RequestHistoricalData(
It.Is <HistoricalDataRequest>(
r =>
r.Instrument.ID == 1 &&
r.Frequency == BarSize.OneDay &&
r.StartingDate == new DateTime(2012, 1, 1) &&
r.EndingDate == new DateTime(2013, 1, 1))),
Times.Once);
}
public decimal?GetLastPrice(EntityModel.Instrument instrument, out DateTime lastDate)
{
lastDate = new DateTime(1, 1, 1);
var qdmsInst = instrument.GetQDMSInstrument(_instrumentsList);
if (qdmsInst == null || !qdmsInst.ID.HasValue)
{
return(null);
}
StoredDataInfo dataInfo = TryGetStorageInfo(qdmsInst);
if (dataInfo == null)
{
return(null);
}
var lastAvailableDate = dataInfo.LatestDate;
//Send out the request for the data
var req = new HistoricalDataRequest
{
Instrument = qdmsInst,
StartingDate = lastAvailableDate.AddDays(-1),
EndingDate = lastAvailableDate,
Frequency = BarSize.OneDay,
DataLocation = _allowFreshData ? DataLocation.Both : DataLocation.LocalOnly,
RTHOnly = true,
SaveDataToStorage = false
};
var id = _client.RequestHistoricalData(req);
_requestIDs.Add(id, false);
//Wait until the data arrives
int i = 0;
while (i < 100)
{
Thread.Sleep(20);
lock (_arrivedDataLock)
{
if (_requestIDs[id])
{
var data = _arrivedData[qdmsInst.ID.Value].Last();
_arrivedData.Remove(qdmsInst.ID.Value);
lastDate = data.DT;
return(data.Close);
}
}
i++;
}
return(null);
}
private static void Main()
{
//create the client, assuming the default port settings
using (var client = new QDMSClient.QDMSClient("SampleClient", "127.0.0.1", 5556, 5557, 5558, 5555)) {
//hook up the events needed to receive data & error messages
client.HistoricalDataReceived += client_HistoricalDataReceived;
client.RealTimeDataReceived += client_RealTimeDataReceived;
client.LocallyAvailableDataInfoReceived += client_LocallyAvailableDataInfoReceived;
client.Error += client_Error;
//connect to the server
client.Connect();
//make sure the connection was succesful before we continue
if (!client.Connected)
{
Console.WriteLine("Could not connect.");
Console.WriteLine("Press enter to exit.");
Console.ReadLine();
return;
}
//request the list of available instruments
var instruments = client.FindInstruments();
foreach (var i in instruments)
{
Console.WriteLine($"Instrument ID {i.ID}: {i.Symbol} ({i.Type}), Datasource: {i.Datasource.Name}");
}
Thread.Sleep(3000);
//then we grab some historical data from Yahoo
//start by finding the SPY instrument
var spy = instruments.FirstOrDefault(x => x.Symbol == "SPY" && x.Datasource.Name == "Yahoo");
if (spy != null)
{
var req = new HistoricalDataRequest(
spy,
BarSize.OneDay,
new DateTime(2013, 1, 1),
new DateTime(2013, 1, 15));
client.RequestHistoricalData(req);
Thread.Sleep(3000);
//now that we downloaded the data, let's make a request to see what is stored locally
client.GetLocallyAvailableDataInfo(spy);
Thread.Sleep(3000);
//finally send a real time data request (from the simulated data datasource)
spy.Datasource.Name = "SIM";
var rtReq = new RealTimeDataRequest(spy, BarSize.OneSecond);
client.RequestRealTimeData(rtReq);
Thread.Sleep(3000);
//And then cancel the real time data stream
client.CancelRealTimeData(spy);
}
Console.WriteLine("Press enter to exit.");
Console.ReadLine();
}
}
public void RequestHistoricalDataRaisesErrorEventAndReturnsMinusOneWhenDatesAreWrong()
{
var req = new HistoricalDataRequest
{
Instrument = new Instrument {
ID = 1, Symbol = "SPY"
},
StartingDate = new DateTime(2012, 1, 1),
EndingDate = new DateTime(2011, 1, 1),
Frequency = BarSize.OneDay
};
bool errorTriggered = false;
_client.Error += (sender, e) => errorTriggered = true;
Assert.AreEqual(-1, _client.RequestHistoricalData(req));
Assert.IsTrue(errorTriggered);
}
private void LoadDataBtn_Click(object sender, RoutedEventArgs e)
{
Data.Clear();
DateTime start = StartDate + StartTime.TimeOfDay;
DateTime end = EndDate + EndTime.TimeOfDay;
_client.RequestHistoricalData(new HistoricalDataRequest(
TheInstrument,
(BarSize)ResolutionComboBox.SelectedItem,
start,
end,
dataLocation: (DataLocation)DataLocationComboBox.SelectedItem,
saveToLocalStorage: SaveToLocalStorageCheckBox.IsChecked ?? true,
rthOnly: RTHOnlyCheckBox.IsChecked ?? true));
}
//check the latest date we have available in local storage, then request historical data from that date to the current time
private void UpdateHistoricalDataBtn_ItemClick(object sender, RoutedEventArgs routedEventArgs)
{
var frequency = (BarSize)((MenuItem)sender).Tag;
List <Instrument> selectedInstruments = InstrumentsGrid.SelectedItems.Cast <Instrument>().ToList();
int requestCount = 0;
using (var localStorage = DataStorageFactory.Get())
{
foreach (Instrument i in selectedInstruments)
{
if (!i.ID.HasValue)
{
continue;
}
var storageInfo = localStorage.GetStorageInfo(i.ID.Value);
if (storageInfo.Any(x => x.Frequency == frequency))
{
var relevantStorageInfo = storageInfo.First(x => x.Frequency == frequency);
_client.RequestHistoricalData(new HistoricalDataRequest(
i,
frequency,
relevantStorageInfo.LatestDate + frequency.ToTimeSpan(),
DateTime.Now,
dataLocation: DataLocation.ExternalOnly,
saveToLocalStorage: true));
requestCount++;
}
}
}
if (_progressBar.Value >= _progressBar.Maximum)
{
_progressBar.Maximum = requestCount;
_progressBar.Value = 0;
}
else
{
_progressBar.Maximum += requestCount;
}
}
static void Main()
{
//create the client, assuming the default port settings
QDMSClient.QDMSClient client = new QDMSClient.QDMSClient(
"SampleClient",
"127.0.0.1",
5556,
5557,
5558,
5555);
//hook up the events needed to receive data & error messages
client.HistoricalDataReceived += client_HistoricalDataReceived;
client.RealTimeDataReceived += client_RealTimeDataReceived;
client.LocallyAvailableDataInfoReceived += client_LocallyAvailableDataInfoReceived;
client.Error += client_Error;
//connect to the server
client.Connect();
//make sure the connection was succesful before we continue
if (!client.Connected)
{
Console.WriteLine("Could not connect.");
Console.WriteLine("Press enter to exit.");
Console.ReadLine();
return;
}
//request the list of available instruments
List<Instrument> instruments = client.FindInstruments();
foreach (Instrument i in instruments)
{
Console.WriteLine("Instrument ID {0}: {1} ({2}), Datasource: {3}",
i.ID,
i.Symbol,
i.Type,
i.Datasource.Name);
}
Thread.Sleep(3000);
//then we grab some historical data from Yahoo
//start by finding the SPY instrument
var spy = client.FindInstruments(x => x.Symbol == "SPY" && x.Datasource.Name == "Yahoo").FirstOrDefault();
if (spy != null)
{
var req = new HistoricalDataRequest(
spy,
BarSize.OneDay,
new DateTime(2013, 1, 1),
new DateTime(2013, 1, 15),
dataLocation: DataLocation.Both,
saveToLocalStorage: true,
rthOnly: true);
client.RequestHistoricalData(req);
Thread.Sleep(3000);
//now that we downloaded the data, let's make a request to see what is stored locally
client.GetLocallyAvailableDataInfo(spy);
Thread.Sleep(3000);
//finally send a real time data request (from the simulated data datasource)
spy.Datasource.Name = "SIM";
var rtReq = new RealTimeDataRequest(spy, BarSize.OneSecond);
client.RequestRealTimeData(rtReq);
Thread.Sleep(3000);
//And then cancel the real time data stream
client.CancelRealTimeData(spy);
}
Console.WriteLine("Press enter to exit.");
Console.ReadLine();
client.Disconnect();
client.Dispose();
}
/// <summary>
/// Called by the <see cref="T:Quartz.IScheduler"/> when a <see cref="T:Quartz.ITrigger"/>
/// fires that is associated with the <see cref="T:Quartz.IJob"/>.
/// </summary>
/// <remarks>
/// The implementation may wish to set a result object on the
/// JobExecutionContext before this method exits. The result itself
/// is meaningless to Quartz, but may be informative to
/// <see cref="T:Quartz.IJobListener"/>s or
/// <see cref="T:Quartz.ITriggerListener"/>s that are watching the job's
/// execution.
/// </remarks>
/// <param name="context">The execution context.</param>
public void Execute(IJobExecutionContext context)
{
_logger = LogManager.GetCurrentClassLogger();
JobDataMap dataMap = context.JobDetail.JobDataMap;
var details = (DataUpdateJobDetails)dataMap["details"];
_jobName = details.Name;
Log(LogLevel.Info, string.Format("Data Update job {0} triggered.", details.Name));
//Multiple jobs may be called simultaneously, so what we do is seed the Random based on the job name
byte[] bytes = new byte[details.Name.Length * sizeof(char)];
System.Buffer.BlockCopy(details.Name.ToCharArray(), 0, bytes, 0, bytes.Length);
var r = new Random((int)DateTime.Now.TimeOfDay.TotalSeconds ^ BitConverter.ToInt32(bytes, 0));
var im = new InstrumentManager();
List<Instrument> instruments = details.UseTag
? im.FindInstruments(pred: x => x.Tags.Any(y => y.ID == details.TagID))
: im.FindInstruments(pred: x => x.ID == details.InstrumentID);
if (instruments.Count == 0)
{
Log(LogLevel.Error, string.Format("Aborting data update job {0}: no instruments found.", details.Name));
return;
}
using (var client = new QDMSClient.QDMSClient(
"DataUpdateJobClient" + r.Next().ToString(),
"127.0.0.1",
Properties.Settings.Default.rtDBReqPort,
Properties.Settings.Default.rtDBPubPort,
Properties.Settings.Default.instrumentServerPort,
Properties.Settings.Default.hDBPort))
{
//try to connect
try
{
client.Connect();
}
catch (Exception ex)
{
Log(LogLevel.Error, string.Format("Aborting data update job {0}: connection error {1}", details.Name, ex.Message));
return;
}
//Hook up the error event, we want to log that stuff
client.Error += client_Error;
//What we do here: we check what we have available locally..
//If there is something, we send a query to grab data between the last stored time and "now"
//Otherwise we send a query to grab everything since 1900
using (var localStorage = DataStorageFactory.Get())
{
foreach (Instrument i in instruments)
{
if (!i.ID.HasValue) continue;
//don't request data on expired securities unless the expiration was recent
if (i.Expiration.HasValue && (DateTime.Now - i.Expiration.Value).TotalDays > 15)
{
Log(LogLevel.Trace, string.Format("Data update job {0}: ignored instrument w/ ID {1} due to expiration date.", details.Name, i.ID));
continue;
}
DateTime startingDT = new DateTime(1900, 1, 1);
var storageInfo = localStorage.GetStorageInfo(i.ID.Value);
if (storageInfo.Any(x => x.Frequency == details.Frequency))
{
var relevantStorageInfo = storageInfo.First(x => x.Frequency == details.Frequency);
startingDT = relevantStorageInfo.LatestDate;
}
client.RequestHistoricalData(new HistoricalDataRequest(
i,
details.Frequency,
startingDT,
DateTime.Now, //TODO this should be in the instrument's timezone...
forceFreshData: true,
localStorageOnly: false,
saveToLocalStorage: true,
rthOnly: true));
}
}
//Requests aren't sent immediately so wait before killing the client to make sure the request gets to the server
Thread.Sleep(50);
client.Disconnect();
}
Log(LogLevel.Info, string.Format("Data Update job {0} completed.", details.Name));
}