private bool CalcNextBackfillRequest()
{
downloadStart = downloadStart.AddMinutes(downloadStep);
// if contiguous contract is being backfilled
if (TickerData.SymbolParts.IsContinuous)
{
DateTime currExp = IBClientHelper.GetContractExpiryDateTime(downloadContract);
if (currExp < downloadStart)
{
downloadContract = GetCurrentContract(currExp.AddDays(1));
downloadStart = currExp.AddMinutes(-downloadStep);
downloadStart = IBClientHelper.GetAdjustedStartDate(downloadStart, downloadPeriodicity, GetEarliestDownloadDate(), true);
}
}
// if no more to download
if (downloadPeriodicity < Periodicity.EndOfDay && downloadStart > DateTime.Now ||
downloadPeriodicity == Periodicity.EndOfDay && downloadStart.Date >= DateTime.Now.Date)
{
if (TickerData.QuoteDataStatus == QuotationStatus.DownloadingIntra)
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadedIntra;
}
if (TickerData.QuoteDataStatus == QuotationStatus.DownloadingEod)
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadedEod;
}
return(false);
}
// set the end of the download period
downloadEnd = downloadStart.AddMinutes(downloadInterval);
// indicate that more request is needed
return(true);
}
private void mBackfill_Click(object sender, EventArgs e)
{
if (firstGetQuotesExCall) // db periodicity not known yet
{
return;
}
if (string.IsNullOrEmpty(currentTicker)) // no selected ticker
{
return;
}
DateTime refreshStartDate = GetRefreshStartDate(sender);
refreshStartDate = IBClientHelper.GetAdjustedStartDate(refreshStartDate, Periodicity, DateTime.MinValue, false);
LogAndMessage.Log(MessageType.Info, currentTicker + ": Manual backfill from " + refreshStartDate.ToShortDateString() + ".");
StringCollection tickerToBackfill = new StringCollection();
tickerToBackfill.Add(currentTicker);
StartBackfills(refreshStartDate, tickerToBackfill);
}
private void mBackfillAll_Click(object sender, EventArgs e)
{
if (firstGetQuotesExCall) // db periodicity not known yet
{
return;
}
if (string.IsNullOrEmpty(currentTicker)) // no selected ticker
{
return;
}
DateTime refreshStartDate = GetRefreshStartDate(sender);
refreshStartDate = IBClientHelper.GetAdjustedStartDate(refreshStartDate, Periodicity, DateTime.MinValue, false);
//
// collecting all tickers
//
int stockCount = 0;
StringCollection tickersInDatabase = new StringCollection();
LogAndMessage.Log(MessageType.Info, "Manual backfill of all tickers from " + refreshStartDate.ToShortDateString() + ".");
try
{
Type abAppType = Type.GetTypeFromProgID("Broker.Application");
object abApp = Activator.CreateInstance(abAppType);
// access AB COM interface to get current ticker
if (abAppType != null && abApp != null)
{
object abStocks = abAppType.InvokeMember("Stocks", BindingFlags.GetProperty, null, abApp, null);
Type abStocksType = abStocks.GetType();
// get the number of stocks in the db
stockCount = (int)abStocksType.InvokeMember("Count", BindingFlags.GetProperty, null, abStocks, null);
if (stockCount > 0)
{
Type abStockType = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { 0 }).GetType();
for (int i = 0; i < stockCount; i++)
{
object abStock = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { i });
if (abStock != null)
{
string ticker = (string)abStockType.InvokeMember("Ticker", BindingFlags.GetProperty, null, abStock, null);
if (!tickersInDatabase.Contains(ticker))
{
tickersInDatabase.Add(ticker);
}
}
}
}
else
{
LogAndMessage.Log(MessageType.Trace, "Manual backfill of all symbols failed. Database has no symbols.");
}
}
else
{
LogAndMessage.Log(MessageType.Warning, "Manual backfill of all symbols failed. ActiveX interface error.");
}
}
catch (Exception ex)
{
LogAndMessage.LogAndQueue(MessageType.Error, "Manual backfill of all symbols failed. Exception: " + ex);
}
StartBackfills(refreshStartDate, tickersInDatabase);
}
private void mBackfillWL_Click(object sender, EventArgs e)
{
if (firstGetQuotesExCall) // db periodicity not known yet
{
return;
}
if (string.IsNullOrEmpty(currentTicker)) // no selected ticker
{
return;
}
DateTime refreshStartDate = GetRefreshStartDate(sender);
refreshStartDate = IBClientHelper.GetAdjustedStartDate(refreshStartDate, Periodicity, DateTime.MinValue, false);
WatchlistForm watchlistForm = new WatchlistForm(DatabasePath);
if (DialogResult.OK != watchlistForm.ShowDialog() || watchlistForm.SelectedWatchlistIndices == null)
{
return;
}
int[] selectedWatchlistIndices = watchlistForm.SelectedWatchlistIndices;
watchlistForm.Dispose();
StringCollection tickersInWatchlists = new StringCollection();
ulong watchlistBits = 0;
foreach (int watchlistId in selectedWatchlistIndices)
{
watchlistBits |= (ulong)1 << watchlistId;
}
LogAndMessage.Log(MessageType.Info, "Manual backfill of watchlists (" + watchlistBits.ToString("0x") + ") from " + refreshStartDate.ToShortDateString() + ".");
try
{
Type abAppType = Type.GetTypeFromProgID("Broker.Application");
object abApp = Activator.CreateInstance(abAppType);
// access AB COM interface to get current ticker
if (abAppType != null && abApp != null)
{
object abStocks = abAppType.InvokeMember("Stocks", BindingFlags.GetProperty, null, abApp, null);
Type abStocksType = abStocks.GetType();
// get the number of stocks in the db
int stockCount = (int)abStocksType.InvokeMember("Count", BindingFlags.GetProperty, null, abStocks, null);
if (stockCount > 0)
{
Type abStockType = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { 0 }).GetType();
for (int i = 0; i < stockCount; i++)
{
object abStock = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { i });
if (abStock != null)
{
string ticker = (string)abStockType.InvokeMember("Ticker", BindingFlags.GetProperty, null, abStock, null);
uint watchlistBits1 = (uint)(int)abStockType.InvokeMember("WatchListBits", BindingFlags.GetProperty, null, abStock, null);
uint watchlistBits2 = (uint)(int)abStockType.InvokeMember("WatchListBits2", BindingFlags.GetProperty, null, abStock, null);
ulong watchlistBitsCombined = (watchlistBits2 << 32) + watchlistBits1;
if ((watchlistBitsCombined & watchlistBits) != 0)
{
if (!tickersInWatchlists.Contains(ticker))
{
tickersInWatchlists.Add(ticker);
}
}
}
}
}
else
{
LogAndMessage.Log(MessageType.Trace, "Manual backfill of watchlists failed. Database has no symbols.");
}
}
else
{
LogAndMessage.Log(MessageType.Warning, "Manual backfill of watchlists failed. ActiveX interface error.");
}
}
catch (Exception ex)
{
LogAndMessage.LogAndQueue(MessageType.Error, "Manual backfill of watchlists failed. Exception: " + ex);
}
if (tickersInWatchlists.Count == 0)
{
LogAndMessage.Log(MessageType.Trace, "Manual backfill of watchlists failed. Selected watchlists have no symbols.");
}
else
{
StartBackfills(refreshStartDate, tickersInWatchlists);
}
}
internal override bool Process(FTController ibController, bool allowNewRequest)
{
int requestTimeoutPeriod = 75;
// if contract of the ticker is still being retrieved or headtimestamp of the ticker is needed (not Offline) AND not yet retrieved
if (TickerData.ContractStatus <= ContractStatus.WaitForResponse ||
((FTDataSource.Periodicity == Periodicity.EndOfDay || FTDataSource.AllowMixedEODIntra) && TickerData.HeadTimestampStatus <= HeadTimestampStatus.WaitForResponse))
{
return(allowNewRequest);
}
if (TickerData.ContractStatus == ContractStatus.Failed || TickerData.ContractStatus == ContractStatus.Offline ||
TickerData.HeadTimestampStatus == HeadTimestampStatus.Failed || (TickerData.HeadTimestampStatus == HeadTimestampStatus.Offline && (FTDataSource.Periodicity == Periodicity.EndOfDay || FTDataSource.AllowMixedEODIntra)))
{
TickerData.QuoteDataStatus = QuotationStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
lock (TickerData) // request handling
{
// if reqHistoricalData is send to IB and we are waiting for answer
if (WaitingForResponse)
{
// request is not yet timed out...
if (RequestTime.AddSeconds(requestTimeoutPeriod) > DateTime.Now)
{
return(allowNewRequest);
}
// no response arrived in time, request is timed out...
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Historical data request has timed out. " + ToString(true, LogAndMessage.VerboseLog));
RequestTimeouts++;
WaitingForResponse = false;
// if there were too many reqHistoricalData timeouts
if (RequestTimeouts > 2)
{
// drop this ticker...
TickerData.QuoteDataStatus = QuotationStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
}
// if no new request can be sent (request pacing)
bool histThrottling = !allowNewRequest || TickerData.QuoteDataStatus > QuotationStatus.New && RequestTime.AddSeconds(6.5) > DateTime.Now;
// process the ticker depending on its state
switch (TickerData.QuoteDataStatus)
{
case QuotationStatus.Offline:
LogAndMessage.Log(MessageType.Error, "Program error. Offline ticker cannot get historical update.");
IsFinished = true;
return(allowNewRequest);
// All historical data requests are processed for the ticker
// (the last CalcNextHistoricalDataRequest call sets this state)
case QuotationStatus.DownloadedEod:
#region Merging and backadjusting downloaded quotes of different contracts/expiry into a simgle QuotationList of the continuous contract
if (TickerData.SymbolParts.IsContinuous)
{
QuotationList mergedQuotes = new QuotationList(FTDataSource.Periodicity);
int newQuoteIndex;
foreach (ContractDetails cd in TickerData.contractDetailsList)
{
// if there were no quotes receiced for this contract...
if (!TickerData.ContinuousQuotesDictionary.ContainsKey(cd.Contract.LocalSymbol))
{
continue;
}
newQuoteIndex = 0;
if (mergedQuotes.Count > 0)
{
int mergedQuoteIndex = mergedQuotes.Count - 1;
AmiDate mergedQuoteDateTime = mergedQuotes[mergedQuoteIndex].DateTime;
// move forward to the first quote not overlqapping with prev contract
while (newQuoteIndex < TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol].Count - 1 && TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date < mergedQuoteDateTime.Date)
{
newQuoteIndex++;
}
// at this point newQuoteIndex points to a quote of the "same" date as mergedQuoteDateTime (if there are quotes for the same day, if not, then the next day)
// if daily database then we look for a day where volume on older contract is greater (switch over day)
if (FTDataSource.Periodicity == Periodicity.EndOfDay)
{
// find the quote that has a lower volume
while (newQuoteIndex > 0 && mergedQuoteIndex > 0 &&
TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date == mergedQuotes[mergedQuoteIndex].DateTime.Date && // quotes are of same date
TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].Volume > mergedQuotes[mergedQuoteIndex].Volume) // new contract's volume is higher then old contract's volume
{
newQuoteIndex--;
mergedQuoteIndex--;
}
// at this point newQuoteIndex and lastQuoteDateTime point to quote at which contract is replaced
}
if (TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date != mergedQuotes[mergedQuoteIndex].DateTime.Date)
{
LogAndMessage.Log(MessageType.Info, TickerData.ToString(cd.Contract) + ": No overlapping quote found. Used dates to change contracts: " + mergedQuotes[mergedQuoteIndex].DateTime + " and " + TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime + ".");
}
else
{
LogAndMessage.Log(MessageType.Info, TickerData.ToString(cd.Contract) + ": Switching to new contract on " + mergedQuotes[mergedQuoteIndex].DateTime + ".");
}
// get "closing prices" of the contract on the same day
float closeOfNewer = TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].Price;
float closeOfOlder = mergedQuotes[mergedQuoteIndex].Price;
double priceMult = closeOfNewer / closeOfOlder;
// back-adjust prev contracts' prices
QuotationList tempList = new QuotationList(FTDataSource.Periodicity);
for (int i = 0; i < mergedQuoteIndex; i++)
{
Quotation quote = mergedQuotes[i];
quote.Open = (float)(quote.Open * priceMult);
quote.High = (float)(quote.High * priceMult);
quote.Low = (float)(quote.Low * priceMult);
quote.Price = (float)(quote.Price * priceMult);
tempList.Merge(quote);
}
mergedQuotes.Clear();
mergedQuotes = tempList;
}
// add quotes of newer contract
for (; newQuoteIndex < TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol].Count; newQuoteIndex++)
{
mergedQuotes.Merge(TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex]);
}
}
TickerData.Quotes = mergedQuotes;
}
#endregion
// this is not THROTTLED, but counted in general throttling queue
ibController.SendSubscriptionRequest(0, TickerData, false);
TickerData.QuoteDataStatus = QuotationStatus.Online;
return(allowNewRequest);
// this should never happen (ticker with online status should not be in the queue...)
case QuotationStatus.Online:
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Backfill finished, symbol is ready. ");
IsFinished = true;
return(allowNewRequest);
// if any error happend
case QuotationStatus.Failed:
// if intraday download received no data response
if (errorCode == 162 && FTDataSource.Periodicity < Periodicity.EndOfDay && FTDataSource.Periodicity > Periodicity.FifteenSeconds)
{
errorCode = 0;
// move forward 4 periods to speed up download/find first valid period with available data
CalcNextBackfillRequest();
CalcNextBackfillRequest();
CalcNextBackfillRequest();
LogAndMessage.Log(TickerData, MessageType.Trace, "No data returned, fast forward download period.");
// start next download
TickerData.QuoteDataStatus = QuotationStatus.DownloadingIntra;
return(allowNewRequest);
}
else
{
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Backfill failed, symbol is offline.");
IsFinished = true;
return(allowNewRequest);
}
// start historical data refresh
case QuotationStatus.New:
if (histThrottling)
{
return(false);
}
// calc download properties
downloadPeriodicity = FTDataSource.Periodicity;
downloadStep = IBClientHelper.GetDownloadStep(FTDataSource.Periodicity);
downloadInterval = IBClientHelper.GetDownloadInterval(FTDataSource.Periodicity);
downloadStart = IBClientHelper.GetAdjustedStartDate(TickerData.RefreshStartDate, FTDataSource.Periodicity, GetEarliestDownloadDate(), true);
downloadEnd = downloadStart.AddMinutes(downloadInterval);
downloadContract = GetCurrentContract(downloadStart);
// remove quotes already stored
TickerData.Quotes.Clear();
// set next state
if (FTDataSource.Periodicity == Periodicity.EndOfDay)
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadingEod;
}
else
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadingIntra;
}
// not to wait to send next request
RequestTime = DateTime.MinValue;
// download historical data
SendBackfillRequest(ibController);
return(false);
case QuotationStatus.DownloadingEod:
case QuotationStatus.DownloadingIntra:
if (histThrottling)
{
return(false);
}
// if previous request timed out
if (RequestTimeouts != 0)
{
SendBackfillRequest(ibController);
}
// download historical data
else if (CalcNextBackfillRequest())
{
SendBackfillRequest(ibController);
}
return(false);
// last CalcNextHistoricalDataRequest call for intraday bars should have set this state
case QuotationStatus.DownloadedIntra:
// if we need EOD data as well
if (FTDataSource.AllowMixedEODIntra)
{
if (histThrottling)
{
return(false);
}
// calc download properties for EOD
downloadPeriodicity = Periodicity.EndOfDay;
downloadStep = IBClientHelper.GetDownloadStep(Periodicity.EndOfDay);
downloadInterval = IBClientHelper.GetDownloadInterval(Periodicity.EndOfDay);
downloadStart = IBClientHelper.GetAdjustedStartDate(TickerData.RefreshStartDate, Periodicity.EndOfDay, GetEarliestDownloadDate(), true);
downloadEnd = downloadStart.AddMinutes(downloadInterval);
downloadContract = GetCurrentContract(downloadStart);
SendBackfillRequest(ibController);
TickerData.QuoteDataStatus = QuotationStatus.DownloadingEod;
}
else
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadedEod;
}
return(false);
default:
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Program error in backfill logic.");
IsFinished = true;
return(true);
}
}
}