Ejemplo n.º 1
0
        /// <summary>
        /// Primary entry point to the program
        /// </summary>
        public static void FxcmDownloader(IList <string> tickers, string resolution, DateTime startDate, DateTime endDate)
        {
            if (resolution.IsNullOrEmpty() || tickers.IsNullOrEmpty())
            {
                Console.WriteLine("FxcmDownloader ERROR: '--tickers=' or '--resolution=' parameter is missing");
                Console.WriteLine("--tickers=eg EURUSD,USDJPY");
                Console.WriteLine("--resolution=Second/Minute/Hour/Daily/All");
                Environment.Exit(1);
            }


            try
            {
                Logger.getRootLogger().setLevel(Level.ERROR);
//                BasicConfigurator.configure(new FileAppender(new SimpleLayout(), "FxcmDownloader.log", append: false));

                var allResolutions = resolution.ToLowerInvariant() == "all";
                var castResolution = allResolutions ? Resolution.Tick : (Resolution)Enum.Parse(typeof(Resolution), resolution);
                endDate = endDate.AddDays(1).AddMilliseconds(-1);


                // Load settings from config.json
                var dataDirectory = Config.Get("data-directory", "../../../Data");
                var server        = Config.Get("fxcm-server", "http://www.fxcorporate.com/Hosts.jsp");
                var terminal      = Config.Get("fxcm-terminal", "Demo");
                var userName      = Config.Get("fxcm-user-name", "username");
                var password      = Config.Get("fxcm-password", "password");

                // Download the data
                const string market     = Market.FXCM;
                var          downloader = new FxcmDataDownloader(server, terminal, userName, password);

                foreach (var ticker in tickers)
                {
                    if (!downloader.HasSymbol(ticker))
                    {
                        throw new ArgumentException("The ticker " + ticker + " is not available.");
                    }
                }

                foreach (var ticker in tickers)
                {
                    var securityType = downloader.GetSecurityType(ticker);
                    var symbol       = Symbol.Create(ticker, securityType, market);

                    var data = downloader.Get(symbol, castResolution, startDate, endDate);

                    if (allResolutions)
                    {
                        var ticks = data.Cast <Tick>().ToList();

                        // Save the data (second resolution)
                        var writer = new LeanDataWriter(castResolution, symbol, dataDirectory);
                        writer.Write(ticks);

                        // Save the data (other resolutions)
                        foreach (var res in new[] { Resolution.Second, Resolution.Minute, Resolution.Hour, Resolution.Daily })
                        {
                            var resData = FxcmDataDownloader.AggregateTicks(symbol, ticks, res.ToTimeSpan());

                            writer = new LeanDataWriter(res, symbol, dataDirectory);
                            writer.Write(resData);
                        }
                    }
                    else
                    {
                        // Save the data (single resolution)
                        var writer = new LeanDataWriter(castResolution, symbol, dataDirectory);
                        writer.Write(data);
                    }
                }
            }
            catch (Exception err)
            {
                Console.WriteLine(err);
                Log.Error(err);
            }
        }
Ejemplo n.º 2
0
        /// <summary>
        /// Primary entry point to the program
        /// </summary>
        private static void Main(string[] args)
        {
            if (args.Length != 4)
            {
                Console.WriteLine("Usage: FxcmDownloader SYMBOLS RESOLUTION FROMDATE TODATE");
                Console.WriteLine("SYMBOLS = eg EURUSD,USDJPY");
                Console.WriteLine("RESOLUTION = Second/Minute/Hour/Daily/All");
                Console.WriteLine("FROMDATE = yyyymmdd");
                Console.WriteLine("TODATE = yyyymmdd");
                Environment.Exit(1);
            }

            try
            {
                Logger.getRootLogger().setLevel(Level.ERROR);
                BasicConfigurator.configure(new FileAppender(new SimpleLayout(), "FxcmDownloader.log", append: false));

                // Load settings from command line
                var tickers = args[0].Split(',');
                var allResolutions = args[1].ToLower() == "all";
                var resolution = allResolutions ? Resolution.Second : (Resolution)Enum.Parse(typeof(Resolution), args[1]);
                var startDate = DateTime.ParseExact(args[2], "yyyyMMdd", CultureInfo.InvariantCulture);
                var endDate = DateTime.ParseExact(args[3], "yyyyMMdd", CultureInfo.InvariantCulture);

                // Load settings from config.json
                var dataDirectory = Config.Get("data-directory", "../../../Data");
                var server = Config.Get("fxcm-server", "http://www.fxcorporate.com/Hosts.jsp");
                var terminal = Config.Get("fxcm-terminal", "Demo");
                var userName = Config.Get("fxcm-user-name", "username");
                var password = Config.Get("fxcm-password", "password");

                // Download the data
                const string market = "fxcm";
                var downloader = new FxcmDataDownloader(server, terminal, userName, password);

                foreach (var ticker in tickers)
                {
                    var securityType = downloader.GetSecurityType(ticker);
                    var symbol = Symbol.Create(ticker, securityType, Market.FXCM);

                    if (!downloader.HasSymbol(ticker))
                        throw new ArgumentException("The symbol " + ticker + " is not available.");

                    var data = downloader.Get(symbol, securityType, resolution, startDate, endDate);

                    if (allResolutions)
                    {
                        var bars = data.Cast<TradeBar>().ToList();

                        // Save the data (second resolution)
                        var writer = new LeanDataWriter(securityType, resolution, symbol, dataDirectory, market);
                        writer.Write(bars);

                        // Save the data (other resolutions)
                        foreach (var res in new[] {Resolution.Minute, Resolution.Hour, Resolution.Daily})
                        {
                            var resData = FxcmDataDownloader.AggregateBars(symbol, bars, res.ToTimeSpan());

                            writer = new LeanDataWriter(securityType, res, symbol, dataDirectory, market);
                            writer.Write(resData);
                        }
                    }
                    else
                    {
                        // Save the data (single resolution)
                        var writer = new LeanDataWriter(securityType, resolution, symbol, dataDirectory, market);
                        writer.Write(data);
                    }
                }
            }
            catch (Exception err)
            {
                Log.Error("FxcmDownloader(): Error: " + err.Message);
            }
        }
Ejemplo n.º 3
0
        /// <summary>
        /// Primary entry point to the program
        /// </summary>
        private static void Main(string[] args)
        {
            if (args.Length != 4)
            {
                Console.WriteLine("Usage: FxcmDownloader SYMBOLS RESOLUTION FROMDATE TODATE");
                Console.WriteLine("SYMBOLS = eg EURUSD,USDJPY");
                Console.WriteLine("RESOLUTION = Second/Minute/Hour/Daily/All");
                Console.WriteLine("FROMDATE = yyyymmdd");
                Console.WriteLine("TODATE = yyyymmdd");
                Environment.Exit(1);
            }

            try
            {
                Logger.getRootLogger().setLevel(Level.ERROR);
                BasicConfigurator.configure(new FileAppender(new SimpleLayout(), "FxcmDownloader.log", append: false));

                // Load settings from command line
                var tickers        = args[0].Split(',');
                var allResolutions = args[1].ToLower() == "all";
                var resolution     = allResolutions ? Resolution.Second : (Resolution)Enum.Parse(typeof(Resolution), args[1]);
                var startDate      = DateTime.ParseExact(args[2], "yyyyMMdd", CultureInfo.InvariantCulture);
                var endDate        = DateTime.ParseExact(args[3], "yyyyMMdd", CultureInfo.InvariantCulture);

                // Load settings from config.json
                var dataDirectory = Config.Get("data-directory", "../../../Data");
                var server        = Config.Get("fxcm-server", "http://www.fxcorporate.com/Hosts.jsp");
                var terminal      = Config.Get("fxcm-terminal", "Demo");
                var userName      = Config.Get("fxcm-user-name", "username");
                var password      = Config.Get("fxcm-password", "password");

                // Download the data
                const string market     = "fxcm";
                var          downloader = new FxcmDataDownloader(server, terminal, userName, password);

                foreach (var ticker in tickers)
                {
                    var securityType = downloader.GetSecurityType(ticker);
                    var symbol       = Symbol.Create(ticker, securityType, Market.FXCM);

                    if (!downloader.HasSymbol(ticker))
                    {
                        throw new ArgumentException("The symbol " + ticker + " is not available.");
                    }

                    var data = downloader.Get(symbol, securityType, resolution, startDate, endDate);

                    if (allResolutions)
                    {
                        var bars = data.Cast <TradeBar>().ToList();

                        // Save the data (second resolution)
                        var writer = new LeanDataWriter(securityType, resolution, symbol, dataDirectory, market);
                        writer.Write(bars);

                        // Save the data (other resolutions)
                        foreach (var res in new[] { Resolution.Minute, Resolution.Hour, Resolution.Daily })
                        {
                            var resData = FxcmDataDownloader.AggregateBars(symbol, bars, res.ToTimeSpan());

                            writer = new LeanDataWriter(securityType, res, symbol, dataDirectory, market);
                            writer.Write(resData);
                        }
                    }
                    else
                    {
                        // Save the data (single resolution)
                        var writer = new LeanDataWriter(securityType, resolution, symbol, dataDirectory, market);
                        writer.Write(data);
                    }
                }
            }
            catch (Exception err)
            {
                Log.Error("FxcmDownloader(): Error: " + err.Message);
            }
        }