bool ReadNewQuote()
{
try
{
nextQuote = ChimeraDataUtils.GetQuoteTick(quotesReader.ReadLine());
}
catch (EndOfStreamException)
{
_endOfQuoteStream = true;
_haveQuote = false;
quotesReader.Close();
return(false);
}
catch (ObjectDisposedException)
{
_endOfQuoteStream = true;
_haveQuote = false;
return(false);
}
catch (System.Exception ex)
{
_endOfQuoteStream = true;
_haveQuote = false;
return(false);
}
_haveQuote = true;
return(true);
}
bool ReadNewTrade()
{
try
{
nextTrade = ChimeraDataUtils.GetTradeTick(this.ReadLine());
}
catch (EndOfStreamException)
{
_endOfTradeStream = true;
_haveTrade = false;
this.Close();
return(false);
}
catch (ObjectDisposedException)
{
_endOfTradeStream = true;
_haveTrade = false;
return(false);
}
catch (System.Exception ex)
{
_endOfTradeStream = true;
_haveTrade = false;
return(false);
}
_haveTrade = true;
return(true);
}
internal void InitCSVReader(int Index, string filepath, bool saveticks, int interval)
{
var s = ChimeraDataUtils.SecurityFromFileName(filepath);
string strQuote = ChimeraDataUtils.QuotePathFromTradePath(filepath);
string strNBBO = ChimeraDataUtils.NBBOPathFromTradePath(filepath);
trCSV = new CSVtoTikReader(filepath, strQuote, strNBBO, s.symbol, s.Date);
if (_saveticks)
{
ticks = new List <Tick>(trCSV.ApproxTicks);
}
else
{
ticks = new List <Tick>();
}
_saveticks = saveticks;
idx = Index;
if (interval == 0)
{
trCSV.gotTick += new TickDelegate(tr_gotTick);
}
else
{
bl = new BarListImpl(trCSV.Symbol, interval, BarInterval.CustomTime);
bl.GotNewBar += new SymBarIntervalDelegate(bl_GotNewBar);
trCSV.gotTick += new TickDelegate(tr_gotTick2);
}
}
public CSVtoTikReader(string strTradesPath, string strQuotesPath, string strNbboPath, string sym, int date)
: base(new FileStream(strTradesPath, FileMode.Open, FileAccess.Read, FileShare.ReadWrite))
{
quotesReader = new StreamReader(new FileStream(strQuotesPath, FileMode.Open, FileAccess.Read, FileShare.ReadWrite));
nbboReader = new StreamReader(new FileStream(strNbboPath, FileMode.Open, FileAccess.Read, FileShare.ReadWrite));
_path = strTradesPath;
FileInfo fi = new FileInfo(strTradesPath);
ApproxTicks = (int)((double)fi.Length / 39);
_realsymbol = sym;
_sec = TradeLink.Common.SecurityImpl.Parse(_realsymbol);
_sec.Date = ChimeraDataUtils.SecurityFromFileName(_path).Date;
// get short symbol
_sym = _sec.symbol;
ReadHeader();
}
public HistSimIndexPlay(string folder, TickFileFilter tff, int interval, DebugDelegate deb)
{
if (deb != null)
{
GotDebug += deb;
}
_folder = folder + "\\";
// see if we have index
string fn;
HistSimIndex hsi;
debug("getting tickfiles, please wait...");
string[,] total = tff.bUseCSV ? ChimeraDataUtils.TickFileIndex(folder, "*_trades.csv", true)
: Util.TickFileIndex(folder, TikConst.WILDCARD_EXT, false);
debug("found " + total.GetLength(0).ToString("N0") + " tickfiles");
string[,] filtered = tff.AllowsIndexAndSize(total);
debug("post-filter: " + filtered.GetLength(0).ToString("N0") + ", checking for index...");
if (HistSimIndex.HaveIndex(folder, filtered, out fn, deb, tff.bUseCSV))
{
debug("index found, starting load: " + fn);
hsi = HistSimIndex.FromFile(fn, debug);
if (hsi == null)
{
debug("unable to load index.");
return;
}
hsi.GotDebug += new DebugDelegate(debug);
}
else if (HistSimIndex.BuildIndex(folder, filtered, out hsi, true, true, interval, debug, tff.bUseCSV))
{
debug("Index built successfully, ready to play.");
}
else
{
debug("Error building index...");
return;
}
_reader.DoWork += new DoWorkEventHandler(_reader_DoWork);
_reader.WorkerSupportsCancellation = true;
myhsi = hsi;
hsip_avail = hsi.Playindex.Length;
checkindex();
}
/// <summary>
/// Allows the specified filepath, if instructed by the filter.
/// </summary>
/// <param name="filepath">The filepath.</param>
/// <returns>true if allowed, false otherwise</returns>
public bool Allow(string filepath)
{
TickFileInfo tfi = bUseCSV ? ChimeraDataUtils.ParseFile(filepath) : Util.ParseFile(filepath);
if (tfi.type == TickFileType.Invalid)
{
return(_allowedinvalid);
}
// make sure the default is consistent with the set intersection requested
bool symallowed = _defallowed;
// see if symbols match
for (int i = 0; i < namelist.Count; i++)
{
symallowed |= (tfi.symbol == namelist[i]);
}
// make sure the default is consistent with the set intersection requested
bool dateallowed = _isDateMatchUnion ? _defallowed : !_defallowed;
if (_isDateMatchUnion)
{
for (int i = 0; i < datelist.Count; i++)
{
dateallowed |= Util.TLDateMatch(Util.ToTLDate(tfi.date), datelist[i].date, datelist[i].type);
}
}
else
{
for (int i = 0; i < datelist.Count; i++)
{
dateallowed &= Util.TLDateMatch(Util.ToTLDate(tfi.date), datelist[i].date, datelist[i].type);
}
}
// make sure intersection between dates and symbols is what is desired
bool allowed = _isSymDateMatchUnion ? symallowed || dateallowed : symallowed && dateallowed;
return(allowed);
}