public QuikBar(QuikQuote quote)
{
Symbol = quote.Symbol;
Volume = quote.Volume;
Open = quote.Close;
High = quote.Close;
Low = quote.Close;
Close = quote.Close;
OpenTime = quote.Time;
CloseTime = quote.Time;
}
/// <summary>
/// Add data to data store
/// </summary>
/// <param name="symbol"></param>
/// <param name="data"></param>
public static void AddQuotesFromDde(object[][] table)
{
//object[][] table = XLTable.Cells(data);
// Parse rows to bars
foreach (object[] row in table)
{
try
{
// Write to WL streaming provider
if (StreamingProvider == null)
{
return;
}
// Load row
QuikQuote quikQuote = new QuikQuote(row);
// Maybe first ticks are zero ticks
if (quikQuote.Close == 0)
{
continue;
}
// Update streaming provider
Quote q = new Quote();
q.Symbol = quikQuote.Symbol;
q.TimeStamp = quikQuote.Time;
q.Ask = quikQuote.Close;
q.Bid = quikQuote.Close;
q.Price = quikQuote.Close;
q.Size = quikQuote.Volume;
q.Open = q.Price;
q.PreviousClose = q.Price;
//StreamingProvider.UpdateQuote(q);
StreamingProvider.UpdateMiniBar(q,
q.Open,
(q.Ask != 0) ? q.Ask : q.Price,
(q.Bid != 0) ? q.Bid : q.Price);
StreamingProvider.Hearbeat(quikQuote.Time);
}
// Header rows contains titles, ignore them
catch (Exception ex)
{
continue;
}
}
}
/// <summary>
/// Add data to data store
/// </summary>
/// <param name="symbol"></param>
/// <param name="data"></param>
public static void AddQuotesFromDde(object[][] table)
{
//object[][] table = XLTable.Cells(data);
// Parse rows to bars
foreach (object[] row in table)
{
try
{
// Write to WL streaming provider
if (StreamingProvider == null)
return;
// Load row
QuikQuote quikQuote = new QuikQuote(row);
// Maybe first ticks are zero ticks
if (quikQuote.Close == 0)
continue;
// Update streaming provider
Quote q = new Quote();
q.Symbol = quikQuote.Symbol;
q.TimeStamp = quikQuote.Time;
q.Ask = quikQuote.Close;
q.Bid = quikQuote.Close ;
q.Price = quikQuote.Close;
q.Size = quikQuote.Volume;
q.Open = q.Price;
q.PreviousClose = q.Price;
//StreamingProvider.UpdateQuote(q);
StreamingProvider.UpdateMiniBar(q,
q.Open,
(q.Ask != 0) ? q.Ask : q.Price,
(q.Bid != 0) ? q.Bid : q.Price);
StreamingProvider.Hearbeat(quikQuote.Time);
}
// Header rows contains titles, ignore them
catch (Exception ex)
{
continue;
}
}
}
/// <summary>
/// True if QuikQuote is inside QuikBar time interval
/// </summary>
/// <param name="bar">QuikBar</param>
/// <param name="quote">QuikQuote</param>
/// <param name="dataScale">Bar data scale</param>
/// <returns></returns>
private static bool IsNewBarQuote(QuikBar bar, QuikQuote quote, BarDataScale dataScale)
{
switch (dataScale.Scale)
{
case BarScale.Tick:
return(true);
break;
case BarScale.Second:
return(quote.Time.Second != bar.OpenTime.Second &&
quote.Time.Second % dataScale.BarInterval == 0);
break;
case BarScale.Minute:
return(quote.Time.Minute != bar.OpenTime.Minute &&
quote.Time.Minute % dataScale.BarInterval == 0);
break;
case BarScale.Daily:
case BarScale.Weekly:
default:
return(quote.Time.Day != bar.OpenTime.Day &&
quote.Time.Day % dataScale.BarInterval == 0);
break;
case BarScale.Monthly:
case BarScale.Quarterly:
return(quote.Time.Month != bar.OpenTime.Month &&
quote.Time.Month % dataScale.BarInterval == 0);
break;
case BarScale.Yearly:
return(quote.Time.Year != bar.OpenTime.Year &&
quote.Time.Year % dataScale.BarInterval == 0);
}
}
//public QuikBar(string data, NumberFormatInfo numberFormatInfo)
//{
// string[] dataArray = data.Split(QuikDdeServer.Delimiter);
// // Symbol
// Symbol = dataArray[0];
// // Date
// string dateString = dataArray[2];
// int year = int.Parse(dateString.Substring(0, 4));
// int month = int.Parse(dateString.Substring(4, 2));
// int day = int.Parse(dateString.Substring(6, 2));
// // Time
// string timeString = dataArray[3];
// int hour = int.Parse(timeString.Substring(0, 2));
// int minute = int.Parse(timeString.Substring(2, 2));
// int second = int.Parse(timeString.Substring(4, 2));
// // Set time
// Time = new DateTime(year, month, day, hour, minute, second);
// // OHLCV
// string closeString = dataArray[4];
// Clos = double.Parse(openString, numberFormatInfo);
// string highString = dataArray[5];
// High = double.Parse(highString, numberFormatInfo);
// string lowString = dataArray[6];
// Low = double.Parse(lowString, numberFormatInfo);
// string closeString = dataArray[7];
// Close = double.Parse(closeString, numberFormatInfo);
// string volString = dataArray[8];
// Volume = double.Parse(volString, numberFormatInfo);
//}
public void Update(QuikQuote quote)
{
// ToDo: find out, maybe add, not max
Volume = Math.Max(quote.Volume, Volume);
// Low = High = Close = quote.Close;
Low = Math.Min(quote.Close, Low);
High = Math.Max(quote.Close, High);
//Close = quote.Price;
// If new quote is a first quote, update open time and price
if (CloseTime.Ticks < quote.Time.Ticks)
{
CloseTime = quote.Time;
Close = quote.Close;
}
// If new quote is a last quote, update close time and price
if (OpenTime.Ticks > quote.Time.Ticks)
{
OpenTime = quote.Time;
Open = quote.Close;
}
}
/// <summary>
/// Get Wealth Lab bars from QuikBars
/// </summary>
/// <param name="symbol"></param>
/// <param name="startTime"></param>
/// <param name="endTime"></param>
public static BarsAndDom GetHistoryBars(string symbol, DataSource ds, DateTime startTime, DateTime endTime)
{
// Return bars in ticks data. Will be recalculated by Wealth-lab
// Bars bars = new Bars(symbol.Trim(new char[] { ' ', '"' }), ds.Scale, ds.BarInterval);
if (HistoryBars.ContainsKey(symbol))
{
HistoryBars.Remove(symbol);
//return HistoryBars[symbol];
}
BarsAndDom bars = new BarsAndDom(symbol.Trim(new char[] { ' ', '"' }), ds.Scale, ds.BarInterval);
HistoryBars.Add(bars.Symbol, bars);
// Load from file
string[] lines = File.ReadAllLines(string.Format(historyFilePath, bars.Symbol));
int i = 0;
// Init quik bar
QuikBar quikBar = null;
if (lines.Length > 2)
{
if (ds.Scale == BarScale.Tick)
{
QuikQuote quikQuote = new QuikQuote(lines[1]);
quikBar = new QuikBar(quikQuote);
}
else
{
quikBar = new QuikBar(lines[1]);
}
}
// Add bars
foreach (string line in lines)
{
// First line is a header, no parse
if (i++ == 0)
continue;
QuikQuote quikQuote = new QuikQuote(line);
// Add bar to wealth-lab if quote is a quote of new bar
if(IsNewBarQuote(quikBar, quikQuote, ds.BarDataScale))
{
bars.Add(quikBar.OpenTime, quikBar.Open, quikBar.High, quikBar.Low, quikBar.Close, quikBar.Volume);
quikBar = new QuikBar();
}
quikBar.Update(quikQuote);
// Start a new bar or not?
//TimeSpan timeFromOpen = quikBar.OpenTime - quikQuote.Time;
// bars.Add(quikQuote.Time, quikQuote.Close, quikQuote.Close, quikQuote.Close, quikQuote.Close, quikQuote.Volume);
}
// Load history
if (bars.Count != 0)
{
bars.Level2History= new Level2History(bars.Symbol);
bars.Level2History.Load(bars.Date.Last());
}
return bars;
}
/// <summary>
/// True if QuikQuote is inside QuikBar time interval
/// </summary>
/// <param name="bar">QuikBar</param>
/// <param name="quote">QuikQuote</param>
/// <param name="dataScale">Bar data scale</param>
/// <returns></returns>
private static bool IsNewBarQuote(QuikBar bar, QuikQuote quote, BarDataScale dataScale)
{
switch (dataScale.Scale)
{
case BarScale.Tick:
return true;
break;
case BarScale.Second:
return (quote.Time.Second != bar.OpenTime.Second
&& quote.Time.Second % dataScale.BarInterval == 0);
break;
case BarScale.Minute:
return ( quote.Time.Minute != bar.OpenTime.Minute
&& quote.Time.Minute % dataScale.BarInterval == 0);
break;
case BarScale.Daily:
case BarScale.Weekly:
default:
return (quote.Time.Day != bar.OpenTime.Day
&& quote.Time.Day % dataScale.BarInterval == 0);
break;
case BarScale.Monthly:
case BarScale.Quarterly:
return (quote.Time.Month != bar.OpenTime.Month
&& quote.Time.Month % dataScale.BarInterval == 0);
break;
case BarScale.Yearly:
return (quote.Time.Year != bar.OpenTime.Year
&& quote.Time.Year % dataScale.BarInterval == 0);
}
}
/// <summary>
/// Get Wealth Lab bars from QuikBars
/// </summary>
/// <param name="symbol"></param>
/// <param name="startTime"></param>
/// <param name="endTime"></param>
public static BarsAndDom GetHistoryBars(string symbol, DataSource ds, DateTime startTime, DateTime endTime)
{
// Return bars in ticks data. Will be recalculated by Wealth-lab
// Bars bars = new Bars(symbol.Trim(new char[] { ' ', '"' }), ds.Scale, ds.BarInterval);
if (HistoryBars.ContainsKey(symbol))
{
HistoryBars.Remove(symbol);
//return HistoryBars[symbol];
}
BarsAndDom bars = new BarsAndDom(symbol.Trim(new char[] { ' ', '"' }), ds.Scale, ds.BarInterval);
HistoryBars.Add(bars.Symbol, bars);
// Load from file
string[] lines = File.ReadAllLines(string.Format(historyFilePath, bars.Symbol));
int i = 0;
// Init quik bar
QuikBar quikBar = null;
if (lines.Length > 2)
{
if (ds.Scale == BarScale.Tick)
{
QuikQuote quikQuote = new QuikQuote(lines[1]);
quikBar = new QuikBar(quikQuote);
}
else
{
quikBar = new QuikBar(lines[1]);
}
}
// Add bars
foreach (string line in lines)
{
// First line is a header, no parse
if (i++ == 0)
{
continue;
}
QuikQuote quikQuote = new QuikQuote(line);
// Add bar to wealth-lab if quote is a quote of new bar
if (IsNewBarQuote(quikBar, quikQuote, ds.BarDataScale))
{
bars.Add(quikBar.OpenTime, quikBar.Open, quikBar.High, quikBar.Low, quikBar.Close, quikBar.Volume);
quikBar = new QuikBar();
}
quikBar.Update(quikQuote);
// Start a new bar or not?
//TimeSpan timeFromOpen = quikBar.OpenTime - quikQuote.Time;
// bars.Add(quikQuote.Time, quikQuote.Close, quikQuote.Close, quikQuote.Close, quikQuote.Close, quikQuote.Volume);
}
// Load history
if (bars.Count != 0)
{
bars.Level2History = new Level2History(bars.Symbol);
bars.Level2History.Load(bars.Date.Last());
}
return(bars);
}
