public Quotation[] GetQuotes()
{
// TODO: Return the list of quotes for the specified ticker.
List <Quotation> QList = new List <Quotation>();
foreach (Ticker item in this.Data)
{
Quotation qt = new Quotation();
qt.High = item.high;
qt.Low = item.low;
qt.Open = item.open;
qt.Price = item.close;
qt.Volume = item.volumefrom; ///item.volumeto - item.volumefrom;
// Date
AmiDate tickerDate = new AmiDate(HistoryData.UnixTimeStampToDateTime(item.time));
qt.DateTime = tickerDate.ToUInt64();
QList.Add(qt);
}
return(QList.ToArray());
}
// Получение котировок за последние 24 часа
public static List <Ticker> getLast24hBars(string pairName)
{
List <Ticker> result = new List <Ticker>();
// Строка запроса - данные за последние 24 часа в 1 мин интервале
string url = String.Format(LAST24_BARS, pairName, "1m");
// Получаем ответ
string answer = getJSONData(url);
//Log.Write(answer, "answer_" + pairName + ".log");
// Массив данных
List <ArrayList> decodedList = null;
try
{
decodedList = JsonConvert.DeserializeObject <List <ArrayList> >(answer);
}
catch (Exception e)
{
Log.Write("Can't parse JSON data for last 24H bars!");
return(null);
}
if (decodedList.Count == 0)
{
Log.Write("Decooded JSON data for last 24H bars is empty!");
return(null);
}
int index = 0;
foreach (ArrayList arr in decodedList)
{
Ticker ticker = new Ticker();
// Формирование даты
AmiDate time = new AmiDate(Utils.UnixTimeStampToDateTime(Convert.ToUInt64(arr[0]) / 1000));
// Bar
ticker.time = time.ToUInt64();
ticker.open = float.Parse(arr[1].ToString().Replace(".", ","));
ticker.high = float.Parse(arr[2].ToString().Replace(".", ","));
ticker.low = float.Parse(arr[3].ToString().Replace(".", ","));
ticker.close = float.Parse(arr[4].ToString().Replace(".", ","));
ticker.volume = float.Parse(arr[5].ToString().Replace(".", ","));
// Запись в массив
result.Add(ticker);
}
// Возвращаем массив
return(result);
}
public List <Quotation> GetQuotesList()
{
List <Quotation> result = new List <Quotation>();
foreach (Ticker item in this.Data)
{
Quotation qt = new Quotation();
qt.High = item.high;
qt.Low = item.low;
qt.Open = item.open;
qt.Price = item.close;
qt.Volume = item.volumefrom; ///item.volumeto - item.volumefrom;
// Date
AmiDate tickerDate = new AmiDate(HistoryData.UnixTimeStampToDateTime(item.time));
qt.DateTime = tickerDate.ToUInt64();
result.Add(qt);
}
return(result);
}
public static unsafe int GetQuotesEx(string ticker, Periodicity periodicity, int lastValid, int size, Quotation *quotes, GQEContext *context)
{
// Статус - в ожидании данных
Status = StatusCode.Wait;
#region Данных не было - БД пуста
if (lastValid < 0)
{
List <Ticker> last24hBars = BinanceHelper.getLast24hBars(ticker);
// Проверка что не пусто
if (last24hBars == null || last24hBars.Count == 0)
{
return(lastValid + 1);
}
lastValid = 0;
// Если влазим в окно - то i = 0; иначе last24hBars.Count - size
for (var i = (last24hBars.Count < size) ? 0 : last24hBars.Count - size; i < last24hBars.Count; i++)
{
quotes[lastValid].DateTime = last24hBars[i].time;
quotes[lastValid].Open = last24hBars[i].open;
quotes[lastValid].High = last24hBars[i].high;
quotes[lastValid].Low = last24hBars[i].low;
quotes[lastValid].Price = last24hBars[i].close;
quotes[lastValid].Volume = last24hBars[i].volume;
lastValid++;
}
// Сохраняем значение символьной пары
lastTicker = ticker;
return(lastValid);
}
#endregion
Log.Write("isConn: " + isSocketConnected + " lastT: " + lastTicker + " TC: " + ticker);
// Проверка на то что не переключили символы + первый запуск
if (String.IsNullOrEmpty(lastTicker) || !lastTicker.Equals(ticker))
{
isFirstRun = true;
/*
* if (wss != null)
* wss.Close();
*
* // Запуск сокета
* wss = new WebSocket(String.Format("wss://stream.binance.com:9443/ws/{0}@kline_{1}",ticker.ToLower(),"1m"));
* wss.Opened += new EventHandler(WebSockedOpened);
* wss.MessageReceived += Wss_MessageReceived;
* // wss.Closed += Wss_Closed;
* wss.Error += Wss_Error;
* wss.Open();
*/
if (!BinanceHelper.CreateWSS(ticker, periodicity))
{
Log.Write("Create WSS failed!");
isSocketConnected = false;
return(lastValid + 1);
}
// BinanceHelper.onWSSMessage = Wss_MessageReceived;
// isSocketConnected = true;
}
else
{
isFirstRun = false;
}
// Обозначаем тикер
lastTicker = ticker;
#region Данные есть и это первый запуск
if (isFirstRun && lastValid > 0)
{
// Получаем данные
List <Ticker> last24hBars = BinanceHelper.getLast24hBars(ticker);
// Проверка что не пусто
if (last24hBars == null || last24hBars.Count == 0)
{
return(lastValid + 1);
}
// Кастрируем массив
for (var i = 0; i < last24hBars.Count; i++)
{
AmiDate lastDate = new AmiDate(quotes[lastValid].DateTime);
AmiDate requestedDate = new AmiDate(last24hBars[i].time);
if (requestedDate.CompareTo(lastDate) <= 0)
{
last24hBars.RemoveAt(0);
i--;
}
else
{
// Вываливаемся из цикла так как последний элемент явно старше
break;
}
}
// Вариант 1 - Count > size - переносим данные
if (last24hBars.Count > size)
{
lastValid = 0;
// Перенос последних = size данных
for (var i = last24hBars.Count - size; i < last24hBars.Count; i++)
{
quotes[lastValid].DateTime = last24hBars[i].time;
quotes[lastValid].Open = last24hBars[i].open;
quotes[lastValid].High = last24hBars[i].high;
quotes[lastValid].Low = last24hBars[i].low;
quotes[lastValid].Price = last24hBars[i].close;
quotes[lastValid].Volume = last24hBars[i].volume;
lastValid++;
}
return(lastValid);
}
// Вариант 2 - Count < size и входит в окно - добавить в список
if ((last24hBars.Count < size) && (last24hBars.Count < (size - lastValid)))
{
// Перенос всех из массива
for (var i = 0; i < last24hBars.Count; i++)
{
quotes[lastValid].DateTime = last24hBars[i].time;
quotes[lastValid].Open = last24hBars[i].open;
quotes[lastValid].High = last24hBars[i].high;
quotes[lastValid].Low = last24hBars[i].low;
quotes[lastValid].Price = last24hBars[i].close;
quotes[lastValid].Volume = last24hBars[i].volume;
lastValid++;
}
return(lastValid);
}
else
if ((last24hBars.Count < size) && (last24hBars.Count > (size - lastValid)))
{
// Вариант 3 - данные в окно не входят - нужно сдвигать массив
lastValid = 0;
// Сколько элементов останется
var j = size - last24hBars.Count;
// Индекс начала копирования
var index = lastValid - j;
// Смещение первой части
while (lastValid < j)
{
Log.Write("I: " + lastValid + " HIGH: " + quotes[index].High + " VOL: " + quotes[index].Volume, "3.txt");
quotes[lastValid].DateTime = quotes[index].DateTime;
quotes[lastValid].Open = quotes[index].Open;
quotes[lastValid].High = quotes[index].High;
quotes[lastValid].Low = quotes[index].Low;
quotes[lastValid].Price = quotes[index].Price;
quotes[lastValid].Volume = quotes[index].Volume;
lastValid++;
index++;
}
// КОпируем остатки
foreach (Ticker item in last24hBars)
{
Log.Write("I: " + lastValid + " HIGH: " + item.high + " VOL: " + item.volume, "4.txt");
quotes[lastValid].DateTime = item.time;
quotes[lastValid].Open = item.open;
quotes[lastValid].High = item.high;
quotes[lastValid].Low = item.low;
quotes[lastValid].Price = item.close;
quotes[lastValid].Volume = item.volume;
lastValid++;
}
return(lastValid);
}
}
#endregion
// не первый запуск - просто обновляем
// Если не подключились - нечего разбирать
if (!isSocketConnected)
{
return(lastValid + 1);
}
// Показывает что данные тикера устарели
//bool isTooOld = false;
BinanceData data = null;
if (!String.IsNullOrEmpty(jsonAnswer))
{
// Парсинг
try
{
data = JsonConvert.DeserializeObject <BinanceData>(jsonAnswer);
}
catch (Exception e)
{
Log.Write("Parse Error: " + e.Message);
return(lastValid + 1);
}
}
// В БД есть какие-то данные
if (lastValid >= 0)
{
ulong lastDate = quotes[lastValid].DateTime;
ulong tickerDate = (new AmiDate(Utils.UnixTimeStampToDateTime(data.k.t / 1000))).ToUInt64();
/*
* if (tickerDate < lastDate)
* isTooOld = true;
*/
if (tickerDate > lastDate)
{
lastValid++;
}
}
else
{
// Если пусто в БД - начинаем писать с 0го индекса
lastValid = 0;
}
// Поправка на лимит
if (size > 0 && lastValid == size)
{
// Сдвигание массива влево
for (int i = 0; i < size - 1; i++)
{
quotes[i].DateTime = quotes[i + 1].DateTime;
quotes[i].Open = quotes[i + 1].Open;
quotes[i].High = quotes[i + 1].High;
quotes[i].Low = quotes[i + 1].Low;
quotes[i].Price = quotes[i + 1].Price;
quotes[i].Volume = quotes[i + 1].Volume;
}
lastValid--;
}
// Правим
//if (!isTooOld)
{
AmiDate tickerDate = new AmiDate(Utils.UnixTimeStampToDateTime(data.k.t / 1000));
quotes[lastValid].DateTime = tickerDate.ToUInt64();
quotes[lastValid].Open = float.Parse(data.k.o.Replace(".", ","));
quotes[lastValid].High = float.Parse(data.k.h.Replace(".", ","));
quotes[lastValid].Low = float.Parse(data.k.l.Replace(".", ","));
quotes[lastValid].Price = float.Parse(data.k.c.Replace(".", ","));
quotes[lastValid].Volume = float.Parse(data.k.v.Replace(".", ","));
quotes[lastValid].AuxData1 = 0;
quotes[lastValid].AuxData2 = 0;
}
Status = StatusCode.OK;
return(lastValid + 1);
}
public static unsafe int GetQuotesEx(string ticker, Periodicity periodicity, int lastValid, int size, Quotation *quotes, GQEContext *context)
{
// Статус - в ожидании данных
Status = StatusCode.Wait;
// при запуске из базы
if (refrashTime == -1)
{
refrashTime = (int)periodicity;
}
// ticker - наименование пары
// periodicity - период опроса (day, mminute, ...)
string baseURL;
// Если не фьючерсы Okex
if (ticker.IndexOf("Future Contracts") < 0)
{
baseURL = "https://min-api.cryptocompare.com/data/";
// Вроде как ограничение за последние 30 дней = 30 записей по умолчанию (макс 2000)
if (periodicity == Periodicity.EndOfDay)
{
baseURL += "histoday?";
}
// Вроде как ограничение за последние 7 дней = 168 записей по умолчанию (макс 2000)
if (periodicity == Periodicity.OneHour)
{
baseURL += "histohour?";
}
// Вроде как ограничение за последние 24 часа = 1440 записей по умолчанию (макс 2000)
if (periodicity == Periodicity.OneMinute)
{
baseURL += "histominute?aggregate=1&";
}
// 5 минутная агрегация
if (periodicity == Periodicity.FiveMinutes)
{
baseURL += "histominute?aggregate=5&";
}
// 15 минутная агрегация
if (periodicity == Periodicity.FifteenMinutes)
{
baseURL += "histominute?aggregate=15&";
}
}
else
{
// https://www.okex.com/api/v1/future_kline.do?symbol=btc_usd&contract_type=this_week&type=5min
baseURL = "https://www.okex.com/api/v1/future_kline.do?type=";
// Вроде как ограничение за последние 30 дней = 30 записей по умолчанию (макс 2000)
if (periodicity == Periodicity.EndOfDay)
{
baseURL += "1day";
}
// Вроде как ограничение за последние 7 дней = 168 записей по умолчанию (макс 2000)
if (periodicity == Periodicity.OneHour)
{
baseURL += "1hour";
}
// Вроде как ограничение за последние 24 часа = 1440 записей по умолчанию (макс 2000)
if (periodicity == Periodicity.OneMinute)
{
baseURL += "1min";
}
// 5 минутная агрегация
if (periodicity == Periodicity.FiveMinutes)
{
baseURL += "5min";
}
// 15 минутная агрегация
if (periodicity == Periodicity.FifteenMinutes)
{
baseURL += "15min";
}
}
// 2. Выбираем маркет и пару
// Разбор вида [1]/[2] - [3]
// [1] - 1й символ
// [2] - 2й символ
// [3] - маркет
try
{
string s1 = ticker.Substring(0, ticker.IndexOf("/"));
string s2 = ticker.Substring(ticker.IndexOf("/") + 1, ticker.IndexOf(" ") - ticker.IndexOf("/"));
string market = ticker.Substring(ticker.IndexOf(" - ") + 3);
// Коррекция CryptoCompare
if (market.IndexOf("CryptoCompare") > -1)
{
market = "CCCAGG";
}
if (ticker.IndexOf("Future Contracts") < 0)
{
// Добавим пары и маркет в URL
baseURL += "fsym=" + s1.Trim() + "&tsym=" + s2.Trim() + "&e=" + market.Trim() + "&allData=true";
}
else
{
//symbol=btc_usd
baseURL += "&symbol=" + s1.Trim().ToLower() + "_" + s2.Trim().ToLower() + "&contract_type=" + RightClickMenu.contractType + "&size=" + size;
}
}
catch (Exception e)
{
Status = StatusCode.Error;
Log.Write("The symbol translate error!");
return(lastValid + 1);
}
string jsonResponse = MarketData.getMarketData(baseURL);
// Если ошибка
if (String.IsNullOrEmpty(jsonResponse))
{
Status = StatusCode.Error;
Log.Write("Error: " + MarketData.getLastError());
return(lastValid + 1);
}
MarketData.hasData = false;
// В jsonResponse имеем файл ответа сервера
// Парсим
List <Quotation> newQuotes = null;
if (ticker.IndexOf("Future Contracts") < 0)
{
HistoryData data = null;
try
{
data = JsonConvert.DeserializeObject <HistoryData>(jsonResponse);
}
catch (Exception e)
{
Log.Write("Json deserialize error: " + e.Message);
return(lastValid + 1);
}
// В итоге имеем данные
newQuotes = data.GetQuotesList();
}
else
{
IList <IList <string> > data = null;
try
{
data = JsonConvert.DeserializeObject <IList <IList <string> > >(jsonResponse);
}
catch (Exception e)
{
Log.Write("Json deserialize error: " + e.Message);
return(lastValid + 1);
}
foreach (IList <string> item in data)
{
Quotation qt = new Quotation();
AmiDate tickerDate = new AmiDate(HistoryData.UnixTimeStampToDateTime(ulong.Parse(item[0]) / 1000));
try
{
qt.Open = float.Parse(item[1].Replace(".", ","));
qt.High = float.Parse(item[2].Replace(".", ","));
qt.Low = float.Parse(item[3].Replace(".", ","));
qt.Price = float.Parse(item[4].Replace(".", ","));
qt.Volume = float.Parse(item[5].Replace(".", ","));
}
catch (Exception e)
{
Log.Write(e.Message);
}
qt.DateTime = tickerDate.ToUInt64();
newQuotes.Add(qt);
}
}
// Запись данных в БД
#region Пишем с нуля - БД не заполнена
if (lastValid < 0)
{
lastValid = 0;
// Что меньше: длинна полученных данных или Limit?
int count = Math.Min(size, newQuotes.Count);
int i = 0, j = 0;
for (i = 0; i < count; i++)
{
j = newQuotes.Count - count + i;
// Date
quotes[i].DateTime = newQuotes[j].DateTime;
// ticker
quotes[i].Open = newQuotes[j].Open;
quotes[i].High = newQuotes[j].High;
quotes[i].Low = newQuotes[j].Low;
quotes[i].Price = newQuotes[j].Price;
quotes[i].Volume = newQuotes[j].Volume;
// Extra data
quotes[i].OpenInterest = 0;
quotes[i].AuxData1 = 0;
quotes[i].AuxData2 = 0;
lastValid++;
}
// Меняем статус на ОК
if (!isUpdateAvailable)
{
Status = StatusCode.OK;
}
else
{
Status = StatusCode.Update;
}
return(lastValid);
}
#endregion
#region Кастрация данных до последнего тайминга
for (var i = 0; i < newQuotes.Count; i++)
{
// Сейчас у нас в массиве только свежак
if (newQuotes[i].DateTime < quotes[lastValid].DateTime)
{
newQuotes.RemoveAt(i);
i--;
}
}
#endregion
// Если нечего показывать - выход
if (newQuotes.Count == 0)
{
return(lastValid + 1);
}
#region Данные уже есть в БД - в корридор входим
if (newQuotes.Count <= (size - lastValid - 1))
{
foreach (Quotation item in newQuotes)
{
// Date
quotes[lastValid].DateTime = item.DateTime;
// ticker
quotes[lastValid].Open = item.Open;
quotes[lastValid].High = item.High;
quotes[lastValid].Low = item.Low;
quotes[lastValid].Price = item.Price;
quotes[lastValid].Volume = item.Volume;
// Extra data
quotes[lastValid].OpenInterest = 0;
quotes[lastValid].AuxData1 = 0;
quotes[lastValid].AuxData2 = 0;
lastValid++;
}
// Меняем статус на ОК
if (!isUpdateAvailable)
{
Status = StatusCode.OK;
}
else
{
Status = StatusCode.Update;
}
return(lastValid);
}
#endregion
#region Данные уже есть в БД - в корридор не входим - сдвиг массива
lastValid = 0;
// Смещение первой части
while (lastValid < (size - newQuotes.Count))
{
quotes[lastValid].DateTime = quotes[lastValid + newQuotes.Count].DateTime;
quotes[lastValid].Open = quotes[lastValid + newQuotes.Count].Open;
quotes[lastValid].High = quotes[lastValid + newQuotes.Count].High;
quotes[lastValid].Low = quotes[lastValid + newQuotes.Count].Low;
quotes[lastValid].Price = quotes[lastValid + newQuotes.Count].Price;
quotes[lastValid].Volume = quotes[lastValid + newQuotes.Count].Volume;
lastValid++;
}
// КОпируем остатки
foreach (Quotation item in newQuotes)
{
quotes[lastValid].DateTime = item.DateTime;
quotes[lastValid].Open = item.Open;
quotes[lastValid].High = item.High;
quotes[lastValid].Low = item.Low;
quotes[lastValid].Price = item.Price;
quotes[lastValid].Volume = item.Volume;
lastValid++;
}
// Меняем статус на ОК
if (!isUpdateAvailable)
{
Status = StatusCode.OK;
}
else
{
Status = StatusCode.Update;
}
return(lastValid);
#endregion
}
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);
}
}
}
