void DownloadQuotes()
{
QuoteDepth marketDepth = includeLevel2 ? QuoteDepth.Level2 : QuoteDepth.Top;
DownloadQuotesEnumerator enumerator = quoteClient.DownloadQuotes(symbol, marketDepth, from, to, -1);
if (outputType == "csv")
{
string path = Path.Combine(this.location, string.Format("{0}{1}{2}{3}.csv", symbol, includeLevel2 ? " level2" : "", from.ToString(" yyyyMMdd"), to.ToString(" yyyyMMdd")));
using (StreamWriter file = File.CreateText(path))
{
file.WriteLine("date_time,bid_price,bid_volume,ask_price,ask_volume");
for (Quote quote = enumerator.Next(-1); quote != null; quote = enumerator.Next(-1))
{
StringBuilder builder = new StringBuilder();
builder.Append(quote.CreatingTime.ToString("yyyy-MM-dd HH:mm:ss.fff,", CultureInfo.InvariantCulture));
foreach (QuoteEntry entry in quote.Bids)
{
builder.AppendFormat("{0},{1},", entry.Price, entry.Volume);
}
foreach (QuoteEntry entry in quote.Asks)
{
builder.AppendFormat("{0},{1}", entry.Price, entry.Volume);
}
file.WriteLine(builder);
}
}
this.Log("Quotes are downloaded successfully");
}
else if (outputType == "hdf5")
{
string path = Path.Combine(this.location, string.Format("{0}{1}{2}{3}.h5", symbol, includeLevel2 ? " level2" : "", from.ToString(" yyyyMMdd"), to.ToString(" yyyyMMdd")));
H5FileId fileId = H5F.create(path, H5F.CreateMode.ACC_TRUNC);
H5DataTypeId quotesTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_DOUBLE);
H5DataSpaceId quotesSpaceId = H5S.create_simple(3, new long[] { 1, 2, 2 }, new long[] { (long)H5S.H5SType.UNLIMITED, 2, 2 });
H5PropertyListId createChunkedQuotes = H5P.create(H5P.PropertyListClass.DATASET_CREATE);
H5PropertyListId linkCreationDefaultsQuotes = H5P.create(H5P.PropertyListClass.LINK_CREATE);
H5PropertyListId accessCreationDefaultsQuotes = H5P.create(H5P.PropertyListClass.DATASET_ACCESS);
H5P.setChunk(createChunkedQuotes, new long[] { 1, 2, 2 });
H5DataSetId quotesSetId = H5D.create(fileId, "Quotes", quotesTypeId, quotesSpaceId, linkCreationDefaultsQuotes, createChunkedQuotes, accessCreationDefaultsQuotes);
H5DataTypeId dateQuotesTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_LLONG);
H5DataSpaceId dateQuotesSpaceId = H5S.create_simple(1, new long[] { 1 }, new long[] { (long)H5S.H5SType.UNLIMITED });
H5PropertyListId createChunkedDate = H5P.create(H5P.PropertyListClass.DATASET_CREATE);
H5PropertyListId linkCreationDefaultsDate = H5P.create(H5P.PropertyListClass.LINK_CREATE);
H5PropertyListId accessCreationDefaultsDate = H5P.create(H5P.PropertyListClass.DATASET_ACCESS);
H5P.setChunk(createChunkedDate, new long[] { 1 });
H5DataSetId dateQuotesSetId = H5D.create(fileId, "DateQuotes", dateQuotesTypeId, dateQuotesSpaceId, linkCreationDefaultsDate, createChunkedDate, accessCreationDefaultsDate);
int count = 0;
int chunkCount = 0;
double[,,] quotesArr = new double[chunkSize, 2, 2];
long[] datesArr = new long[chunkSize];
H5DataSpaceId memSpace;
for (Quote quote = enumerator.Next(-1); quote != null; quote = enumerator.Next(-1))
{
int j = 0;
foreach (QuoteEntry entry in quote.Bids)
{
quotesArr[chunkCount, 0, j] = entry.Price;
quotesArr[chunkCount, 0, j + 1] = entry.Volume;
j += 2;
}
j = 0;
foreach (QuoteEntry entry in quote.Asks)
{
quotesArr[chunkCount, 1, j] = entry.Price;
quotesArr[chunkCount, 1, j + 1] = entry.Volume;
j += 2;
}
datesArr[chunkCount] =
(long)quote.CreatingTime.Subtract(new DateTime(1970, 1, 1)).TotalMilliseconds;
chunkCount++;
count++;
if (chunkCount == chunkSize)
{
H5D.setExtent(quotesSetId, new long[] { count, 2, 2 });
H5S.close(quotesSpaceId);
quotesSpaceId = H5D.getSpace(quotesSetId);
H5S.selectHyperslab(quotesSpaceId, H5S.SelectOperator.SET, new long[] { count - chunkSize, 0, 0 },
new long[] { chunkSize, 2, 2 });
memSpace = H5S.create_simple(3, new long[] { chunkSize, 2, 2 });
H5D.write(quotesSetId, quotesTypeId, memSpace, quotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT), new H5Array <double>(quotesArr));
H5D.setExtent(dateQuotesSetId, new long[] { count });
H5S.close(dateQuotesSpaceId);
dateQuotesSpaceId = H5D.getSpace(dateQuotesSetId);
H5S.selectHyperslab(dateQuotesSpaceId, H5S.SelectOperator.SET, new long[] { count - chunkSize },
new long[] { chunkSize });
memSpace = H5S.create_simple(1, new long[] { chunkSize });
H5D.write(dateQuotesSetId, dateQuotesTypeId, memSpace, dateQuotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT),
new H5Array <long>(datesArr));
chunkCount = 0;
}
}
if (count % chunkSize != 0)
{
int delta = count % chunkSize;
H5D.setExtent(quotesSetId, new long[] { count, 2, 2 });
H5S.close(quotesSpaceId);
quotesSpaceId = H5D.getSpace(quotesSetId);
H5S.selectHyperslab(quotesSpaceId, H5S.SelectOperator.SET, new long[] { count - delta, 0, 0 },
new long[] { delta, 2, 2 });
memSpace = H5S.create_simple(3, new long[] { delta, 2, 2 });
H5D.write(quotesSetId, quotesTypeId, memSpace, quotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT), new H5Array <double>(quotesArr));
H5D.setExtent(dateQuotesSetId, new long[] { count });
H5S.close(dateQuotesSpaceId);
dateQuotesSpaceId = H5D.getSpace(dateQuotesSetId);
H5S.selectHyperslab(dateQuotesSpaceId, H5S.SelectOperator.SET, new long[] { count - delta },
new long[] { delta });
memSpace = H5S.create_simple(1, new long[] { delta });
H5D.write(dateQuotesSetId, dateQuotesTypeId, memSpace, dateQuotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT),
new H5Array <long>(datesArr));
}
H5P.close(createChunkedQuotes);
H5P.close(linkCreationDefaultsQuotes);
H5P.close(accessCreationDefaultsQuotes);
H5P.close(createChunkedDate);
H5P.close(linkCreationDefaultsDate);
H5P.close(accessCreationDefaultsDate);
H5S.close(quotesSpaceId);
H5D.close(quotesSetId);
H5S.close(dateQuotesSpaceId);
H5D.close(dateQuotesSetId);
H5F.close(fileId);
this.Log("Quotes are downloaded successfully");
}
}
void DownloadLevel2CSVNew(DownloadQuotesEnumerator enumerator, ZipOutputStream zipStream)
{
string filename = "ticks level2.csv";
using (StreamWriter file = File.CreateText(filename))
{
currentTempFile = filename;
DateTime lastQuoteTime = DateTime.MinValue;
int repeatingQuotes = 0;
for (Quote quote = enumerator.Next(-1); quote != null; quote = enumerator.Next(-1))
{
StringBuilder builder = new StringBuilder();
builder.Append(quote.CreatingTime.ToString("yyyy.MM.dd HH:mm:ss.fff", CultureInfo.InvariantCulture));
if (quote.CreatingTime == lastQuoteTime)
{
repeatingQuotes++;
}
else
{
lastQuoteTime = quote.CreatingTime;
repeatingQuotes = 0;
}
if (repeatingQuotes > 0)
{
builder.Append(-repeatingQuotes);
}
builder.Append(",");
int i = 0;
while (i < quote.Bids.Count || i < quote.Asks.Count)
{
if (i < quote.Bids.Count)
{
if (quote.TickType.HasFlag(TickTypes.IndicativeBid) || quote.TickType.HasFlag(TickTypes.IndicativeBidAsk))
{
builder.Append($"{(decimal)quote.Bids[i].Price},{(decimal)-quote.Bids[i].Volume},");
}
else
{
builder.Append($"{(decimal)quote.Bids[i].Price},{(decimal)quote.Bids[i].Volume},");
}
}
else
{
builder.Append(",,");
}
if (i < quote.Asks.Count)
{
if (quote.TickType.HasFlag(TickTypes.IndicativeAsk) || quote.TickType.HasFlag(TickTypes.IndicativeBidAsk))
{
builder.Append($"{(decimal)quote.Asks[i].Price},{(decimal)-quote.Asks[i].Volume},");
}
else
{
builder.Append($"{(decimal)quote.Asks[i].Price},{(decimal)quote.Asks[i].Volume},");
}
}
else
{
builder.Append(",,");
}
i++;
}
builder.Remove(builder.Length - 1, 1);
file.WriteLine(builder);
}
}
FileInfo fi = new FileInfo(filename);
ZipEntry newEntry = new ZipEntry("ticks level2.csv");
newEntry.Size = fi.Length;
zipStream.PutNextEntry(newEntry);
byte[] buffer = new byte[4096];
using (FileStream streamReader = File.OpenRead(filename))
{
StreamUtils.Copy(streamReader, zipStream, buffer);
}
zipStream.CloseEntry();
File.Delete("ticks level2.csv");
currentTempFile = null;
}
void DownloadVWAPCSVNew(ZipOutputStream zipStream)
{
for (int deg = -16; deg <= 16; deg++)
{
DownloadQuotesEnumerator enumerator = null;
try
{
enumerator = quoteClient.DownloadVWAPQuotes(symbol, (short)deg, from, to, 5000);
}
catch (Exception ex)
{
continue;
}
enumeratorTicks = enumerator;
char sign = deg >= 0 ? '+' : '-';
string filename = $"{symbol} ticks vwap e{(Math.Sign(deg) == -1 ? '-' : '+')}{Math.Abs(deg):d2}.csv";
using (StreamWriter file = File.CreateText(filename))
{
currentTempFile = filename;
DateTime lastQuoteTime = DateTime.MinValue;
int repeatingQuotes = 0;
for (Quote quote = enumerator.Next(-1); quote != null; quote = enumerator.Next(-1))
{
StringBuilder builder = new StringBuilder();
builder.Append(quote.CreatingTime.ToString("yyyy.MM.dd HH:mm:ss.fff",
CultureInfo.InvariantCulture));
if (quote.CreatingTime == lastQuoteTime)
{
repeatingQuotes++;
}
else
{
lastQuoteTime = quote.CreatingTime;
repeatingQuotes = 0;
}
if (repeatingQuotes > 0)
{
builder.Append(-repeatingQuotes);
}
builder.Append(",");
if (quote.Bids.Count != 0)
{
builder.Append($"{(decimal)quote.Bids[0].Price},{(decimal)quote.Bids[0].Volume},");
}
else
{
builder.Append(",,");
}
if (quote.Asks.Count != 0)
{
builder.Append($"{(decimal)quote.Asks[0].Price},{(decimal)quote.Asks[0].Volume},");
}
else
{
builder.Append(",,");
}
builder.Remove(builder.Length - 1, 1);
file.WriteLine(builder);
}
}
FileInfo fi = new FileInfo(filename);
ZipEntry newEntry = new ZipEntry(filename);
newEntry.Size = fi.Length;
zipStream.PutNextEntry(newEntry);
byte[] buffer = new byte[4096];
using (FileStream streamReader = File.OpenRead(filename))
{
StreamUtils.Copy(streamReader, zipStream, buffer);
}
zipStream.CloseEntry();
File.Delete(filename);
currentTempFile = null;
}
}
void DownloadQuotes()
{
QuoteDepth marketDepth = includeLevel2 ? QuoteDepth.Level2 : QuoteDepth.Top;
DownloadQuotesEnumerator enumerator = quoteClient.DownloadQuotes(symbol, marketDepth, from, to, -1);
enumeratorTicks = enumerator;
if (outputType == "csv")
{
if (includeVWAP)
{
throw new ArgumentException("VWAP is not supported for hdf5 and csv format.");
}
string path = Path.Combine(this.location, string.Format("{0}{1}{2}{3}.csv", symbol.Replace("/", "%2F"), includeLevel2 ? " level2" : "", from.ToString(" yyyyMMdd-HH-mm-ss"), to.ToString(" yyyyMMdd-HH-mm-ss")));
using (StreamWriter file = File.CreateText(path))
{
file.WriteLine("date_time;bid_price;bid_volume;ask_price;ask_volume");
for (Quote quote = enumerator.Next(-1); quote != null; quote = enumerator.Next(-1))
{
StringBuilder builder = new StringBuilder();
builder.Append(quote.CreatingTime.ToString("yyyy-MM-dd HH:mm:ss.fff;", CultureInfo.InvariantCulture));
foreach (QuoteEntry entry in quote.Bids)
{
if (quote.TickType.HasFlag(TickTypes.IndicativeBid) || quote.TickType.HasFlag(TickTypes.IndicativeBidAsk))
{
builder.AppendFormat("{0};{1};", (decimal)entry.Price, (decimal) - entry.Volume);
}
else
{
builder.AppendFormat("{0};{1};", (decimal)entry.Price, (decimal)entry.Volume);
}
}
foreach (QuoteEntry entry in quote.Asks)
{
if (quote.TickType.HasFlag(TickTypes.IndicativeAsk) || quote.TickType.HasFlag(TickTypes.IndicativeBidAsk))
{
builder.AppendFormat("{0};{1};", (decimal)entry.Price, (decimal) - entry.Volume);
}
else
{
builder.AppendFormat("{0};{1};", (decimal)entry.Price, (decimal)entry.Volume);
}
}
builder.Remove(builder.Length - 1, 1);
file.WriteLine(builder);
}
}
if (includeLevel2)
{
this.Log($"level2 {symbol} are downloaded successfully");
}
else if (includeVWAP)
{
this.Log($"VWAP {symbol} are downloaded successfully");
}
else
{
this.Log($"Ticks {symbol} are downloaded successfully");
}
}
else if (outputType == "hdf5")
{
if (includeVWAP)
{
throw new ArgumentException("VWAP is not supported for hdf5 and csv format.");
}
string path = Path.Combine(this.location, string.Format("{0}{1}{2}{3}.h5", symbol.Replace("/", "%2F"), includeLevel2 ? " level2" : "", from.ToString(" yyyyMMdd-HH-mm-ss"), to.ToString(" yyyyMMdd-HH-mm-ss")));
H5FileId fileId = H5F.create(path, H5F.CreateMode.ACC_TRUNC);
H5DataTypeId quotesTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_DOUBLE);
H5DataSpaceId quotesSpaceId = H5S.create_simple(3, new long[] { 1, 2, 2 }, new long[] { (long)H5S.H5SType.UNLIMITED, 2, 2 });
H5PropertyListId createChunkedQuotes = H5P.create(H5P.PropertyListClass.DATASET_CREATE);
H5PropertyListId linkCreationDefaultsQuotes = H5P.create(H5P.PropertyListClass.LINK_CREATE);
H5PropertyListId accessCreationDefaultsQuotes = H5P.create(H5P.PropertyListClass.DATASET_ACCESS);
H5P.setChunk(createChunkedQuotes, new long[] { 1, 2, 2 });
H5DataSetId quotesSetId = H5D.create(fileId, "Quotes", quotesTypeId, quotesSpaceId, linkCreationDefaultsQuotes, createChunkedQuotes, accessCreationDefaultsQuotes);
H5DataTypeId dateQuotesTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_LLONG);
H5DataSpaceId dateQuotesSpaceId = H5S.create_simple(1, new long[] { 1 }, new long[] { (long)H5S.H5SType.UNLIMITED });
H5PropertyListId createChunkedDate = H5P.create(H5P.PropertyListClass.DATASET_CREATE);
H5PropertyListId linkCreationDefaultsDate = H5P.create(H5P.PropertyListClass.LINK_CREATE);
H5PropertyListId accessCreationDefaultsDate = H5P.create(H5P.PropertyListClass.DATASET_ACCESS);
H5P.setChunk(createChunkedDate, new long[] { 1 });
H5DataSetId dateQuotesSetId = H5D.create(fileId, "DateQuotes", dateQuotesTypeId, dateQuotesSpaceId, linkCreationDefaultsDate, createChunkedDate, accessCreationDefaultsDate);
int count = 0;
int chunkCount = 0;
double[,,] quotesArr = new double[chunkSize, 2, 2];
long[] datesArr = new long[chunkSize];
H5DataSpaceId memSpace = null;
for (Quote quote = enumerator.Next(-1); quote != null; quote = enumerator.Next(-1))
{
int j = 0;
foreach (QuoteEntry entry in quote.Bids)
{
quotesArr[chunkCount, 0, j] = entry.Price;
quotesArr[chunkCount, 0, j + 1] = entry.Volume;
j += 2;
}
j = 0;
foreach (QuoteEntry entry in quote.Asks)
{
quotesArr[chunkCount, 1, j] = entry.Price;
quotesArr[chunkCount, 1, j + 1] = entry.Volume;
j += 2;
}
datesArr[chunkCount] =
(long)quote.CreatingTime.Subtract(new DateTime(1970, 1, 1)).TotalMilliseconds;
chunkCount++;
count++;
if (chunkCount == chunkSize)
{
H5D.setExtent(quotesSetId, new long[] { count, 2, 2 });
H5S.close(quotesSpaceId);
quotesSpaceId = H5D.getSpace(quotesSetId);
H5S.selectHyperslab(quotesSpaceId, H5S.SelectOperator.SET, new long[] { count - chunkSize, 0, 0 },
new long[] { chunkSize, 2, 2 });
memSpace = H5S.create_simple(3, new long[] { chunkSize, 2, 2 });
H5D.write(quotesSetId, quotesTypeId, memSpace, quotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT), new H5Array <double>(quotesArr));
H5S.close(memSpace);
H5D.setExtent(dateQuotesSetId, new long[] { count });
H5S.close(dateQuotesSpaceId);
dateQuotesSpaceId = H5D.getSpace(dateQuotesSetId);
H5S.selectHyperslab(dateQuotesSpaceId, H5S.SelectOperator.SET, new long[] { count - chunkSize },
new long[] { chunkSize });
memSpace = H5S.create_simple(1, new long[] { chunkSize });
H5D.write(dateQuotesSetId, dateQuotesTypeId, memSpace, dateQuotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT),
new H5Array <long>(datesArr));
H5S.close(memSpace);
chunkCount = 0;
}
}
if (count % chunkSize != 0)
{
int delta = count % chunkSize;
H5D.setExtent(quotesSetId, new long[] { count, 2, 2 });
H5S.close(quotesSpaceId);
quotesSpaceId = H5D.getSpace(quotesSetId);
H5S.selectHyperslab(quotesSpaceId, H5S.SelectOperator.SET, new long[] { count - delta, 0, 0 },
new long[] { delta, 2, 2 });
memSpace = H5S.create_simple(3, new long[] { delta, 2, 2 });
H5D.write(quotesSetId, quotesTypeId, memSpace, quotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT), new H5Array <double>(quotesArr));
H5S.close(memSpace);
H5D.setExtent(dateQuotesSetId, new long[] { count });
H5S.close(dateQuotesSpaceId);
dateQuotesSpaceId = H5D.getSpace(dateQuotesSetId);
H5S.selectHyperslab(dateQuotesSpaceId, H5S.SelectOperator.SET, new long[] { count - delta },
new long[] { delta });
memSpace = H5S.create_simple(1, new long[] { delta });
H5D.write(dateQuotesSetId, dateQuotesTypeId, memSpace, dateQuotesSpaceId,
new H5PropertyListId(H5P.Template.DEFAULT),
new H5Array <long>(datesArr));
H5S.close(memSpace);
}
H5P.close(createChunkedQuotes);
H5P.close(linkCreationDefaultsQuotes);
H5P.close(accessCreationDefaultsQuotes);
H5P.close(createChunkedDate);
H5P.close(linkCreationDefaultsDate);
H5P.close(accessCreationDefaultsDate);
H5S.close(quotesSpaceId);
H5D.close(quotesSetId);
H5S.close(dateQuotesSpaceId);
H5D.close(dateQuotesSetId);
//H5S.close(memSpace);
H5F.close(fileId);
if (includeLevel2)
{
this.Log($"level2 {symbol} are downloaded successfully");
}
else if (includeVWAP)
{
this.Log($"VWAP {symbol} are downloaded successfully");
}
else
{
this.Log($"Ticks {symbol} are downloaded successfully");
}
GC.Collect();
GC.WaitForPendingFinalizers();
}
else if (outputType == "csv_zip")
{
string quoteType = "Ticks";
if (includeVWAP)
{
quoteType = "VWAP";
}
if (includeLevel2)
{
quoteType = "TicksLevel2";
}
string path = Path.Combine(location, $"{symbol.Replace("/", "%2F")}_{quoteType}_{from.ToString("yyyy-MM-dd-HH-mm-ss")}_{to.ToString("yyyy-MM-dd-HH-mm-ss")}.zip");
Console.WriteLine(path);
using (ZipOutputStream zs = new ZipOutputStream(File.Create(path)))
{
if (includeVWAP)
{
DownloadVWAPCSVNew(zs);
}
else if (includeLevel2)
{
DownloadLevel2CSVNew(enumerator, zs);
}
else
{
DownloadTicksCSVNew(enumerator, zs);
}
}
if (includeLevel2)
{
this.Log($"level2 {symbol} are downloaded successfully");
}
else if (includeVWAP)
{
this.Log($"VWAP {symbol} are downloaded successfully");
}
else
{
this.Log($"Ticks {symbol} are downloaded successfully");
}
}
}
