public void GetHistory(GetHistoryCtx aCtx, HistoryAnswerHandler aCallback)
{
try
{
double lastPrice = GetLastPrice(aCtx.Request.Selection.Symbol);
List <Bar> bars;
switch (aCtx.Request.Selection.Periodicity)
{
case Periodicity.Tick:
bars = GenerateTickHistory(aCtx.Request.Selection.Interval, aCtx.MaxBars, lastPrice);
break;
case Periodicity.Range:
bars = GenerateRangeHistory(aCtx.Request.Selection.Interval, aCtx.MaxBars, lastPrice);
break;
default:
bars = GenerateHistory(aCtx.Request.Selection, aCtx.MaxBars, lastPrice);
break;
}
bars.Reverse();
aCallback(aCtx, bars);
}
catch (Exception e)
{
WriteToLog("GetHistory", e);
}
}
public void RunBacktest(BacktestGetRequest aRequest)
{
var errorString = TradeScript.ValidateBuySell(aRequest.BuyScript, aRequest.SellScript);
if (aRequest.BuyScript == string.Empty || aRequest.SellScript == string.Empty)
{
errorString = "Buy and sell script can not be empty";
}
if (errorString != string.Empty)
{
var response = new BacktestGetResponse
{
Id = aRequest.Id,
Error = errorString,
User = aRequest.User
};
PushResponses(aRequest.User.ID, new ResponseMessage[] { response });
return;
}
var selection = new HistoryParameters(aRequest.Id, aRequest.Symbol, aRequest.Periodicity, aRequest.Interval, aRequest.BarsCount);
IDataFeed aDataFeed = GetDataFeedByName(aRequest.Symbol.DataFeed);
if (aDataFeed != null)
{
GetHistoryCtx aCtx = GetHistoryCtx(selection, aDataFeed.TimeZoneInfo);
aCtx.Request = new HistoryRequest(selection);
aCtx.DataFeed = aDataFeed;
ThreadPool.QueueUserWorkItem(o =>
{
aDataFeed.GetHistory(aCtx, (ctx, bars) =>
{
string backtestOutput = TradeScript.Backtest(aRequest.BuyScript, aRequest.SellScript, bars);
var response = new BacktestGetResponse
{
Id = aRequest.Id,
User = aRequest.User,
Symbol = aRequest.Symbol,
Information = TradeScript.ExtractBacktestInformation(backtestOutput),
Trades = TradeScript.ExtractBacktestTrades(backtestOutput)
};
PushResponses(aRequest.User.ID, new ResponseMessage[] { response });
});
});
}
}
private void GetHistoryRequest(HistoryRequest aRequest)
{
Validate(aRequest);
IDataFeed aDataFeed = GetDataFeedByName(aRequest.Selection.Symbol.DataFeed);
if (aDataFeed != null)
{
GetHistoryCtx aCtx = GetHistoryCtx(aRequest.Selection, aDataFeed.TimeZoneInfo);
aCtx.Request = aRequest;
aCtx.DataFeed = aDataFeed;
ThreadPool.QueueUserWorkItem(o =>
{
aDataFeed.GetHistory(aCtx, Get1MinHistoryCallback);
});
}
}
private void GetDayHistoryCallback(GetHistoryCtx aCtx, List <Bar> aBars)
{
try
{
List <Bar> aList2 = new List <Bar>();
aBars.ForEach(o =>
{
WriteToLog_Info(String.Format("DateTime: {0}", o.Date.ToString("yy-MM-dd")), null);
o.Date = TimeZoneInfo.ConvertTimeToUtc(o.Date, aCtx.DataFeed.TimeZoneInfo);
});
aBars = aBars.OrderBy(o => o.Date).ToList();
// response contains bars for a previous day
if (aBars.Count > 0)
{
DateTime aUTCFrom;
DateTime aUTCTo;
aUTCFrom = aBars[0].Date;
aUTCTo = TimeZoneInfo.ConvertTimeToUtc(aCtx.ToF);
}
aCtx.Bars.AddRange(aList2.OrderByDescending(o => o.Date));
// send response
HistoryResponse aResponse = new HistoryResponse();
aResponse.Bars = CalculateBars(aCtx, aCtx.Bars);
aResponse.ID = aCtx.Request.Selection.Id;
aResponse.User = aCtx.Request.User;
PushResponse(aResponse);
}
catch (Exception e)
{
WriteToLog("GetDayHistoryCallback", e);
try
{
aCtx.Request.User.SendError(new ApplicationException(String.Format("Historical request (ID='{0}')", aCtx.Request.Selection.Id)));
}
catch
{
}
}
}
private void Get1MinHistoryCallback(GetHistoryCtx aCtx, List <Bar> aBars)
{
HistoryResponse aResponse = new HistoryResponse();
var tZone = aCtx.DataFeed.TimeZoneInfo;
/*foreach (var b in aBars)
* {
* b.Date = TimeZoneInfo.ConvertTimeToUtc(b.Date, tZone);
* }*/
aResponse.Bars = aBars;
aResponse.ID = aCtx.Request.Selection.Id;
aResponse.User = aCtx.Request.User;
if (aCtx.Request.Selection.GenerateChartImage)
{
aResponse.ChartImageData = OHLCPainter.GenerateChartAsJsonString(aBars);
}
PushResponse(aResponse);
}
private bool NeedConvertBars(GetHistoryCtx aCtx)
{
return((aCtx.Request.Selection.Periodicity == Periodicity.Hour && aCtx.Request.Selection.Interval >= 18) ||
(aCtx.Request.Selection.Periodicity == Periodicity.Month && aCtx.Request.Selection.Interval > 1) ||
aCtx.Request.Selection.Periodicity == Periodicity.Year);
}
public void GetHistory(GetHistoryCtx aCtx, HistoryAnswerHandler aCallback)
{
List <Bar> aBars = new List <Bar>();
//doesn't support
if (aCtx.Request.Selection.Periodicity == Periodicity.Tick ||
aCtx.Request.Selection.Periodicity == Periodicity.Range)
{
aCallback(aCtx, aBars);
return;
}
try
{
string aData;
if (aCtx.FromF.Year < 1900)
{
aCtx.FromF = new DateTime(1900, 1, 1);
}
string aURL = BuildUrl2(aCtx.Request.Selection, aCtx.FromF, aCtx.ToF, aCtx.MaxBars);
string dateFormat;
int dateColumn;
if (aCtx.Request.Selection.Periodicity >= Periodicity.Day)
{
dateFormat = "yyyy-MM-dd";
dateColumn = 1;
}
else
{
dateFormat = "yyyy-MM-dd HH:mm";
dateColumn = 0;
}
string[] aRows;
aData = OpenURL(aURL);
aRows = aData.Split(new[] { '\r', '\n' }, StringSplitOptions.RemoveEmptyEntries);
foreach (string item in aRows)
{
Bar aBar = new Bar();
string[] aCells = item.Split(',');
if (aCells.Length == 7)
{
aBar.Date = DateTime.ParseExact(aCells[dateColumn], dateFormat, null);
aBar.Date = TimeZoneInfo.ConvertTimeToUtc(aBar.Date, TimeZoneInfo);//
aBar.Open = Double.Parse(aCells[2], m_Culture.NumberFormat);
if (Math.Abs(aBar.Open) < Double.Epsilon)
{
continue;
}
aBar.High = Double.Parse(aCells[3], m_Culture.NumberFormat);
aBar.Low = Double.Parse(aCells[4], m_Culture.NumberFormat);
aBar.Close = Double.Parse(aCells[5], m_Culture.NumberFormat);
aBar.Volume = Int64.Parse(aCells[6], m_Culture.NumberFormat);
}
else
{
throw new ApplicationException("History response is not valid: " + aData);
}
aBars.Add(aBar);
}
aBars.Reverse();
}
catch (Exception e)
{
WriteToLog("GetHistory", e);
}
if (NeedConvertBars(aCtx))
{
aBars = CombineBars(aBars, aCtx.Request.Selection.Periodicity, aCtx.Request.Selection.Interval);
}
aCallback(aCtx, aBars);
}
private GetHistoryCtx GetHistoryCtx(HistoryParameters aParameters, TimeZoneInfo datafeedTimeZone)
{
int nBars = aParameters.BarsCount;
DateTime aFromF;
DateTime aToF;
int maxBars = nBars;
if (aParameters.Interval != 1)
{
nBars = aParameters.Interval * nBars;
}
if ((aParameters.From == DateTime.MinValue || aParameters.From == DateTime.MaxValue) && (aParameters.To == DateTime.MinValue || aParameters.To == DateTime.MaxValue))
{
TimeZoneInfo aTZI = datafeedTimeZone;
DateTime aUTCNow = DateTime.UtcNow;
aToF = TimeZoneInfo.ConvertTimeFromUtc(aUTCNow, aTZI);
switch (aParameters.Periodicity)
{
case Periodicity.Second:
aFromF = aToF.Date.AddMinutes(-nBars);
//not supported
break;
case Periodicity.Minute:
//need check
if (aParameters.Symbol.Type == Instrument.Forex)
{
double nDays = 3.0 * (1 + nBars / (24.0 * 60.0) * (7.0 / 5.0));
aFromF = aToF.Date.AddDays(-(int)nDays);
}
else
{
aFromF = aToF.Date.AddMinutes(-6 * nBars - 5000);
}
break;
case Periodicity.Hour:
//need check
if (aParameters.Symbol.Type == Instrument.Forex)
{
double nDays = 3.0 * (1 + nBars / (24.0) * (7.0 / 5.0));
aFromF = aToF.Date.AddDays(-(int)nDays);
}
else
{
aFromF = aToF.Date.AddMinutes(-6 * nBars * 24 - 5000);
}
break;
case Periodicity.Day:
aFromF = aToF.Date.AddDays(-(int)nBars * 7 / 5);
break;
case Periodicity.Week:
aFromF = aToF.Date.AddDays(-(int)7 * nBars * 7 / 5);
break;
case Periodicity.Month:
aFromF = aToF.Date.AddMonths(-nBars);
maxBars = nBars;
break;
case Periodicity.Year:
aToF = new DateTime(aToF.Year, 1, 1);
aFromF = aToF.Date.AddYears(-nBars);
nBars *= 12;
maxBars = nBars;
break;
default:
System.Diagnostics.Debug.Assert(false);
aFromF = aToF.Date.AddMinutes(-nBars);
break;
}
aParameters.To = TimeZoneInfo.ConvertTimeToUtc(aToF, aTZI);
aParameters.From = TimeZoneInfo.ConvertTimeToUtc(aFromF, aTZI);
}
else if (aParameters.From == DateTime.MinValue || aParameters.From == DateTime.MaxValue || aParameters.To == DateTime.MinValue || aParameters.To == DateTime.MaxValue)
{
throw new ApplicationException("Hitory period is specified incorrectly");
}
else
{
TimeZoneInfo aTZI = datafeedTimeZone;
DateTime aUTCNow = DateTime.UtcNow;
aToF = TimeZoneInfo.ConvertTimeFromUtc(aParameters.To, aTZI);
aFromF = TimeZoneInfo.ConvertTimeFromUtc(aParameters.From, aTZI).Date;
aParameters.From = TimeZoneInfo.ConvertTimeToUtc(aFromF, aTZI);
}
GetHistoryCtx aCtx = new GetHistoryCtx();
aCtx.MaxBars = maxBars;
//aCtx.Request = aRequest;
aCtx.Bars = new List <Bar>();
aCtx.FromF = aFromF;
aCtx.ToF = aToF;
//aCtx.DataFeed = aDataFeed;
aCtx.Interval = aParameters.Interval;
return(aCtx);
}
private List <Bar> CalculateBars(GetHistoryCtx aCtx, List <Bar> aPrimitives)
{
List <Bar> aList = new List <Bar>();
if (aCtx.Bars.Count == 0)
{
return(aList);
}
if (aCtx.Request.Selection.Periodicity == Periodicity.Minute)
{
int aInterval = aCtx.Interval;
if (aInterval > 1)
{
int i = 0;
aCtx.Bars.Reverse();
while (i < aCtx.Bars.Count)
{
DateTime aStart = aCtx.Bars[i].Date;
int aRest = 0;
Bar aBar = new Bar();
List <Bar> aList2;
int i2;
aRest = aStart.TimeOfDay.Minutes % aInterval;
if (aRest != 0)
{
aStart = aStart.AddMinutes(-aRest);
}
i2 = aCtx.Bars.FindIndex(i, o => o.Date >= aStart.AddMinutes(aInterval));
if (i2 >= i)
{
if (i2 > i)
{
aList2 = aCtx.Bars.GetRange(i, Math.Min(i2 - i, aInterval));
}
else
{
aList2 = new List <Bar>();
aList2.Add(aCtx.Bars[i]);
}
aBar.Date = aStart;
aBar.Open = aList2[0].Open;
aBar.Close = aList2[aList2.Count - 1].Close;
aBar.High = aList2.Max(o => o.High);
aBar.Low = aList2.Min(o => o.Low);
aBar.Volume = aList2.Sum(o => o.Volume);
aStart = aStart.AddMinutes(aInterval);
aList.Add(aBar);
i += aList2.Count();
}
else
{
break;
}
}
aList.Reverse();
}
else
{
aList.AddRange(aPrimitives);
}
}
else if (aCtx.Request.Selection.Periodicity == Periodicity.Day)
{
return(aCtx.Bars);
}
else
{
return(aCtx.Bars);
}
return(aList);
}
private void SubscribeAlert(AlertSubscribeRequest aRequest)
{
var errorString = TradeScript.Validate(aRequest.Script);
if (aRequest.Script == string.Empty)
{
errorString = "Script can not be empty";
}
if (errorString != string.Empty)
{
var response = new AlertSubscribeResponse
{
Id = aRequest.Id,
Error = errorString,
AlertName = aRequest.AlertName,
Alert = new Alert
{
Name = aRequest.Name,
Symbol = aRequest.Symbol
},
User = aRequest.User
};
PushResponses(aRequest.User.ID, new ResponseMessage[] { response });
return;
}
var selection = new HistoryParameters(aRequest.Id, aRequest.Symbol, aRequest.Periodicity, aRequest.Interval, aRequest.BarsCount);
IDataFeed aDataFeed = GetDataFeedByName(aRequest.Symbol.DataFeed);
if (aDataFeed != null)
{
GetHistoryCtx aCtx = GetHistoryCtx(selection, aDataFeed.TimeZoneInfo);
aCtx.Request = new HistoryRequest(selection);
aCtx.DataFeed = aDataFeed;
ThreadPool.QueueUserWorkItem(o =>
{
aDataFeed.GetHistory(aCtx, (ctx, bars) =>
{
Level1Subscribers subscribers = null;
var symbolItem = new SymbolItem()
{
DataFeed = aRequest.Symbol.DataFeed,
Exchange = aRequest.Symbol.Exchange,
Symbol = aRequest.Symbol.Symbol,
Type = aRequest.Symbol.Type
};
lock (m_Level1SubscribersBySymbols)
{
if (!m_Level1SubscribersBySymbols.TryGetValue(aRequest.Symbol, out subscribers))
{
subscribers = new Level1Subscribers();
subscribers.Subscribers = new List <string>();
subscribers.AlertSubscribers = new List <AlertSubscription>();
m_Level1SubscribersBySymbols.Add(aRequest.Symbol, subscribers);
}
}
AlertSubscription alert = new AlertSubscription()
{
Id = aRequest.Id,
AlertName = aRequest.AlertName,
Symbol = symbolItem,
Name = aRequest.Name,
Periodicity = aRequest.Periodicity,
Interval = aRequest.Interval,
Script = aRequest.Script,
UserSessionId = aRequest.User.ID,
Login = aRequest.User.Login,
CalculationType = aRequest.CalculationType
};
alert.InitAlert(bars);
lock (subscribers.AlertSubscribers)
{
subscribers.AlertSubscribers.Add(alert);
}
aDataFeed.Subscribe(aRequest.Symbol);
});
});
}
}