public MarketRequest(MarketSymbol marketSymbol, DataType dataType, DateTime startDate, DateTime endDate)
{
MarketSymbol = marketSymbol;
DataType = dataType;
StartDate = startDate;
EndDate = endDate;
}
public static string GetZipOutputFileName(DateTime date, MarketSymbol symbol, DataType dataType, string dataDirectory)
{
var formattedSecurityType = symbol.SecurityType.ToLowerInvariant();
var formattedDataType = dataType.ToString().ToLowerInvariant();
var formattedSymbol = symbol.Symbol.ToLowerInvariant();
var country = "usa"; // TODO: find country by exchange
return(Path.Combine(dataDirectory, formattedSecurityType, country, formattedDataType, formattedSymbol, GenerateZipFileName(date, symbol, dataType)));
}
public static string GenerateZipFileName(DateTime date, MarketSymbol symbol, DataType dataType)
{
var formattedSymbol = symbol.Symbol.ToLowerInvariant();
switch (dataType)
{
case DataType.Fundamental:
case DataType.Daily:
case DataType.Weekly:
return($"{formattedSymbol}.zip");
default:
return($"{date:yyyyMMdd}.zip");;
}
}
public static string GenerateZipEntryName(DateTime date, MarketSymbol symbol, DataType dataType)
{
var formattedSymbol = symbol.Symbol.ToLowerInvariant();
var formattedDataType = dataType.ToString().ToLowerInvariant();
switch (dataType)
{
case DataType.Fundamental:
case DataType.Daily:
case DataType.Weekly:
return($"{formattedSymbol}_{formattedDataType}.csv");
default:
return($"{date.ToString(DateFormat)}_{formattedSymbol}_{formattedDataType}.csv");
}
}
public OptionableStock(MarketSymbol marketSymbol, IEnumerable <EquityOption> options)
{
MarketSymbol = marketSymbol;
Options = options;
}
public FileReader(string dataDirectory, MarketSymbol symbol, DateTime date, DataType resolution)
{
_zipPath = DataStore.GetZipOutputFileName(date, symbol, resolution, dataDirectory);
_zipEntry = DataStore.GenerateZipEntryName(date, symbol, resolution);
}
public Recorder(RecorderView view)
{
this.view = view;
view.recorder = this;
/////////// Setup logger ///////////
logger = NLog.LogManager.GetCurrentClassLogger();
loggerWCF = NLog.LogManager.GetLogger("Capture.Recorder.WCF");
/////////// Setup WCF notification to a BriefMaker ///////////
briefMakerClient = new BriefMakerServiceReference.BriefMakerClient();
/////////// Download Symbols ///////////
try
{
logger.Debug("Downloading symbols");
var dbSymbols = from s in dc.Symbols select s;
foreach (var s in dbSymbols)
{
if (String.IsNullOrWhiteSpace(s.Name))
{
logger.Error("SymbolID:" + s.SymbolID + " does not have a name(symbol). Item will be skipped.");
continue;
}
if (s.SymbolID > 255 || s.SymbolID < 0)
{
logger.Error("SymbolID:" + s.SymbolID + " range is not valid. Supported(0-255). Item will be skipped.");
continue;
}
SecurityType secType = s.Type.Trim() == "STK" ? SecurityType.Stock : SecurityType.Index;
string market = s.Market.Trim();
var new_symb = new MarketSymbol()
{
SymbolID = s.SymbolID,
Symbol = s.Name.Trim(),
securityType = s.Type.Trim() == "STK" ? SecurityType.Stock : SecurityType.Index,
Market = s.Market
};
symbols.Add(new_symb);
}
}
catch (Exception ex)
{
logger.Error("Database Exception: " + ex.Message);
logger.Error("Make sure that the connection string is set correctly in app.config.");
Thread.Sleep(5000);
ShutdownRecorder();
}
// Setup BinaryWriters
logger.Debug("Downloading symbols");
capturingWriter = new BinaryWriter(new MemoryStream(MemoryStreamReserveSpace));
capturingWriter.Write((long)0); // leave some space at the beginning for time later
manufacturedWriterForFuture = new BinaryWriter(new MemoryStream(MemoryStreamReserveSpace));
manufacturedWriterForFuture.Write((long)0); // leave some space at the beginning for time later
// Run this thread will a little higher priority since it is dealing with real-time information.
Process.GetCurrentProcess().PriorityClass = ProcessPriorityClass.High;
// Thread.CurrentThread.Priority = ThreadPriority.AboveNormal;
view.timer.Tick += new EventHandler(timer1Sec_Tick);
while (true)
{
TimeSpan timespan = new TimeSpan(DateTime.Now.Ticks - lastRecievedUpdate.Ticks);
if (timespan.Seconds > 30)
{
logger.Info("No Data received in over 30 seconds. Requesting Reconnect...");
lastRecievedUpdate = DateTime.Now;
ConnectToIB();
}
if (terminateRequested || (DateTime.Now.TimeOfDay > settings.ShutDownTime))
{
logger.Info("Close requested or automatic end of day shutdown.");
ShutdownRecorder();
break;
}
view.BeginInvoke((MethodInvoker)delegate
{
view.toolStripStatusLabelEventCt.Text = totalCaptureEventsForDisplay.ToString() + " (" + (totalCaptureEventsForDisplay - lastTotalCaptureEventsForDisplay).ToString() + "/sec)"; // runs on UI thread
lastTotalCaptureEventsForDisplay = totalCaptureEventsForDisplay;
view.toolStripStatusLabelLastBrfID.Text = lastUpdateTime.ToString();
}); // runs on UI thread
Thread.Sleep(1000);
}
}
public Recorder(RecorderView view)
{
this.view = view;
view.recorder = this;
/////////// Setup logger ///////////
logger = NLog.LogManager.GetCurrentClassLogger();
loggerWCF = NLog.LogManager.GetLogger("Capture.Recorder.WCF");
/////////// Setup WCF notification to a BriefMaker ///////////
briefMakerClient = new BriefMakerServiceReference.BriefMakerClient();
/////////// Download Symbols ///////////
logger.Debug("Downloading symbols");
var dbSymbols = from s in dc.Symbols select s;
foreach (var s in dbSymbols)
{
if (String.IsNullOrWhiteSpace(s.Name))
{
logger.Error("SymbolID:" + s.SymbolID + " does not have a name(symbol). Item will be skipped.");
continue;
}
if (s.SymbolID > 255 || s.SymbolID < 0)
{
logger.Error("SymbolID:" + s.SymbolID + " range is not valid. Supported(0-255). Item will be skipped.");
continue;
}
SecurityType secType = s.Type.Trim() == "STK" ? SecurityType.Stock : SecurityType.Index;
string market = s.Market.Trim();
var new_symb = new MarketSymbol()
{
SymbolID = s.SymbolID,
Symbol = s.Name.Trim(),
securityType = s.Type.Trim() == "STK" ? SecurityType.Stock : SecurityType.Index,
Market = s.Market
};
symbols.Add(new_symb);
}
// Setup BinaryWriters
logger.Debug("Downloading symbols");
capturingWriter = new BinaryWriter(new MemoryStream(MemoryStreamReserveSpace));
capturingWriter.Write((long)0); // leave some space at the beginning for time later
manufacturedWriterForFuture = new BinaryWriter(new MemoryStream(MemoryStreamReserveSpace));
manufacturedWriterForFuture.Write((long)0); // leave some space at the beginning for time later
// Run this thread will a little higher priority since it is dealing with real-time information.
Process.GetCurrentProcess().PriorityClass = ProcessPriorityClass.High;
// Thread.CurrentThread.Priority = ThreadPriority.AboveNormal;
view.timer.Tick += new EventHandler(timer1Sec_Tick);
while (true)
{
TimeSpan timespan = new TimeSpan(DateTime.Now.Ticks - lastRecievedUpdate.Ticks);
if (timespan.Seconds > 30)
{
logger.Info("No Data received in over 30 seconds. Requesting Reconnect...");
lastRecievedUpdate = DateTime.Now;
ConnectToIB();
}
if (terminateRequested || (DateTime.Now.TimeOfDay > settings.ShutDownTime))
{
logger.Info("Close requested or automatic end of day shutdown.");
ShutdownRecorder();
break;
}
view.BeginInvoke((MethodInvoker) delegate
{
view.toolStripStatusLabelEventCt.Text = totalCaptureEventsForDisplay.ToString() + " (" + (totalCaptureEventsForDisplay - lastTotalCaptureEventsForDisplay).ToString() + "/sec)"; // runs on UI thread
lastTotalCaptureEventsForDisplay = totalCaptureEventsForDisplay;
view.toolStripStatusLabelLastBrfID.Text = lastUpdateTime.ToString();
}); // runs on UI thread
Thread.Sleep(1000);
}
}
public FileWriter(string dataDirectory, MarketSymbol marketSymbol, DataType dataType)
{
_dataType = dataType;
_marketSymbol = marketSymbol;
_dataDirectory = dataDirectory;
}
