public static string GetBarDuration(BarDuration duration)
{
string durName = "";
switch (duration)
{
case BarDuration.OneMinute:
durName = "1 Minute";
break;
case BarDuration.ThreeMinute:
durName = "3 Minute";
break;
case BarDuration.FiveMinute:
durName = "5 Minute";
break;
case BarDuration.TenMinute:
durName = "10 Minute";
break;
case BarDuration.ThirtyMinute:
durName = "30 Minute";
break;
case BarDuration.Hourly:
durName = "60 Minute";
break;
case BarDuration.Daily:
durName = "Daily";
break;
}
return durName;
}
public static int GetNumberOfDays(BarDuration minutes)
{
switch (minutes)
{
case BarDuration.OneMinute:
return(5);
case BarDuration.ThreeMinute:
return(15);
case BarDuration.FiveMinute:
return(25);
case BarDuration.TenMinute:
return(60);
case BarDuration.ThirtyMinute:
return(150);
case BarDuration.Hourly:
return(210);
case BarDuration.Daily:
return(730); // 2 years
default:
return(100);
}
}
public static int GetTimeDuration(BarDuration duration)
{
switch (duration)
{
case BarDuration.OneMinute:
return(1);
case BarDuration.ThreeMinute:
return(3);
case BarDuration.FiveMinute:
return(5);
case BarDuration.TenMinute:
return(10);
case BarDuration.ThirtyMinute:
return(30);
case BarDuration.Hourly:
return(60);
case BarDuration.Daily:
return(1440);
default:
return(0);
}
}
public static int GetNumberOfBars(BarDuration minutes)
{
switch (minutes)
{
case BarDuration.OneMinute:
return(7200); // 5 days
case BarDuration.ThreeMinute:
return(7200); // 15 days
case BarDuration.FiveMinute:
return(7200); // 25 days
case BarDuration.TenMinute:
return(8640); // 60 days
case BarDuration.ThirtyMinute:
return(7200); // 150 days
case BarDuration.Hourly:
return(5040); // 210 days
case BarDuration.Daily:
return(730); // 2 years
default:
return(100);
}
}
private void ProcessChangeDuration(BarDuration duration)
{
barDuration = duration;
/*
*
* BarTimeFrame = TimeSpan.FromMinutes(ChartUtility.GetTimeDuration(barDuration)).TotalSeconds;
* InitialRangeNeedsCalculation = true;
*
* if (barDuration == BarDuration.Daily)
* XLabelFormatter = new CustomDateLabelFormatter();
* else
* XLabelFormatter = new CustomDateTimeLabelFormatter();
*
* string durName = ChartUtility.GetBarDuration(barDuration);
* ChangeChecked(durName);
*
* VolumeData.Clear();
* _bidAskVolumeCumSeries.Clear();
* _bidVolumeSeries.Clear();
* _askVolumeSeries.Clear();
* bidAskCumulativeVolume = 0;
*
* var keys = symbolToDataSeriesMap.Keys.ToList();
* foreach (string key in keys)
* {
* OhlcDataSeries<DateTime, double> newSeries = new OhlcDataSeries<DateTime, double>();
* symbolToDataSeriesMap[key] = newSeries;
*
* XyDataSeries<DateTime, double> newLineSeries = new XyDataSeries<DateTime, double>();
* symbolToXYDataSeriesMap[key] = newLineSeries;
*
* if (instrumentToRenderableSeriesMap.ContainsKey(key))
* {
* foreach (IRenderableSeries rSeries in instrumentToRenderableSeriesMap[key])
* {
* rSeries.DataSeries = newSeries;
* }
* }
* chartForm.sciChartControl.priceChart.InvalidateElement();
*
* int numBars = (int)Math.Ceiling((DateTime.Now - DateTime.Now.AddDays(-(ChartUtility.GetNumberOfDays(barDuration) + 1))).TotalMinutes / ChartUtility.GetTimeDuration(barDuration));
*
* if (synInstrumentMap.ContainsKey(key))
* {
* foreach (var symbol in synInstrumentMap[key].symbolToVarMap.Keys)
* ChartDataServerConnector.getInstance().RequestData(symbol, ChartUtility.GetTimeDuration(barDuration), "", "", numBars, RecvHistoricalData);
*
* tempSyntheticInstrument = key;
* inSyntheticMode = true;
* }
* else
* {
* ChartDataServerConnector.getInstance().RequestData(key, ChartUtility.GetTimeDuration(barDuration), "", "", numBars, RecvHistoricalData);
* }
* }
*/
}
/// <summary>
/// Gets list of historical bars for single asset from Alpaca REST API endpoint.
/// </summary>
/// <param name="symbol">Asset name for data retrieval.</param>
/// <param name="barDuration">Single historical bar duration.</param>
/// <param name="startTimeInclusive">Start time for filtering (inclusive).</param>
/// <param name="endTimeInclusive">End time for filtering (inclusive).</param>
/// <returns>Read-only list of historical bars for specified asset.</returns>
public Task <IAssetBars> ListBarsAsync(
String symbol,
BarDuration barDuration,
DateTime?startTimeInclusive = null,
DateTime?endTimeInclusive = null)
{
var builder = new UriBuilder(_alpacaHttpClient.BaseAddress)
{
Path = $"v1/assets/{symbol}/bars",
Query = new QueryBuilder()
.AddParameter("timeframe ", barDuration.ToEnumString())
.AddParameter("start_dt", startTimeInclusive)
.AddParameter("end_dt", endTimeInclusive)
};
return(getSingleObjectAsync <IAssetBars, JsonAssetBars>(_alpacaHttpClient, builder));
}
/// <summary>
/// Gets list of historical bars for several assets from Alpaca REST API endpoint.
/// </summary>
/// <param name="symbols">List of asset names for data retrieval.</param>
/// <param name="barDuration">Single historical bar duration.</param>
/// <param name="startTimeInclusive">Start time for filtering (inclusive).</param>
/// <param name="endTimeInclusive">End time for filtering (inclusive).</param>
/// <returns>Read-only list of historical bars lists for specified assets.</returns>
public Task <IEnumerable <IAssetBars> > ListBarsAsync(
IEnumerable <String> symbols,
BarDuration barDuration,
DateTime?startTimeInclusive = null,
DateTime?endTimeInclusive = null)
{
var builder = new UriBuilder(_alpacaHttpClient.BaseAddress)
{
Path = "v1/bars",
Query = new QueryBuilder()
.AddParameter("symbols", String.Join(",", symbols))
.AddParameter("timeframe", barDuration.ToEnumString())
.AddParameter("start_dt", startTimeInclusive)
.AddParameter("end_dt", endTimeInclusive)
};
return(getObjectsListAsync <IAssetBars, JsonAssetBars>(_alpacaHttpClient, builder));
}
public async void ListMultiAssetBarsWorks(
BarDuration barDuration,
Int32 daysLookback)
{
var endTimeInclusive = DateTime.UtcNow;
var startTimeInclusive = endTimeInclusive
.Subtract(TimeSpan.FromDays(daysLookback));
var collection = await _restClient.ListBarsAsync(
new [] { "AAPL", "GOOG", "MSFT" },
barDuration, startTimeInclusive, endTimeInclusive);
Assert.NotNull(collection);
var list = collection.ToList();
Assert.NotEmpty(list);
Assert.Equal(3, list.Count);
}
public async void ListSingleAssetBarsWorks(
BarDuration barDuration,
Int32 daysLookback)
{
var endTimeInclusive = DateTime.UtcNow;
var startTimeInclusive = endTimeInclusive
.Subtract(TimeSpan.FromDays(daysLookback));
var bars = await _restClient.ListBarsAsync(
"AAPL", barDuration,
startTimeInclusive, endTimeInclusive);
Assert.NotNull(bars);
Assert.Equal("AAPL", bars.Symbol);
Assert.NotNull(bars.Items);
Assert.NotEmpty(bars.Items);
var first = bars.Items.First();
var last = bars.Items.Last();
Assert.True(first.Time < last.Time);
}
public static string GetBarDuration(BarDuration duration)
{
string durName = "";
switch (duration)
{
case BarDuration.OneMinute:
durName = "1 Minute";
break;
case BarDuration.ThreeMinute:
durName = "3 Minute";
break;
case BarDuration.FiveMinute:
durName = "5 Minute";
break;
case BarDuration.TenMinute:
durName = "10 Minute";
break;
case BarDuration.ThirtyMinute:
durName = "30 Minute";
break;
case BarDuration.Hourly:
durName = "60 Minute";
break;
case BarDuration.Daily:
durName = "Daily";
break;
}
return(durName);
}
private void PreLoadDailyDataImpl(Instrument instrument, BarDuration duration)
{
BarSeries series = null;
string id = instrument.ToIdentifier();
Dictionary<string, BarSeries> dictionaryToUse = null;
if (duration == BarDuration.Daily)
dictionaryToUse = dailyBarSeriesDictionary;
else if (duration == BarDuration.Minutely)
dictionaryToUse = minutelyBarSeriesDictionary;
else
throw new ArgumentOutOfRangeException("duration", duration, "Incorrect value for duration");
dictionaryToUse.TryGetValue(id, out series);
if (null != series && series.Count >= 1)
return;
DateTime start = DateTime.Now;
if (duration == BarDuration.Daily)
series = GetHistoricalBars("IB", Instrument, DateTime.Now.AddDays(-60), DateTime.Now, PeriodConstants.PERIOD_DAILY);
else if (duration == BarDuration.Minutely)
series = GetHistoricalBars("IB", instrument, DateTime.Now.AddDays(-5), DateTime.Now, PeriodConstants.PERIOD_MINUTE);
DateTime end = DateTime.Now;
LoggingUtility.WriteDebug(LoggingConfig, string.Format("Took {0}ms to retrieve data from IB for {1} data", end.Subtract(start).TotalMilliseconds, duration));
dictionaryToUse[id] = series;
start = DateTime.Now;
foreach (Bar currentBar in series)
{
Bars.Add(currentBar);
if (PersistHistoricalData)
DataManager.Add(Instrument, currentBar);
}
end = DateTime.Now;
LoggingUtility.WriteDebug(LoggingConfig, string.Format("Took {0}ms to load data into memory for {1} data", end.Subtract(start).TotalMilliseconds, duration));
}
private void PreLoadDataImpl(BarDuration duration)
{
BarSeries series = null;
DateTime start = DateTime.Now;
if (duration == BarDuration.Daily)
{
DailyBarSeries = GetHistoricalBars("IB", Instrument, DateTime.Now.AddDays(-60), DateTime.Now,
PeriodConstants.PERIOD_DAILY);
series = DailyBarSeries;
}
else if (duration == BarDuration.Minutely)
{
int dayToGet = Math.Abs(DaysToGoBackForMinutelyData)*-1;
DateTime startDateForMinutelyData = EffectiveValidityTriggerTime.Date.AddDays(dayToGet);
if (DaysToGoBackForMinutelyData != 0)
{
startDateForMinutelyData = EffectiveValidityTriggerTime.Date.AddDays(dayToGet);
}
else
{
dayToGet = -2;
startDateForMinutelyData = EffectiveValidityTriggerTime.Date.AddDays(dayToGet);
bool isHoliday = startDateForMinutelyData.Date.DayOfWeek == DayOfWeek.Saturday ||
startDateForMinutelyData.Date.DayOfWeek == DayOfWeek.Sunday;
while (isHoliday)
{
startDateForMinutelyData = startDateForMinutelyData.AddDays(-1);
isHoliday = startDateForMinutelyData.Date.DayOfWeek == DayOfWeek.Saturday ||
startDateForMinutelyData.Date.DayOfWeek == DayOfWeek.Sunday;
}
}
LoggingUtility.WriteDebug(LoggingConfig, string.Format("Trying to retrieve minutely data starting from {0} from IB", startDateForMinutelyData));
MinutelyBarSeries = GetHistoricalBars("IB", Instrument, startDateForMinutelyData, DateTime.Now,
PeriodConstants.PERIOD_MINUTE);
series = MinutelyBarSeries;
}
DateTime end = DateTime.Now;
int retrievedBarCount = 0;
if (null != series)
retrievedBarCount = series.Count;
LoggingUtility.WriteDebug(LoggingConfig,
string.Format(
"Took {0}ms to retrieve data from IB for {1} data. Total bars retrieved: {2}",
end.Subtract(start).TotalMilliseconds, duration, retrievedBarCount));
start = DateTime.Now;
foreach (Bar currentBar in series)
{
Bars.Add(currentBar);
if (PersistHistoricalData)
DataManager.Add(Instrument, currentBar);
}
end = DateTime.Now;
LoggingUtility.WriteDebug(LoggingConfig, string.Format("Took {0}ms to load data into memory for {1} data", end.Subtract(start).TotalMilliseconds, duration));
}
public static int GetNumberOfBars(BarDuration minutes)
{
switch (minutes)
{
case BarDuration.OneMinute:
return 7200; // 5 days
case BarDuration.ThreeMinute:
return 7200; // 15 days
case BarDuration.FiveMinute:
return 7200; // 25 days
case BarDuration.TenMinute:
return 8640; // 60 days
case BarDuration.ThirtyMinute:
return 7200; // 150 days
case BarDuration.Hourly:
return 5040; // 210 days
case BarDuration.Daily:
return 730; // 2 years
default:
return 100;
}
}
public static bool GetBucket(DateTime tradeDate, BarDuration duration, out DateTime retDate)
{
retDate = new DateTime();
bool valid = true;
try
{
int tMin = tradeDate.Minute;
int iRet = 0;
switch (duration)
{
case BarDuration.OneMinute:
iRet = tradeDate.Minute;
retDate = new DateTime(tradeDate.Year, tradeDate.Month, tradeDate.Day, tradeDate.Hour, tradeDate.Minute, 0);
break;
case BarDuration.ThreeMinute:
iRet = tMin + (3 - tMin % 3);
break;
case BarDuration.FiveMinute:
iRet = tMin + (5 - tMin % 5);
break;
case BarDuration.TenMinute:
iRet = tMin + (10 - tMin % 10);
break;
case BarDuration.ThirtyMinute:
iRet = tMin + (30 - tMin % 30);
break;
case BarDuration.Hourly:
iRet = tMin + (60 - tMin % 60);
break;
case BarDuration.Daily:
if (tradeDate.Hour < 17)
{
iRet = tradeDate.Day;
retDate = new DateTime(tradeDate.Year, tradeDate.Month, tradeDate.Day, 0, 0, 0);
}
else
{
DateTime tDate = tradeDate.AddDays(1);
retDate = new DateTime(tDate.Year, tDate.Month, tDate.Day, 0, 0, 0);
}
break;
}
if (duration != BarDuration.OneMinute && duration != BarDuration.Daily)
{
if (iRet == 60)
{
iRet = 0;
}
retDate = new DateTime(tradeDate.Year, tradeDate.Month, tradeDate.Day, tradeDate.Hour, iRet, 0);
if (iRet == 0)
{
retDate = retDate.AddHours(1);
}
}
if (retDate == DateTime.MinValue)
{
valid = false;
}
}
catch (Exception err)
{
Alerting.Alert.LoggerHome.GetLogger(new ChartUtility()).Error("Error in GetBucket " + tradeDate.ToString() + "," + duration.ToString(), err);
valid = false;
}
return(valid);
}
public static int GetNumberOfDays(BarDuration minutes)
{
switch (minutes)
{
case BarDuration.OneMinute:
return 5;
case BarDuration.ThreeMinute:
return 15;
case BarDuration.FiveMinute:
return 25;
case BarDuration.TenMinute:
return 60;
case BarDuration.ThirtyMinute:
return 150;
case BarDuration.Hourly:
return 210;
case BarDuration.Daily:
return 730; // 2 years
default:
return 100;
}
}
public static int GetTimeDuration(BarDuration duration)
{
switch (duration)
{
case BarDuration.OneMinute:
return 1;
case BarDuration.ThreeMinute:
return 3;
case BarDuration.FiveMinute:
return 5;
case BarDuration.TenMinute:
return 10;
case BarDuration.ThirtyMinute:
return 30;
case BarDuration.Hourly:
return 60;
case BarDuration.Daily:
return 1440;
default:
return 0;
}
}
private void ProcessChangeDuration(BarDuration duration)
{
barDuration = duration;
/*
BarTimeFrame = TimeSpan.FromMinutes(ChartUtility.GetTimeDuration(barDuration)).TotalSeconds;
InitialRangeNeedsCalculation = true;
if (barDuration == BarDuration.Daily)
XLabelFormatter = new CustomDateLabelFormatter();
else
XLabelFormatter = new CustomDateTimeLabelFormatter();
string durName = ChartUtility.GetBarDuration(barDuration);
ChangeChecked(durName);
VolumeData.Clear();
_bidAskVolumeCumSeries.Clear();
_bidVolumeSeries.Clear();
_askVolumeSeries.Clear();
bidAskCumulativeVolume = 0;
var keys = symbolToDataSeriesMap.Keys.ToList();
foreach (string key in keys)
{
OhlcDataSeries<DateTime, double> newSeries = new OhlcDataSeries<DateTime, double>();
symbolToDataSeriesMap[key] = newSeries;
XyDataSeries<DateTime, double> newLineSeries = new XyDataSeries<DateTime, double>();
symbolToXYDataSeriesMap[key] = newLineSeries;
if (instrumentToRenderableSeriesMap.ContainsKey(key))
{
foreach (IRenderableSeries rSeries in instrumentToRenderableSeriesMap[key])
{
rSeries.DataSeries = newSeries;
}
}
chartForm.sciChartControl.priceChart.InvalidateElement();
int numBars = (int)Math.Ceiling((DateTime.Now - DateTime.Now.AddDays(-(ChartUtility.GetNumberOfDays(barDuration) + 1))).TotalMinutes / ChartUtility.GetTimeDuration(barDuration));
if (synInstrumentMap.ContainsKey(key))
{
foreach (var symbol in synInstrumentMap[key].symbolToVarMap.Keys)
ChartDataServerConnector.getInstance().RequestData(symbol, ChartUtility.GetTimeDuration(barDuration), "", "", numBars, RecvHistoricalData);
tempSyntheticInstrument = key;
inSyntheticMode = true;
}
else
{
ChartDataServerConnector.getInstance().RequestData(key, ChartUtility.GetTimeDuration(barDuration), "", "", numBars, RecvHistoricalData);
}
}
*/
}
private void ChangeDuration(BarDuration barDuration)
{
this.ProcessChangeDuration(barDuration);
}
private void ChangeDuration(BarDuration barDuration)
{
this.ProcessChangeDuration(barDuration);
}
public static bool GetBucket(DateTime tradeDate, BarDuration duration, out DateTime retDate)
{
retDate = new DateTime();
bool valid = true;
try
{
int tMin = tradeDate.Minute;
int iRet = 0;
switch (duration)
{
case BarDuration.OneMinute:
iRet = tradeDate.Minute;
retDate = new DateTime(tradeDate.Year, tradeDate.Month, tradeDate.Day, tradeDate.Hour, tradeDate.Minute, 0);
break;
case BarDuration.ThreeMinute:
iRet = tMin + (3 - tMin % 3);
break;
case BarDuration.FiveMinute:
iRet = tMin + (5 - tMin % 5);
break;
case BarDuration.TenMinute:
iRet = tMin + (10 - tMin % 10);
break;
case BarDuration.ThirtyMinute:
iRet = tMin + (30 - tMin % 30);
break;
case BarDuration.Hourly:
iRet = tMin + (60 - tMin % 60);
break;
case BarDuration.Daily:
if (tradeDate.Hour < 17)
{
iRet = tradeDate.Day;
retDate = new DateTime(tradeDate.Year, tradeDate.Month, tradeDate.Day, 0, 0, 0);
}
else
{
DateTime tDate = tradeDate.AddDays(1);
retDate = new DateTime(tDate.Year, tDate.Month, tDate.Day, 0, 0, 0);
}
break;
}
if (duration != BarDuration.OneMinute && duration != BarDuration.Daily)
{
if (iRet == 60)
iRet = 0;
retDate = new DateTime(tradeDate.Year, tradeDate.Month, tradeDate.Day, tradeDate.Hour, iRet, 0);
if (iRet == 0)
retDate = retDate.AddHours(1);
}
if (retDate == DateTime.MinValue)
valid = false;
}
catch (Exception err)
{
Alerting.Alert.LoggerHome.GetLogger(new ChartUtility()).Error("Error in GetBucket " + tradeDate.ToString() + "," + duration.ToString(), err);
valid = false;
}
return valid;
}