static int GetTimerInterval(BarSize barSize)
{
DateTime now = DateTime.Now;
switch (barSize)
{
case BarSize.OneSecond:
return 1000
- now.Millisecond;
case BarSize.OneMinute:
return (60 - now.Second) * 1000
- now.Millisecond;
case BarSize.OneHour:
return (60 - now.Minute) * 60 * 1000
- (60 - now.Second) * 1000
- now.Millisecond;
case BarSize.OneDay:
return (24 - now.Hour) * 24 * 60 * 1000
- (60 - now.Minute) * 60 * 1000
- (60 - now.Second) * 1000
- now.Millisecond;
default:
throw new NotImplementedException($"BarSize {barSize} is currently not supported by the ForexFeed data source");
}
}
public RealTimeDataRequest(Instrument instrument, BarSize frequency, bool rthOnly = true, bool savetoLocalStorage = false)
{
Instrument = instrument;
Frequency = frequency;
RTHOnly = rthOnly;
SaveToLocalStorage = savetoLocalStorage;
}
public DataAdditionRequest(BarSize frequency, Instrument instrument, List<OHLCBar> data, bool overwrite = true)
{
Data = data;
Frequency = frequency;
Instrument = instrument;
Overwrite = overwrite;
}
public RealTimeStreamInfo(Instrument instrument, int requestID, string datasource, BarSize frequency, bool rthOnly) : this()
{
Instrument = instrument;
RequestID = requestID;
Datasource = datasource;
Frequency = frequency;
RTHOnly = rthOnly;
}
public HistoricalDataRequest(Instrument instrument, BarSize frequency, DateTime startingDate, DateTime endingDate, bool forceFreshData = false, bool localStorageOnly = false, bool saveToLocalStorage = true, bool rthOnly = false)
{
Frequency = frequency;
Instrument = instrument;
StartingDate = startingDate;
EndingDate = endingDate;
ForceFreshData = forceFreshData;
LocalStorageOnly = localStorageOnly;
SaveDataToStorage = saveToLocalStorage;
RTHOnly = rthOnly;
}
public List<OHLCBar> GetData(Instrument inst, DateTime startTime, DateTime endTime, BarSize frequency = BarSize.OneDay)
{
_logger.Log(LogLevel.Info, string.Format("Data request for {0} from {1} to {2} @ {3}", inst, startTime, endTime, frequency));
//Check the cache
lock (_dataCacheLock)
{
if (_dataCache.ContainsKey(inst.ID) &&
_dataCache[inst.ID].First().DT <= startTime &&
_dataCache[inst.ID].Last().DT >= endTime)
{
_logger.Log(LogLevel.Info, "Found data in cache");
return _dataCache[inst.ID].Where(x => x.DT >= startTime && x.DT <= endTime).ToList();
}
}
//if external data is not allowed, just grab the prior positions data
if (!_useExternalDataSource)
{
return GetLocalData(inst, startTime, endTime);
}
//If the cache is not enough, go to the external datasource
var data = ExternalDataSource.GetData(inst, startTime, endTime);
//External datasource didn't have anything, get data from prior positions
if (data == null || data.Count == 0)
{
_logger.Log(LogLevel.Info, "Data was not available externally, getting it form prior positions");
return GetLocalData(inst, startTime, endTime);
}
//QDMS data does NOT cover the entire period requested.
//Try to supplement the data with the prices from prior positions
if(frequency == BarSize.OneDay && (data.First().DT.Date > startTime.Date || data.Last().DT.Date < endTime))
{
SupplementWithLocalData(inst, startTime, endTime, ref data);
}
AddToCache(data, inst.ID);
return data;
}
/// <summary>
/// Delets data of a specific frequency for a specific instrument.
/// </summary>
/// <param name="instrument"></param>
/// <param name="frequency"></param>
public void DeleteData(Instrument instrument, BarSize frequency)
{
bool isConnected;
MySqlConnection connection = TryConnect(out isConnected);
if (!isConnected)
{
throw new Exception("Could not connect to database");
}
using (var cmd = new MySqlCommand("", connection))
{
cmd.CommandText = string.Format("DELETE FROM data WHERE InstrumentID = {0} AND Frequency = {1}", instrument.ID, (int)frequency);
cmd.ExecuteNonQuery();
cmd.CommandText = string.Format("DELETE FROM instrumentinfo WHERE InstrumentID = {0} AND Frequency = {1}", instrument.ID, (int)frequency);
cmd.ExecuteNonQuery();
}
Log(LogLevel.Info, string.Format("Deleted all {0} data for instrument {1}", frequency, instrument));
connection.Close();
}
private void LoadDataBtn_Click(object sender, RoutedEventArgs e)
{
Data.Clear();
//grab the data
using (var localStorage = DataStorageFactory.Get())
{
var bars = localStorage.GetData(TheInstrument, StartTime, EndTime, (BarSize)ResolutionComboBox.SelectedItem);
//find largest significant decimal by sampling the prices at the start and end of the series
var decPlaces = new List <int>();
for (int i = 0; i < Math.Min(bars.Count, 20); i++)
{
decPlaces.Add(bars[i].Open.CountDecimalPlaces());
decPlaces.Add(bars[bars.Count - 1 - i].Close.CountDecimalPlaces());
}
//set the column format to use that number so we don't get any useless trailing 0s
SetPriceColumnFormat(decPlaces.Max());
foreach (OHLCBar b in bars)
{
//do any required time zone coversions
if (TimezoneComboBox.Text == "UTC")
{
b.DT = TimeZoneInfo.ConvertTimeToUtc(b.DT, _tzInfo);
}
else if (TimezoneComboBox.Text == "Local")
{
b.DT = TimeZoneInfo.ConvertTime(b.DT, _tzInfo, TimeZoneInfo.Local);
}
Data.Add(b);
}
_loadedFrequency = (BarSize)ResolutionComboBox.SelectedItem;
_loadedTimeZone = TimezoneComboBox.Text;
}
StatusLabel.Content = string.Format("Loaded {0} Bars", Data.Count);
}
private bool RequestNewData(BarSize barSize, List <string> symbols, out Dictionary <string, Hashtable> data)
{
StringBuilder sb = new StringBuilder();
foreach (var symbol in symbols)
{
if (sb.Length > 0)
{
sb.Append(",");
}
sb.Append(symbol);
}
_api.setTimeout(30);
_api.setSymbol(sb.ToString());
_api.setInterval(_intervalCache[barSize]);
_api.setPeriods(1);
ArrayList quotes = _api.getData();
if (_api.getStatus().Equals("OK"))
{
Dictionary <string, Hashtable> locData = new Dictionary <string, Hashtable>();
foreach (var quoteTmp in quotes)
{
Hashtable quote = (Hashtable)quoteTmp;
locData.Add((string)quote["symbol"], quote);
}
data = locData;
return(true);
}
LogError("getData");
data = null;
return(false);
}
private int GetInterval(BarSize frequency)
{
switch (frequency)
{
case BarSize.TwoMinutes:
return(2);
case BarSize.FiveMinutes:
return(5);
case BarSize.FifteenMinutes:
return(15);
case BarSize.ThirtyMinutes:
return(30);
case BarSize.OneHour:
return(60);
default:
return(1);
}
}
public static string FrequencyToRequestString(BarSize frequency)
{
switch (frequency)
{
case BarSize.OneDay:
return("d");
case BarSize.OneWeek:
return("w");
case BarSize.OneMonth:
return("m");
case BarSize.OneQuarter:
return("q");
case BarSize.OneYear:
return("a");
default:
return("d");
}
}
public static string FrequencyToRequestString(BarSize frequency)
{
switch (frequency)
{
case BarSize.OneDay:
return "d";
case BarSize.OneWeek:
return "w";
case BarSize.OneMonth:
return "m";
case BarSize.OneQuarter:
return "q";
case BarSize.OneYear:
return "a";
default:
return "d";
}
}
private void UpdateHistoricalData(BarSize barSize)
{
var frequency = barSize; //(BarSize) ((MenuItem) sender).Tag;
int requestCount = 0;
using (var localStorage = DataStorageFactory.Get())
{
foreach (var instrument in selectedInstruments)
{
var storageInfo = localStorage.GetStoredDataInfo(instrument.ID);
if (storageInfo.Any(x => x.Frequency == frequency))
{
var relevantStorageInfo = storageInfo.First(x => x.Frequency == frequency);
Client.RequestHistoricalData(new HistoricalDataRequest(
instrument,
frequency,
relevantStorageInfo.LatestDate +
frequency.ToTimeSpan(),
DateTime.Now,
DataLocation.ExternalOnly,
true));
requestCount++;
}
}
}
if (ProgressBarValue >= ProgressBarMaximum)
{
ProgressBarMaximum = requestCount;
ProgressBarValue = 0;
}
else
{
ProgressBarMaximum += requestCount;
}
}
/// <summary>
/// Gets the range of dates for which data is available for the specified instrument, at the specified frequency.
/// </summary>
/// <returns>Null if no match was found. A SotredDataInfo otherwise.</returns>
public StoredDataInfo GetStorageInfo(int instrumentID, BarSize frequency)
{
bool isConnected;
MySqlConnection connection = TryConnect(out isConnected);
if (!isConnected)
{
throw new Exception("Could not connect to database");
}
var instrumentInfo = new StoredDataInfo();
using (var cmd = new MySqlCommand("", connection))
{
cmd.CommandText = string.Format("SELECT * FROM instrumentinfo WHERE InstrumentID = {0} AND Frequency = {1}",
instrumentID,
(int)frequency);
using (var reader = cmd.ExecuteReader())
{
if (reader.Read())
{
instrumentInfo.InstrumentID = instrumentID;
instrumentInfo.Frequency = (BarSize)reader.GetInt32("Frequency");
instrumentInfo.EarliestDate = reader.GetDateTime("EarliestDate");
instrumentInfo.LatestDate = reader.GetDateTime("LatestDate");
}
else
{
return(null); //return null if nothing is found that matches these criteria
}
}
}
connection.Close();
return(instrumentInfo);
}
public void UpdateData(List<OHLCBar> data, Instrument instrument, BarSize frequency)
{
throw new NotImplementedException();
}
public List<OHLCBar> GetData(Instrument instrument, DateTime startDate, DateTime endDate, BarSize barSize = BarSize.OneDay)
{
throw new NotImplementedException();
}
private static int[] BarSizeRange(BarSize barSize, TimeUnit timeUnit)
{
return(BarSizeRanges[barSize][timeUnit]);
}
public HistoricalDataRequest(Instrument instrument, BarSize frequency, DateTime startingDate, DateTime endingDate, DataLocation dataLocation = DataLocation.Both, bool saveToLocalStorage = true, bool rthOnly = true, int requestID = 0)
{
Frequency = frequency;
Instrument = instrument;
StartingDate = startingDate;
EndingDate = endingDate;
DataLocation = dataLocation;
SaveDataToStorage = saveToLocalStorage;
RTHOnly = rthOnly;
RequestID = requestID;
}
public List <OHLCBar> GetData(Instrument inst, DateTime startTime, DateTime endTime, BarSize frequency = BarSize.OneDay)
{
_logger.Log(LogLevel.Info, string.Format("Data request for {0} from {1} to {2} @ {3}", inst, startTime, endTime, frequency));
//Check the cache
lock (_dataCacheLock)
{
if (_dataCache.ContainsKey(inst.ID) &&
_dataCache[inst.ID].First().DT <= startTime &&
_dataCache[inst.ID].Last().DT >= endTime)
{
_logger.Log(LogLevel.Info, "Found data in cache");
return(_dataCache[inst.ID].Where(x => x.DT >= startTime && x.DT <= endTime).ToList());
}
}
//if external data is not allowed, just grab the prior positions data
if (!_useExternalDataSource)
{
return(GetLocalData(inst, startTime, endTime));
}
//If the cache is not enough, go to the external datasource
var data = ExternalDataSource.GetData(inst, startTime, endTime);
//External datasource didn't have anything, get data from prior positions
if (data == null || data.Count == 0)
{
_logger.Log(LogLevel.Info, "Data was not available externally, getting it form prior positions");
return(GetLocalData(inst, startTime, endTime));
}
//QDMS data does NOT cover the entire period requested.
//Try to supplement the data with the prices from prior positions
if (frequency == BarSize.OneDay && (data.First().DT.Date > startTime.Date || data.Last().DT.Date < endTime))
{
SupplementWithLocalData(inst, startTime, endTime, ref data);
}
AddToCache(data, inst.ID);
return(data);
}
private List <OHLCBar> RequestData(Instrument instrument, DateTime startTime, DateTime endTime, BarSize frequency = BarSize.OneDay)
{
if (!instrument.ID.HasValue)
{
return(null);
}
//the data doesn't exist locally, request it
var req = new HistoricalDataRequest
{
Instrument = instrument,
StartingDate = startTime.Date,
EndingDate = endTime.Date,
Frequency = frequency,
DataLocation = _allowFreshData ? DataLocation.Both : DataLocation.LocalOnly,
RTHOnly = true,
SaveDataToStorage = true
};
int requestID = _client.RequestHistoricalData(req);
_requestIDs.Add(requestID, false);
//Wait until the data arrives
int i = 0;
while (i < 100)
{
Thread.Sleep(20);
lock (_arrivedDataLock)
{
if (_requestIDs[requestID])
{
var data = _arrivedData[instrument.ID.Value];
_arrivedData.Remove(instrument.ID.Value);
return(data);
}
}
i++;
}
return(new List <OHLCBar>());
}
public List<OHLCBar> GetData(int externalInstrumentID, DateTime from, DateTime to, BarSize frequency = BarSize.OneDay)
{
if (!_client.Connected) return null;
RefreshInstrumentsList();
var instrument = _instrumentsList.FirstOrDefault(x => x.ID == externalInstrumentID);
if (instrument == null) return null;
return RequestData(instrument, from, to);
}
public async System.Threading.Tasks.Task <List <DataBar> > GetHistoricalDataAsync(SecurityType securityType, string ticker, BarSize barSize, DateTime?endDate = null)
{
var client = new AlphaVantageStocksClient(Constants.AlphaVantageApiKey);
var HistoricalBarCollection = new List <DataBar>();
StockTimeSeries timeSeries;
switch (barSize)
{
case BarSize.DAY:
timeSeries = await client.RequestDailyTimeSeriesAsync(ticker, TimeSeriesSize.Full, adjusted : false);
break;
case BarSize.WEEK:
timeSeries = await client.RequestWeeklyTimeSeriesAsync(ticker, adjusted : false);
break;
case BarSize.MONTH:
timeSeries = await client.RequestMonthlyTimeSeriesAsync(ticker, adjusted : false);
break;
default:
timeSeries = await client.RequestIntradayTimeSeriesAsync(ticker, (IntradayInterval)barSize, TimeSeriesSize.Full);
break;
}
((List <StockDataPoint>)timeSeries.DataPoints).ForEach(bar => HistoricalBarCollection.Add(new DataBar(bar)));
return(HistoricalBarCollection);
}
private void CheckForAbnormalRanges(List <OHLCBar> data, int toSkip, double abnormalStDevRange, Instrument inst, BarSize freq)
{
//Check for abnormally large ranges
var highs = data.Select(x => x.AdjHigh.HasValue ? x.AdjHigh.Value : x.High);
var lows = data.Select(x => x.AdjLow.HasValue ? x.AdjLow.Value : x.Low);
var ranges = highs.Zip(lows, (h, l) => (double)(h - l));
double stDev = ranges.QDMSStandardDeviation();
double mean = ranges.Average();
if (ranges.Skip(toSkip).Any(x => x > mean + stDev * abnormalStDevRange))
{
_errors.Add(string.Format(
"Possible dirty data detected, abnormally large range in instrument {0} at frequency {1}.",
inst,
freq));
}
}
public FeedTimer(BarSize barSize)
{
BarSize = barSize;
loopHandler = TimerLoop;
}
public List<OHLCBar> GetData(EntityModel.Instrument instrument, DateTime from, DateTime to, BarSize frequency = BarSize.OneDay)
{
if (!_client.Connected) return null;
RefreshInstrumentsList();
var qdmsInst = instrument.GetQDMSInstrument(_instrumentsList);
if (qdmsInst == null) //nothing like this in QDMS, just grab local data
{
return null;
}
StoredDataInfo dataInfo = TryGetStorageInfo(qdmsInst);
//Here we check if there's is absolutely no
if ((dataInfo == null || dataInfo.LatestDate < from || dataInfo.EarliestDate > to) &&
!_allowFreshData)
{
return null;
}
//grab the data
return RequestData(qdmsInst, from, to, frequency);
}
private void TimerElapsed(object sender, BarSize e)
{
if (!Connected)
{
return;
}
foreach (KeyValuePair <BarSize, ConcurrentDictionary <int, RealTimeDataRequest> > pair in _connectedRequests)
{
if (_connectedRequests.Count == 0)
{
continue;
}
List <string> symbols = new List <string>();
List <RealTimeDataRequest> requestList = pair.Value.Select(p => p.Value).ToList();
{
List <RealTimeDataRequest> requestsToIgnore = new List <RealTimeDataRequest>();
foreach (var request in requestList)
{
//if needed, we filter out the data outside of regular trading hours
if (request.RTHOnly &&
request.Frequency < BarSize.OneDay &&
request.Instrument.Sessions != null)
{
if (!DateTime.UtcNow.InSession(request.Instrument.Sessions))
{
requestsToIgnore.Add(request);
}
}
}
requestList.RemoveAll(x => requestsToIgnore.Contains(x));
}
// @ToDo: Feacture: Diese Abfrage könnte gecachet werden, um Performance zu spaaren
foreach (RealTimeDataRequest request in requestList)
{
string symbol = request.Instrument.DatasourceSymbol;
if (string.IsNullOrEmpty(symbol))
{
symbol = request.Instrument.Symbol;
}
if (!symbols.Contains(symbol))
{
symbols.Add(symbol);
}
}
if (symbols.Count > 0)
{
Dictionary <string, Hashtable> data;
if (RequestNewData(pair.Key, symbols, out data))
{
foreach (var request in requestList)
{
string symbol = request.Instrument.DatasourceSymbol;
if (string.IsNullOrEmpty(symbol))
{
symbol = request.Instrument.Symbol;
}
RaiseEvent(DataReceived, this, new RealTimeDataEventArgs(
request.Instrument.ID.Value,
long.Parse((string)data[symbol]["time"], CultureInfo.InvariantCulture),
decimal.Parse((string)data[symbol]["open"], CultureInfo.InvariantCulture),
decimal.Parse((string)data[symbol]["high"], CultureInfo.InvariantCulture),
decimal.Parse((string)data[symbol]["low"], CultureInfo.InvariantCulture),
decimal.Parse((string)data[symbol]["close"], CultureInfo.InvariantCulture),
0,
0,
0,
request.AssignedID
));
}
}
}
}
}
public List<OHLCBar> GetAllData(EntityModel.Instrument instrument, BarSize frequency = BarSize.OneDay)
{
if (!_client.Connected) return new List<OHLCBar>();
RefreshInstrumentsList();
//find instrument
var qdmsInst = instrument.GetQDMSInstrument(_instrumentsList);
if (qdmsInst == null) //nothing like this in QDMS, just grab local data
{
return new List<OHLCBar>();
}
StoredDataInfo dataInfo = TryGetStorageInfo(qdmsInst);
if (dataInfo == null)
{
return new List<OHLCBar>();
}
return GetData(
instrument,
dataInfo.EarliestDate,
dataInfo.LatestDate,
frequency);
}
public void AddData(List <OHLCBar> data, Instrument instrument, BarSize frequency, bool overwrite = false,
bool adjust = true)
{
if (ParameterChecks(data))
{
return;
}
if (!TryConnect(out SqlConnection connection))
{
throw new Exception("Could not connect to database");
}
using (connection)
{
using (var cmd = new SqlCommand("", connection))
{
cmd.CommandTimeout = 0;
var sb = new StringBuilder();
sb.Append("BEGIN TRAN T1;");
//We create a temporary table which will then be used to merge the data into the data table
var r = new Random();
var tableName = "tmpdata" + r.Next();
sb.AppendFormat("SELECT * INTO {0} from data where 1=2;", tableName);
//start the insert
for (var i = 0; i < data.Count; i++)
{
var bar = data[i];
if (frequency >= BarSize.OneDay)
{
//we don't save the time when saving this stuff to allow flexibility with changing sessions
bar.DateTimeClose = bar.DateTimeClose.Date;
bar.DateTimeOpen = null;
}
if (i == 0 || (i - 1) % 500 == 0)
{
sb.AppendFormat("INSERT INTO {0} " +
"(DateTimeClose, InstrumentID, Frequency, [Open], High, Low, [Close], " +
"Volume, DateTimeOpen) VALUES ", tableName);
}
AppendBar(instrument, frequency, sb, bar);
sb.Append(i % 500 != 0 && i < data.Count - 1 ? ", " : ";");
}
//Merge the temporary table with the data table
sb.AppendFormat(@"MERGE INTO
dbo.data T
USING
(SELECT * FROM {0}) AS S (InstrumentID, Frequency,DateTimeClose, [Open], High, Low, [Close],
DateTimeOpen,Volume )
ON
T.InstrumentID = S.InstrumentID AND T.Frequency = S.Frequency AND T.DateTimeClose = S.DateTimeClose
WHEN NOT MATCHED THEN
INSERT (InstrumentID, Frequency,DateTimeClose, [Open], High, Low, [Close],
DateTimeOpen,Volume)
VALUES (InstrumentID, Frequency,DateTimeClose, [Open], High, Low, [Close],
DateTimeOpen,Volume)",
tableName);
if (overwrite)
{
sb.Append(@" WHEN MATCHED THEN
UPDATE SET
T.InstrumentID = S.InstrumentID,
T.Frequency = S.Frequency,
T.DateTimeClose = S.DateTimeClose,
T.[Open] = S.[Open],
T.High = S.High,
T.Low = S.Low,
T.[Close] = S.[Close],
T.Volume = S.Volume,
T.DateTimeOpen = S.DateTimeOpen;");
}
else
{
sb.Append(";");
}
sb.AppendFormat("DROP TABLE {0};", tableName);
sb.Append("COMMIT TRAN T1;");
cmd.CommandText = sb.ToString();
ExecuteQuery(cmd);
cmd.CommandText = $@"
MERGE INTO
instrumentinfo T
USING
(SELECT * FROM (VALUES ({instrument.ID}, {(int)frequency}, '{data
[0].DateTimeClose:yyyy-MM-dd HH:mm:ss.fff}', '{data[data.Count - 1].DateTimeClose:yyyy-MM-dd HH:mm:ss.fff}'))
Dummy(InstrumentID, Frequency, EarliestDate, LatestDate)) S
ON
T.InstrumentID = S.InstrumentID AND T.Frequency = S.Frequency
WHEN NOT MATCHED THEN
INSERT (InstrumentID, Frequency, EarliestDate, LatestDate)
VALUES (InstrumentID, Frequency, EarliestDate, LatestDate)
WHEN MATCHED THEN
UPDATE SET
T.EarliestDate = (SELECT MIN(mydate) FROM (VALUES (T.EarliestDate), (S.EarliestDate)) AS AllDates(mydate)),
T.LatestDate = (SELECT MAX(mydate) FROM (VALUES (T.LatestDate), (S.LatestDate)) AS AllDates(mydate));";
ExecuteQuery(cmd);
Log(LogLevel.Info,
$"Saved {data.Count} data points of {instrument.Symbol} @ {Enum.GetName(typeof(BarSize), frequency)} " +
$"to local storage. {(overwrite ? "Overwrite" : "NoOverwrite")} {(adjust ? "Adjust" : "NoAdjust")}");
}
}
}
public void DeleteData(Instrument instrument, BarSize frequency)
{
throw new NotImplementedException();
}
public List <OHLCBar> GetData(EntityModel.Instrument instrument, DateTime from, DateTime to, BarSize frequency = BarSize.OneDay)
{
if (!_client.Connected)
{
return(null);
}
RefreshInstrumentsList();
var qdmsInst = instrument.GetQDMSInstrument(_instrumentsList);
if (qdmsInst == null) //nothing like this in QDMS, just grab local data
{
return(null);
}
StoredDataInfo dataInfo = TryGetStorageInfo(qdmsInst);
//Here we check if there's is absolutely no
if ((dataInfo == null || dataInfo.LatestDate < from || dataInfo.EarliestDate > to) &&
!_allowFreshData)
{
return(null);
}
//grab the data
return(RequestData(qdmsInst, from, to, frequency));
}
private List<OHLCBar> RequestData(Instrument instrument, DateTime startTime, DateTime endTime, BarSize frequency = BarSize.OneDay)
{
if (!instrument.ID.HasValue) return null;
//the data doesn't exist locally, request it
var req = new HistoricalDataRequest
{
Instrument = instrument,
StartingDate = startTime.Date,
EndingDate = endTime.Date,
Frequency = frequency,
DataLocation = _allowFreshData ? DataLocation.Both : DataLocation.LocalOnly,
RTHOnly = true,
SaveDataToStorage = true
};
int requestID = _client.RequestHistoricalData(req);
_requestIDs.Add(requestID, false);
//Wait until the data arrives
int i = 0;
while (i < 100)
{
Thread.Sleep(20);
lock (_arrivedDataLock)
{
if (_requestIDs[requestID])
{
var data = _arrivedData[instrument.ID.Value];
_arrivedData.Remove(instrument.ID.Value);
return data;
}
}
i++;
}
return new List<OHLCBar>();
}
private void CheckForAbnormalReturns(List <OHLCBar> data, int toSkip, double abnormalLimit, Instrument inst, BarSize freq)
{
var closePrices = data
.Select(x => x.AdjClose.HasValue ? (double)x.AdjClose.Value : (double)x.Close);
if (closePrices.Any(x => x == 0))
{
//avoid div by 0
return;
}
var absRets = closePrices.Zip(closePrices.Skip(1), (x, y) => Math.Abs(y / x - 1));
if (absRets.Skip(Math.Max(0, toSkip - 1)).Max() >= abnormalLimit)
{
_errors.Add(string.Format(
"Possible dirty data detected, abnormally large returns in instrument {0} at frequency {1}.",
inst,
freq));
}
}
/// <summary>
/// Returns data from local storage.
/// </summary>
/// <param name="instrument">The instrument whose data you want.</param>
/// <param name="startDate">Starting datetime.</param>
/// <param name="endDate">Ending datetime.</param>
/// <param name="frequency">Frequency.</param>
/// <returns></returns>
public List <OHLCBar> GetData(Instrument instrument, DateTime startDate, DateTime endDate, BarSize frequency = BarSize.OneDay)
{
bool isConnected;
MySqlConnection connection = TryConnect(out isConnected);
if (!isConnected)
{
throw new Exception("Could not connect to database");
}
using (var cmd = new MySqlCommand("", connection))
{
cmd.CommandText = "SELECT * FROM data WHERE " +
"InstrumentID = ?ID AND Frequency = ?Freq AND DT >= ?Start AND DT <= ?End ORDER BY DT ASC";
cmd.Parameters.AddWithValue("ID", instrument.ID);
cmd.Parameters.AddWithValue("Freq", (int)frequency);
cmd.Parameters.AddWithValue("Start", frequency >= BarSize.OneDay ? startDate.Date : startDate);
cmd.Parameters.AddWithValue("End", frequency >= BarSize.OneDay ? endDate.Date : endDate);
var data = new List <OHLCBar>();
using (var reader = cmd.ExecuteReader(System.Data.CommandBehavior.SequentialAccess))
{
while (reader.Read())
{
var bar = new OHLCBar
{
DT = reader.GetDateTime(0),
Open = (decimal)reader[3],
High = (decimal)reader[4],
Low = (decimal)reader[5],
Close = (decimal)reader[6],
AdjOpen = reader[7] as decimal?,
AdjHigh = reader[8] as decimal?,
AdjLow = reader[9] as decimal?,
AdjClose = reader[10] as decimal?,
Volume = reader[11] as long?,
OpenInterest = reader[12] as int?,
Dividend = reader[13] as decimal?,
Split = reader[14] as decimal?,
DTOpen = reader.IsDBNull(15) ? null : (DateTime?)reader.GetDateTime(15)
};
data.Add(bar);
}
}
connection.Close();
return(data);
}
}
public RealTimeStreamInfo(Instrument instrument, int requestID, string datasource, BarSize frequency, bool rthOnly) : this()
{
Instrument = instrument;
RequestID = requestID;
Datasource = datasource;
Frequency = frequency;
RTHOnly = rthOnly;
}
//Add new data to local storage
public void AddData(List <OHLCBar> data, Instrument instrument, BarSize frequency, bool overwrite = false, bool adjust = true)
{
if (!instrument.ID.HasValue)
{
throw new Exception("Instrument must have an ID assigned to it.");
}
if (data.Count == 0)
{
Log(LogLevel.Error, "Local storage: asked to add data of 0 length");
return;
}
bool isConnected;
MySqlConnection connection = TryConnect(out isConnected);
if (!isConnected)
{
throw new Exception("Could not connect to database");
}
bool needsAdjustment = false;
using (var cmd = new MySqlCommand("", connection))
{
var sb = new StringBuilder();
sb.Append("START TRANSACTION;");
int tmpCounter = 0;
for (int i = 0; i < data.Count; i++)
{
var bar = data[i];
if (frequency >= BarSize.OneDay)
{
//we don't save the time when saving this stuff to allow flexibility with changing sessions
bar.DT = bar.DT.Date;
bar.DTOpen = null;
}
sb.AppendFormat(CultureInfo.InvariantCulture,
"{16} INTO data " +
"(DT, InstrumentID, Frequency, Open, High, Low, Close, AdjOpen, AdjHigh, AdjLow, AdjClose, " +
"Volume, OpenInterest, Dividend, Split, DTOpen) VALUES (" +
"'{0}', {1}, {2}, {3}, {4}, {5}, {6}, {7}, {8}, {9}, {10}, {11}, {12}, {13}, {14}, {15});",
bar.DT.ToString("yyyy-MM-dd HH:mm:ss.fff"),
instrument.ID,
(int)frequency,
bar.Open.ToString(CultureInfo.InvariantCulture),
bar.High.ToString(CultureInfo.InvariantCulture),
bar.Low.ToString(CultureInfo.InvariantCulture),
bar.Close.ToString(CultureInfo.InvariantCulture),
bar.AdjOpen.HasValue ? bar.AdjOpen.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.AdjHigh.HasValue ? bar.AdjHigh.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.AdjLow.HasValue ? bar.AdjLow.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.AdjClose.HasValue ? bar.AdjClose.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.Volume.HasValue ? bar.Volume.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.OpenInterest.HasValue ? bar.OpenInterest.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.Dividend.HasValue ? bar.Dividend.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.Split.HasValue ? bar.Split.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.DTOpen.HasValue ? String.Format("'{0:yyyy-MM-dd HH:mm:ss.fff}'", bar.DTOpen.Value) : "NULL",
overwrite ? "REPLACE" : "INSERT IGNORE"
);
if (!needsAdjustment && (data[i].Dividend.HasValue || data[i].Split.HasValue))
{
needsAdjustment = true;
}
tmpCounter++;
//periodically insert...not sure what the optimal number of rows is
if (tmpCounter > 1000)
{
sb.Append("COMMIT;");
cmd.CommandText = sb.ToString();
try
{
cmd.ExecuteNonQuery();
}
catch (Exception ex)
{
Log(LogLevel.Error, "MySql query error: " + ex.Message);
}
sb.Clear();
sb.Append("START TRANSACTION;");
tmpCounter = 0;
}
}
sb.Append("COMMIT;");
cmd.CommandText = sb.ToString();
try
{
cmd.ExecuteNonQuery();
}
catch (Exception ex)
{
//no need to log duplicate key errors if we're not overwriting, it's by design.
if (!ex.Message.Contains("Duplicate"))
{
Log(LogLevel.Error, "MySql query error: " + ex.Message);
}
}
//finally update the instrument info
cmd.CommandText = string.Format(
"INSERT INTO instrumentinfo (InstrumentID, Frequency, EarliestDate, LatestDate) VALUES " +
"({0}, {1}, '{2}', '{3}') " +
"ON DUPLICATE KEY UPDATE EarliestDate = LEAST(EarliestDate, '{2}'), " +
"LatestDate = GREATEST(LatestDate, '{3}')",
instrument.ID.Value,
(int)frequency,
data[0].DT.ToString("yyyy-MM-dd HH:mm:ss.fff"),
data[data.Count - 1].DT.ToString("yyyy-MM-dd HH:mm:ss.fff"));
try
{
cmd.ExecuteNonQuery();
}
catch (Exception ex)
{
Log(LogLevel.Error, "MySql query error: " + ex.Message);
}
Log(LogLevel.Info, string.Format(
"Saved {0} data points of {1} @ {2} to local storage. {3} {4}",
data.Count,
instrument.Symbol,
Enum.GetName(typeof(BarSize), frequency),
overwrite ? "Overwrite" : "NoOverwrite",
adjust ? "Adjust" : "NoAdjust"));
}
connection.Close();
//if there were dividends or splits in the data we added,
//we need to generate adjusted prices
if (adjust && needsAdjustment && frequency == BarSize.OneDay) //adjustments are nonsensical on any other frequency
{
AdjustData(instrument, frequency);
}
}
public List <OHLCBar> GetData(int externalInstrumentID, DateTime from, DateTime to, BarSize frequency = BarSize.OneDay)
{
if (!_client.Connected)
{
return(null);
}
RefreshInstrumentsList();
var instrument = _instrumentsList.FirstOrDefault(x => x.ID == externalInstrumentID);
if (instrument == null)
{
return(null);
}
return(RequestData(instrument, from, to));
}
private void LoadDataBtn_Click(object sender, RoutedEventArgs e)
{
Data.Clear();
//grab the data
using (var localStorage = new MySQLStorage())
{
var tzInfo = TimeZoneInfo.FindSystemTimeZoneById(TheInstrument.Exchange.Timezone);
var bars = localStorage.GetData(TheInstrument, StartTime, EndTime, (BarSize)ResolutionComboBox.SelectedItem);
foreach (OHLCBar b in bars)
{
//do any required time zone coversions
if (TimezoneComboBox.Text == "UTC")
{
b.DT = TimeZoneInfo.ConvertTimeToUtc(b.DT, tzInfo);
}
else if (TimezoneComboBox.Text == "Local")
{
b.DT = TimeZoneInfo.ConvertTime(b.DT, TimeZoneInfo.Local, tzInfo);
}
Data.Add(b);
}
_loadedFrequency = (BarSize)ResolutionComboBox.SelectedItem;
}
StatusLabel.Content = string.Format("Loaded {0} Bars", Data.Count);
}
private void LoadDataBtn_Click(object sender, RoutedEventArgs e)
{
Data.Clear();
//grab the data
using (var localStorage = DataStorageFactory.Get())
{
var bars = localStorage.GetData(TheInstrument, StartTime, EndTime, (BarSize)ResolutionComboBox.SelectedItem);
//find largest significant decimal by sampling the prices at the start and end of the series
var decPlaces = new List<int>();
for (int i = 0; i < Math.Min(bars.Count, 20); i++)
{
decPlaces.Add(bars[i].Open.CountDecimalPlaces());
decPlaces.Add(bars[bars.Count - 1 - i].Close.CountDecimalPlaces());
}
//set the column format to use that number so we don't get any useless trailing 0s
SetPriceColumnFormat(decPlaces.Max());
foreach (OHLCBar b in bars)
{
//do any required time zone coversions
if (TimezoneComboBox.Text == "UTC")
{
b.DT = TimeZoneInfo.ConvertTimeToUtc(b.DT, _tzInfo);
}
else if (TimezoneComboBox.Text == "Local")
{
b.DT = TimeZoneInfo.ConvertTime(b.DT, _tzInfo, TimeZoneInfo.Local);
}
Data.Add(b);
}
_loadedFrequency = (BarSize)ResolutionComboBox.SelectedItem;
_loadedTimeZone = TimezoneComboBox.Text;
}
StatusLabel.Content = string.Format("Loaded {0} Bars", Data.Count);
}
public async Task <List <ChartData> > GetChartData(CurrencyPair currencyPair, BarSize period)
{
return(await GetChartData(currencyPair, period, Helper.DateTimeUnixEpochStart, DateTime.UtcNow));
}
private void DrawBar(long originSeconds, Location location, LocalDateTime start, LocalDateTime end, BarSize barHeight, string label, int top)
{
if (start >= end)
{
end = end.PlusDays(1);
}
if (start >= end)
{
return;
}
int x1 = DateToPixels(originSeconds, start.InZoneLeniently(location.TimeZone));
int x2 = DateToPixels(originSeconds, end.InZoneLeniently(location.TimeZone));
if (x1 <= 0)
{
x1 = 0;
}
else if (x1 >= width)
{
return;
}
if (x2 >= width)
{
x2 = width - 1;
}
if (x2 < 0)
{
return;
}
var tb = new TextBlock
{
Foreground = MyBrushes.Gray224,
Background = location.Brush,
Opacity = .95,
TextAlignment = TextAlignment.Center,
LineHeight = 11,
LineStackingStrategy = LineStackingStrategy.BlockLineHeight,
Width = x2 - x1 + 1
};
var y1 = top;
switch (barHeight)
{
case BarSize.Holiday:
case BarSize.Weekend:
tb.Background = location.Brush.Clone();
tb.Background.Opacity = .5;
tb.Foreground = MyBrushes.Gray224;
tb.Height = 11;
tb.Text = label;
tb.FitText();
break;
case BarSize.L:
tb.Height = 11;
if (zoomFormats.SecondsPerPixel < 1800)
{
tb.Text = label;
tb.FitText();
}
break;
case BarSize.M:
tb.Height = 5;
y1 += 3;
break;
case BarSize.S:
tb.Height = 1;
y1 += 5;
break;
}
Canvas.SetTop(tb, y1);
Canvas.SetLeft(tb, x1);
canvas.Children.Add(tb);
}
public void AddData(List <OHLCBar> data, Instrument instrument, BarSize frequency, bool overwrite = false, bool adjust = true)
{
if (!instrument.ID.HasValue)
{
throw new Exception("Instrument must have an ID assigned to it.");
}
if (data.Count == 0)
{
Log(LogLevel.Error, "Local storage: asked to add data of 0 length");
return;
}
SqlConnection connection;
if (!TryConnect(out connection))
{
throw new Exception("Could not connect to database");
}
bool needsAdjustment = false;
using (var cmd = new SqlCommand("", connection))
{
cmd.CommandTimeout = 0;
var sb = new StringBuilder();
sb.Append("BEGIN TRAN T1;");
//We create a temporary table which will then be used to merge the data into the data table
var r = new Random();
string tableName = "tmpdata" + r.Next();
sb.AppendFormat("SELECT * INTO {0} from data where 1=2;", tableName);
//start the insert
for (int i = 0; i < data.Count; i++)
{
var bar = data[i];
if (frequency >= BarSize.OneDay)
{
//we don't save the time when saving this stuff to allow flexibility with changing sessions
bar.DT = bar.DT.Date;
bar.DTOpen = null;
}
if (i == 0 || (i - 1) % 500 == 0)
{
sb.AppendFormat("INSERT INTO {0} " +
"(DT, InstrumentID, Frequency, [Open], High, Low, [Close], AdjOpen, AdjHigh, AdjLow, AdjClose, " +
"Volume, OpenInterest, Dividend, Split, DTOpen) VALUES ", tableName);
}
sb.AppendFormat("('{0}', {1}, {2}, {3}, {4}, {5}, {6}, {7}, {8}, {9}, {10}, {11}, {12}, {13}, {14}, {15})",
bar.DT.ToString("yyyy-MM-ddTHH:mm:ss.fff"),
instrument.ID,
(int)frequency,
bar.Open.ToString(CultureInfo.InvariantCulture),
bar.High.ToString(CultureInfo.InvariantCulture),
bar.Low.ToString(CultureInfo.InvariantCulture),
bar.Close.ToString(CultureInfo.InvariantCulture),
bar.AdjOpen.HasValue ? bar.AdjOpen.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.AdjHigh.HasValue ? bar.AdjHigh.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.AdjLow.HasValue ? bar.AdjLow.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.AdjClose.HasValue ? bar.AdjClose.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.Volume.HasValue ? bar.Volume.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.OpenInterest.HasValue ? bar.OpenInterest.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.Dividend.HasValue ? bar.Dividend.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.Split.HasValue ? bar.Split.Value.ToString(CultureInfo.InvariantCulture) : "NULL",
bar.DTOpen.HasValue ? String.Format("'{0:yyyy-MM-ddTHH:mm:ss.fff}'", bar.DTOpen.Value) : "NULL"
);
sb.Append((i % 500 != 0 && i < data.Count - 1) ? ", " : ";");
if (!needsAdjustment && (data[i].Dividend.HasValue || data[i].Split.HasValue))
{
needsAdjustment = true;
}
}
//Merge the temporary table with the data table
sb.AppendFormat(@"MERGE INTO
dbo.data T
USING
(SELECT * FROM {0}) AS S (DT, InstrumentID, Frequency, [Open], High, Low, [Close], AdjOpen, AdjHigh, AdjLow, AdjClose,
Volume, OpenInterest, Dividend, Split, DTOpen)
ON
T.InstrumentID = S.InstrumentID AND T.Frequency = S.Frequency AND T.DT = S.DT
WHEN NOT MATCHED THEN
INSERT (DT, InstrumentID, Frequency, [Open], High, Low, [Close], AdjOpen, AdjHigh, AdjLow, AdjClose,
Volume, OpenInterest, Dividend, Split, DTOpen)
VALUES (DT, InstrumentID, Frequency, [Open], High, Low, [Close], AdjOpen, AdjHigh, AdjLow, AdjClose,
Volume, OpenInterest, Dividend, Split, DTOpen)",
tableName);
if (overwrite)
{
sb.Append(@" WHEN MATCHED THEN
UPDATE SET
T.DT = S.DT,
T.InstrumentID = S.InstrumentID,
T.Frequency = S.Frequency,
T.[Open] = S.[Open],
T.High = S.High,
T.Low = S.Low,
T.[Close] = S.[Close],
T.AdjOpen = S.AdjOpen,
T.AdjHigh = S.AdjHigh,
T.AdjLow = S.AdjLow,
T.AdjClose = S.AdjClose,
T.Volume = S.Volume,
T.OpenInterest = S.OpenInterest,
T.Dividend = S.Dividend,
T.Split = S.Split,
T.DTOpen = S.DTOpen;");
}
else
{
sb.Append(";");
}
sb.AppendFormat("DROP TABLE {0};", tableName);
sb.Append("COMMIT TRAN T1;");
cmd.CommandText = sb.ToString();
try
{
cmd.ExecuteNonQuery();
}
catch (Exception ex)
{
Log(LogLevel.Error, "SQL Server query error: " + ex.Message);
}
//finally update the instrument info
cmd.CommandText = string.Format(@"
MERGE INTO
instrumentinfo T
USING
(SELECT * FROM (VALUES ({0}, {1}, '{2}', '{3}'))
Dummy(InstrumentID, Frequency, EarliestDate, LatestDate)) S
ON
T.InstrumentID = S.InstrumentID AND T.Frequency = S.Frequency
WHEN NOT MATCHED THEN
INSERT (InstrumentID, Frequency, EarliestDate, LatestDate)
VALUES (InstrumentID, Frequency, EarliestDate, LatestDate)
WHEN MATCHED THEN
UPDATE SET
T.EarliestDate = (SELECT MIN(mydate) FROM (VALUES (T.EarliestDate), (S.EarliestDate)) AS AllDates(mydate)),
T.LatestDate = (SELECT MAX(mydate) FROM (VALUES (T.LatestDate), (S.LatestDate)) AS AllDates(mydate));",
instrument.ID.Value,
(int)frequency,
data[0].DT.ToString("yyyy-MM-dd HH:mm:ss.fff"),
data[data.Count - 1].DT.ToString("yyyy-MM-dd HH:mm:ss.fff"));
try
{
cmd.ExecuteNonQuery();
}
catch (Exception ex)
{
Log(LogLevel.Error, "SQL Server query error: " + ex.Message);
}
Log(LogLevel.Info, string.Format(
"Saved {0} data points of {1} @ {2} to local storage. {3} {4}",
data.Count,
instrument.Symbol,
Enum.GetName(typeof(BarSize), frequency),
overwrite ? "Overwrite" : "NoOverwrite",
adjust ? "Adjust" : "NoAdjust"));
}
connection.Close();
//if there were dividends or splits in the data we added,
//we need to generate adjusted prices
if (adjust && needsAdjustment && frequency == BarSize.OneDay) //adjustments are nonsensical on any other frequency
{
AdjustData(instrument, frequency);
}
}
public FeedTimer(BarSize barSize)
{
BarSize = barSize;
loopHandler = TimerLoop;
}
public void AddDataAsync(OHLCBar data, Instrument instrument, BarSize frequency, bool overwrite = false)
{
AddData(new List <OHLCBar> {
data
}, instrument, frequency, overwrite);
}
public void DeleteData(Instrument instrument, BarSize frequency, List<OHLCBar> bars)
{
throw new NotImplementedException();
}
public void UpdateData(List <OHLCBar> data, Instrument instrument, BarSize frequency, bool adjust = false)
{
AddData(data, instrument, frequency, true, adjust);
}
public StoredDataInfo GetStorageInfo(int instrumentID, BarSize barSize)
{
throw new NotImplementedException();
}
public void DeleteData(Instrument instrument, BarSize frequency, List <OHLCBar> bars)
{
SqlConnection connection;
if (!TryConnect(out connection))
{
throw new Exception("Could not connect to database");
}
using (var cmd = new SqlCommand("", connection))
{
var sb = new StringBuilder();
sb.Append("BEGIN TRAN T1;");
for (int i = 0; i < bars.Count; i++)
{
sb.AppendFormat("DELETE FROM data WHERE InstrumentID = {0} AND Frequency = {1} AND DT = '{2}';",
instrument.ID,
(int)frequency,
frequency < BarSize.OneDay
? bars[i].DT.ToString("yyyy-MM-dd HH:mm:ss.fff")
: bars[i].DT.ToString("yyyy-MM-dd")); //for frequencies greater than a day, we don't care about time
}
sb.Append("COMMIT TRAN T1;");
cmd.CommandText = sb.ToString();
cmd.ExecuteNonQuery();
//check if there's any data left
cmd.CommandText = string.Format("SELECT COUNT(*) FROM data WHERE InstrumentID = {0} AND Frequency = {1}",
instrument.ID,
(int)frequency);
using (var reader = cmd.ExecuteReader())
{
reader.Read();
int count = reader.GetInt32(0);
reader.Close();
if (count == 0)
{
//remove from the instrumentinfo table
cmd.CommandText = string.Format("DELETE FROM instrumentinfo WHERE InstrumentID = {0} AND Frequency = {1}",
instrument.ID,
(int)frequency);
cmd.ExecuteNonQuery();
}
else
{
//update the instrumentinfo table
cmd.CommandText = string.Format(
@"UPDATE instrumentinfo
SET
EarliestDate = (SELECT MIN(DT) FROM data WHERE InstrumentID = {0} AND Frequency = {1}),
LatestDate = (SELECT MAX(DT) FROM data WHERE InstrumentID = {0} AND Frequency = {1})
WHERE
InstrumentID = {0} AND Frequency = {1}" , instrument.ID, (int)frequency);
cmd.ExecuteNonQuery();
}
}
}
Log(LogLevel.Info, string.Format("Deleted {0} {1} bars for instrument {2}", bars.Count, frequency, instrument));
connection.Close();
}
/// <summary>
/// This method allows adding data, but allowing the actual saving of the data to be delayed.
/// Useful when you want to allow the data source the ability to make batch inserts/save to file/whatever on its own discretion.
/// </summary>
/// <param name="data"></param>
/// <param name="instrument"></param>
/// <param name="frequency"></param>
/// <param name="overwrite"></param>
public void AddDataAsync(List<OHLCBar> data, Instrument instrument, BarSize frequency, bool overwrite = false)
{
throw new NotImplementedException();
}
void SendData(BarSize barSize)
{
foreach (KeyValuePair <RequestGrouping, ConcurrentDictionary <int, RealTimeDataRequest> > pair in _connectedRequests)
{
// @ToDo: Performance: if many entries exists in this list, this could be an performance issue.
if (pair.Key.Frequency != barSize)
{
continue;
}
if (_connectedRequests.Count == 0)
{
continue;
}
int historicalRequestId;
if (!_historicalRequests.TryGetValue(pair.Key, out historicalRequestId))
{
continue; // the historical request is not made yet.
}
List <OHLCBar> historicalData;
if (!_historicalData.TryGetValue(historicalRequestId, out historicalData))
{
continue; // the historical data did not arrived yet.
}
List <int> requestsToDelete = new List <int>();
foreach (var pair2 in pair.Value)
{
// get the current position
int indexPosition = 0;
if (_requestPosition.TryGetValue(pair2.Key, out indexPosition))
{
indexPosition++;
}
if (historicalData.Count <= indexPosition)
{
// end of historical data
_logger.Log(LogLevel.Info, $"End of historical data for real time simulation - request ID: {pair2.Key}");
requestsToDelete.Add(pair2.Key);
}
else
{
var currentBar = historicalData[indexPosition];
RaiseEvent(DataReceived, this, new RealTimeDataEventArgs(
pair2.Value.Instrument.ID.Value,
barSize,
MyUtils.ConvertToTimestamp(currentBar.DT),
currentBar.Open,
currentBar.High,
currentBar.Low,
currentBar.Close,
currentBar.Volume ?? 0,
0,
0,
pair2.Value.AssignedID
));
if (indexPosition == 0)
{
_requestPosition.TryAdd(pair2.Key, indexPosition);
}
else
{
_requestPosition[pair2.Key] = indexPosition;
}
}
}
RealTimeDataRequest dummy;
foreach (var i in requestsToDelete)
{
pair.Value.TryRemove(i, out dummy);
}
}
}
/// <summary>
/// Returns data from local storage.
/// </summary>
/// <param name="instrument">The instrument whose data you want.</param>
/// <param name="startDate">Starting datetime.</param>
/// <param name="endDate">Ending datetime.</param>
/// <param name="frequency">Frequency.</param>
/// <returns></returns>
public List <OHLCBar> GetData(Instrument instrument, DateTime startDate, DateTime endDate, BarSize frequency = BarSize.OneDay)
{
SqlConnection connection;
if (!TryConnect(out connection))
{
throw new Exception("Could not connect to database");
}
using (var cmd = new SqlCommand("", connection))
{
cmd.CommandText = "SELECT * FROM data WHERE " +
"InstrumentID = @ID AND Frequency = @Freq AND DT >= @Start AND DT <= @End ORDER BY DT ASC";
cmd.Parameters.AddWithValue("ID", instrument.ID);
cmd.Parameters.AddWithValue("Freq", (int)frequency);
cmd.Parameters.AddWithValue("Start", frequency >= BarSize.OneDay ? startDate.Date : startDate);
cmd.Parameters.AddWithValue("End", frequency >= BarSize.OneDay ? endDate.Date : endDate);
var data = new List <OHLCBar>();
using (var reader = cmd.ExecuteReader())
{
while (reader.Read())
{
var bar = new OHLCBar
{
DT = reader.GetDateTime(0),
DTOpen = reader.IsDBNull(15) ? null : (DateTime?)reader.GetDateTime(15),
Open = reader.GetDecimal(3),
High = reader.GetDecimal(4),
Low = reader.GetDecimal(5),
Close = reader.GetDecimal(6),
AdjOpen = reader.IsDBNull(7) ? null : (decimal?)reader.GetDecimal(7),
AdjHigh = reader.IsDBNull(8) ? null : (decimal?)reader.GetDecimal(8),
AdjLow = reader.IsDBNull(9) ? null : (decimal?)reader.GetDecimal(9),
AdjClose = reader.IsDBNull(10) ? null : (decimal?)reader.GetDecimal(10),
Volume = reader.IsDBNull(11) ? null : (long?)reader.GetInt64(11),
OpenInterest = reader.IsDBNull(12) ? null : (int?)reader.GetInt32(12),
Dividend = reader.IsDBNull(13) ? null : (decimal?)reader.GetDecimal(13),
Split = reader.IsDBNull(14) ? null : (decimal?)reader.GetDecimal(14)
};
data.Add(bar);
}
}
connection.Close();
return(data);
}
}
public MarketDataRequest(Contract contract, DateTime endDateTime, Duration duration, BarSize barSize, WhatToShow whatToShow)
{
Contract = contract ?? throw new ArgumentNullException(nameof(contract));
EndDateTime = endDateTime;
Duration = duration;
BarSize = barSize;
WhatToShow = whatToShow;
}
