public List <Tuple <DateTime, double> > GetFXTimeSeries(ITimeSeriesKey itsk, DateTime startDate)
{
List <Tuple <DateTime, double> > res = new List <Tuple <DateTime, double> >();
CurrencyPairTimeSeries cpts = CurrencyPairTimeSeries.RequestIDToCurrencyPairTimeSeries(itsk.GetTimeSeriesKey());
if (!Data.CpList.Contains(cpts.CurPair))
{
bool loadTs = !ReadFXHistory(cpts);
if (!loadTs)
{
return(res);
}
}
Frequency fq = itsk.GetFrequency();
if (fq.IsInferiorFrequency(Frequency.Day1))
{
fq = Frequency.Day1;
}
List <DateTime> schedule = fq.GetSchedule(DateTime.UtcNow, ScheduleDepth).Where(x => x > startDate).ToList();
bool doSave = false;
foreach (DateTime date in schedule)
{
var item = GetFullData(cpts.CurPair, date);
doSave = doSave || item.Item2;
res.Add(new Tuple <DateTime, double>(date, item.Item1));
}
if (doSave)
{
WriteFXHistory(cpts);
}
return(res);
}
/// <summary>
/// Get OHLC timeseries (possibly post-processed into an index)
/// </summary>
/// <param name="itsk"></param>
/// <param name="isIndex"></param>
/// <returns></returns>
public List <Tuple <DateTime, double> > GetTimeSeries(ITimeSeriesKey itsk, bool isIndex, DateTime startDate)
{
TimeSeriesKeyType type = itsk.GetKeyType();
if (type == TimeSeriesKeyType.CurrencyPair)
{
CurrencyPairTimeSeries cpts = CurrencyPairTimeSeries.RequestIDToCurrencyPairTimeSeries(itsk.GetTimeSeriesKey());
if (!cpts.IsFiatPair)
{
return(KrakenData.GetTimeSeries(itsk, isIndex, startDate));
}
else
{
return(FXData.GetFXTimeSeries(itsk, startDate));
}
}
throw new NotImplementedException();
}
public void LoadPrices(List <ITimeSeriesKey> TimeSeriesKeyList, bool useLowerFrequencies = false)
{
foreach (ITimeSeriesKey itsk in TimeSeriesKeyList)
{
if (itsk.GetKeyType() == TimeSeriesKeyType.CurrencyPair)
{
CurrencyPairTimeSeries cpts = CurrencyPairTimeSeries.RequestIDToCurrencyPairTimeSeries(itsk.GetTimeSeriesKey());
if (!cpts.CurPair.IsIdentity)
{
if (!cpts.CurPair.IsFiatPair)
{
KrakenData.LoadOHLC(itsk, useLowerFrequencies);
}
else
{
FXData.LoadData(cpts);
}
}
}
}
}
/// <summary>
/// Create, Update and Save OHLC data (as much as needed)
/// </summary>
/// <param name="itsk"></param>
/// <param name="useLowerFrequencies"></param>
public void LoadOHLC(ITimeSeriesKey itsk, bool useLowerFrequencies = false)
{
if (itsk.GetKeyType() == TimeSeriesKeyType.CurrencyPair)
{
CurrencyPairTimeSeries cpts = CurrencyPairTimeSeries.RequestIDToCurrencyPairTimeSeries(itsk.GetTimeSeriesKey());
if (!cpts.CurPair.IsIdentity)
{
if (cpts.Freq == Frequency.None)
{
cpts.Freq = SavingMinimumFrequency.GetNextFrequency();
}
List <Frequency> freqList = (useLowerFrequencies && SaveableFrequency(cpts.Freq)) ? cpts.Freq.GetFrequencyList() : new List <Frequency> {
cpts.Freq
};
foreach (Frequency item in freqList)
{
CurrencyPairTimeSeries newCpts = (CurrencyPairTimeSeries)cpts.Clone();
newCpts.Freq = item;
LoadOHLCCore(newCpts);
}
}
}
}
