void DownloadBars()
{
DownloadBarsEnumerator enumerator = quoteClient.DownloadBars(symbol, priceType, period, from, to, -1);
if (outputType == "csv")
{
string path = Path.Combine(this.location, string.Format("{0} {1} {2} {3} {4}.csv", symbol, priceType, period, from.ToString(" yyyyMMdd"), to.ToString(" yyyyMMdd")));
using (StreamWriter file = File.CreateText(path))
{
file.WriteLine("date_time,open,close,low,high,volume");
for (Bar bar = enumerator.Next(-1); bar != null; bar = enumerator.Next(-1))
{
file.WriteLine(string.Format("{0},{1},{2},{3},{4},{5}", bar.From.ToString("yyyy-MM-dd HH:mm:ss.fff", CultureInfo.InvariantCulture), bar.Open, bar.Close, bar.Low, bar.High, bar.Volume));
}
}
this.Log("Bars are downloaded successfully");
}
else if (outputType == "hdf5")
{
string path = Path.Combine(this.location, string.Format("{0} {1} {2} {3} {4}.h5", symbol, priceType, period, from.ToString(" yyyyMMdd"), to.ToString(" yyyyMMdd")));
H5FileId fileId = H5F.create(path, H5F.CreateMode.ACC_TRUNC);
var barsData = new List <Bar>();
for (Bar bar = enumerator.Next(-1); bar != null; bar = enumerator.Next(-1))
{
barsData.Add(bar);
}
if (barsData.Count == 0)
{
return;
}
double[,] barsArray = new double[barsData.Count, 5];
long[,] dataBarsArray = new long[barsData.Count, 2];
long priceTypeString = 0;
if (priceType == PriceType.Ask)
{
priceTypeString = 1;
}
for (int i = 0; i < barsData.Count; i++)
{
dataBarsArray[i, 0] = priceTypeString;
long dateTimestamp = (long)(barsData[i].From.Subtract(new DateTime(1970, 1, 1))).TotalMilliseconds;
dataBarsArray[i, 1] = dateTimestamp;
barsArray[i, 0] = barsData[i].Volume;
barsArray[i, 1] = barsData[i].Open;
barsArray[i, 2] = barsData[i].Close;
barsArray[i, 3] = barsData[i].High;
barsArray[i, 4] = barsData[i].Low;
}
H5DataTypeId barsTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_DOUBLE);
WriteDataToNewFile(fileId, "Bars", barsArray, barsData.Count, 5, barsTypeId);
H5DataTypeId dataBarsTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_LLONG);
WriteDataToNewFile(fileId, "DataBars", dataBarsArray, barsData.Count, 2, dataBarsTypeId);
H5F.close(fileId);
this.Log("Bars are downloaded successfully");
}
}
void DownloadBars()
{
if (outputType == "csv")
{
DownloadBarsEnumerator enumerator = quoteClient.DownloadBars(symbol, priceType, period, from, to, -1);
enumeratorBars = enumerator;
string path = Path.Combine(this.location, string.Format("{0} {1} {2} {3} {4}.csv", symbol.Replace("/", "%2F"), priceType, period, from.ToString(" yyyyMMdd-HH-mm-ss"), to.ToString(" yyyyMMdd-HH-mm-ss")));
using (StreamWriter file = File.CreateText(path))
{
file.WriteLine("date_time;open;close;low;high;volume");
for (Bar bar = enumerator.Next(-1); bar != null; bar = enumerator.Next(-1))
{
file.WriteLine(string.Format("{0};{1};{2};{3};{4};{5}", bar.From.ToString("yyyy-MM-dd HH:mm:ss", CultureInfo.InvariantCulture), (decimal)bar.Open, (decimal)bar.Close, (decimal)bar.Low, (decimal)bar.High, (decimal)bar.Volume));
}
}
this.Log($"Bars {symbol} are downloaded successfully");
}
else if (outputType == "hdf5")
{
DownloadBarsEnumerator enumerator = quoteClient.DownloadBars(symbol, priceType, period, from, to, -1);
enumeratorBars = enumerator;
string path = Path.Combine(this.location, string.Format("{0} {1} {2} {3} {4}.h5", symbol.Replace("/", "%2F"), priceType, period, from.ToString(" yyyyMMdd-HH-mm-ss"), to.ToString(" yyyyMMdd-HH-mm-ss")));
H5FileId fileId = H5F.create(path, H5F.CreateMode.ACC_TRUNC);
var barsData = new List <Bar>();
for (Bar bar = enumerator.Next(-1); bar != null; bar = enumerator.Next(-1))
{
barsData.Add(bar);
}
if (barsData.Count == 0)
{
return;
}
double[,] barsArray = new double[barsData.Count, 5];
long[,] dataBarsArray = new long[barsData.Count, 2];
long priceTypeString = 0;
if (priceType == PriceType.Ask)
{
priceTypeString = 1;
}
for (int i = 0; i < barsData.Count; i++)
{
dataBarsArray[i, 0] = priceTypeString;
long dateTimestamp = (long)(barsData[i].From.Subtract(new DateTime(1970, 1, 1))).TotalMilliseconds;
dataBarsArray[i, 1] = dateTimestamp;
barsArray[i, 0] = barsData[i].Volume;
barsArray[i, 1] = barsData[i].Open;
barsArray[i, 2] = barsData[i].Close;
barsArray[i, 3] = barsData[i].High;
barsArray[i, 4] = barsData[i].Low;
}
H5DataTypeId barsTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_DOUBLE);
WriteDataToNewFile(fileId, "Bars", barsArray, barsData.Count, 5, barsTypeId);
H5DataTypeId dataBarsTypeId = new H5DataTypeId(H5T.H5Type.NATIVE_LLONG);
WriteDataToNewFile(fileId, "DataBars", dataBarsArray, barsData.Count, 2, dataBarsTypeId);
H5F.close(fileId);
this.Log($"Bars {symbol} are downloaded successfully");
}
else if (outputType == "csv_zip")
{
DownloadBarsEnumerator BidEnumerator = quoteClient.DownloadBars(symbol, PriceType.Bid, period, from, to, -1);
DownloadBarsEnumerator AskEnumerator = quoteClient.DownloadBars(symbol, PriceType.Ask, period, from, to, -1);
string path = Path.Combine(location, $"{symbol.Replace("/", "%2F")}_{period}_{from.ToString("yyyy-MM-dd-HH-mm-ss")}_{to.ToString("yyyy-MM-dd-HH-mm-ss")}.zip");
using (ZipOutputStream zs = new ZipOutputStream(File.Create(path)))
{
enumeratorBars = BidEnumerator;
string filename = $"{period} bid.csv";
using (StreamWriter file = File.CreateText(filename))
{
currentTempFile = filename;
DateTime lastQuoteTime = DateTime.MinValue;
int repeatingQuotes = 0;
for (Bar bar = BidEnumerator.Next(-1); bar != null; bar = BidEnumerator.Next(-1))
{
StringBuilder builder = new StringBuilder();
builder.Append(bar.From.ToString("yyyy.MM.dd HH:mm:ss", CultureInfo.InvariantCulture));
if (bar.From == lastQuoteTime)
{
repeatingQuotes++;
}
else
{
lastQuoteTime = bar.From;
repeatingQuotes = 0;
}
if (repeatingQuotes > 0)
{
builder.Append(-repeatingQuotes);
}
builder.Append(",");
builder.Append($"{(decimal)bar.Open},{(decimal)bar.High},{(decimal)bar.Low},{(decimal)bar.Close},{(decimal)bar.Volume},");
builder.Remove(builder.Length - 1, 1);
file.WriteLine(builder);
}
}
FileInfo fi = new FileInfo(filename);
ZipEntry newEntry = new ZipEntry(filename);
newEntry.Size = fi.Length;
zs.PutNextEntry(newEntry);
byte[] buffer = new byte[4096];
using (FileStream streamReader = File.OpenRead(filename))
{
StreamUtils.Copy(streamReader, zs, buffer);
}
zs.CloseEntry();
File.Delete(filename);
currentTempFile = null;
enumeratorBars = AskEnumerator;
filename = $"{period} ask.csv";
using (StreamWriter file = File.CreateText(filename))
{
currentTempFile = filename;
DateTime lastQuoteTime = DateTime.MinValue;
int repeatingQuotes = 0;
for (Bar bar = AskEnumerator.Next(-1); bar != null; bar = AskEnumerator.Next(-1))
{
StringBuilder builder = new StringBuilder();
builder.Append(bar.From.ToString("yyyy.MM.dd HH:mm:ss", CultureInfo.InvariantCulture));
if (bar.From == lastQuoteTime)
{
repeatingQuotes++;
}
else
{
lastQuoteTime = bar.From;
repeatingQuotes = 0;
}
if (repeatingQuotes > 0)
{
builder.Append(-repeatingQuotes);
}
builder.Append(",");
builder.Append($"{(decimal)bar.Open},{(decimal)bar.High},{(decimal)bar.Low},{(decimal)bar.Close},{(decimal)bar.Volume},");
builder.Remove(builder.Length - 1, 1);
file.WriteLine(builder);
}
}
fi = new FileInfo(filename);
newEntry = new ZipEntry(filename);
newEntry.Size = fi.Length;
zs.PutNextEntry(newEntry);
buffer = new byte[4096];
using (FileStream streamReader = File.OpenRead(filename))
{
StreamUtils.Copy(streamReader, zs, buffer);
}
zs.CloseEntry();
File.Delete(filename);
currentTempFile = null;
}
this.Log($"Bars {symbol} are downloaded successfully");
}
}
