public void ApplyDOMUpdate(IProduct product, KaiTrade.Interfaces.IPXUpdate update)
{
try
{
KaiTrade.Interfaces.IDOM dom = _mnemonicDOM[product.Mnemonic];
if (dom == null)
{
// must have a least a price
decimal? initPx = null;
if (update.BidPrice.HasValue)
{
initPx = update.BidPrice;
}
else if (update.OfferPrice.HasValue)
{
initPx = update.OfferPrice;
}
else if (update.TradePrice.HasValue)
{
initPx = update.TradePrice;
}
if (initPx.HasValue)
{
dom = GetProductDOM(product, initPx.Value);
}
}
dom.Update(update);
}
catch
{
}
}
public void SetRangeType(KaiTrade.Interfaces.TSRangeType rangeType)
{
foreach (TSQueryGroupTSDataSet dataSet in TsQueryGroup.TSDataSet)
{
dataSet.RangeType = (byte) rangeType;
}
}
public CancelRequestData(crrType type, KaiTrade.Interfaces.ICancelOrderRequest cancelRequest)
{
_cancelRequest = cancelRequest;
if(_cancelRequest == null)
{
Exception myE = new Exception("a non null cancel request must be supplied");
throw myE;
}
Mnemonic = cancelRequest.Mnemonic;
_lastChangeTicks = DateTime.Now.Ticks;
if(_cancelRequest.ClOrdID.Length == 0 )
{
Exception myE = new Exception("a clordid must be specified on a cancelOrder");
throw myE;
}
if (_cancelRequest.OrigClOrdID.Length == 0)
{
Exception myE = new Exception("a original clordid must be specified on a cancelOrder");
throw myE;
}
ClOrdID = cancelRequest.ClOrdID;
OrigClOrdID = cancelRequest.OrigClOrdID;
CRRType = crrType.cancel;
}
public void UpdateVenue(KaiTrade.Interfaces.IVenue myVenue)
{
try
{
using (K2DataObjects.DataContext db = Factory.Instance().GetDSContext())
{
var venue = db.Venues.Where(s => s.Name == myVenue.Name).FirstOrDefault();
venue.AccountNumber = myVenue.AccountNumber;
venue.Code = myVenue.Code;
venue.DataFeedVenue = myVenue.DataFeedVenue;
venue.DefaultCFICode = myVenue.DefaultCFICode;
venue.DefaultCurrencyCode = myVenue.DefaultCurrencyCode;
venue.DefaultSecurityExchange = myVenue.DefaultSecurityExchange;
venue.DriverCode = myVenue.DriverCode;
venue.TargetVenue = myVenue.TargetVenue;
venue.UseSymbol = myVenue.UseSymbol;
db.SubmitChanges();
}
}
catch (Exception myE)
{
m_Log.Error("Update Venue", myE);
}
}
/// <summary>
/// Gets the curve values contained in a TSItem
/// </summary>
/// <returns>
/// The curve value.
/// </returns>
/// <param name='tsItem'>
/// Ts item.
/// </param>
public static K2DataObjects.CurveValue[] GetCurveValue(KaiTrade.Interfaces.ITSItem tsItem)
{
if (tsItem.CurveValues.Length > 0)
{
K2DataObjects.CurveValue[] curveVals = new K2DataObjects.CurveValue[tsItem.CurveValues.Length];
int i = 0;
foreach (var parm in tsItem.CurveValues)
{
try
{
K2DataObjects.CurveValue cv = new K2DataObjects.CurveValue();
cv.Mnemonic = tsItem.Mnemonic;
cv.HeaderID = parm.ParameterName;
cv.TimeStamp = tsItem.TimeStamp.Ticks;
cv.ItemType = (int)tsItem.ItemType;
cv.ItemSize = 1;
cv.RequestID = "1";
cv.Value = decimal.Parse(parm.ParameterValue);
curveVals[i++] = cv;
}
catch (Exception ex)
{
}
}
return curveVals;
}
return null;
}
public void PriceUpdate(KaiTrade.Interfaces.IPXUpdate pxUpdate)
{
if (_priceHandler != null)
{
_priceHandler.ApplyPriceUpdate(pxUpdate);
}
}
public void ProductUpdate(string updateType, KaiTrade.Interfaces.IProduct product)
{
if (product != null)
{
string jsonData = JsonConvert.SerializeObject(product);
rmqHelper.Publish("", product);
}
}
public void OnBarUpdate(string requestID, KaiTrade.Interfaces.ITSItem[] bars)
{
if (bars.Length > 0)
{
//rmqHelper.Publish("IBM", tsi);
rmqPub.Publish("", bars);
}
}
private void addProductPriceFile(string filepath, KaiTrade.Interfaces.IProduct prod, int interval, bool runRealTime, bool repeatOnEnd, bool playOnSubscribe)
{
try
{
m_Simulator.AddPriceFile(prod.Mnemonic, filepath, interval, runRealTime, repeatOnEnd, playOnSubscribe);
}
catch (Exception myE)
{
}
}
/// <summary>
/// Add/replace a publisher to the manager
/// </summary>
/// <param name="myPub"></param>
public void Add(KaiTrade.Interfaces.Publisher myPub)
{
if(m_PublisherMap.ContainsKey(myPub.TopicID()))
{
m_PublisherMap[myPub.TopicID()] = myPub;
}
else
{
m_PublisherMap.Add(myPub.TopicID(), myPub);
}
}
/// <summary>
/// Get a trade given the order
/// </summary>
/// <param name="o"></param>
/// <returns></returns>
public KaiTrade.Interfaces.ITrade GetTrade(KaiTrade.Interfaces.IOrder o)
{
K2DS.K2TradeDS tradeDS = new K2DS.K2TradeDS();
IEnumerable<K2DataObjects.Trade> trades = tradeDS.GetTrade((o as K2DataObjects.Order));
foreach(K2DataObjects.Trade t in trades)
{
return t;
}
return null;
}
public void InsertFill(KaiTrade.Interfaces.IFill f)
{
try
{
K2DS.K2TradeDS tradeDS = new K2DS.K2TradeDS();
tradeDS.InsertFill(f as K2DataObjects.Fill,true);
}
catch (Exception myE)
{
}
}
public void InsertOrder(KaiTrade.Interfaces.IOrder o)
{
try
{
K2DS.K2OrderDS orderDS = new K2DS.K2OrderDS();
orderDS.InsertOrder(o as K2DataObjects.Order, true);
}
catch (Exception myE)
{
m_Log.Error("InsertOrder", myE);
}
}
private void recordMessage(KaiTrade.Interfaces.IMessage message)
{
if (_messages == null)
{
_messages = new Dictionary<string, List<KaiTrade.Interfaces.IMessage>>();
}
if (!_messages.ContainsKey(message.Label))
{
_messages.Add(message.Label, new List<KaiTrade.Interfaces.IMessage>());
}
_messages[message.Label].Add(message);
}
public PXUpdateBase(KaiTrade.Interfaces.IProduct myProduct)
{
try
{
m_DataArray = new decimal?[KaiTrade.Interfaces.PXFields.MAXPXFIELDS];
throw new Exception("Not Implimemnted");
//this.From(myProduct.Mnemonic, myProduct.L1PX);
}
catch
{
}
}
public void Publish(string routingKey, KaiTrade.Interfaces.ITSItem[] tsBars)
{
try
{
routingKey = KaiTrade.Interfaces.MQRoutingKeyPrefix.TSBAR + routingKey;
string jsonData = Newtonsoft.Json.JsonConvert.SerializeObject(tsBars);
byte[] messageBody = Encoding.UTF8.GetBytes(jsonData);
Publish(KaiTrade.Interfaces.MQExchanges.DEFAULT, KaiTrade.Interfaces.MQType.TSBAR, routingKey, messageBody);
}
catch (Exception myE)
{
}
}
public void Publish(string routingKey, KaiTrade.Interfaces.IAccount account)
{
try
{
routingKey = KaiTrade.Interfaces.MQRoutingKeyPrefix.ACCOUNT + routingKey;
string jsonData = Newtonsoft.Json.JsonConvert.SerializeObject(account);
byte[] messageBody = Encoding.UTF8.GetBytes(jsonData);
Publish(KaiTrade.Interfaces.MQExchanges.DEFAULT, KaiTrade.Interfaces.MQType.ACCOUNT, routingKey, messageBody);
}
catch (Exception myE)
{
}
}
/// <summary>
/// Reject a cancel request
/// </summary>
/// <param name="myReq"></param>
public static string DoRejectModReq(KaiTrade.Interfaces.IModifyOrderRequst mod, string orderID, KaiTrade.Interfaces.CxlRejReason myReason, string myReasonText)
{
KaiTrade.Interfaces.IRequestCancelRejectResponse cxl = new K2DataObjects.RequestCancelRejectResponse();
cxl.OrderID = orderID;
cxl.ClOrdID = mod.ClOrdID;
cxl.OrdStatus = KaiTrade.Interfaces.OrderStatus.REJECTED;
cxl.OrigClOrdID = mod.OrigClOrdID;
cxl.CxlRejResponseTo = KaiTrade.Interfaces.CxlRejResponseTo.Modify;
cxl.ReasonText = myReasonText;
cxl.TransactTime = DateTime.Now;
cxl.CxlRejReason = myReason;
// send our response message back to the clients of the adapter
return JsonConvert.SerializeObject(cxl);
}
public void ApplyDOMUpdate(IProduct product, KaiTrade.Interfaces.IDOMSlot[] slots)
{
try
{
if (slots.Length > 0)
{
KaiTrade.Interfaces.IDOM DOM = GetProductDOM(product, slots[0].Price);
DOM.Update(slots);
}
}
catch
{
}
}
public void AddVenue(KaiTrade.Interfaces.IVenue myVenue)
{
try
{
using (K2DataObjects.DataContext db = Factory.Instance().GetDSContext())
{
var venue = (K2DataObjects.TradeVenue)myVenue;
db.Venues.InsertOnSubmit(venue);
db.SubmitChanges();
}
}
catch (Exception myE)
{
m_Log.Error("Add Venue", myE);
}
}
/// <summary>
/// Gets the price bar from a ITSItem, TSItem is data returned from a driver
/// that connects to the prices source CQG, IB, etc
/// </summary>
/// <returns>
/// The price bar.
/// </returns>
/// <param name='tsItem'>
/// Ts item.
/// </param>
public static K2DataObjects.PriceBar GetPriceBar(KaiTrade.Interfaces.ITSItem tsItem)
{
K2DataObjects.PriceBar bar = new K2DataObjects.PriceBar();
bar.High = (decimal) tsItem.High;
bar.AskVolume = (decimal)tsItem.AskVolume;
bar.Avg = (decimal)tsItem.Avg;
bar.BidVolume = (decimal)tsItem.BidVolume;
bar.Close = (decimal)tsItem.Close;
bar.Low = (decimal)tsItem.Low;
bar.Mnemonic = tsItem.Mnemonic;
bar.Open = (decimal)tsItem.Open;
bar.Volume = (decimal)tsItem.Volume;
bar.TimeStamp = tsItem.TimeStamp.Ticks;
bar.ItemType = (int)tsItem.ItemType;
bar.ItemSize = 1;
bar.RequestID = "1";
return bar;
}
public void DeleteVenue(KaiTrade.Interfaces.IVenue myVenue)
{
try
{
using (K2DataObjects.DataContext db = Factory.Instance().GetDSContext())
{
var venue = db.Venues.Where(s => s.Name == myVenue.Name).FirstOrDefault();
db.Venues.DeleteOnSubmit(venue);
db.SubmitChanges();
}
}
catch (Exception myE)
{
m_Log.Error("Delete Venue", myE);
}
}
/// <summary>
/// Update a trade using an order
/// </summary>
/// <param name="trade"></param>
/// <param name="o"></param>
public void UpdateTrade(KaiTrade.Interfaces.ITrade trade, KaiTrade.Interfaces.IOrder o)
{
try
{
if (o.OrdStatus == KaiTrade.Interfaces.OrderStatus.FILLED.ToString())
{
if (trade.ClOrdID != null)
{
if (trade.ClOrdID != o.ClOrdID)
{
trade.ClOrdID2 = o.ClOrdID;
}
}
else
{
trade.ClOrdID = o.ClOrdID;
}
trade.Mnemonic = o.Mnemonic;
trade.LastPx = (decimal)o.LastPx;
trade.LastQty = (decimal)o.LastQty;
//trade.TransactTime = o.TransactTime;
//trade.TradeDate = o.TransactTime;
trade.Side = o.Side;
/*
if (tcr.IsValidExecID)
{
trade.ExecutionID = tcr.ExecID;
}
*/
}
}
catch (Exception myE)
{
}
}
private void modifyOrder(KaiTrade.Interfaces.IMessage msg)
{
KaiTrade.Interfaces.IModifyOrderRequst mod = null;
try
{
mod = JsonConvert.DeserializeObject<K2DataObjects.ModifyOrderRequest>(msg.Data);
// Extract the raw FIX Message from the inbound message
string strOrder = msg.Data;
KaiTrade.Interfaces.IFill fill = new K2DataObjects.Fill();
fill.OrderStatus = KaiTrade.Interfaces.OrderStatus.REPLACED;
fill.ExecType = KaiTrade.Interfaces.ExecType.ORDER_STATUS;
fill.OrderID = DriverBase.Identities.Instance.getNextOrderID();
if (mod.ClOrdID.Length == 0)
{
sendCancelReplaceRej(mod, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "a clordid must be specified on a modify order");
Exception myE = new Exception("a clordid must be specified on a modify order");
throw myE;
}
if (mod.OrigClOrdID.Length == 0)
{
sendCancelReplaceRej(mod, KaiTrade.Interfaces.CxlRejReason.UnknownOrder, "a original clordid must be specified on a modify order");
Exception myE = new Exception("an original clordid must be specified on a modify order");
throw myE;
}
int myIBOrderID = 0;
DriverBase.OrderContext myCntx = GetOrderContextClID(mod.OrigClOrdID);
if (myCntx == null)
{
throw new Exception("Cannot locate order context on modify request");
}
// record the context against the incomming request
RecordOrderContext(mod.ClOrdID, myCntx);
// get the contract
TWSLib.IContract myContract = getIBContract(myCntx.QFOrder);
if (myContract == null)
{
this.SendAdvisoryMessage("IB TWS: cannot find a valid contract");
throw new Exception("IB TWS: cannot find a valid contract");
}
// create an IB Order
TWSLib.IOrder myIBOrder = m_Host.TWS.createOrder();
myIBOrder.whatIf = 0;
myIBOrder.account = myCntx.OriginalOrder.Account;
if (myCntx.OriginalOrder.OrdType == KaiTrade.Interfaces.OrderType.LIMIT)
{
myIBOrder.orderType = "LMT";
}
else if (myCntx.OriginalOrder.OrdType == KaiTrade.Interfaces.OrderType.MARKET)
{
myIBOrder.orderType = "MKT";
}
else
{
this.SendAdvisoryMessage("IB TWS: order type not supported");
throw new Exception("IB TWS: order type not supported");
}
myIBOrder.totalQuantity = (int)myCntx.OriginalOrder.OrderQty;
// Side
string myAction = myCntx.OriginalOrder.Side;
myIBOrder.action = myAction;
// Time in force
string myTIF = myCntx.OriginalOrder.TimeInForce;
myIBOrder.timeInForce = myTIF;
if (myCntx.OriginalOrder.OrdType == KaiTrade.Interfaces.OrderType.LIMIT)
{
myIBOrder.lmtPrice = myCntx.Price;
}
myCntx.ClOrdID = mod.ClOrdID;
//int myIBOrderID = 0;
myIBOrderID = int.Parse(myCntx.APIOrderID);
m_Host.TWS.placeOrderEx(myIBOrderID, myContract, myIBOrder);
}
catch (Exception myE)
{
sendCancelReplaceRej(mod, KaiTrade.Interfaces.CxlRejReason.Other, myE.Message);
_log.Error("modifyOrder", myE);
_log.Error("modifyOrder:req:"+msg.Data);
}
}
private string getIBDuration(KaiTrade.Interfaces.TSPeriod period, int count, TimeSpan? reqSpan)
{
string duration="";
duration = count.ToString();
switch (period)
{
case KaiTrade.Interfaces.TSPeriod.Day:
if (reqSpan.HasValue)
{
duration = ((int)reqSpan.Value.TotalDays).ToString();
}
duration += " D";
break;
case KaiTrade.Interfaces.TSPeriod.Week:
if (reqSpan.HasValue)
{
duration = ((int)reqSpan.Value.TotalDays/7).ToString();
}
duration += " W";
break;
case KaiTrade.Interfaces.TSPeriod.Year:
duration = count.ToString();
duration += " Y";
break;
case KaiTrade.Interfaces.TSPeriod.Month:
duration = count.ToString();
duration += " M";
break;
default:
if (reqSpan.HasValue)
{
duration = ((int)reqSpan.Value.TotalSeconds).ToString();
}
duration += " S";
break;
}
return duration;
}
private TWSLib.IContract getIBContract(KaiTrade.Interfaces.TradableProduct myProduct)
{
TWSLib.IContract myContract = null;
try
{
if (m_ExternalProduct.ContainsKey(myProduct.Identity))
{
myContract = m_ExternalProduct[myProduct.Identity] as TWSLib.IContract;
if (myContract != null)
{
return myContract;
}
}
myContract = m_Host.TWS.createContract();
// Sumbol takes priority over the security ID
if (myProduct.Symbol.Length> 0 )
{
myContract.symbol = myProduct.Symbol;
}
else
{
if (myProduct.SecurityID != null)
{
myContract.symbol = myProduct.SecurityID;
}
}
myContract.secType = CFI2IBSecType(myProduct.CFICode);
if (myProduct.Exchange != null)
{
myContract.primaryExchange = myProduct.Exchange;
}
if (myProduct.ExDestination != null)
{
myContract.exchange = myProduct.ExDestination;
}
if (myProduct.Currency != null)
{
//myContract.currency = myProduct.Currency;
}
else
{
//myContract.currency = "GBP"; ;
}
switch (myProduct.CFICode)
{
case KaiTrade.Interfaces.CFICode.STOCK:
// no action
break;
case KaiTrade.Interfaces.CFICode.FX:
// no action
break;
case KaiTrade.Interfaces.CFICode.FUTURE:
// get the mmy
if (myProduct.MMY != null)
{
myContract.expiry = myProduct.MMY.ToString();
}
break;
case KaiTrade.Interfaces.CFICode.PUTOPTION:
case KaiTrade.Interfaces.CFICode.PUTOPTIONFUTURE:
// get MMY, and strike
if (myProduct.MMY != null)
{
myContract.expiry = myProduct.MMY.ToString();
}
if (myProduct.StrikePrice.HasValue)
{
myContract.strike = (double)myProduct.StrikePrice;
}
myContract.right = "P";
break;
case KaiTrade.Interfaces.CFICode.CALLOPTION:
case KaiTrade.Interfaces.CFICode.CALLOPTIONFUTURE:
// get MMY, and strike
if (myProduct.MMY != null)
{
myContract.expiry = myProduct.MMY.ToString();
}
if (myProduct.StrikePrice.HasValue)
{
myContract.strike = (double) myProduct.StrikePrice;
}
myContract.right = "C";
break;
default:
break;
}
}
catch (Exception myE)
{
_log.Error("getIBContract:product", myE);
}
return myContract;
}
private string getIBBReqDuration(KaiTrade.Interfaces.ITSSet myTSSet)
{
string duration = "";
string mult = Math.Abs(myTSSet.IntEnd).ToString();
duration += mult;
switch (myTSSet.Period)
{
case KaiTrade.Interfaces.TSPeriod.Day:
duration += " D";
break;
case KaiTrade.Interfaces.TSPeriod.Week:
duration += " W";
break;
case KaiTrade.Interfaces.TSPeriod.Year:
duration += " Y";
break;
case KaiTrade.Interfaces.TSPeriod.IntraDay:
mult = Math.Abs(myTSSet.IntEnd*60).ToString();
duration = mult.ToString()+" S";
//duration ="3600 S";
break;
case KaiTrade.Interfaces.TSPeriod.Month:
duration += " M";
break;
default:
duration += " Y";
break;
}
return duration;
}
private void getIBBReqBarSize(KaiTrade.Interfaces.ITSSet myTSSet, out string barSize, out string duration)
{
barSize = "";
duration = "";
TimeSpan? reqDuration = null;
switch (myTSSet.Period)
{
case KaiTrade.Interfaces.TSPeriod.Day:
barSize = "1 day";
reqDuration = new TimeSpan(Math.Abs(myTSSet.IntEnd), 0, 0, 0);
break;
case KaiTrade.Interfaces.TSPeriod.Week:
barSize = "1 week";
reqDuration = new TimeSpan(Math.Abs(myTSSet.IntEnd)*7, 0, 0, 0);
break;
case KaiTrade.Interfaces.TSPeriod.Year:
barSize = "1 year";
break;
case KaiTrade.Interfaces.TSPeriod.hour:
barSize = "1 hour";
reqDuration = new TimeSpan(Math.Abs(myTSSet.IntEnd), 0, 0);
break;
case KaiTrade.Interfaces.TSPeriod.minute:
barSize = "1 min";
reqDuration = new TimeSpan(0,Math.Abs(myTSSet.IntEnd), 0);
break;
case KaiTrade.Interfaces.TSPeriod.two_minute:
barSize = "2 mins";
reqDuration = new TimeSpan(0, Math.Abs(myTSSet.IntEnd)*2, 0);
break;
case KaiTrade.Interfaces.TSPeriod.three_minute:
barSize = "3 mins";
reqDuration = new TimeSpan(0, Math.Abs(myTSSet.IntEnd) * 3, 0);
break;
case KaiTrade.Interfaces.TSPeriod.five_minute:
barSize = "5 mins";
reqDuration = new TimeSpan(0, Math.Abs(myTSSet.IntEnd) * 5, 0);
break;
case KaiTrade.Interfaces.TSPeriod.fifteen_minute:
barSize = "15 mins";
reqDuration = new TimeSpan(0, Math.Abs(myTSSet.IntEnd) * 15, 0);
break;
case KaiTrade.Interfaces.TSPeriod.thirty_minute:
barSize = "30 mins";
reqDuration = new TimeSpan(0, Math.Abs(myTSSet.IntEnd) * 30, 0);
break;
case KaiTrade.Interfaces.TSPeriod.IntraDay:
reqDuration = new TimeSpan(0, Math.Abs(myTSSet.IntEnd) , 0);
barSize = "1 min";
break;
case KaiTrade.Interfaces.TSPeriod.Month:
barSize = "1 month";
break;
default:
barSize = "";
break;
}
// Now work out duration
// if myTSSet.IntEnd
duration="";
if (myTSSet.IntEnd == 0)
{
// do all from start to now
DateTime reqEnd = DateTime.Now;
reqDuration = new TimeSpan(reqEnd.Ticks - myTSSet.DateTimeStart.Ticks);
duration=getIBDuration(myTSSet.Period, myTSSet.IntEnd, reqDuration);
}
else if (myTSSet.IntEnd < 0)
{
// get the last N bars
duration=getIBDuration(myTSSet.Period, myTSSet.IntEnd, reqDuration);
}
else
{
// get the number they ask for
duration = getIBDuration(myTSSet.Period, myTSSet.IntEnd, reqDuration);
}
}
private void getBarData(KaiTrade.Interfaces.ITSSet myTSSet)
{
try
{
// get the product
KaiTrade.Interfaces.TradableProduct product = m_Facade.Factory.GetProductManager().GetProductMnemonic(myTSSet.Mnemonic);
// IB's newest API uses its IContract
// Note the PXPublisher must have a valid product
if (product == null)
{
throw new Exception("TSData set does not have a valid product");
}
// register the pub against the IB ReqID - updates pass that back
m_IBReqIDTSSet.Add(++m_NextID, myTSSet);
TWSLib.IContract myContract = getIBContract(product);
myContract.multiplier = "0";
// m_Host.TWS.reqMktDataEx(m_NextID, myContract, m_QuoteFields, 0);
string endTime =myTSSet.DateTimeEnd.ToString("yyyyMMdd HH:mm:ss");
string barSize ="";
string duration ="";
getIBBReqBarSize(myTSSet, out barSize, out duration);
//string duration = getIBBReqDuration(myTSSet);
//string barSize = getIBBReqBarSize(myTSSet);
string headers = "TRADES";
if (product.CFICode == KaiTrade.Interfaces.CFICode.FX)
{
headers = "MIDPOINT";
}
//"1 M","1 day"
//m_Host.TWS.reqHistoricalDataEx(m_NextID, myContract, endTime, "1 M", "1 day", headers, 0, 2);
m_Host.TWS.reqHistoricalDataEx(m_NextID, myContract, endTime, duration, barSize, headers, 0, 1);
if (myTSSet.UpdatesEnabled)
{
m_IBReqIDTSSet.Add(++m_NextID, myTSSet);
m_Host.TWS.reqRealTimeBarsEx(m_NextID, myContract, 5, headers, 0);
}
}
catch (Exception myE)
{
_log.Error("getBarData", myE);
}
}
private void DumpRecord(KaiTrade.Interfaces.ITSItem tsItem, KaiTrade.Interfaces.ITSSet tsSet, AxTWSLib._DTwsEvents_historicalDataEvent e)
{
try
{
// get a new TS item
tsItem.Index = e.barCount;
tsItem.Tag = e.date;
//tsItem.TimeStamp = e.date
//tsItem.TimeStamp = e.date;
tsItem.Open = e.open;
tsItem.High = e.high;
tsItem.Low = e.low;
tsItem.Close =e.close;
tsItem.Volume = e.volume;
DateTime result;
if (e.date.Length > 10)
{
DriverBase.DriverUtils.FromLocalMktDate(out result, e.date.Substring(0, 8), e.date.Substring(10, 8));
}
else
{
DriverBase.DriverUtils.FromLocalMktDate(out result, e.date);
}
tsItem.TimeStamp = result;
//tsItem.AskVolume = e.;
//tsItem.BidVolume = myBar.BidVolume;
// e.volume
//tsItem.Mid = e.m;
//tsItem.HLC3 = myBar.HLC3;
//tsItem.Avg = myBar.Avg;
//tsItem.TrueHigh = myBar.TrueHigh;
//tsItem.TrueLow = myBar.TrueLow;
//tsItem.Range = myBar.Range;
//tsItem.TrueRange = myBar.TrueRange;
//tsItem.Index = int.Parse(e.date);
}
catch (Exception myE)
{
_log.Error("DumpRecord", myE);
}
}