/// <summary>Handle a request to send a range of historic instrument data</summary>
private void HandleMsg(OutMsg.RequestInstrumentHistory req)
{
// Add or select the associated transmitter
var trans = AddTransmitter(req.SymbolCode);
// Add the time range requests for historic data
foreach (var range in req.TimeRanges.InPairs())
{
trans.HistoricDataRequests.Add(new HistoricDataRequest(
req.TimeFrame.ToCAlgoTimeframe(),
new DateTimeOffset(range.Item1, TimeSpan.Zero),
new DateTimeOffset(range.Item2, TimeSpan.Zero)));
}
// Add the index range requests for historic data
// Tradee using negative index ranges (i.e. (oldest,newest) = [-Count,0]) but CAlgo uses
// inverted positive indices, 0 = now, Count = oldest.
foreach (var range in req.IndexRanges.InPairs())
{
trans.HistoricDataRequests.Add(new HistoricDataRequest(
req.TimeFrame.ToCAlgoTimeframe(),
-range.Item1,
-range.Item2));
}
}
/// <summary>Request historic candle data by index range</summary>
public void RequestIndexRange(NegIdx i_oldest, NegIdx i_newest, bool only_if_missing)
{
Debug.Assert(i_oldest <= i_newest);
var msg = new OutMsg.RequestInstrumentHistory(SymbolCode, TimeFrame);
// See if we have this range already
if (only_if_missing)
{
var range = IndexRange(i_oldest, i_newest);
if (i_oldest < range.Beg)
{
msg.IndexRanges.Add(i_oldest);
msg.IndexRanges.Add(Math.Min(range.Begi, i_newest));
}
if (i_newest > range.End)
{
msg.IndexRanges.Add(Math.Max(range.Endi, i_oldest));
msg.IndexRanges.Add(i_newest);
}
}
else
{
msg.IndexRanges.Add(i_oldest);
msg.IndexRanges.Add(i_newest);
}
// Request if ranges needed
if (msg.IndexRanges.Count != 0)
{
Model.Post(msg);
}
}
/// <summary>Handle the hello message</summary>
private void HandleMsg(OutMsg.RequestInstrumentHistory msg)
{
}
/// <summary>
/// Request candle data for a time range.
/// 'diff_cache' means only request time ranges that appear missing in the local instrument cache db</summary>
public void RequestTimeRange(DateTimeOffset t0, DateTimeOffset t1, bool diff_cache)
{
// The request message
var msg = new OutMsg.RequestInstrumentHistory(SymbolCode, TimeFrame);
// If the DB is currently empty, request the whole range
if (!diff_cache || Count == 0)
{
msg.TimeRanges.Add(t0.Ticks);
msg.TimeRanges.Add(t1.Ticks);
}
// Otherwise, request time ranges that are missing from the DB
else
{
var time_ranges = new List <Range>();
// One time frame unit
var one = Misc.TimeFrameToTicks(1.0, TimeFrame);
var ts = "[" + nameof(Candle.Timestamp) + "]";
// If the oldest candle in the DB is newer than 't0', request from t0 to Oldest
if (Oldest.TimestampUTC > t0)
{
Debug.Assert(!Equals(Oldest, Candle.Default));
time_ranges.Add(new Range(t0.Ticks, Oldest.Timestamp));
}
// Scan the DB for time ranges of missing data.
var sql = Str.Build( // Returns pairs of timestamps that are the ranges of missing data.
$"select {ts} from {TimeFrame} where {ts} >= ? and {ts} <= ? and {ts}+? not in (select {ts} from {TimeFrame}) union all ",
$"select {ts} from {TimeFrame} where {ts} >= ? and {ts} <= ? and {ts}-? not in (select {ts} from {TimeFrame}) ",
$"order by {ts}");
var args = new object[] { t0.Ticks, t1.Ticks, one, t0.Ticks, t1.Ticks, one, };
// Note: ignore the first and last because they are the implicit ranges -inf to first, and last -> +inf
foreach (var hole in m_db.EnumRows <long>(sql, 1, args).Skip(1).TakeAllBut(1).InPairs())
{
time_ranges.Add(new Range(hole.Item1, hole.Item2));
}
// If the newest candle in the DB is older than 't1', request from Latest to t1
if (Latest.TimestampUTC < t1)
{
Debug.Assert(!Equals(Latest, Candle.Default));
time_ranges.Add(new Range(Latest.Timestamp, t1.Ticks));
}
// Exclude the known forex non trading hours
foreach (var time_range in time_ranges)
{
foreach (var hole in Model.Sessions.ClipToTradingHours(time_range))
{
Debug.Assert(hole.Size != 0);
msg.TimeRanges.Add(hole.Beg);
msg.TimeRanges.Add(hole.End);
}
}
}
// Post the request
Model.Post(msg);
}
