/// <summary>
/// Get time converted to MBT format.
/// </summary>
/// <returns></returns>
int?GetConvertedTime(DataHistoryOperation operation)
{
// Rules:
//Day bars:
//-3 = Calendar year
//-2 = Calendar month
//-1 = Calendar week
//0 or 1 = One day
//2 or more = days in bar with current day as last day
//Min bars:
//0 or 60 = One minute
//Otherwise, the number of seconds desired, E.g.:
//20 = 20 second bars
//90 = one and-a-half minute bars
//600 = ten minute bars
if (operation.Request.IsDayBased)
{
if (operation.Request.Period == TimeSpan.FromDays(365))
{// Year.
return(-3);
}
if (operation.Request.Period == TimeSpan.FromDays(31))
{// Month.
return(-2);
}
if (operation.Request.Period == TimeSpan.FromDays(7) || operation.Request.Period == TimeSpan.FromDays(5))
{// Week.
return(-1);
}
if (operation.Request.Period >= TimeSpan.FromDays(1) && operation.Request.Period <= TimeSpan.FromDays(4))
{// Day (1,2,3 or 4)
return(1);
}
}
if (operation.Request.IsMinuteBased)
{
if (operation.Request.Period >= TimeSpan.FromMinutes(1) && operation.Request.Period < TimeSpan.FromHours(24))
{
return((int)operation.Request.Period.TotalSeconds);
}
}
SystemMonitor.InvalidCall("Do not call time for tick based.");
return(null);
}
/// <summary>
///
/// </summary>
void _historyClient_OnDataEvent(int lRequestId, object pHist, enumHistEventType evt)
{
List <DataBar> extractedBars = new List <DataBar>();
if (pHist is MbtHistDayBar)
{
MbtHistDayBar bars = (MbtHistDayBar)pHist;
bars.First();
while (bars.Eof == false)
{
decimal open = (decimal)bars.Open;
decimal close = (decimal)bars.Close;
decimal high = (decimal)bars.High;
decimal low = (decimal)bars.Low;
extractedBars.Insert(0, new DataBar(bars.CloseDate, open, high, low, close, bars.TotalVolume));
bars.Next();
}
}
else if (pHist is MbtHistMinBar)
{
MbtHistMinBar bars = (MbtHistMinBar)pHist;
bars.First();
while (bars.Eof == false)
{
decimal open = (decimal)bars.Open;
decimal close = (decimal)bars.Close;
decimal high = (decimal)bars.High;
decimal low = (decimal)bars.Low;
extractedBars.Insert(0, new DataBar(bars.UTCDateTime, open, high, low, close, bars.TotalVolume));
bars.Next();
}
}
DataHistoryOperation operation = (DataHistoryOperation)_operationStub.GetOperationById(lRequestId.ToString());
if (operation != null)
{
_operationStub.CompleteOperation(lRequestId.ToString(), new DataHistoryUpdate(operation.Request.Period, extractedBars));
}
}
public bool StartOperation(OperationInformation operationInformation)
{
DataHistoryOperation operation = (DataHistoryOperation)operationInformation;
bool result = true;
_messageLoopOperator.Invoke(delegate()
{// Placing the request on the stolen main application thread, since we need the requestMessage pump for this to work properly.
MbtHistMgr historyClient = _historyClient;
if (historyClient == null)
{
result = false;
return;
}
if (operation.Request.IsMinuteBased == false && operation.Request.IsDayBased == false)
{
result = false;
return;
}
int?time = GetConvertedTime(operation);
if (operation.Request.IsDayBased)
{
MbtHistDayBar histBar;
histBar = historyClient.CreateHistDayBar();
histBar.Clear();
histBar.SendRequest(operation.Symbol, Int32.Parse(operation.Id), time.Value,
new DateTime(0), new DateTime(0), operation.Request.MaxValuesRetrieved.HasValue ? operation.Request.MaxValuesRetrieved.Value : int.MaxValue, true);
}
else if (operation.Request.IsMinuteBased)
{
MbtHistMinBar histBar = historyClient.CreateHistMinBar();
histBar.Clear();
histBar.SendRequest(operation.Symbol, Int32.Parse(operation.Id), time.Value,
new DateTime(0), new DateTime(0), operation.Request.MaxValuesRetrieved.HasValue ? operation.Request.MaxValuesRetrieved.Value : int.MaxValue, true);
}
});
return(result);
}
public DataHistoryUpdate GetDataHistoryUpdate(DataSessionInfo session, DataHistoryRequest request)
{
MBTradingConnectionManager manager = _manager;
if (manager != null)
{
DataHistoryOperation operation = new DataHistoryOperation(session.Symbol.Name, request);
if (manager.History.Place(operation) == false)
{
SystemMonitor.OperationError("Failed to place data history operation.");
return(null);
}
if (operation.CompletionEvent.WaitOne(TimeSpan.FromSeconds(120)) == false)
{
SystemMonitor.OperationError("Data history operation timed out.");
return(null);
}
return(operation.Responce);
}
return(null);
}
/// <summary>
/// Submit a dataDelivery retrieval request.
/// </summary>
/// <param name="request"></param>
/// <returns></returns>
public bool Place(DataHistoryOperation operation)
{
return(_operationStub.PlaceOperation(operation, true));
}
/// <summary>
/// Submit a dataDelivery retrieval request.
/// </summary>
/// <param name="request"></param>
/// <returns></returns>
public bool Place(DataHistoryOperation operation)
{
return _operationStub.PlaceOperation(operation, true);
}
/// <summary>
/// Get time converted to MBT format.
/// </summary>
/// <returns></returns>
int? GetConvertedTime(DataHistoryOperation operation)
{
// Rules:
//Day bars:
//-3 = Calendar year
//-2 = Calendar month
//-1 = Calendar week
//0 or 1 = One day
//2 or more = days in bar with current day as last day
//Min bars:
//0 or 60 = One minute
//Otherwise, the number of seconds desired, E.g.:
//20 = 20 second bars
//90 = one and-a-half minute bars
//600 = ten minute bars
if (operation.Request.IsDayBased)
{
if (operation.Request.Period == TimeSpan.FromDays(365))
{// Year.
return -3;
}
if (operation.Request.Period == TimeSpan.FromDays(31))
{// Month.
return -2;
}
if (operation.Request.Period == TimeSpan.FromDays(7) || operation.Request.Period == TimeSpan.FromDays(5))
{// Week.
return -1;
}
if (operation.Request.Period >= TimeSpan.FromDays(1) && operation.Request.Period <= TimeSpan.FromDays(4))
{// Day (1,2,3 or 4)
return 1;
}
}
if (operation.Request.IsMinuteBased)
{
if (operation.Request.Period >= TimeSpan.FromMinutes(1) && operation.Request.Period < TimeSpan.FromHours(24))
{
return (int)operation.Request.Period.TotalSeconds;
}
}
SystemMonitor.InvalidCall("Do not call time for tick based.");
return null;
}
public DataHistoryUpdate GetDataHistoryUpdate(DataSessionInfo session, DataHistoryRequest request)
{
MBTradingConnectionManager manager = _manager;
if (manager != null)
{
DataHistoryOperation operation = new DataHistoryOperation(session.Symbol.Name, request);
if (manager.History.Place(operation) == false)
{
SystemMonitor.OperationError("Failed to place data history operation.");
return null;
}
if (operation.CompletionEvent.WaitOne(TimeSpan.FromSeconds(120)) == false)
{
SystemMonitor.OperationError("Data history operation timed out.");
return null;
}
return operation.Response;
}
return null;
}