static void settable_SendMessageEvent(MessageTypes type, long source, long dest, long msgid, string request, ref string response)
{
switch (type)
{
case MessageTypes.SENDUSERSETTABLE:
tmp_settablelist = request;
break;
case MessageTypes.BARREQUEST:
{
var br = BarRequest.Deserialize(request);
if (br.isValid)
{
br.symbol = string.Empty;
bool addit = true;
for (int i = 0; i < tmp_barreqs.Count; i++)
{
var cmp = tmp_barreqs[i];
if ((cmp.CustomInterval == br.CustomInterval) && (cmp.Interval == br.Interval) && (cmp.BarsBackExplicit == br.BarsBackExplicit))
{
addit = false;
break;
}
}
if (addit)
{
tmp_barreqs.Add(br);
}
}
}
break;
}
}
public virtual bool SendMessage(MessageTypes type, long source, long dest, long msgid, string request, string response)
{
if (_tl == null)
{
return(false);
}
if (!_tl.RequestFeatureList.Contains(type))
{
SendDebug(type.ToString() + " not supported by " + _tl.Name);
return(false);
}
try
{
// prepare message
switch (type)
{
case MessageTypes.DOMREQUEST:
request = request.Replace(Book.EMPTYREQUESTOR, _tl.Name);
break;
case MessageTypes.BARREQUEST:
{
BarRequest br = BarImpl.ParseBarRequest(request);
br.Client = _tl.Name;
request = BarImpl.BuildBarRequest(br);
}
break;
case MessageTypes.FEATUREREQUEST:
request = _tl.Name;
break;
case MessageTypes.IMBALANCEREQUEST:
request = _tl.Name;
break;
}
// send it
long result = _tl.TLSend(type, request);
string res = result.ToString();
// pass along result
if ((SendMessageResponse != null) && (result != 0))
{
SendMessageResponse(type, source, dest, msgid, request, ref res);
}
return(true);
}
catch (Exception ex)
{
debug("Error on: " + type.ToString() + source + dest + msgid + request + response);
debug(ex.Message + ex.StackTrace);
}
return(false);
}
/// <summary>
/// builds bar request
/// </summary>
/// <param name="br"></param>
/// <returns></returns>
public static string BuildBarRequest(BarRequest br)
{
string[] r = new string[]
{
br.Symbol,
br.Interval.ToString(),
br.StartDate.ToString(),
br.StartTime.ToString(),
br.EndDate.ToString(),
br.EndTime.ToString(),
br.ID.ToString(),
br.CustomInterval.ToString(),
br.Client,
};
return(string.Join(",", r));
}
/// <summary>
/// parses message into a structured bar request
/// </summary>
/// <param name="msg"></param>
/// <returns></returns>
public static BarRequest ParseBarRequest(string msg)
{
string[] r = msg.Split(',');
BarRequest br = new BarRequest();
br.Symbol = r[(int)BarRequestField.Symbol];
br.Interval = Convert.ToInt32(r[(int)BarRequestField.BarInt]);
br.StartDate = int.Parse(r[(int)BarRequestField.StartDate]);
br.StartTime = int.Parse(r[(int)BarRequestField.StartTime]);
br.EndDate = int.Parse(r[(int)BarRequestField.EndDate]);
br.EndTime = int.Parse(r[(int)BarRequestField.EndTime]);
br.CustomInterval = int.Parse(r[(int)BarRequestField.CustomInterval]);
br.ID = long.Parse(r[(int)BarRequestField.ID]);
br.Client = r[(int)BarRequestField.Client];
return(br);
}
/// <summary>
/// builds bar request
/// </summary>
/// <param name="br"></param>
/// <returns></returns>
public static string Serialize(BarRequest br)
{
string[] r = new string[]
{
br.symbol,
br.Interval.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.StartDate.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.StartTime.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.EndDate.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.EndTime.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.ID.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.CustomInterval.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.Client,
br.BarsBackExplicit.ToString(System.Globalization.CultureInfo.InvariantCulture)
};
return(string.Join(",", r));
}
/// <summary>
/// send a message to providers
/// </summary>
/// <param name="type"></param>
/// <param name="source"></param>
/// <param name="dest"></param>
/// <param name="msgid"></param>
/// <param name="message"></param>
/// <param name="result"></param>
/// <returns></returns>
public long TLSend(MessageTypes type, long source, long dest, long msgid, string message, ref string result)
{
v(type.ToString() + " sending to all providers: " + message);
for (int i = 0; i < _pcon.Count; i++)
{
if (_pcon[i].RequestFeatureList.Contains(type))
{
bool showret = false;
// prepare message
switch (type)
{
case MessageTypes.DOMREQUEST:
message = message.Replace(Book.EMPTYREQUESTOR, _pcon[i].Name);
showret = true;
break;
case MessageTypes.BARREQUEST:
{
BarRequest br = BarImpl.ParseBarRequest(message);
br.Client = _pcon[i].Name;
message = BarImpl.BuildBarRequest(br);
showret = true;
}
break;
case MessageTypes.FEATUREREQUEST:
message = _pcon[i].Name;
showret = true;
break;
}
long res = _pcon[i].TLSend(type, message);
result = res.ToString();
if (gotUnknownMessage != null)
{
gotUnknownMessage(type, source, dest, msgid, message, ref result);
}
return(res);
}
else if (VerboseDebugging)
{
v(_pcon[i].BrokerName + " " + _pcon[i].Name + " does not support feature " + type + ", dropping message.");
}
}
return(0);
}
public void BarsBackSerializeDeSerialize()
{
// build request
var br = new BarRequest(sym, 300, 300, 100, string.Empty);
// verify it
Assert.IsTrue(br.isValid, "original not valid");
Assert.AreEqual(300, br.Interval, "interval missing");
Assert.AreEqual(sym, br.symbol, "symbol missing");
Assert.AreEqual(100, br.BarsBack, "bars back missing");
// serialize request
var msg = br.Serialize();
// deserialize
var copy = BarRequest.Deserialize(msg);
// verify valid
Assert.IsTrue(copy.isValid, "copy not valid");
// verify same
Assert.AreEqual(br.symbol, copy.symbol, "symbol mismatch");
Assert.AreEqual(br.BarsBack, copy.BarsBack, "symbol mismatch");
Assert.AreEqual(br.Interval, copy.Interval, "symbol mismatch");
}
/// <summary>
/// parses message into a structured bar request
/// </summary>
/// <param name="msg"></param>
/// <returns></returns>
public static BarRequest Deserialize(string msg)
{
string[] r = msg.Split(',');
BarRequest br = new BarRequest();
try
{
br.symbol = r[(int)BarRequestField.Symbol];
br.Interval = Convert.ToInt32(r[(int)BarRequestField.BarInt], System.Globalization.CultureInfo.InvariantCulture);
br.StartDate = int.Parse(r[(int)BarRequestField.StartDate], System.Globalization.CultureInfo.InvariantCulture);
br.StartTime = int.Parse(r[(int)BarRequestField.StartTime], System.Globalization.CultureInfo.InvariantCulture);
br.EndDate = int.Parse(r[(int)BarRequestField.EndDate], System.Globalization.CultureInfo.InvariantCulture);
br.EndTime = int.Parse(r[(int)BarRequestField.EndTime], System.Globalization.CultureInfo.InvariantCulture);
br.CustomInterval = int.Parse(r[(int)BarRequestField.CustomInterval], System.Globalization.CultureInfo.InvariantCulture);
br.ID = long.Parse(r[(int)BarRequestField.ID], System.Globalization.CultureInfo.InvariantCulture);
br.Client = r[(int)BarRequestField.Client];
br.BarsBackExplicit = Convert.ToInt32(r[(int)BarRequestField.BarsBackExplicit], System.Globalization.CultureInfo.InvariantCulture);
}
catch (FormatException) { }
catch (OverflowException) { }
catch (ArgumentNullException) { }
return(br);
}
void RequestBars(BarRequest br)
{
string command;
long id = _idt.AssignId;
if (br.Interval == (int)BarInterval.Day)
{
command = String.Format("HDT,{0},{1},,1,{2}\r\n", br.Symbol,br.StartDateTime.ToLongDateString(),br.EndDateTime.ToLongDateString(),id);
}
else
{
command = String.Format("HIT,{0},{1},{2} {3},{4} {5},,000000,235959,1,{6}\r\n", br.Symbol, br.Interval, br.StartDateTime.ToString("yyyyMMdd"), br.StartDateTime.ToString("HHmmss"), br.EndDateTime.ToString("yyyyMMdd"), br.EndDateTime.ToString("HHmmss"),id);
}
reqid2req.Add(id, br);
// we form a watch command in the form of wSYMBOL\r\n
byte[] watchCommand = new byte[command.Length];
watchCommand = Encoding.ASCII.GetBytes(command);
try
{
m_hist.Send(watchCommand, watchCommand.Length, SocketFlags.None);
debug("Requested historical bars for: " + br.Symbol);
}
catch (Exception ex)
{
debug("Exception sending barrequest: " + br.ToString());
debug(ex.Message + ex.StackTrace);
}
}
public void submitBarRequest(BarRequest br)
{
waitforhistorical2complete = true;
debug("br.Client=" + br.Client);
string symbol = br.symbol;
int lRequestID = (int)br.Interval % 100;
int lPeriod = (int)br.Interval / 100;
int lMaxRecs = br.CustomInterval / 10;
bool bUpdate = (br.CustomInterval % 10 == 0) ? false : true;
bool bExtSession = false;
int tlDateS = br.StartDate;
int tlTimeS = br.StartTime;
DateTime dtStart = TradeLink.Common.Util.ToDateTime(tlDateS, tlTimeS);
int tlDateE = br.EndDate;
int tlTimeE = br.EndTime;
DateTime dtEnd = TradeLink.Common.Util.ToDateTime(tlDateE, tlTimeE);
if (!_barhandle2barrequest.ContainsKey(lRequestID))
_barhandle2barrequest.Add(lRequestID, br);
else
debug("already had bar request: " + lRequestID + " " + _barhandle2barrequest[lRequestID].ToString());
int lRequestType = lRequestID % 10;
switch (lRequestType)
{
case 1:
MbtHistDayBar moDayBar = m_HistMgr.CreateHistDayBar();
moDayBar.Clear();
debug(symbol + "Day: lID:" + lRequestID + " lPd:" + lPeriod + " b:" + dtStart + " e:" + dtEnd + " lMax:" + lMaxRecs + " bUp:" + bUpdate);
moDayBar.SendRequest(symbol, lRequestID, lPeriod, dtStart.ToUniversalTime(), dtEnd.ToUniversalTime(), lMaxRecs, bUpdate);
break;
case 2:
MbtHistMinBar moMinBar = m_HistMgr.CreateHistMinBar();
moMinBar.Clear();
debug(symbol + "Min: lID:" + lRequestID + " lPd:" + lPeriod + " b:" + dtStart + " e:" + dtEnd + " lMax:" + lMaxRecs + " bUp:" + bUpdate + " ext:" + bExtSession);
moMinBar.SendRequest(symbol, lRequestID, lPeriod, dtStart.ToUniversalTime(), dtEnd.ToUniversalTime(), lMaxRecs, bUpdate, bExtSession);
break;
case 3:
MbtHistTick moTickBar = m_HistMgr.CreateHistTick();
moTickBar.Clear();
lPeriod=0; // for all ticks
debug(symbol + "Tick: lID:" + lRequestID + " filter:" + lPeriod + " b:" + dtStart + " e:" + dtEnd + " lMax:" + lMaxRecs + " bUp:" + bUpdate);
// moTickBar.SendRequest(symbol, lRequestID, lPeriod, dtStart.ToUniversalTime(), dtEnd.ToUniversalTime(), lMaxRecs, bUpdate);
moTickBar.SendRequest(symbol, lRequestID, (int)MBTHISTLib.enumTickRequestFilter.trfAllTicks, dtStart.ToUniversalTime(), dtEnd.ToUniversalTime(), lMaxRecs, bUpdate);
break;
//pmh - 9/13/12 - PV bar
case 4:
MbtHistPVBar moMinPV = m_HistMgr.CreateHistPVBar();
moMinPV.Clear();
debug(symbol + "PV: lID:" + lRequestID + " lPd:" + lPeriod + " b:" + dtStart + " e:" + dtEnd + " lMax:" + lMaxRecs);
moMinPV.SendRequest(symbol, lRequestID, lPeriod, dtStart.ToUniversalTime(), dtEnd.ToUniversalTime(), lMaxRecs);
break;
}
}
bool isrecorddone(string rec, string [] r, string prev, out BarRequest br)
{
long reqid = 0;
br = new BarRequest();
if (r.Length > 0)
{
if (long.TryParse(r[0], System.Globalization.NumberStyles.Any, System.Globalization.CultureInfo.InvariantCulture, out reqid))
{
// make request invalid if can't be found
if (!reqid2req.TryGetValue(reqid, out br))
{
v("hist no request id found: " + rec);
br = new BarRequest();
}
else
{
v("hist response to request: " + reqid + " from: " + br.Client);
}
}
}
var minexpectrecordcount = br.BarInterval == BarInterval.Day ? 7 : 8;
// this should get hit on ENDMSG
if (r.Length < minexpectrecordcount)
{
if (rec.Contains(HISTEND))
{
if (br.isIdValid)
{
debug("hist completed request " + br.ID);
tl.TLSend(BarRequest.Serialize(br), MessageTypes.BARRESPONSE_FINAL, br.Client);
}
else
debug("hist unknown request completed: " + rec);
return true;
}
else // could be a partial record (that needs buffering) or an error/unknown state
{
v("hist unknown data, id: " + br.ID + " data: " + rec);
}
return false;
}
if (!br.isValid)
{
if (string.IsNullOrWhiteSpace(prev))
debug("hist unknown bar request data " + rec);
else
debug("hist unknown bar request data:" + rec + " prev: " + prev + " buf: " + _histbuff);
return true;
}
return false;
}
/// <summary>
/// parses message into a structured bar request
/// </summary>
/// <param name="msg"></param>
/// <returns></returns>
public static BarRequest Deserialize(string msg)
{
string[] r = msg.Split(',');
BarRequest br = new BarRequest();
try
{
br.symbol = r[(int)BarRequestField.Symbol];
br.Interval = Convert.ToInt32(r[(int)BarRequestField.BarInt], System.Globalization.CultureInfo.InvariantCulture);
br.StartDate = int.Parse(r[(int)BarRequestField.StartDate], System.Globalization.CultureInfo.InvariantCulture);
br.StartTime = int.Parse(r[(int)BarRequestField.StartTime], System.Globalization.CultureInfo.InvariantCulture);
br.EndDate = int.Parse(r[(int)BarRequestField.EndDate], System.Globalization.CultureInfo.InvariantCulture);
br.EndTime = int.Parse(r[(int)BarRequestField.EndTime], System.Globalization.CultureInfo.InvariantCulture);
br.CustomInterval = int.Parse(r[(int)BarRequestField.CustomInterval], System.Globalization.CultureInfo.InvariantCulture);
br.ID = long.Parse(r[(int)BarRequestField.ID], System.Globalization.CultureInfo.InvariantCulture);
br.Client = r[(int)BarRequestField.Client];
br.BarsBackExplicit = Convert.ToInt32(r[(int)BarRequestField.BarsBackExplicit], System.Globalization.CultureInfo.InvariantCulture);
}
catch (FormatException) { }
catch (OverflowException) { }
catch (ArgumentNullException) { }
return br;
}
/// <summary>
/// builds bar request
/// </summary>
/// <param name="br"></param>
/// <returns></returns>
public static string Serialize(BarRequest br)
{
string[] r = new string[]
{
br.symbol,
br.Interval.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.StartDate.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.StartTime.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.EndDate.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.EndTime.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.ID.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.CustomInterval.ToString(System.Globalization.CultureInfo.InvariantCulture),
br.Client,
br.BarsBackExplicit.ToString(System.Globalization.CultureInfo.InvariantCulture)
};
return string.Join(",", r);
}
void bw_DoWork(object sender, DoWorkEventArgs e)
{
if (!_valid) return;
while (_go)
{
try
{
if (qc > qr)
{
// get requested symbols
string[] syms = _tmpregister.Split(',');
// go through each one
foreach (string sym in syms)
{
// if we don't have subscription already
if (!contains(sym))
{
// add it to list
_mb.Add(sym);
// request subscription
esig.RequestSymbol(sym, 1);
}
}
if (ReleaseDeadSymbols)
{
// clone requested basket
Basket newbasket = new BasketImpl(syms);
// clone existing basket as deadbasket
Basket deadbasket = new BasketImpl(_mb);
// existing - new = deadsymbols
deadbasket.Remove(newbasket);
// release dead symbols
string symsreleased = string.Empty;
foreach (Security dead in deadbasket)
{
try
{
esig.ReleaseSymbol(dead.symbol);
symsreleased += dead.symbol + " ";
}
catch { }
}
if (symsreleased!=string.Empty)
verb("released unused symbols: " + symsreleased);
}
qr = qc;
}
while (_barrequests.hasItems)
{
BarRequest br = new BarRequest();
try
{
br = _barrequests.Read();
BarInterval bi = (BarInterval)br.Interval;
string interval = string.Empty;
int barsback = DefaultBarsBack;
if (bi == BarInterval.CustomTicks)
interval = br.CustomInterval + "T";
else if (bi == BarInterval.CustomTime)
interval = br.CustomInterval + "S";
else if (bi == BarInterval.CustomVol)
interval = br.CustomInterval + "V";
else
{
if (br.Interval == (int)BarInterval.Day)
interval = "D";
else
interval = (br.Interval / 60).ToString();
barsback = BarImpl.BarsBackFromDate(bi, br.StartDateTime, br.EndDateTime);
}
int alldata = BarRequestsGetAllData ? -1 : 0;
int hnd = esig.get_RequestHistory(br.symbol, interval, (bi == BarInterval.Day) ? barType.btDAYS : barType.btBARS, barsback, alldata, alldata);
verb("requested bar data for " + br.symbol + " on: " + br.Interval.ToString() + " " + br.CustomInterval.ToString() + " reqhandle: " + hnd);
// cache request
if (!_barhandle2barrequest.ContainsKey(hnd))
_barhandle2barrequest.Add(hnd, br);
else
verb("already had bar request: " + hnd + " " + _barhandle2barrequest[hnd].ToString());
if (esig.get_IsHistoryReady(hnd) != 0)
processhistory(hnd, br);
}
catch (Exception ex)
{
debug("error on historical bar request: " + br.ToString());
debug(ex.Message + ex.StackTrace);
}
}
}
catch (Exception ex)
{
if (GotDebug != null)
GotDebug(ex.Message + ex.StackTrace);
}
if (e.Cancel || !_go)
break;
System.Threading.Thread.Sleep(WaitBetweenEvents);
}
}
/// <summary>
/// builds bar request
/// </summary>
/// <param name="br"></param>
/// <returns></returns>
public static string BuildBarRequest(BarRequest br)
{
string[] r = new string[]
{
br.Symbol,
br.Interval.ToString(),
br.StartDate.ToString(),
br.StartTime.ToString(),
br.EndDate.ToString(),
br.EndTime.ToString(),
br.ID.ToString(),
br.CustomInterval.ToString(),
br.Client,
};
return string.Join(",", r);
}
void RequestBars(BarRequest br)
{
// for command docs see http://www.iqfeed.net/dev/api/docs/HistoricalviaTCPIP.cfm
string command = string.Empty;
// ensure we're connected
if (m_hist == null)
{
ConnectHist();
}
if (br.BarInterval == BarInterval.Day)
{
var previousdays = br.isExplictBarsBack ? br.BarsBackExplicit : BarImpl.BarsBackFromDate(br.BarInterval, br.StartDateTime, br.EndDateTime);
// HDX,[Symbol],[MaxDatapoints],[DataDirection],[RequestID],[DatapointsPerSend]
if (br.isExplictBarsBack)
{
br.Tag = "HDX";
command = String.Format("HDX,{0},{1},{2},{3},{4}", br.symbol, previousdays, HistoricalDataDirection, br.ID, HistoricalDataPointPerSec);
}
else if (br.isExplicitStart)
{
// HDT,[Symbol],[BeginDate],[EndDate],[MaxDatapoints],[DataDirection],[RequestID],[DatapointsPerSend]
var start = br.StartDateTime.ToString("yyyyMMdd");
var end = br.isExplicitDate ? br.EndDateTime.ToString("yyyyMMdd") : string.Empty;
var maxdata = br.isExplicitDate ? (int)br.EndDateTime.Subtract(br.StartDateTime).TotalDays : (int)DateTime.Now.Subtract(br.StartDateTime).TotalDays;
br.Tag = "HDT";
command = string.Format("HDT,{0},{1},{2},{3},{4},{5},{6}", br.symbol, start, end, maxdata, HistoricalDataDirection, br.ID, HistoricalDataPointPerSec);
}
}
else
{
// validate interval type
string sIntervalType = "s";
int bint = br.CustomInterval;
if (br.BarInterval== BarInterval.CustomVol)
{
sIntervalType = "v";
bint = br.CustomInterval;
}
else if (br.BarInterval== BarInterval.CustomTicks)
{
sIntervalType = "t";
bint = br.CustomInterval;
}
if (br.isExplictBarsBack && !br.isExplicitEnd && !br.isExplicitStart)
{
br.Tag = "HIX";
//HIX,[Symbol],[Interval],[MaxDatapoints],[DataDirection],[RequestID],[DatapointsPerSend],[IntervalType]
command = String.Format("HIX,{0},{1},{2},{3},{4},{5},{6}", br.symbol, bint, br.BarsBackExplicit, HistoricalDataDirection, br.ID, HistoricalDataPointPerSec, sIntervalType);
}
else
{
br.Tag = "HIT";
// request in the format:
//HIT,[Symbol],[Interval],[BeginDate BeginTime],[EndDate EndTime],[MaxDatapoints],[BeginFilterTime],[EndFilterTime],[DataDirection],[RequestID],[DatapointsPerSend],[IntervalType]<CR><LF>
// HIT,SYMBOL,INTERVAL,BEGINDATE BEGINTIME,ENDDATE ENDTIME,MaxDataPoints,BEGINFILTERTIME,ENDFILTERTIME,DIRECTION,REQUESTID,DATAPOINTSPERSEND,INTERVALTYPE<CR><LF>
var startdate = br.isExplicitStart ? br.StartDateTime.ToString("yyyyMMdd") : string.Empty;
var starttime = br.isExplicitStart ? br.StartDateTime.ToString("HHmmss") : string.Empty;
var enddate = br.isExplicitEnd ? br.EndDateTime.ToString("yyyyMMdd") : string.Empty;
var endtime = br.isExplicitEnd ? br.EndDateTime.ToString("HHmmss") : string.Empty;
var maxpoints = br.isExplictBarsBack ? br.BarsBackExplicit.ToString("F0") : string.Empty;
command = String.Format("HIT,{0},{1},{2} {3},{4} {5},{6},,,{7},{8},{9},{10}", br.symbol, bint, startdate, starttime,enddate ,endtime , maxpoints, HistoricalDataDirection, br.ID, HistoricalDataPointPerSec, sIntervalType);
}
}
reqid2req.Add(br.ID, br);
byte[] watchCommand = getcmddata(command);
try
{
if (m_hist != null)
{
m_hist.Send(watchCommand, watchCommand.Length, SocketFlags.None);
if (VerboseDebugging)
v("hist requested: " + br.symbol + " watch: " + command+" for: "+br.ToString());
else
debug("Requested historical bars for: " + br.ToString());
}
else
{
debug("No historical connection available to request bars: " + br.ToString());
}
}
catch (Exception ex)
{
debug("Exception sending barrequest: " + br.ToString());
debug(ex.Message + ex.StackTrace);
}
}
public void submitBarRequest(BarRequest br)
{
waitforhistorical2complete = true;
debug("br.Client=" + br.Client);
string symbol = br.Symbol;
int lRequestID = (int)br.Interval % 100;
int lPeriod = (int)br.Interval / 100;
int lMaxRecs = br.CustomInterval / 10;
bool bUpdate = (br.CustomInterval % 10 == 0) ? false : true;
int tlDateS = br.StartDate;
int tlTimeS = br.StartTime;
DateTime dtStart = TradeLink.Common.Util.ToDateTime(tlDateS, tlTimeS);
int tlDateE = br.EndDate;
int tlTimeE = br.EndTime;
DateTime dtEnd = TradeLink.Common.Util.ToDateTime(tlDateE, tlTimeE);
if (!_barhandle2barrequest.ContainsKey(lRequestID))
_barhandle2barrequest.Add(lRequestID, br);
else
debug("already had bar request: " + lRequestID + " " + _barhandle2barrequest[lRequestID].ToString());
int lRequestType = lRequestID % 10;
switch (lRequestType)
{
case 1:
MbtHistDayBar moDayBar = m_Hist.CreateHistDayBar();
moDayBar.Clear();
debug(symbol + " " + lRequestID + " " + lPeriod + " " + dtStart + " " + dtEnd + " " + lMaxRecs + " " + bUpdate);
moDayBar.SendRequest(symbol, lRequestID, lPeriod, dtStart.ToUniversalTime(), dtEnd.ToUniversalTime(), lMaxRecs, bUpdate);
break;
case 2:
MbtHistMinBar moMinBar = m_Hist.CreateHistMinBar();
moMinBar.Clear();
debug(symbol + " " + lRequestID + " " + lPeriod + " " + dtStart + " " + dtEnd + " " + lMaxRecs + " " + bUpdate);
moMinBar.SendRequest(symbol, lRequestID, lPeriod, dtStart.ToUniversalTime(), dtEnd.ToUniversalTime(), lMaxRecs, bUpdate);
break;
case 3:
MbtHistTick moTickBar = m_Hist.CreateHistTick();
moTickBar.Clear();
moTickBar.SendRequest(symbol, lRequestID, lPeriod, dtStart.ToUniversalTime(), dtEnd.ToUniversalTime(), lMaxRecs, bUpdate);
break;
}
}
/// <summary>
/// parses message into a structured bar request
/// </summary>
/// <param name="msg"></param>
/// <returns></returns>
public static BarRequest ParseBarRequest(string msg)
{
string[] r = msg.Split(',');
BarRequest br = new BarRequest();
br.Symbol = r[(int)BarRequestField.Symbol];
br.Interval = Convert.ToInt32(r[(int)BarRequestField.BarInt]);
br.StartDate = int.Parse(r[(int)BarRequestField.StartDate]);
br.StartTime = int.Parse(r[(int)BarRequestField.StartTime]);
br.EndDate= int.Parse(r[(int)BarRequestField.EndDate]);
br.EndTime = int.Parse(r[(int)BarRequestField.EndTime]);
br.CustomInterval = int.Parse(r[(int)BarRequestField.CustomInterval]);
br.ID = long.Parse(r[(int)BarRequestField.ID]);
br.Client = r[(int)BarRequestField.Client];
return br;
}
void processhistory(int lHandle,BarRequest br)
{
int numbars = esig.get_GetNumBars(lHandle);
if (numbars == 0)
{
verb("no bars available for reqhandle: " + lHandle);
return;
}
numbars *= -1;
for (int i = numbars; i<=0; i++)
{
try
{
BarData bd = esig.get_GetBar(lHandle, i);
if (VerboseDebugging)
verb(br.symbol + " " + bd.dtTime.ToString() + " " + bd.dOpen + " " + bd.dHigh + " " + bd.dLow + " " + bd.dClose + " " + bd.dVolume);
Bar b = new BarImpl((decimal)bd.dOpen, (decimal)bd.dHigh, (decimal)bd.dLow, (decimal)bd.dClose, (long)bd.dVolume, Util.ToTLDate(bd.dtTime), Util.ToTLTime(bd.dtTime), br.symbol, br.Interval);
string msg = BarImpl.Serialize(b);
if (!b.isValid && !AllowSendInvalidBars)
{
debug("Not sending invalid bar: " + b.ToString()+" raw: "+msg);
continue;
}
tl.TLSend(msg, MessageTypes.BARRESPONSE, br.Client);
}
catch (Exception ex)
{
verb("error obtaining bar: " + i + " from: " + lHandle);
verb(ex.Message + ex.StackTrace);
}
}
if (ReleaseBarHistoryAfteRequest)
{
try
{
esig.ReleaseHistory(lHandle);
_barhandle2barrequest.Remove(lHandle);
}
catch { }
}
}
void OnReceiveHist(IAsyncResult result)
{
try
{
int bytesReceived = m_hist.EndReceive(result);
var records = getrecords(m_buffhist, bytesReceived);
// mark record processing status
var lastrecordprocessed = false;
var lastrecordidx = records.Length - 1;
// process records
for (int i = 0; i<records.Length; i++)
{
// get record
var rec = records[i];
// mark it's status
lastrecordprocessed = false;
// skip empty data
if (string.IsNullOrWhiteSpace(rec))
continue;
// look for misc responses
if (checkhistproto && rec.Contains(expecthistproto))
{
checkhistproto = false;
rec = rec.Replace(expecthistproto, string.Empty);
records[i] = rec;
lastrecordprocessed = i == lastrecordidx;
v("hist protocol ack:" + expecthistproto);
}
string[] r = rec.Split(',');
// test for request id and response type
BarRequest br = new BarRequest();
var prev = (i == 0) ? string.Empty : records[i - 1];
if (isrecorddone(rec, r, prev, out br))
{
v("hist processed: " + rec);
lastrecordprocessed = i == lastrecordidx;
continue;
}
else if (i==lastrecordidx)
{
lastrecordprocessed = false;
}
Bar b = new BarImpl();
try
{
if (br.isValid)
{
if (br.BarInterval == BarInterval.Day)
{
DateTime dt = DateTime.MinValue;
if (!DateTime.TryParse(r[1], System.Globalization.CultureInfo.InvariantCulture, System.Globalization.DateTimeStyles.NoCurrentDateDefault, out dt))
{
v("hist can't parse date: " + r[1] + " data: " + rec);
continue;
}
decimal o, h, l, c;
long vol;
if (!decimal.TryParse(r[2], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out h))
{
v("hist can't parse high: " + r[2] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[3], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out l))
{
v("hist can't parse low: " + r[3] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[4], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out o))
{
v("hist can't parse open: " + r[4] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[5], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out c))
{
v("hist can't parse close: " + r[5] + " data: " + rec);
continue;
}
else if (!long.TryParse(r[6], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out vol))
{
v("hist can't parse vol: " + r[6] + " data: " + rec);
continue;
}
// mark iqfeed processing status
lastrecordprocessed = i == lastrecordidx;
// build bar
b = new BarImpl(o, h, l, c, vol, Util.ToTLDate(dt), Util.ToTLTime(dt), br.symbol, br.Interval,br.CustomInterval,br.ID);
if (VerboseDebugging)
debug("hist got bar: " + b);
}
else
{
DateTime dt = DateTime.MinValue;
if (!DateTime.TryParse(r[1], System.Globalization.CultureInfo.InvariantCulture, System.Globalization.DateTimeStyles.NoCurrentDateDefault, out dt))
{
v("hist can't parse date: " + r[1] + " data: " + rec);
continue;
}
decimal o, h, l, c;
long vol;
if (!decimal.TryParse(r[2], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out h))
{
v("hist can't parse high: " + r[2] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[3], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out l))
{
v("hist can't parse low: " + r[3] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[4], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out o))
{
v("hist can't parse open: " + r[4] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[5], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out c))
{
v("hist can't parse close: " + r[5] + " data: " + rec);
continue;
}
else if (!long.TryParse(r[7], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out vol))
{
v("hist can't parse vol: " + r[7] + " data: " + rec);
continue;
}
// mark iqfeed processing status
lastrecordprocessed = i == lastrecordidx;
// build bar
b = new BarImpl(o, h, l, c, vol, Util.ToTLDate(dt), Util.ToTLTime(dt), br.symbol, br.Interval,br.CustomInterval,br.ID);
if (VerboseDebugging)
debug("hist got bar: " + b);
}
}
}
catch (Exception ex)
{
v("hist ohlc parse err: " + ex.Message + ex.StackTrace + " data: " + rec);
b = new BarImpl();
}
// send it
if (b.isValid)
{
var barserial = BarImpl.Serialize(b);
if (VerboseDebugging)
debug("hist sending response to: "+br.ID+" int: "+ b.Interval + " bar: " + b.ToString() + " to: " + br.Client + " using data: " + rec);
try
{
tl.TLSend(barserial, MessageTypes.BARRESPONSE, br.Client);
if (VerboseDebugging)
debug("hist sent " + b.Symbol + " bar in response to: " + br.ID);
}
catch (Exception ex)
{
debug("hist send error: " + ex.Message + ex.StackTrace + " on: " + barserial + " to: " + br.Client);
}
}
}
if (!lastrecordprocessed)
{
string lastrecord = records[lastrecordidx];
var endidx = lastrecord.IndexOf(HISTEND);
if (endidx >= 0)
{
lastrecord = lastrecord.Substring(endidx, HISTEND.Length);
v("hist got " + HISTEND);
}
if (!string.IsNullOrWhiteSpace(lastrecord))
{
_histbuff = lastrecord;
v("hist saving: " + _histbuff + " for more data.");
}
}
// wait for more historical data
WaitForData(HISTSOCKET);
}
catch (SocketException)
{
v("hist connection closed.");
}
catch (Exception ex)
{
debug(ex.Message + ex.StackTrace);
}
}
