private void setUpInsturment(DateTime start, DateTime end, string security, Security.SecurityType secType)
{
var sec = new DataFactory(new Security(security, 0, secType));
_factories.Add(sec);
_markets.AddSecurity(sec);
sec.AddReferenceToMarkets(_markets);
sec.AddReferenceToDatafeed((ITickDataFeed)_histFeed);
var query = new TickDataQuery()
{
Security = sec.SecurityName,
CorrelationIdObj = sec,
StartDate = start,
EndDate = end,
IncludeConditionCode = true,
IncludeExchangeCode = true
};
var queryGenerator = new TickDataQueries();
var queries = queryGenerator.GetTickDataQueries(query);
var queriesPM = new List <ITickDataQuery>();
foreach (var q in queries)
{
queriesPM.Add(new TickDataQuery()
{
Security = q.Security,
StartDate = new DateTime(q.EndDate.Year, q.EndDate.Month, q.EndDate.Day, 7, 15, 00),
EndDate = new DateTime(q.EndDate.Year, q.EndDate.Month, q.EndDate.Day, 18, 20, 00),
Fields = q.Fields,
CorrelationIdObj = q.CorrelationIdObj,
IncludeConditionCode = q.IncludeConditionCode,
IncludeExchangeCode = q.IncludeExchangeCode,
});
//q.StartDate = q.StartDate.AddHours(-1);
q.EndDate = new DateTime(q.EndDate.Year, q.EndDate.Month, q.EndDate.Day, 6, 20, 00);
}
if (useBB)
{
// Historical playback From Bloomberg
var histBBTickData = new BloombergHistTickDataHandler();
histBBTickData.BBHTDUpdate += histTickData_Update;
histBBTickData.AddDataQueries(queries);
histBBTickData.AddDataQueries(queriesPM);
histBBTickData.DataHandler = _histFeed;
_histFeed.AddHistoricalAdapter(histBBTickData);
}
else
{
// Historical playback from SQL DB
const string dsPath = "TickData.qbd";
var histTickData = new HistoricalData.HistoricalAdapterSqlDB(dsPath);
histTickData.HistTDUpdate += histTickData_Update;
histTickData.AddDataQueries(queries);
//histTickData.AddDataQueries(queriesPM);
histTickData.DataHandler = _histFeed;
_histFeed.AddHistoricalAdapter(histTickData);
}
responded.Add(security, false);
}
