// Get the next data point. 'HasValidDataPoint=TRUE' indicates that a valid data point was read.
protected override void OnNextDataPoint()
{
if (reader == null)
{
return;
}
BarsPeriodType = BarsPeriodType.Tick;
while (true)
{
DataPointString = reader.ReadLine();
if (DataPointString == null)
{
reader.Close();
reader = null;
return;
}
DataPointString = DataPointString.Trim();
if (DataPointString.Length == 0)
{
continue;
}
if (firstLine)
{
separator = string.Empty;
foreach (string separatorTmp in new[] { ";", "," })
{
if (new Regex(string.Format(CultureInfo.InvariantCulture, "{0}\"?[^{1}]+\"?{2}", separatorTmp, separatorTmp, separatorTmp)).Match(DataPointString).Success)
{
separator = separatorTmp;
break;
}
}
if (separator.Length == 0)
{
Cbi.Log.Process(typeof(Custom.Resource), "ImportTypeNinjaTraderFieldSeparatorNotIdentified", new object[] { Instrument.FullName }, Cbi.LogLevel.Error, Cbi.LogCategories.Default);
reader.Close();
reader = null;
throw new InvalidOperationException();
}
regex = new Regex(string.Format(CultureInfo.InvariantCulture, "\"?[^{0}]+\"?", separator));
firstLine = false;
}
MatchCollection matches = regex.Matches(DataPointString);
if (matches.Count == 0) // skip to next lines if current line is empty
{
continue;
}
string dateField = matches[0].Value.Trim(quotes).Trim().Replace("-", string.Empty).Replace(":", string.Empty).Replace(" ", string.Empty);
string timeField = matches[1].Value.Trim(quotes).Trim().Replace("-", string.Empty).Replace(":", string.Empty).Replace(" ", string.Empty);
if (dateField.Length == 0 || timeField.Length == 0 || !char.IsDigit(dateField[0])) // skip to next line if no date, time or first char is not a digit
{
continue;
}
if (matches.Count != 4)
{
Cbi.Log.Process(typeof(Custom.Resource), "ImportTypeNinjaTraderUnexpectedFieldNumber", new object[] { Instrument.FullName, NumberOfDataPoints }, Cbi.LogLevel.Error, Cbi.LogCategories.Default);
reader.Close();
reader = null;
throw new InvalidOperationException();
}
Time = Core.Globals.MinDate;
try
{
Time = new DateTime(new DateTime(Convert.ToInt32(dateField.Substring(0, 4), CultureInfo.InvariantCulture),
Convert.ToInt32(dateField.Substring(4, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(dateField.Substring(6, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(0, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(2, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(4, 2), CultureInfo.InvariantCulture)).Ticks).AddMilliseconds(Convert.ToInt32(timeField.Substring(6, 3), CultureInfo.InvariantCulture));
}
catch (Exception exp)
{
Cbi.Log.Process(typeof(Custom.Resource), "ImportTypeNinjaTraderDateTimeFormatError", new object[] { Instrument.FullName, NumberOfDataPoints, exp.Message, DataPointString }, Cbi.LogLevel.Error, Cbi.LogCategories.Default);
reader.Close();
reader = null;
throw new InvalidOperationException();
}
if (cultureInfo == null)
{
List <CultureInfo> cultureInfos = new List <CultureInfo>();
CultureInfo tmp;
try
{
tmp = new CultureInfo("en-US");
cultureInfos.Add(tmp);
}
catch {}
try
{
tmp = (CultureInfo)CultureInfo.CurrentCulture.Clone();
cultureInfos.Add(tmp);
}
catch {}
try
{
tmp = new CultureInfo("de-DE");
cultureInfos.Add(tmp);
}
catch {}
foreach (CultureInfo cultureInfoTmp in cultureInfos)
{
// turn off number grouping, since the number grouping character could be a decimal separator for a different culture
cultureInfoTmp.NumberFormat.NumberGroupSeparator = string.Empty;
try
{
Open = Convert.ToDouble(matches[2].Value.Trim(quotes).Trim(), cultureInfoTmp);
cultureInfo = cultureInfoTmp;
break;
}
catch
{
}
}
if (cultureInfo == null)
{
Cbi.Log.Process(typeof(Custom.Resource), "ImportTypeNinjaTraderNumericPriceFormatError", new object[] { Instrument.FullName }, Cbi.LogLevel.Error, Cbi.LogCategories.Default);
try
{
reader.Close();
}
catch {}
reader = null;
throw new InvalidOperationException();
}
}
try
{
Open = High = Low = Close = Convert.ToDouble(matches[2].Value.Trim(quotes).Trim(), cultureInfo);
Bid = Ask = double.MinValue;
Volume = isCryptoCurrency ? NinjaTrader.Core.Globals.FromCryptocurrencyVolume(Convert.ToDouble(matches[3].Value.Trim(quotes).Trim(), cultureInfo)) : Convert.ToInt64(matches[3].Value.Trim(quotes).Trim(), cultureInfo);
HasValidDataPoint = true;
return;
}
catch (Exception exp)
{
Cbi.Log.Process(typeof(Custom.Resource), "ImportTypeNinjaTraderFormatError", new object[] { Instrument.FullName, NumberOfDataPoints, exp.Message, DataPointString }, Cbi.LogLevel.Error, Cbi.LogCategories.Default);
reader.Close();
reader = null;
throw new InvalidOperationException();
}
// keep going until finally 1 line of data was read
}
}
// Get the next data point. 'HasValidDataPoint=TRUE' indicates that a valid data point was read.
protected override void OnNextDataPoint()
{
if (reader == null)
{
return;
}
while (true)
{
DataPointString = reader.ReadLine();
if (DataPointString == null)
{
reader.Close();
reader = null;
return;
}
DataPointString = DataPointString.Trim();
if (DataPointString.Length == 0)
{
continue;
}
if (firstLine)
{
separator = string.Empty;
foreach (string separatorTmp in new[] { ";", "," })
{
if (new Regex(string.Format(CultureInfo.InvariantCulture, "{0}\"?[^{1}]+\"?{2}", separatorTmp, separatorTmp, separatorTmp)).Match(DataPointString).Success)
{
separator = separatorTmp;
break;
}
}
if (separator.Length == 0)
{
Cbi.Log.Process(typeof(Custom.Resource), "ImportTypeNinjaTraderFieldSeparatorNotIdentified", new object[] { Instrument.FullName }, Cbi.LogLevel.Error, Cbi.LogCategories.Default);
reader.Close();
reader = null;
throw new InvalidOperationException();
}
regex = new Regex(string.Format(CultureInfo.InvariantCulture, "\"?[^{0}]+\"?", separator));
firstLine = false;
}
MatchCollection matches = regex.Matches(DataPointString);
if (matches.Count == 0) // skip to next lines if current line is empty
{
continue;
}
// skip to next line if first char is not a digit
string timeField = matches[0].Value.Trim(quotes).Trim().Replace("-", string.Empty).Replace(":", string.Empty).Replace(" ", string.Empty);
if (timeField.Length == 0 || !char.IsDigit(timeField[0]))
{
continue;
}
if (matches.Count != 3 && matches.Count != 5 && matches.Count != 6)
{
Cbi.Log.Process(typeof(Custom.Resource), "ImportTypeNinjaTraderUnexpectedFieldNumber", new object[] { Instrument.FullName, NumberOfDataPoints }, Cbi.LogLevel.Error, Cbi.LogCategories.Default);
reader.Close();
reader = null;
throw new InvalidOperationException();
}
// set actual PeriodType on reading the first line of data
if (NumberOfDataPoints == 0)
{
/* for definition of format -> Data.Bars.SaveToFile/Export */
if (matches.Count >= 6 && timeField.Length == 8)
{
BarsPeriodType = BarsPeriodType.Day;
}
else if (matches.Count >= 6 && (timeField.Length == 12 || timeField.Length == 14))
{
BarsPeriodType = BarsPeriodType.Minute;
}
else if (matches.Count == 3 && timeField.Length == 14)
{
BarsPeriodType = BarsPeriodType.Tick;
hasBidAsk = false;
hasSubSecond = false;
}
else if (matches.Count == 3 && timeField.Length == 21)
{
BarsPeriodType = BarsPeriodType.Tick;
hasBidAsk = false;
hasSubSecond = true;
}
else if (matches.Count == 5 && timeField.Length == 14)
{
BarsPeriodType = BarsPeriodType.Tick;
hasBidAsk = true;
hasSubSecond = false;
}
else if (matches.Count == 5 && timeField.Length == 21)
{
BarsPeriodType = BarsPeriodType.Tick;
hasBidAsk = true;
hasSubSecond = true;
}
}
Time = Core.Globals.MinDate;
try
{
/* for definition of format -> Data.Bars.SaveToFile/Export */
if (BarsPeriodType == BarsPeriodType.Day)
{
Time = new DateTime(Convert.ToInt32(timeField.Substring(0, 4), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(4, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(6, 2), CultureInfo.InvariantCulture));
}
else if (BarsPeriodType == BarsPeriodType.Minute)
{
Time = new DateTime(Convert.ToInt32(timeField.Substring(0, 4), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(4, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(6, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(8, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(10, 2), CultureInfo.InvariantCulture),
0);
if (!EndOfBarTimestamps)
{
Time = Time.AddMinutes(1);
}
}
else if (BarsPeriodType == BarsPeriodType.Tick && !hasSubSecond)
{
Time = new DateTime(Convert.ToInt32(timeField.Substring(0, 4), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(4, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(6, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(8, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(10, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(12, 2), CultureInfo.InvariantCulture));
}
else if (BarsPeriodType == BarsPeriodType.Tick && hasSubSecond)
{
Time = new DateTime(new DateTime(Convert.ToInt32(timeField.Substring(0, 4), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(4, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(6, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(8, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(10, 2), CultureInfo.InvariantCulture),
Convert.ToInt32(timeField.Substring(12, 2), CultureInfo.InvariantCulture)).Ticks + Convert.ToInt32(timeField.Substring(14, 7), CultureInfo.InvariantCulture));
}
}
catch (Exception exp)
{
Cbi.Log.Process(typeof(Custom.Resource), "ImportTypeNinjaTraderDateTimeFormatError", new object[] { Instrument.FullName, NumberOfDataPoints, exp.Message, DataPointString }, Cbi.LogLevel.Error, Cbi.LogCategories.Default);
reader.Close();
reader = null;
throw new InvalidOperationException();
}
if (cultureInfo == null)
{
List <CultureInfo> cultureInfos = new List <CultureInfo>();
CultureInfo tmp;
try
{
tmp = new CultureInfo("en-US");
cultureInfos.Add(tmp);
}
catch {}
try
{
tmp = (CultureInfo)CultureInfo.CurrentCulture.Clone();
cultureInfos.Add(tmp);
}
catch {}
try
{
tmp = new CultureInfo("de-DE");
cultureInfos.Add(tmp);
}
catch {}
foreach (CultureInfo cultureInfoTmp in cultureInfos)
{
// turn off number grouping, since the number grouping character could be a decimal separator for a different culture
cultureInfoTmp.NumberFormat.NumberGroupSeparator = string.Empty;
try
{
Open = Convert.ToDouble(matches[1].Value.Trim(quotes).Trim(), cultureInfoTmp);
cultureInfo = cultureInfoTmp;
break;
}
catch
{
}
}
if (cultureInfo == null)
{
Cbi.Log.Process(typeof(Custom.Resource), "ImportTypeNinjaTraderNumericPriceFormatError", new object[] { Instrument.FullName }, Cbi.LogLevel.Error, Cbi.LogCategories.Default);
try
{
reader.Close();
}
catch {}
reader = null;
throw new InvalidOperationException();
}
}
try
{
/* for definition of format -> Data.Bars.SaveToFile/Export */
Open = Convert.ToDouble(matches[1].Value.Trim(quotes).Trim(), cultureInfo);
High = (BarsPeriodType == BarsPeriodType.Tick ? Open : Convert.ToDouble(matches[2].Value.Trim(quotes).Trim(), cultureInfo));
Low = (BarsPeriodType == BarsPeriodType.Tick ? Open : Convert.ToDouble(matches[3].Value.Trim(quotes).Trim(), cultureInfo));
Close = (BarsPeriodType == BarsPeriodType.Tick ? Open : Convert.ToDouble(matches[4].Value.Trim(quotes).Trim(), cultureInfo));
if (hasBidAsk)
{
Bid = (Convert.ToDouble(matches[2].Value.Trim(quotes).Trim(), cultureInfo));
Ask = (Convert.ToDouble(matches[3].Value.Trim(quotes).Trim(), cultureInfo));
}
else
{
Bid = Ask = double.MinValue;
}
if (BarsPeriodType != BarsPeriodType.Tick)
{
Volume = isCryptoCurrency ? Core.Globals.FromCryptocurrencyVolume(Convert.ToDouble(matches[5].Value.Trim(quotes).Trim(), cultureInfo)) : Convert.ToInt64(matches[5].Value.Trim(quotes).Trim(), cultureInfo);
}
else if (BarsPeriodType == BarsPeriodType.Tick && !hasBidAsk)
{
Volume = isCryptoCurrency ? Core.Globals.FromCryptocurrencyVolume(Convert.ToDouble(matches[2].Value.Trim(quotes).Trim(), cultureInfo)) : Convert.ToInt64(matches[2].Value.Trim(quotes).Trim(), cultureInfo);
}
else // PeriodType == Data.PeriodType.Tick && hasBidAsk
{
Volume = isCryptoCurrency ? Core.Globals.FromCryptocurrencyVolume(Convert.ToDouble(matches[4].Value.Trim(quotes).Trim(), cultureInfo)) : Convert.ToInt64(matches[4].Value.Trim(quotes).Trim(), cultureInfo);
}
HasValidDataPoint = true;
return;
}
catch (Exception exp)
{
Cbi.Log.Process(typeof(Custom.Resource), "ImportTypeNinjaTraderFormatError", new object[] { Instrument.FullName, NumberOfDataPoints, exp.Message, DataPointString }, Cbi.LogLevel.Error, Cbi.LogCategories.Default);
reader.Close();
reader = null;
throw new InvalidOperationException();
}
// keep going until finally 1 line of data was read
}
}