public ContinuousFuturesBroker(IDataClient client, bool connectImmediately = true, IInstrumentSource instrumentRepo = null)
{
if (client == null)
{
throw new ArgumentNullException(nameof(client));
}
_client = client;
_instrumentRepo = instrumentRepo ?? new InstrumentRepository(new MyDBContext());
_client.HistoricalDataReceived += _client_HistoricalDataReceived;
_client.Error += _client_Error;
if (connectImmediately)
{
_client.Connect();
}
_data = new Dictionary <KeyValuePair <int, BarSize>, List <OHLCBar> >();
_contracts = new Dictionary <int, List <Instrument> >();
_requestCounts = new Dictionary <int, int>();
_requests = new Dictionary <int, HistoricalDataRequest>();
_histReqIDMap = new Dictionary <int, int>();
_frontContractRequests = new BlockingCollection <FrontContractRequest>();
_requestTypes = new Dictionary <int, bool>();
_frontContractRequestMap = new Dictionary <int, FrontContractRequest>();
_dataUsesPending = new Dictionary <KeyValuePair <int, BarSize>, int>();
_reconnectTimer = new Timer(1000);
_reconnectTimer.Elapsed += _reconnectTimer_Elapsed;
_reconnectTimer.Start();
Name = "ContinuousFutures";
}
public EarningsUpdateJob(IEarningsAnnouncementBroker broker, IEmailService emailService, UpdateJobSettings settings, IInstrumentSource instrumentManager)
{
_broker = broker;
_emailService = emailService;
_settings = settings;
_instrumentManager = instrumentManager;
}
public DividendUpdateJob(IDividendsBroker broker, IEmailService emailService, UpdateJobSettings settings, IInstrumentSource instrumentManager)
{
_broker = broker;
_emailService = emailService;
_settings = settings;
_instrumentManager = instrumentManager;
}
public JobFactory(IHistoricalDataBroker hdb,
string host,
int port,
string username,
string password,
string sender,
string email,
UpdateJobSettings updateJobSettings,
QDMS.IDataStorage localStorage,
IInstrumentSource instrumentSource,
IEconomicReleaseBroker erb) : base()
{
_hdb = hdb;
_host = host;
_port = port;
_username = username;
_password = password;
_sender = sender;
_email = email;
_updateJobSettings = updateJobSettings;
_localStorage = localStorage;
_instrumentSource = instrumentSource;
_erb = erb;
}
public InstrumentsServer(int port, IInstrumentSource instrumentManager)
{
if (instrumentManager == null)
{
throw new ArgumentNullException(nameof(instrumentManager), $"{nameof(instrumentManager)} cannot be null");
}
_connectionString = $"tcp://*:{port}";
_instrumentManager = instrumentManager;
}
public InstrumentsServer(int port, IInstrumentSource instrumentManager)
{
if (instrumentManager == null)
{
throw new ArgumentNullException(nameof(instrumentManager), $"{nameof(instrumentManager)} cannot be null");
}
_connectionString = $"tcp://*:{port}";
_instrumentManager = instrumentManager;
}
public DataUpdateJob(IHistoricalDataBroker broker, IEmailService emailService, UpdateJobSettings settings = null, IDataStorage localStorage = null, IInstrumentSource instrumentManager = null)
{
_broker = broker;
_emailService = emailService;
_errors = new List<string>();
_pendingRequests = new List<HistoricalDataRequest>();
_settings = settings ?? GetSettings();
_localStorage = localStorage ?? DataStorageFactory.Get();
_instrumentManager = instrumentManager ?? new InstrumentManager();
}
public DataUpdateJob(IHistoricalDataBroker broker, IEmailService emailService, UpdateJobSettings settings = null, IDataStorage localStorage = null, IInstrumentSource instrumentManager = null)
{
_broker = broker;
_emailService = emailService;
_errors = new List <string>();
_pendingRequests = new List <HistoricalDataRequest>();
_settings = settings ?? GetSettings();
_localStorage = localStorage ?? DataStorageFactory.Get();
_instrumentManager = instrumentManager ?? new InstrumentManager();
}
public DataUpdateJob(IHistoricalDataBroker broker, IEmailService emailService, UpdateJobSettings settings, IDataStorage localStorage, IInstrumentSource instrumentManager)
{
if (settings == null) throw new ArgumentNullException("settings");
if (localStorage == null) throw new ArgumentNullException("localStorage");
if (instrumentManager == null) throw new ArgumentNullException("instrumentManager");
_broker = broker;
_emailService = emailService;
_errors = new List<string>();
_pendingRequests = new List<HistoricalDataRequest>();
_settings = settings;
_localStorage = localStorage;
_instrumentManager = instrumentManager;
}
public ContinuousFuturesBroker(IDataClient client = null, IInstrumentSource instrumentMgr = null, string clientName = "")
{
if (client == null)
{
if (string.IsNullOrEmpty(clientName))
{
clientName = "CONTFUTCLIENT";
}
_client = new QDMSClient.QDMSClient(
clientName,
"127.0.0.1",
Properties.Settings.Default.rtDBReqPort,
Properties.Settings.Default.rtDBPubPort,
Properties.Settings.Default.instrumentServerPort,
Properties.Settings.Default.hDBPort);
}
else
{
_client = client;
}
_instrumentMgr = instrumentMgr ?? new InstrumentManager();
_client.HistoricalDataReceived += _client_HistoricalDataReceived;
_client.Error += _client_Error;
_client.Connect();
_data = new Dictionary <KeyValuePair <int, BarSize>, List <OHLCBar> >();
_contracts = new Dictionary <int, List <Instrument> >();
_requestCounts = new Dictionary <int, int>();
_requests = new Dictionary <int, HistoricalDataRequest>();
_histReqIDMap = new Dictionary <int, int>();
_frontContractRequests = new BlockingCollection <FrontContractRequest>();
_requestTypes = new Dictionary <int, bool>();
_frontContractRequestMap = new Dictionary <int, FrontContractRequest>();
_dataUsesPending = new Dictionary <KeyValuePair <int, BarSize>, int>();
_reconnectTimer = new Timer(1000);
_reconnectTimer.Elapsed += _reconnectTimer_Elapsed;
_reconnectTimer.Start();
Name = "ContinuousFutures";
}
public DataUpdateJobFactory(HistoricalDataBroker broker,
string host,
int port,
string username,
string password,
string sender,
string email,
UpdateJobSettings updateJobSettings,
QDMS.IDataStorage localStorage,
IInstrumentSource instrumentSource) : base()
{
_hdb = broker;
_host = host;
_port = port;
_username = username;
_password = password;
_sender = sender;
_email = email;
_updateJobSettings = updateJobSettings;
_localStorage = localStorage;
_instrumentSource = instrumentSource;
}
/// <summary>
/// </summary>
/// <param name="broker"></param>
/// <param name="emailService"></param>
/// <param name="settings"></param>
/// <param name="localStorage"></param>
/// <param name="instrumentManager"></param>
/// <exception cref="ArgumentNullException"><paramref name="instrumentManager"/> is <see langword="null" />.</exception>
public DataUpdateJob(IHistoricalDataBroker broker, IEmailService emailService, UpdateJobSettings settings, IDataStorage localStorage, IInstrumentSource instrumentManager)
{
if (settings == null)
{
throw new ArgumentNullException(nameof(settings));
}
if (localStorage == null)
{
throw new ArgumentNullException(nameof(localStorage));
}
if (instrumentManager == null)
{
throw new ArgumentNullException(nameof(instrumentManager));
}
_broker = broker;
_emailService = emailService;
_errors = new List <string>();
_pendingRequests = new List <HistoricalDataRequest>();
_settings = settings;
_localStorage = localStorage;
_instrumentManager = instrumentManager;
}
public InstrumentModule(IInstrumentSource instrumentRepo, IDataStorage dataStorage) : base("/instruments")
{
this.RequiresAuthentication();
Get["/", true] = async(_, token) => await instrumentRepo.FindInstruments().ConfigureAwait(false);
Get["/{Id:int}", true] = async(parameters, token) =>
{
//Instrument by ID
var id = (int)parameters.Id;
var instrument = (await instrumentRepo.FindInstruments(x => x.ID == id).ConfigureAwait(false)).FirstOrDefault();
if (instrument == null)
{
return(HttpStatusCode.NotFound);
}
return(instrument);
};
Get["/search", true] = async(_, token) =>
{
//Search using an instrument object
var inst = this.Bind <Instrument>();
if (inst == null)
{
return(HttpStatusCode.BadRequest);
}
return(await instrumentRepo.FindInstruments(inst).ConfigureAwait(false));
};
Get["/predsearch", true] = async(parameters, token) =>
{
//Search using a predicate
var predReq = this.Bind <PredicateSearchRequest>();
if (predReq == null)
{
return(HttpStatusCode.BadRequest);
}
//Deserialize LINQ expression and pass it to the instrument manager
Expression <Func <Instrument, bool> > expression;
try
{
expression = predReq.Filter;
}
catch (Exception ex)
{
return(Negotiate
.WithModel(new ValidationErrorResponse("Malformed predicate: " + ex.Message))
.WithStatusCode(HttpStatusCode.BadRequest));
}
var instruments = await instrumentRepo.FindInstruments(expression).ConfigureAwait(false);
return(instruments);
};
Post["/", true] = async(parameters, token) =>
{
Instrument instrument = this.BindAndValidate <Instrument>();
if (ModelValidationResult.IsValid == false)
{
return(this.ValidationFailure());
}
var addedInstrument = await instrumentRepo.AddInstrument(instrument);
return(addedInstrument);
};
Put["/", true] = async(parameters, token) =>
{
var instrument = this.BindAndValidate <Instrument>();
if (ModelValidationResult.IsValid == false)
{
return(this.ValidationFailure());
}
//find it
Instrument instrumentFromDB = (await instrumentRepo.FindInstruments(x => x.ID == instrument.ID).ConfigureAwait(false)).FirstOrDefault();
if (instrumentFromDB == null)
{
return(HttpStatusCode.NotFound);
}
//update it
await instrumentRepo.UpdateInstrument(instrumentFromDB, instrument).ConfigureAwait(false);
return(instrumentFromDB);
};
Delete["/{Id:int}", true] = async(parameters, token) =>
{
int id = parameters.Id;
var instrument = (await instrumentRepo.FindInstruments(x => x.ID == id).ConfigureAwait(false)).FirstOrDefault();
if (instrument == null)
{
return(HttpStatusCode.NotFound);
}
await instrumentRepo.RemoveInstrument(instrument, dataStorage).ConfigureAwait(false);
return(instrument);
};
}
public InstrumentsServer(int port, IInstrumentSource instrumentManager = null)
{
_socketPort = port;
_instrumentManager = instrumentManager ?? new InstrumentManager();
}
public InstrumentsServer(int port, IInstrumentSource instrumentManager = null)
{
_socketPort = port;
_instrumentManager = instrumentManager ?? new InstrumentManager();
}
