private void ProcessData(string folder, IQFeedRequest input, StreamReader streamReader)
{
var index = 0;
var accumulationIndex = 0;
var data = new List <string>();
var line = streamReader.ReadLine();
if (!CheckContent(line))
{
return;
}
data.Add(line);
// _logger.Info("1");
try
{
var streamWriter = GetWriterToFile(folder, input.CurrentSymbol);
while (!streamReader.EndOfStream)
{
line = streamReader.ReadLine();
if (!CheckEndMessage(line))
{
data.Add(line);
index++;
if (index == 100000)
{
accumulationIndex = accumulationIndex + index;
_saver.SaveData(input, ref streamWriter, data);
_logger.Info(string.Format("{0} entries of data processed", index));
data.Clear();
index = 0;
}
}
else
{
break;
}
}
_saver.SaveData(input, ref streamWriter, data);
data.Clear();
streamWriter.Close();
// _logger.Info("2");
}
catch (UnauthorizedAccessException ex)
{
}
}
private IRequest LoadRequestParameters()
{
IRequest request = new IQFeedRequest();
request.Symbols = GetTickersList();
request.CurrentSymbol = String.Empty;
if (rbDays.Checked)
{
request.TimeFrameType = "Days";
}
if (rbInterval.Checked)
{
request.TimeFrameType = "Interval";
}
request.TimeFrameName = cbTimeframe.SelectedItem.ToString();
request.BeginDate = dtpBeginDate.Value.ToString("yyyyMMdd");
request.EndDate = dtpEndDate.Value.ToString("yyyyMMdd");
request.BeginTime = dtpBeginTime.Value.ToString("HHmmss");
request.EndTime = dtpEndTime.Value.ToString("HHmmss");
request.Days = tbAmountOfDays.Text;
int interval;
Int32.TryParse(cbTimeframeIntraday.SelectedItem.ToString(), out interval);
request.Interval = interval;
request.BeginFilterTime = "";
request.EndFilterTime = "";
request.DataDirection = "1";
request.DatapointsPerSend = "";
request.MaxDatapoints = "";
request.RequestID = "";
return(request);
}
public void SaveData(IQFeedRequest request, ref StreamWriter writer, IList <string> data)
{
if (data.Count == 0 || data[0].Substring(0, 1) == "!")
{
return;
}
if (string.IsNullOrEmpty(_parameters.TimeFormat))
{
throw new ArgumentNullException("timeFormat");
}
DateTimeFormatInfo DateFormat = GetDateFormat();
if (string.IsNullOrEmpty(_parameters.DateFormat))
{
throw new ArgumentNullException("dateFormat");
}
DateTimeFormatInfo TimeFormat = GetTimeFormat();
// using (writer)
//{
foreach (var d in data)
{
var line = d.Split(',');
IQFeedResponse response;
string dateTime;
switch (request.TimeFrame)
{
//"HTD"
//Request ID. Text.
//Time Stamp. Text. Example: 2008-09-01 16:00:01
//Last. Decimal. Example: 146.2587
//Last Size. Integer. Example: 100
//Total Volume. Integer. Example: 1285001
//Bid. Decimal. Example: 146.2400
//Ask. Decimal. Example: 146.2600
//TickID. Integer. Example: 6813524
//Bid Size. Integer. Example: 100
//Ask Size. Integer. Example: 100
//Basis For Last. Character. Current Possible values are 'C' (normal trade) or 'E' (extended trade).
case "Tick Days":
response = _responseHelper.ParseTickMarketData(line);
dateTime = _responseHelper.ParseDateTime(line,
_parameters.DateTimeDelimeter,
DateFormat,
TimeFormat);
writer.WriteLine(dateTime + _dlm +
response.Last + _dlm +
response.LastSize + _dlm +
response.Bid + _dlm +
response.Ask + _dlm +
response.BidSize + _dlm +
response.AskSize + _dlm +
response.TickId + _dlm +
response.TradeType + _dlm);
break;
//"HTT"
//Request ID. Text.
//Time Stamp. Text. Example: 2008-09-01 16:00:01
//Last. Decimal. Example: 146.2587
//Last Size. Integer. Example: 100
//Total Volume. Integer. Example: 1285001
//Bid. Decimal. Example: 146.2400
//Ask. Decimal. Example: 146.2600
//TickID. Integer. Example: 6813524
//Bid Size. Integer. Example: 100
//Ask Size. Integer. Example: 100
//Basis For Last. Character. Current Possible values are 'C' (normal trade) or 'E' (extended trade).
case "Tick Interval":
response = _responseHelper.ParseTickMarketData(line);
dateTime = _responseHelper.ParseDateTime(line, _parameters.DateTimeDelimeter, DateFormat, TimeFormat);
writer.WriteLine(dateTime + _dlm +
response.Last + _dlm +
response.LastSize + _dlm +
response.Bid + _dlm +
response.Ask + _dlm +
response.BidSize + _dlm +
response.AskSize + _dlm +
response.TickId + _dlm +
response.TradeType + _dlm);
break;
//"HID"
//Request ID. Text.
//Time Stamp. CCYY-MM-DD HH:MM:SS Example: 2008-09-01 16:00:01
//High. Decimal. Example: 146.2587
//Low. Decimal. Example: 145.2587
//Open. Decimal. Example: 146.2587
//Close. Decimal. Example: 145.2587
//Total Volume. Integer. Example: 1285001
//Period Volume. Integer. Example: 1285
case "Intraday Days":
response = _responseHelper.ParseMarketData(line);
dateTime = _responseHelper.ParseDateTime(line, _parameters.DateTimeDelimeter,
DateFormat,
TimeFormat);
writer.WriteLine(dateTime + _dlm +
response.Open + _dlm +
response.High + _dlm +
response.Low + _dlm +
response.Close + _dlm +
response.Volume + _dlm);
break;
//"HIT"
//Request ID. Text.
//Time Stamp. CCYY-MM-DD HH:MM:SS Example: 2008-09-01 16:00:01
//High. Decimal. Example: 146.2587
//Low. Decimal. Example: 145.2587
//Open. Decimal. Example: 146.2587
//Close. Decimal. Example: 145.2587
//Total Volume. Integer. Example: 1285001
//Period Volume. Integer. Example: 1285
case "Intraday Interval":
response = _responseHelper.ParseMarketData(line);
dateTime = _responseHelper.ParseDateTime(line, _parameters.DateTimeDelimeter,
DateFormat,
TimeFormat);
writer.WriteLine(dateTime + _dlm +
response.Open + _dlm +
response.High + _dlm +
response.Low + _dlm +
response.Close + _dlm +
response.Volume + _dlm);
break;
//"HDX"
//Request ID. Text.
//Time Stamp. CCYY-MM-DD HH:MM:SS. Example: 2008-09-01 16:00:01
//High. Decimal. Example: 146.2587
//Low. Decimal. Example: 145.2587
//Open. Decimal. Example: 146.2587
//Close. Decimal. Example: 145.2587
//Period Volume. Integer. Example: 1285001
//Open Interest. Integer. Example: 128
case "Daily Days":
response = _responseHelper.ParseMarketData(line);
dateTime = _responseHelper.ParseDateTime(line, _parameters.DateTimeDelimeter,
DateFormat,
TimeFormat);
writer.WriteLine(dateTime + _dlm +
response.Open + _dlm +
response.High + _dlm +
response.Low + _dlm +
response.Close + _dlm +
response.Volume + _dlm +
response.OpenInterest + _dlm);
break;
//"HDT"
//Request ID. Text.
//Time Stamp. CCYY-MM-DD HH:MM:SS. Example: 2008-09-01 16:00:01
//High. Decimal. Example: 146.2587
//Low. Decimal. Example: 145.2587
//Open. Decimal. Example: 146.2587
//Close. Decimal. Example: 145.2587
//Period Volume. Integer. Example: 1285001
//Open Interest. Integer. Example: 128
case "Daily Interval":
response = _responseHelper.ParseMarketData(line);
dateTime = _responseHelper.ParseDateTime(line, _parameters.DateTimeDelimeter,
DateFormat,
TimeFormat);
writer.WriteLine(dateTime + _dlm +
response.Open + _dlm +
response.High + _dlm +
response.Low + _dlm +
response.Close + _dlm +
response.Volume + _dlm +
response.OpenInterest + _dlm);
break;
//"HWX"
//Request ID. Text.
//Time Stamp. CCYY-MM-DD HH:MM:SS. Example: 2008-09-01 16:00:01
//High. Decimal. Example: 146.2587
//Low. Decimal. Example: 145.2587
//Open. Decimal. Example: 146.2587
//Close. Decimal. Example: 145.2587
//Period Volume. Integer. Example: 1285001
//Open Interest. Integer. Example: 128
case "Weekly Days":
response = _responseHelper.ParseMarketData(line);
dateTime = _responseHelper.ParseDateTime(line, _parameters.DateTimeDelimeter,
DateFormat,
TimeFormat);
writer.WriteLine(dateTime + _dlm +
response.Open + _dlm +
response.High + _dlm +
response.Low + _dlm +
response.Close + _dlm +
response.Volume + _dlm +
response.OpenInterest + _dlm);
break;
//"HMX"
//Request ID. Text.
//Time Stamp. CCYY-MM-DD HH:MM:SS. Example: 2008-09-01 16:00:01
//High. Decimal. Example: 146.2587
//Low. Decimal. Example: 145.2587
//Open. Decimal. Example: 146.2587
//Close. Decimal. Example: 145.2587
//Period Volume. Integer. Example: 1285001
//Open Interest. Integer. Example: 128
case "Monthly Days":
response = _responseHelper.ParseMarketData(line);
dateTime = _responseHelper.ParseDateTime(line, _parameters.DateTimeDelimeter,
DateFormat,
TimeFormat);
writer.WriteLine(dateTime + _dlm +
response.Open + _dlm +
response.High + _dlm +
response.Low + _dlm +
response.Close + _dlm +
response.Volume + _dlm +
response.OpenInterest + _dlm);
break;
}
}
//}
writer.Flush();
}
public void GetData(string request, string folder, Parameters programParameters, IQFeedRequest input, NetworkStream network)
{
_saver.SetProgramParameters(programParameters);
SendRequest("S,SET PROTOCOL,5.0", network);
// SendRequest("SBF,s,MSFT,t,2 9", network);
SendRequest(request, network);
if (input == null)
{
throw new ArgumentNullException("input");
}
if (string.IsNullOrEmpty(request))
{
throw new ArgumentNullException("request");
}
if (string.IsNullOrEmpty(folder))
{
throw new ArgumentNullException("folder");
}
using (StreamReader lstreamReader = new StreamReader(network))
{
var line = lstreamReader.ReadLine();
Check50Protocol(line);
ProcessData(folder, input, lstreamReader);
lstreamReader.Close();
}
}
