public void storeHistoryPriceToDataTable(O2GSession session, O2GResponse response, string sInstrument)
{
// string ss = string.Format("Request with RequestID={0} is completed:", response.RequestID);
// updateLogDelegate(ss);
DataTable tmpTable = InstrumentDT.Clone();
O2GResponseReaderFactory factory = session.getResponseReaderFactory();
if (factory != null)
{
O2GMarketDataSnapshotResponseReader reader = factory.createMarketDataSnapshotReader(response);
for (int ii = reader.Count - 1; ii >= 0; ii--)
{
if (reader.isBar)
{
InstrumentDT.Rows.Add(reader.getDate(ii), reader.getBidOpen(ii), reader.getBidHigh(ii), reader.getBidLow(ii), reader.getBidClose(ii),
reader.getAskOpen(ii), reader.getAskHigh(ii), reader.getAskLow(ii), reader.getAskClose(ii), reader.getVolume(ii));
tmpTable.Rows.Add(reader.getDate(ii), reader.getBidOpen(ii), reader.getBidHigh(ii), reader.getBidLow(ii), reader.getBidClose(ii),
reader.getAskOpen(ii), reader.getAskHigh(ii), reader.getAskLow(ii), reader.getAskClose(ii), reader.getVolume(ii));
}
else
{
InstrumentDT.Rows.Add(reader.getDate(ii), reader.getBidClose(ii), reader.getAskClose(ii));
tmpTable.Rows.Add(reader.getDate(ii), reader.getBidClose(ii), reader.getAskClose(ii));
}
}
SaveDataToFile(tmpTable, sInstrument);
}
}
void ReadSnapshot(string requestId, O2GResponse response)
{
TransportHistoryRequest request = null;
mHistoryRequests.TryGetValue(requestId, out request);
if (request != null)
{
O2GResponseReaderFactory factory = mSession.getResponseReaderFactory();
if (factory != null)
{
O2GMarketDataSnapshotResponseReader reader = factory.createMarketDataSnapshotReader(response);
ITransportHistoryReader consumer = request.Reader;
for (int i = 0; i < reader.Count; i++)
{
//mTimeConverter.convert(reader.getDate(i), O2GTimeConverterTimeZone.UTC, mTimezone)
DateTime dt = reader.getDate(i);
consumer.onHistoryRow(requestId, dt,
reader.getBidOpen(i), reader.getBidHigh(i), reader.getBidLow(i), reader.getBidClose(i),
reader.getAskOpen(i), reader.getAskHigh(i), reader.getAskLow(i), reader.getAskClose(i),
reader.getVolume(i), i);
}
//mTimeConverter.convert(reader.getLastBarTime(), O2GTimeConverterTimeZone.UTC, mTimezone)
DateTime dt1 = reader.getLastBarTime();
consumer.setLastBar(dt1, reader.getLastBarVolume());
mHistoryRequests.Remove(requestId);
}
}
}
/// <summary>
/// Listener: Price history request is completed
/// </summary>
/// <param name="request"></param>
/// <param name="response"></param>
public void onRequestCompleted(IPriceHistoryCommunicatorRequest request, IPriceHistoryCommunicatorResponse response)
{
// try to find the collection (must be created at the moment when the request is sent)
PeriodCollection coll = null;
mHistories.TryGetValue(request, out coll);
if (coll != null)
{
// create a reader for the price history data
O2GMarketDataSnapshotResponseReader reader = mPriceHistoryCommunicator.createResponseReader(response);
// and read all bars
for (int i = 0; i < reader.Count; i++)
{
coll.Add(reader.getDate(i), reader.getBidOpen(i), reader.getBidHigh(i), reader.getBidLow(i), reader.getBidClose(i),
reader.getAskOpen(i), reader.getAskHigh(i), reader.getAskLow(i), reader.getAskClose(i),
reader.getVolume(i));
}
// finally notify the collection that all bars are added, so it can
// add all ticks collected while the request was being executed
// and start update the data by forthcoming ticks (for alive collections)
coll.Finish(reader.getLastBarTime(), reader.getLastBarVolume());
}
// now we can remove collection from our cache and send it to the application
mHistories.Remove(request);
if (coll != null && OnCollectionLoaded != null)
{
OnCollectionLoaded(coll);
}
}
public async Task <IEnumerable <HistoricalData> > GetHistoricalDataAsync(string symbol)
{
return(await Task.Run(() =>
{
var factory = _session.getRequestFactory();
var timeframes = factory.Timeframes;
var timeframe = timeframes["m1"];
var request = factory.createMarketDataSnapshotRequestInstrument(symbol, timeframe, 300);
var timeFrom = DateTime.Now.AddDays(-1);
var timeTo = DateTime.Now;
factory.fillMarketDataSnapshotRequestTime(request, timeFrom, timeTo, false);
_session.sendRequest(request);
_syncHistoryEvent.WaitOne(30000);
var historyData = new List <HistoricalData>();
for (int i = 0; i < _marketDataSnapshotResponse.Count; i++)
{
historyData.Add(new HistoricalData
{
Date = _marketDataSnapshotResponse.getDate(i),
Open = GetPrice(_marketDataSnapshotResponse.getAskOpen(i), _marketDataSnapshotResponse.getBidOpen(i)),
High = GetPrice(_marketDataSnapshotResponse.getAskHigh(i), _marketDataSnapshotResponse.getBidHigh(i)),
Low = GetPrice(_marketDataSnapshotResponse.getAskLow(i), _marketDataSnapshotResponse.getBidLow(i)),
Close = GetPrice(_marketDataSnapshotResponse.getAskLow(i), _marketDataSnapshotResponse.getBidLow(i)),
Volume = _marketDataSnapshotResponse.getVolume(i)
});
}
return historyData;
}));
}
/// <summary>
/// Print history data from response and fills periods collection.
/// </summary>
/// <param name="communicator">The price history communicator.</param>
/// <param name="response">The response. Cannot be null.</param>
/// <param name="periods">The periods collection.</param>
public static void ProcessHistoricalPrices(IPriceHistoryCommunicator communicator, IPriceHistoryCommunicatorResponse response, ref PeriodCollection periods)
{
// use O2GMarketDataSnapshotResponseReader to extract price data from the response object
O2GMarketDataSnapshotResponseReader reader = communicator.createResponseReader(response);
for (int i = 0; i < reader.Count; i++)
{
if (reader.isBar)
{
periods.Add(reader.getDate(i), reader.getBidOpen(i), reader.getBidHigh(i), reader.getBidLow(i), reader.getBidClose(i),
reader.getAskOpen(i), reader.getAskHigh(i), reader.getAskLow(i), reader.getAskClose(i), reader.getVolume(i));
Console.WriteLine("DateTime={0}, BidOpen={1}, BidHigh={2}, BidLow={3}, BidClose={4}, AskOpen={5}, AskHigh={6}, AskLow={7}, AskClose={8}, Volume={9}",
reader.getDate(i), reader.getBidOpen(i), reader.getBidHigh(i), reader.getBidLow(i), reader.getBidClose(i),
reader.getAskOpen(i), reader.getAskHigh(i), reader.getAskLow(i), reader.getAskClose(i), reader.getVolume(i));
}
}
}
public void onRequestCompleted(String requestID, O2GResponse response)
{
O2GResponseReaderFactory responseFactory = mSession.getResponseReaderFactory();
if (responseFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = responseFactory.createMarketDataSnapshotReader(response);
for (int i = 0; i < reader.Count; i++)
{
System.Console.WriteLine("\n\tAskOpen =" + reader.getAskOpen(i) +
"\n\tAskHigh = " + reader.getAskHigh(i) +
"\n\tAskLow = " + reader.getAskLow(i) +
"\n\tAskClose =" + reader.getAskClose(i));
}
}
}
public static MarketDataEventArg ProcessMarketData(FXSession connection, O2GResponse response)
{
try
{
O2GResponseReaderFactory rrfactory = connection.Session.getResponseReaderFactory();
O2GMarketDataSnapshotResponseReader mReader = rrfactory.createMarketDataSnapshotReader(response);
var d = new SortedList <DateTime, Tick>(mReader.Count);
for (int i = 0; i < mReader.Count; i++)
{
// information like reader.getDate(i), reader.getBidOpen(i), reader.getBidHigh(i), reader.getBidLow(i), reader.getBidClose(i), reader.getVolume(i) is now available
//Console.WriteLine(i + ":" + mReader.getDate(i).ToString() + ":" + mReader.getBidOpen(i));
//create a quantum of ticks for the market data
var tick = new Tick(
mReader.getBid(i),
mReader.getBidOpen(i),
mReader.getBidHigh(i),
mReader.getBidLow(i),
mReader.getBidClose(i),
mReader.getAsk(i),
mReader.getAskOpen(i),
mReader.getAskHigh(i),
mReader.getAskLow(i),
mReader.getAskClose(i),
mReader.getVolume(i),
mReader.getDate(i));
d.Add(mReader.getDate(i), tick);
}
var q = new Quantum(d);
return(new MarketDataEventArg(q));
}
catch (Exception e)
{
Console.WriteLine(e.Message);
return(new MarketDataEventArg(new Quantum(new SortedList <DateTime, Tick>(300))));
}
}
private IEnumerable <BaseRow> GetGenericResponse(O2GMarketDataSnapshotResponseReader reader, string requestID)
{
var rows = new List <MarketDataRow>();
// Try to obtain the instrument from a saved list of market data requests.
var instrument = this.MarketDataInstrumentGetter(requestID);
for (var i = 0; i < reader.Count; i++)
{
var row = new MarketDataRow();
row.Instrument = instrument;
if (reader.isBar)
{
row.AskClose = reader.getAskClose(i);
row.AskHigh = reader.getAskHigh(i);
row.AskLow = reader.getAskLow(i);
row.AskOpen = reader.getAskOpen(i);
row.BidClose = reader.getBidClose(i);
row.BidHigh = reader.getBidHigh(i);
row.BidLow = reader.getBidLow(i);
row.BidOpen = reader.getBidOpen(i);
}
else
{
row.Ask = reader.getAsk(i);
row.Bid = reader.getBid(i);
}
row.IsBar = reader.isBar;
row.Time = reader.getDate(i);
row.Volume = reader.getVolume(i);
rows.Add(row);
}
return(rows);
}
/// <summary>
/// Print history data from response
/// </summary>
/// <param name="session"></param>
/// <param name="response"></param>
public static void PrintPrices(O2GSession session, O2GResponse response)
{
Console.WriteLine("Request with RequestID={0} is completed:", response.RequestID);
O2GResponseReaderFactory factory = session.getResponseReaderFactory();
if (factory != null)
{
O2GMarketDataSnapshotResponseReader reader = factory.createMarketDataSnapshotReader(response);
for (int ii = reader.Count - 1; ii >= 0; ii--)
{
if (reader.isBar)
{
Console.WriteLine("DateTime={0}, BidOpen={1}, BidHigh={2}, BidLow={3}, BidClose={4}, AskOpen={5}, AskHigh={6}, AskLow={7}, AskClose={8}, Volume={9}",
reader.getDate(ii), reader.getBidOpen(ii), reader.getBidHigh(ii), reader.getBidLow(ii), reader.getBidClose(ii),
reader.getAskOpen(ii), reader.getAskHigh(ii), reader.getAskLow(ii), reader.getAskClose(ii), reader.getVolume(ii));
}
else
{
Console.WriteLine("DateTime={0}, Bid={1}, Ask={2}", reader.getDate(ii), reader.getBidClose(ii), reader.getAskClose(ii));
}
}
}
}
private static void GetHistoryPrices(O2GSession session, string sInstrument, string sTimeframe, DateTime dtFrom, DateTime dtTo, ResponseListener responseListener)
{
try
{
StreamWriter m_data = new StreamWriter(OutData);
string m_string_to_write = "";
O2GRequestFactory factory = session.getRequestFactory();
O2GTimeframe timeframe = factory.Timeframes[sTimeframe];
if (timeframe == null)
{
throw new Exception(string.Format("Timeframe '{0}' is incorrect!", sTimeframe));
}
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(sInstrument, timeframe, 300);
DateTime dtFirst = dtTo;
do // cause there is limit for returned candles amount
{
factory.fillMarketDataSnapshotRequestTime(request, dtFrom, dtFirst, false);
responseListener.SetRequestID(request.RequestID);
session.sendRequest(request);
if (!responseListener.WaitEvents())
{
throw new Exception("Response waiting timeout expired");
}
// shift "to" bound to oldest datetime of returned data
O2GResponse response = responseListener.GetResponse();
if (response != null && response.Type == O2GResponseType.MarketDataSnapshot)
{
O2GResponseReaderFactory readerFactory = session.getResponseReaderFactory();
if (readerFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
if (DateTime.Compare(dtFirst, reader.getDate(0)) != 0)
{
dtFirst = reader.getDate(0); // earliest datetime of returned data
for (int nData = reader.Count - 1; nData > -1; nData--)
{
// reader.getDate(0);
m_string_to_write = reader.getDate(nData).ToString() + ";" +
reader.getAsk(nData).ToString() + ";" +
reader.getAskOpen(nData).ToString() + ";" +
reader.getAskClose(nData).ToString() + ";" +
reader.getAskLow(nData).ToString() + ";" +
reader.getAskHigh(nData).ToString() + ";" +
reader.getBid(nData).ToString() + ";" +
reader.getBidOpen(nData).ToString() + ";" +
reader.getBidClose(nData).ToString() + ";" +
reader.getBidLow(nData).ToString() + ";" +
reader.getBidHigh(nData).ToString() + ";" +
reader.getVolume(nData).ToString() + ";" +
reader.getLastBarTime().ToString() + ";" +
reader.getLastBarVolume().ToString();
m_data.WriteLine(m_string_to_write);
}
}
else
{
break;
}
}
else
{
Console.WriteLine("0 rows received");
break;
}
}
// PrintPrices(session, response);
}
else
{
break;
}
} while (dtFirst > dtFrom);
m_data.Close();
}
catch (Exception e)
{
int ErrorCounter = 0;
if (ErrorCounter > 5)
{
LogDirector.DoAction(4, e);
}
else
{
ErrorCounter++;
LogDirector.DoAction(2, e);
GetHistoryPrices(session, sInstrument, sTimeframe, dtFrom, dtTo, responseListener);
}
}
}
private void GetHistoryPrices(O2GSession O2GSession, string Instrument, string Interval, DateTime DtFrom, DateTime DtTo)
{
m_responseListener = new ResponseListener(O2GSession);
O2GSession.subscribeResponse(m_responseListener);
O2GRequestFactory factory = O2GSession.getRequestFactory();
O2GTimeframeCollection timeframecollection = factory.Timeframes;
O2GTimeframe Timeframe = timeframecollection[Interval];
if (Timeframe == null)
{
throw new Exception(string.Format("Timeframe '{0}' is incorrect!", Timeframe));
}
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(Instrument, Timeframe, 300);
DateTime DtFirst = DtTo;
DateTime DatePrec = System.DateTime.MinValue;
//TimeSpan PricesTimeSpan = System.TimeSpan.MinValue;
//if (Interval == "m5")
//{
// PricesTimeSpan = new TimeSpan(0, 0, 5, 0, 0);
//}
do // cause there is limit for returned candles amount
{
factory.fillMarketDataSnapshotRequestTime(request, DtFrom, DtFirst, false);
m_responseListener.SetRequestID(request.RequestID);
O2GSession.sendRequest(request);
if (!m_responseListener.WaitEvents())
{
throw new Exception("Response waiting timeout expired");
}
// shift "to" bound to oldest datetime of returned data
O2GResponse response = m_responseListener.GetResponse();
if (response != null && response.Type == O2GResponseType.MarketDataSnapshot)
{
O2GResponseReaderFactory readerFactory = O2GSession.getResponseReaderFactory();
if (readerFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
if (DateTime.Compare(DtFirst, reader.getDate(0)) != 0)
{
DtFirst = reader.getDate(0); // earliest datetime of returned data
for (int nData = reader.Count - 1; nData > -1; nData--)
{
if (reader.getDate(nData) != DatePrec)
{
m_datetime.Add(reader.getDate(nData));
m_ask.Add(reader.getAsk(nData));
m_askopen.Add(reader.getAskOpen(nData));
m_askclose.Add(reader.getAskClose(nData));
m_askhigh.Add(reader.getAskHigh(nData));
m_asklow.Add(reader.getAskLow(nData));
m_bid.Add(reader.getBid(nData));
m_bidopen.Add(reader.getBidOpen(nData));
m_bidclose.Add(reader.getBidClose(nData));
m_bidhigh.Add(reader.getBidHigh(nData));
m_bidlow.Add(reader.getBidLow(nData));
}
//else
//{
// break;
//}
DatePrec = reader.getDate(nData);
}
}
else
{
break;
}
}
else
{
Console.WriteLine("0 rows received");
break;
}
}
// PrintPrices(session, response);
}
else
{
break;
}
} while (DtFirst > DtFrom);
m_datetime.Reverse();
m_ask.Reverse();
m_askopen.Reverse();
m_askclose.Reverse();
m_askhigh.Reverse();
m_asklow.Reverse();
m_bid.Reverse();
m_bidopen.Reverse();
m_bidclose.Reverse();
m_bidhigh.Reverse();
m_bidlow.Reverse();
}
public void processData(O2GResponse response, HddMainFormBasic hdd, DataSetup dataSetup)
{
bool outOfRangeDateFound = false;
DateTime tempEndDate = new DateTime();
try
{
//Exit thread if the value is false
if (!keepThreadRunning)
{
return;
}
var query1 = HddMainFormBasic.threadDictionary.Keys.FirstOrDefault(t => t == response.RequestID);
if (query1 != null)
{
HddMainFormBasic.threadDictionary[query1].CallBack = true;
}
O2GResponseReaderFactory readerfactory = tss.Session.getResponseReaderFactory();
O2GMarketDataSnapshotResponseReader reader = readerfactory.createMarketDataSnapshotReader(response);
DateTime from = new DateTime();
DateTime to = new DateTime();
if (reader.Count > 0)
{
from = reader.getDate(0);
to = reader.getDate(reader.Count - 1);
}
Console.WriteLine("Market data received from " + from.ToString("MM/dd/yyyy HH:mm:ss") + " to " + to.ToString("MM/dd/yyyy HH:mm:ss"));
//insert data into price list
for (int j = reader.Count - 1; j > -1; j--)
{
prices.Add(new Data(reader.getAskOpen(j), reader.getAskHigh(j), reader.getAskLow(j), reader.getAskClose(j), reader.getBidOpen(j), reader.getBidHigh(j), reader.getBidLow(j), reader.getBidClose(j), reader.getDate(j), reader.getVolume(j)));
}
//if less rates are obtained then it means we reached the end.
//Nothing came back for the timeframe specified means, nothing exist in the remaining timeframe.
if (reader.Count < 300 || reader.Count == 0)
{
outOfRangeDateFound = true;
tempEndDate = endDate;
}
if (!outOfRangeDateFound)
{
removeLastDate(prices[prices.Count - 1].StartTime, prices);
tempEndDate = prices[prices.Count - 1].StartTime;
}
if (prices.Count > 3000)
{
DataBaseHandler.getInstance().addEntries(prices);
prices.Clear();
if (timeInterval.Equals("t1"))
{
Thread.Sleep(2000);
}
}
//Get total ticks between end date and start date
long totalTicks = tempEndDate.Ticks - dataSetup.StartDate.Ticks;
currentStep = 0;
currentStep = ((double)(totalTicks * maxIterations)) / initialTotalTicks;
dataSetup.currentStep = currentStep;
tick = reader.Count;
Time = sw.Elapsed;
#region repeat process OR quit
if (outOfRangeDateFound == false)
{
try
{
//Call HDD function to calculate more data
DataSetup ds = new DataSetup();
ds = dataSetup;
ds.EndDate = tempEndDate;
hdd.sendRequest(startDate, tempEndDate, ds);
}
catch (Exception e)
{
MessageBox.Show("Error: " + e.Message);
}
}
else
{
Console.WriteLine("Done");
#region Final flushing to database
try
{
if (prices.Count > 0)
{
//Finally write to database
DataBaseHandler.getInstance().addEntries(prices);
}
}
catch (Exception e)
{
MessageBox.Show(e.Message, "Error in writing data", MessageBoxButtons.OK, MessageBoxIcon.Error);
logger.Debug(e.Message);
logger.Debug(e.StackTrace);
}
finally
{
prices.Clear();
}
#endregion
#region Writing to a File
long rows = 0;
rows = DataBaseHandler.getInstance().getNumberOfRows();
//Calculate the levels first before requesting data.
long templevel = 0;
List <long> levels = new List <long>();
levels.Add(0);
while (true)
{
if (templevel + 5000 < rows)
{
templevel += 5000;
levels.Add(templevel);
}
else
{
levels.Add(rows);
break;
}
}
logger.Debug("Levels of data to be requested from database: " + levels.ToString());
dataSetup.isAlive = false;
#endregion
}
#endregion
}
catch (Exception e)
{
MessageBox.Show(e.Message + "\n" + e.Source, "Error");
}
}
