public static List<OHLCBar> ParseJson(JObject data, HistoricalDataRequest request)
{
var bars = new List<OHLCBar>();
var barTimeSpan = request.Frequency.ToTimeSpan();
Dictionary<int, InstrumentSession> sessionStartTimesByDay =
request.Instrument.SessionStartTimesByDay();
var exchangeTz = TimeZoneInfo.FindSystemTimeZoneById(request.Instrument.Exchange.Timezone);
JToken jsonBars = data["results"];
foreach (JToken jsonBar in jsonBars)
{
var bar = new OHLCBar
{
Open = decimal.Parse(jsonBar["open"].ToString()),
High = decimal.Parse(jsonBar["high"].ToString()),
Low = decimal.Parse(jsonBar["low"].ToString()),
Close = decimal.Parse(jsonBar["close"].ToString())
};
long volume;
if (long.TryParse(jsonBar.Value<string>("volume"), out volume))
{
bar.Volume = volume;
}
if (request.Frequency < BarSize.OneDay)
{
//The timezone in which the data is delivered is NOT the exchange TZ
//it seems to change depending on the whim of the api and/or location of user?!?!
//anyway, we make sure the time is in the exchange's timezone
bar.DTOpen = TimeZoneInfo.ConvertTime(DateTimeOffset.Parse(jsonBar["timestamp"].ToString()), exchangeTz).DateTime;
bar.DT = bar.DTOpen.Value + barTimeSpan;
//For intraday bars, the time is the bar's OPENING time
//But it fails to "fit" properly...if you ask for hourly bars
//it'll start at 9AM instead of 9:30AM open. So we use the instrument sessions to correct this.
//closing time stays the same
int dayOfWeek = (int)bar.DTOpen.Value.DayOfWeek -1;
if (dayOfWeek < 0) dayOfWeek = 6; //small fix due to DayOfWeek vs DayOfTheWeek different format
if (sessionStartTimesByDay.ContainsKey(dayOfWeek) &&
bar.DTOpen.Value.TimeOfDay < sessionStartTimesByDay[dayOfWeek].OpeningTime)
{
bar.DTOpen = bar.DTOpen.Value.Date.Add(sessionStartTimesByDay[dayOfWeek].OpeningTime);
}
}
else
{
//daily bars or lower frequencies - here the time is provided as "2015-08-17T00:00:00-04:00",
//i.e. just the day, not the actual closing time. We only need the date portion, so we parse the tradingDay field.
bar.DT = DateTime.Parse(jsonBar["tradingDay"].ToString());
}
string openInterest = jsonBar.Value<string>("openInterest");
if (!string.IsNullOrEmpty(openInterest))
{
bar.OpenInterest = int.Parse(openInterest);
}
bars.Add(bar);
}
return bars;
}
/// <summary>
/// Create a new <see cref="OHLCBarItem"/> using the specified properties.
/// </summary>
/// <param name="label">The _label that will appear in the legend.</param>
/// <param name="points">An <see cref="IPointList"/> of double precision values that define
/// the Date, Close, Open, High, and Low values for the curve. Note that this
/// <see cref="IPointList" /> should contain <see cref="StockPt" /> items rather
/// than <see cref="PointPair" /> items.
/// </param>
/// <param name="color">
/// The <see cref="System.Drawing.Color" /> to use for drawing the candlesticks.</param>
public OHLCBarItem( string label, IPointList points, Color color )
: base(label, points)
{
_bar = new OHLCBar( color );
}
/// <summary>
/// Constructor for deserializing objects
/// </summary>
/// <param name="info">A <see cref="SerializationInfo"/> instance that defines the serialized data
/// </param>
/// <param name="context">A <see cref="StreamingContext"/> instance that contains the serialized data
/// </param>
protected OHLCBarItem( SerializationInfo info, StreamingContext context )
: base(info, context)
{
// The schema value is just a file version parameter. You can use it to make future versions
// backwards compatible as new member variables are added to classes
int sch = info.GetInt32( "schema2" );
_bar = (OHLCBar)info.GetValue( "stick", typeof( OHLCBar ) );
}
/// <summary>
/// Create a new <see cref="OHLCBarItem"/>, specifying only the legend label.
/// </summary>
/// <param name="label">The label that will appear in the legend.</param>
public OHLCBarItem( string label )
: base(label)
{
_bar = new OHLCBar();
}
/// <summary>
/// The Copy Constructor
/// </summary>
/// <param name="rhs">The <see cref="OHLCBarItem"/> object from which to copy</param>
public OHLCBarItem( OHLCBarItem rhs )
: base(rhs)
{
_bar = rhs._bar.Clone();
}
