static void RequestTicks(QuoteHistoryClient client, DateTime timestamp, int count, string symbol, bool level2, bool verbose)
{
Stopwatch sw = new Stopwatch();
sw.Start();
bool backward = count >= 0;
count = Math.Abs(count);
List <Tick> result;
for (int i = 0; i < count / 1000; i++)
{
// Request for the bars history
result = client.QueryQuoteHistoryTicks(timestamp, backward ? 1000 : -1000, symbol, level2);
if (result.Count > 0)
{
timestamp = backward ? result[result.Count - 1].Id.Time : result[0].Id.Time;
}
if (verbose)
{
foreach (var tick in result)
{
Console.WriteLine(tick);
}
}
}
int remain = count % 1000;
if (remain > 0)
{
result = client.QueryQuoteHistoryTicks(timestamp, backward ? remain : -remain, symbol, level2);
if (verbose)
{
foreach (var tick in result)
{
Console.WriteLine(tick);
}
}
}
long elapsed = sw.ElapsedMilliseconds;
Console.WriteLine($"Elapsed = {elapsed}ms");
Console.WriteLine($"Throughput = {((double)count / (double)elapsed) * 1000.0:0.#####} ticks per second");
}
protected override List <TickValue> RequestHistory(DateTime timestamp, int count)
{
var result = new List <TickValue>(Math.Abs(count));
if (count == 0)
{
return(result);
}
try
{
var report = _historyClient.QueryQuoteHistoryTicks(timestamp, count, Symbol, _level2);
var ticks = report.Select(srcTick =>
{
var bids = srcTick.Level2.Bids.Select(bid => new TickTrader.BusinessObjects.Level2Value(new Price(bid.Price), (double)bid.Volume));
var asks = srcTick.Level2.Asks.Select(ask => new TickTrader.BusinessObjects.Level2Value(new Price(ask.Price), (double)ask.Volume));
var level2 = new TickTrader.BusinessObjects.Level2Collection(bids, asks);
var dstTick = new TickValue(new FeedTickId(srcTick.Id.Time, srcTick.Id.Index), level2);
return(dstTick);
});
result.AddRange(ticks);
}
catch (Exception) {}
return(result);
}
public static int TickRequest(DateTime timestamp, double count, string symbol, bool level2)
{
if (count < 0)
{
count *= -1;
if (count <= 1000)
{
_tickList = _client.QueryQuoteHistoryTicks(timestamp, -(int)count, symbol, level2);
}
else
{
_tickList = new List <Tick>();
while (count >= 0)
{
_tickList.AddRange(_client.QueryQuoteHistoryTicks(timestamp, -(int)(count > 1000 ? 1000 : count), symbol, level2));
count -= 1000;
timestamp = _tickList.Last().Id.Time.AddMilliseconds(1);
}
}
}
else
{
if (count <= 1000)
{
_tickList = _client.QueryQuoteHistoryTicks(timestamp, (int)count, symbol, level2);
}
else
{
_tickList = new List <Tick>();
while (count >= 0)
{
_tickList.InsertRange(0, _client.QueryQuoteHistoryTicks(timestamp, (int)(count > 1000 ? 1000 : count), symbol, level2));
count -= 1000;
timestamp = _tickList.First().Id.Time.AddMilliseconds(-1);
}
}
}
return(0);
}
