void processhistory(int lHandle, BarRequest br)
{
int numbars = esig.get_GetNumBars(lHandle);
if (numbars == 0)
{
verb("no bars available for reqhandle: " + lHandle);
return;
}
numbars *= -1;
for (int i = numbars; i <= 0; i++)
{
try
{
BarData bd = esig.get_GetBar(lHandle, i);
if (VerboseDebugging)
{
verb(br.Symbol + " " + bd.dtTime.ToString() + " " + bd.dOpen + " " + bd.dHigh + " " + bd.dLow + " " + bd.dClose + " " + bd.dVolume);
}
Bar b = new BarImpl((decimal)bd.dOpen, (decimal)bd.dHigh, (decimal)bd.dLow, (decimal)bd.dClose, (long)bd.dVolume, Util.ToTLDate(bd.dtTime), Util.ToTLTime(bd.dtTime), br.Symbol, br.Interval);
string msg = BarImpl.Serialize(b);
if (!b.isValid && !AllowSendInvalidBars)
{
debug("Not sending invalid bar: " + b.ToString() + " raw: " + msg);
continue;
}
tl.TLSend(msg, MessageTypes.BARRESPONSE, br.Client);
}
catch (Exception ex)
{
verb("error obtaining bar: " + i + " from: " + lHandle);
verb(ex.Message + ex.StackTrace);
}
}
if (ReleaseBarHistoryAfteRequest)
{
try
{
esig.ReleaseHistory(lHandle);
_barhandle2barrequest.Remove(lHandle);
}
catch { }
}
}
private void m_Session_OnHistMessage(object sender, BWHistResponse histMsg)
{
if (histMsg.Error.Length > 0)
{
debug("ERROR: " + histMsg.Error);
}
else
{
v(histMsg.Symbol + " received bar history data containing " + histMsg.bars.Length + " bars.");
if (histMsg.bars != null && histMsg.bars.Length > 0)
{
string sym = histMsg.Symbol;
foreach (BWBar bar in histMsg.bars)
{
int tlDate = TradeLink.Common.Util.ToTLDate(bar.time);
int tlTime = TradeLink.Common.Util.ToTLTime(bar.time);
Bar tlBar = new BarImpl((decimal)bar.open, (decimal)bar.high, (decimal)bar.low, (decimal)bar.close, (int)bar.volume, tlDate, tlTime, sym, (int)histMsg.Interval);
for (int i = 0; i < tl.NumClients; i++)
{
tl.TLSend(BarImpl.Serialize(tlBar), MessageTypes.BARRESPONSE, i.ToString());
}
}
}
//else if (histMsg.ticks != null && histMsg.ticks.Length > 0)
//{
// foreach (BWTickData tick in histMsg.ticks)
// {
// Tick tlTick = new TickImpl(tick.symbol);
// tlTick.ask = (decimal)tick.askprice;
// tlTick.AskSize = (int)tick.asksize;
// tlTick.bid = (decimal)tick.bidprice;
// tlTick.BidSize = (int)tick.bidsize;
// tlTick.trade = (decimal)tick.price;
// tlTick.size = (int)tick.size;
// }
//}
}
}
void OnReceiveHist(IAsyncResult result)
{
try
{
int bytesReceived = m_hist.EndReceive(result);
string recvdata = Encoding.ASCII.GetString(m_buffhist, 0, bytesReceived);
string rawData = _histbuff == string.Empty ? recvdata : _histbuff + recvdata;
string[] bars = rawData.Split(Environment.NewLine.ToCharArray());
foreach (string bar in bars)
{
string[] r = bar.Split(',');
// this should get hit on ENDMSG
if (r.Length < 8)
{
continue;
}
// get request id
long rid = 0;
if (!long.TryParse(r[0], out rid))
{
continue;
}
BarRequest br;
if (!reqid2req.TryGetValue(rid, out br))
{
continue;
}
bool errorfree = true;
Bar b = new BarImpl();
try
{
DateTime dt = DateTime.Parse(r[1]);
decimal h = Convert.ToDecimal(r[2]);
decimal l = Convert.ToDecimal(r[3]);
decimal o = Convert.ToDecimal(r[4]);
decimal c = Convert.ToDecimal(r[5]);
long v = Convert.ToInt64(r[7]);
// build bar
b = new BarImpl(o, h, l, c, v, Util.ToTLDate(dt), Util.ToTLTime(dt), br.Symbol, br.Interval);
}
catch { errorfree = false; }
// send it
if (errorfree)
{
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
}
}
string lastrecord = bars[bars.Length - 1];
if (lastrecord.Contains(HISTEND))
{
_histbuff = string.Empty;
}
else
{
_histbuff = lastrecord;
}
// wait for more historical data
WaitForData(HISTSOCKET);
}
catch (Exception ex)
{
debug(ex.Message + ex.StackTrace);
}
}
void doquote(ref structSTIQuoteUpdate q)
{
Tick k = new TickImpl(q.bstrSymbol);
k.bid = (decimal)q.fBidPrice;
k.ask = (decimal)q.fAskPrice;
k.bs = q.nBidSize / 100;
k.os = q.nAskSize / 100;
k.ex = GetExPretty(q.bstrExch);
k.be = GetExPretty(q.bstrBidExch);
k.oe = GetExPretty(q.bstrAskExch);
int now = Convert.ToInt32(q.bstrUpdateTime);
k.date = Util.ToTLDate(DateTime.Now);
//int sec = now % 100;
k.time = now;
// we don't want to simply return on out-of-order ticks because it'll prevent processing
// of the mdx messages further in this function.
if (!IgnoreOutOfOrderTicks || (k.time > _lasttime))
{
_lasttime = k.time;
k.trade = (decimal)q.fLastPrice;
k.size = q.nLastSize;
// execute orders if papertrade is enabled
if (isPaperTradeEnabled)
{
ptt.newTick(k);
}
// notify clients of tick
if (!_imbalance || (_imbalance && k.isValid))
{
tl.newTick(k);
}
}
/////////////////////////
// MDX Processing
/////////////////////////
if (q.nMdxMsgType == 1)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Regulatory Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), q.nIntradayMktImbalance, time, 0, 0, 0);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 2)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Informational Imbalance for: " + q.bstrSymbol
+ " ValidIntradayMarketImb: " + q.bValidIntradayMktImb
+ " ValidMktImb: " + q.bValidMktImb
+ " Imbalance: " + q.nImbalance
+ " iMktImbalance: " + q.nIntradayMktImbalance
+ " MktImbalance: " + q.nMktImbalance);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Imbalance imb = new ImbalanceImpl(q.bstrSymbol, GetExPretty(q.bstrExch), 0, time, 0, 0, q.nIntradayMktImbalance);
tl.newImbalance(imb);
}
}
else if (q.nMdxMsgType == 3)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Halt/Delay for: " + q.bstrSymbol
+ " Status: " + q.bstrHaltResumeStatus
+ " Reason: " + q.bstrHaltResumeReason);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
HaltResume h = new HaltResumeImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bstrHaltResumeStatus, q.bstrHaltResumeReason);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
{
tl.TLSend(HaltResumeImpl.Serialize(h), MessageTypes.HALTRESUME, clientNumber);
}
}
}
else if (q.nMdxMsgType == 4)
{
if (VerboseDebugging)
{
debug(q.bstrUpdateTime
+ " Received Indication for: " + q.bstrSymbol
+ " ValidIndicators: " + q.bValidIndicators
+ " IndicatorHigh: " + q.fIndicatorHigh
+ " IndicatorLow: " + q.fIndicatorLow);
}
int time;
if (int.TryParse(q.bstrUpdateTime, out time))
{
Indication ind = new IndicationImpl(q.bstrSymbol, GetExPretty(q.bstrExch), time, q.bValidIndicators, (decimal)q.fIndicatorHigh, (decimal)q.fIndicatorLow);
for (int clientNumber = 0; clientNumber < tl.NumClients; clientNumber++)
{
tl.TLSend(IndicationImpl.Serialize(ind), MessageTypes.INDICATION, clientNumber);
}
}
}
}
