private void DeStackTrades(HistoryState hs)
{
// we are assuming that all queued records belong to the same 1 minute interval
int cnt = hs.stkTrades.Count;
if (0 != cnt)
{
TimeSpan ts = new TimeSpan(TimeSpan.TicksPerMinute / cnt);
TradeQuoteInfo tqi;
TimeSpan TickTime = new TimeSpan(0);
for (int i = 1; i <= cnt; i++)
{
tqi = (TradeQuoteInfo)hs.stkTrades.Pop();
tqi.dt += TickTime;
TickTime += ts;
if (tqi.Trade > 0 && tqi.Size > 0)
{
hs.trades.Add(new Trade(tqi.dt, tqi.Trade, tqi.Size));
}
if (tqi.Bid > 0 && tqi.Ask > 0)
{
hs.quotes.Add(new Quote(tqi.dt, tqi.Bid, tqi.BidSize, tqi.Ask, tqi.AskSize));
}
}
tqi = null;
}
}
private void Send(
string sSymbol, string sSeries, Instrument instrument, string sSendString, int intSize, int cntRequestedDays)
{
HistoryState hs = (HistoryState)q9100Slots.Dequeue();
hs.sSymbol = sSymbol;
hs.sSeries = sSeries;
hs.instrument = instrument;
hs.cntRequestedDays = cntRequestedDays;
if (0 != intSize)
{
hs.bs = DataManager.GetBarSeries(
hs.instrument,
DateTime.Today - new TimeSpan(cntRequestedDays + 1, 0, 0, 0, 0), DateTime.Today,
BarType.Time, intSize);
}
hs.sSendString = sSendString;
hs.intUseCount++;
hs.size = intSize;
hs.cntValues = 0;
hs.cntLines = 0;
hs.bActive = true;
hs.bufSock.Send(hs.sSendString);
//Thread.Sleep(200);
Thread.Sleep(100);
//Monitor.Wait(typeof(GetHistory), 200);
}
public void start(string sQuery, string st)
{
db.Open();
SqlCommand cmd;
//Console.WriteLine( "starting query" );
//string sCmd = "select distinct top 7 symbol from iqrootoptionsymbols";
//string sCmd = "select distinct symbol from iqrootoptionsymbols where symbol<>'DCLK'";
//string sCmd = "select distinct symbol from iqrootoptionsymbols where symbol>'M'";
//string sCmd = "select distinct symbol from iqrootoptionsymbols where symbol>='NU' and symbol<'OG'";
//string sCmd = "select distinct symbol from iqrootoptionsymbols " +
// "where (symbol>='HRP' and symbol<='NTMD') or symbol='CSC' or symbol='CSCO' or " +
// "symbol='AFCO' or symbol='AFFX' or symbol='AFG' or symbol='AFL' or symbol='AG' order by symbol";
Console.WriteLine(sQuery);
this.st = st;
//this.st = SecurityType.USTreasuryBill
cmd = new SqlCommand(sQuery, db.Connection);
sdr = cmd.ExecuteReader();
cntLps = 0;
intSec = DateTime.Now.Second;
lock (semaphore) {
//Monitor.Enter( typeof(GetHistory) );
//Monitor.Enter( this );
for (int i = 1; i <= cntActiveSymbols; i++)
{
startSymbol();
}
//Monitor.Exit( typeof(GetHistory) );
}
//Console.WriteLine("gh waiting");
Monitor.Enter(this);
Monitor.Wait(this);
Monitor.Exit(this);
//Console.WriteLine("gh done waiting");
while (0 != q9100Slots.Count)
{
HistoryState finalHS = (HistoryState)q9100Slots.Dequeue();
finalHS.Close();
}
hsAcquiring = null;
//Console.WriteLine("gh cleaned up");
}
private void ParseLine(BufferArgs e, HistoryState hs)
{
DateTime dt;
string[] r;
Bar bar;
Daily daily; //daily = new Daily(
//Console.WriteLine( "9100: {0} {1} {2}", hs.smLine, hs.sSymbol, e.Line );
/*
* if (DateTime.Now.Second == hs.gh.intSec) {
* hs.gh.cntLps++;
* }
* else {
* Console.WriteLine(" lps = {0}", hs.gh.cntLps);
* hs.gh.cntLps = 0;
* hs.gh.intSec = DateTime.Now.Second;
* }*/
e.items = e.Line.Split(chDelimComma);
switch (hs.smLine)
{
case stateLine.lineN:
if (0 == e.Line.Length)
{
// ignore the blank line and prepare for end game
hs.smLine = stateLine.lineLast;
}
else
{
//process the line content here
hs.cntLines++;
r = e.items[0].Split(chDelimTime);
try {
switch (hs.sSeries)
{
case "Trade":
dt = new DateTime(
System.Convert.ToInt32(r[0]), //yyyy
System.Convert.ToInt32(r[1]), //mm
System.Convert.ToInt32(r[2]), //dd
System.Convert.ToInt32(r[3]), //hh
System.Convert.ToInt32(r[4]), //mm
0
);
if (hs.dtstk != dt)
{
DeStackTrades(hs);
}
hs.dtstk = dt;
hs.stkTrades.Push(new TradeQuoteInfo(
dt,
( float )System.Convert.ToSingle(e.items[1]), // trade,
System.Convert.ToInt32(e.items[2]), // size
( float )System.Convert.ToSingle(e.items[4]), // bid
System.Convert.ToInt32(e.items[7]), // bid size
( float )System.Convert.ToSingle(e.items[5]), // ask
System.Convert.ToInt32(e.items[8]) // ask size
)
);
break;
case "Bar":
dt = new DateTime(
System.Convert.ToInt32(r[0]), //yyyy
System.Convert.ToInt32(r[1]), //mm
System.Convert.ToInt32(r[2]), //dd
System.Convert.ToInt32(r[3]), //hh
System.Convert.ToInt32(r[4]), //mm
0); //ss
bar = new Bar(dt,
( float )System.Convert.ToSingle(e.items[3]), // open
( float )System.Convert.ToSingle(e.items[1]), // high
( float )System.Convert.ToSingle(e.items[2]), // low
( float )System.Convert.ToSingle(e.items[4]), // close
System.Convert.ToInt32(e.items[6]), // period volume
hs.size);
int i = hs.bs.GetIndex(dt);
if (0 >= i)
{
//hs.instrument.Add(bar);
hs.bars.Add(bar);
}
hs.cntValues++;
break;
case "Daily":
dt = new DateTime(
System.Convert.ToInt32(r[0]), //yyyy
System.Convert.ToInt32(r[1]), //mm
System.Convert.ToInt32(r[2]), //dd
23, //hh
59, //mm
59); //ss
daily = new Daily(dt,
System.Convert.ToSingle(e.items[3]),
System.Convert.ToSingle(e.items[1]),
System.Convert.ToSingle(e.items[2]),
System.Convert.ToSingle(e.items[4]),
System.Convert.ToInt32(e.items[5])
);
//hs.instrument.Add( daily );
hs.bars.Add(daily);
hs.cntValues++;
break;
}
}
catch {
Console.WriteLine("***** Error: '{0}' '{1}' '{2}' '{3}'", hs.smLine, hs.sSymbol, hs.sSeries, e.Line);
if (Regex.IsMatch(e.Line, "!ERROR! !NONE!", RegexOptions.None))
{
//Console.WriteLine("caught !NONE!");
hs.smLine = stateLine.lineRecover1;
}
else
{
if (Regex.IsMatch(e.Line, "!ERROR! Invalid symbol.", RegexOptions.None))
{
//Console.WriteLine("caught !NONE!");
hs.smLine = stateLine.lineRecover1;
}
else
{
// need to catch and process this erro sometime
//***** Error: 'lineN' 'FCH' 'Bar' '!ERROR! Could not connect to History socket.'
throw (new Exception("Don't know what we caught"));
}
}
}
}
break;
case stateLine.lineLast:
if ("!ENDMSG!" == e.Line)
{
// signal routines that no more data is available
// prepare for next command if there is one
// //Console.WriteLine( "*** endmsg for {0} {1} {2} {3} {4}", hs.sSymbol, hs.sSeries, hs.size, hs.cntValues, hs.ids.Count );
//Console.WriteLine( "*** endmsg for {0} {1} {2} {3}", hs.sSymbol, hs.sSeries, hs.size, hs.cntValues );
//hs.ids.Flush();
Console.Write("Writing {0}", hs.sSymbol);
switch (hs.sSeries)
{
case "Trade":
if (0 != hs.stkTrades.Count)
{
DeStackTrades(hs);
}
foreach (Trade atrade in hs.trades)
{
hs.instrument.Add(atrade as Trade);
}
hs.trades.Clear();
foreach (Quote aquote in hs.quotes)
{
hs.instrument.Add(aquote as Quote);
}
hs.quotes.Clear();
break;
case "Bar":
foreach (Bar abar in hs.bars)
{
hs.instrument.Add(abar as Bar);
}
hs.bars.Clear();
break;
case "Daily":
foreach (Bar abar in hs.bars)
{
hs.instrument.Add(abar as Daily);
}
hs.bars.Clear();
break;
}
Console.Write(".");
hs.instrument.Save();
Console.Write(".");
Console.WriteLine(".");
hs.smLine = stateLine.lineN;
hs.bActive = false;
q9100Slots.Enqueue(hs);
//Monitor.Enter( this );
if (q9100Slots.Count >= cntTypes)
{
startSymbol();
}
//Monitor.Exit( this );
if (q9100Slots.Count > cntTypes)
{
Console.WriteLine("Slots: {0}", q9100Slots.Count);
///*
foreach (HistoryState ihs in hs.gh.hsAcquiring)
{
if (ihs.bActive)
{
Console.WriteLine(" {0} {1} {2} {3} {4}",
ihs.sSymbol, ihs.size, ihs.cntLines, ihs.intPlaceInQ, ihs.intUseCount);
}
}
//*/
}
if (intQSize == q9100Slots.Count)
{
Monitor.Enter(this);
Monitor.Pulse(this);
Monitor.Exit(this);
}
}
else
{
if (Regex.IsMatch(e.Line, "!ERROR!", RegexOptions.None))
{
// skip a blank line and prepare for finish
Console.WriteLine("errline");
hs.smLine = stateLine.lineResync;
}
else
{
Console.WriteLine("** lineLast = '{0}'", e.Line);
throw new ApplicationException("lineLast doesn't have some thing quite correct");
}
}
break;
case stateLine.lineResync:
// two blank lines on error before endmsg
Console.WriteLine("We are in resync");
hs.smLine = stateLine.lineN;
break;
case stateLine.lineRecover1:
//Console.WriteLine("recover1");
if (0 != e.Line.Length)
{
Console.WriteLine("** lineRecover1 = '{0}'", e.Line);
throw new ApplicationException("lineRecover1 does not have an empty line");
}
//hs.smLine = stateLine.lineRecover2;
hs.smLine = stateLine.lineLast; // 2006/09/04 ** what else does this break
break;
case stateLine.lineRecover2:
Console.WriteLine("recover2");
if (!Regex.IsMatch(e.Line, "!ENDMSG!", RegexOptions.None))
{
Console.WriteLine("** lineRecover2 = '{0}'", e.Line);
throw new ApplicationException("lineRecover2 does not have !ENDMSG!");
}
hs.smLine = stateLine.lineRecover4; // 2006/09/04 changed from 3 to 4;
break;
case stateLine.lineRecover3:
//Console.WriteLine("recover3");
if (Regex.IsMatch(e.Line, "!ERROR! Unknown Error.", RegexOptions.None) ||
Regex.IsMatch(e.Line, "!ERROR! Invalid symbol.", RegexOptions.None))
{
}
else
{
Console.WriteLine("** lineRecover3 = '{0}'", e.Line);
throw new ApplicationException("lineRecover3 not !ERROR! Unknown Error|InvalidSymbol.");
}
hs.smLine = stateLine.lineRecover4;
break;
case stateLine.lineRecover4:
Console.WriteLine("recover4");
if (0 != e.Line.Length)
{
Console.WriteLine("** lineRecover4 = '{0}'", e.Line);
throw new ApplicationException("lineRecover4 does not have an empty line");
}
hs.smLine = stateLine.lineLast;
break;
}
;
}
internal void doLine(BufferArgs e, HistoryState hs)
{
lock (semaphore) {
ParseLine(e, hs);
}
}
public GetHistory(int cntActiveSymbols,
bool bTick, bool b1min, bool b3min, bool b10min, bool b30min, bool b2hr, bool bDaily,
int cntTick, int cnt1min, int cnt3min, int cnt10min, int cnt30min, int cnt2hr, int cntDaily
)
{
this.bTick = bTick;
this.b1min = b1min;
this.b3min = b3min;
this.b10min = b10min;
this.b30min = b30min;
this.b2hr = b2hr;
this.bDaily = bDaily;
this.cntTick = cntTick;
this.cnt1min = cnt1min;
this.cnt3min = cnt3min;
this.cnt10min = cnt10min;
this.cnt30min = cnt30min;
this.cnt2hr = cnt2hr;
this.cntDaily = cntDaily;
this.cntActiveSymbols = cntActiveSymbols;
chDelimComma = sDelimComma.ToCharArray(); // initialize some delmiter arrays
chDelimTime = sDelimTime.ToCharArray();
if (bTick)
{
cntTypes++;
}
if (b1min)
{
cntTypes++;
}
if (b3min)
{
cntTypes++;
}
if (b10min)
{
cntTypes++;
}
if (b30min)
{
cntTypes++;
}
if (b2hr)
{
cntTypes++;
}
if (bDaily)
{
cntTypes++;
}
intQSize = cntTypes * cntActiveSymbols;
q9100Slots = new Queue(intQSize);
hsAcquiring = new HistoryState[intQSize + 1];
hsAcquiring[0] = new HistoryState();
hsAcquiring[0].bActive = false;
semaphore = new object();
lock (semaphore) {
//Monitor.Enter(typeof(GetHistory));
while (intQSize > q9100Slots.Count) // preload with a bunch of buffers for acquiring data
{
HistoryState hs = new HistoryState(this); // symbol, GetHistory, BufferedSocket, IDataSeries
hs.Open();
//hs = hsAcquiring[q9100Slots.Count + 1];
//hs.gh = this;
q9100Slots.Enqueue(hs);
hs.intPlaceInQ = q9100Slots.Count;
hsAcquiring[q9100Slots.Count] = hs;
//Monitor.Wait(typeof(GetHistory), 200);
Thread.Sleep(100);
}
//Monitor.Exit(typeof(GetHistory));
}
}
