public static OHLCBar HistoricalDataEventArgsToOHLCBar(Krs.Ats.IBNet.HistoricalDataEventArgs e)
{
var bar = new OHLCBar
{
DTOpen = e.Date,
Open = e.Open,
High = e.High,
Low = e.Low,
Close = e.Close,
Volume = e.Volume,
};
return bar;
}
private OHLCBar ParseLine(string[] items, string[] columns, decimal priceMultiplier, int volumeMultiplier)
{
var bar = new OHLCBar();
TimeSpan? closingTime = null;
bool success;
for (int i = 0; i < items.Length; i++)
{
switch (columns[i])
{
case "Date":
DateTime tmpDate;
success = DateTime.TryParseExact(
items[i], DateFormatTextBox.Text, CultureInfo.InvariantCulture, DateTimeStyles.None, out tmpDate);
if (!success)
{
throw new Exception("Incorrect date format.");
}
else
{
bar.DT = new DateTime(tmpDate.Ticks);
}
break;
case "DateTime":
DateTime tmpDT;
success = DateTime.TryParseExact(
items[i], DateTimeFormatTextBox.Text, CultureInfo.InvariantCulture, DateTimeStyles.None, out tmpDT);
if (!success)
{
throw new Exception("Incorrect datetime format.");
}
else
{
bar.DT = new DateTime(tmpDT.Ticks);
}
break;
case "Time":
DateTime tmpTS;
success = DateTime.TryParseExact(
items[i], TimeFormatTextBox.Text, CultureInfo.InvariantCulture, DateTimeStyles.None, out tmpTS);
if (!success)
{
throw new Exception("Incorrect time format.");
}
else
{
closingTime = TimeSpan.FromSeconds(tmpTS.TimeOfDay.TotalSeconds);
}
break;
case "Open":
bar.Open = priceMultiplier * decimal.Parse(items[i]);
break;
case "High":
bar.High = priceMultiplier * decimal.Parse(items[i]);
break;
case "Low":
bar.Low = priceMultiplier * decimal.Parse(items[i]);
break;
case "Close":
bar.Close = priceMultiplier * decimal.Parse(items[i]);
break;
case "AdjClose":
bar.AdjClose = priceMultiplier * decimal.Parse(items[i]);
break;
case "Volume":
bar.Volume = volumeMultiplier * int.Parse(items[i]);
break;
case "OpenInterest":
bar.OpenInterest = int.Parse(items[i]);
break;
case "Dividends":
bar.Dividend = decimal.Parse(items[i]);
break;
case "Splits":
bar.Split = decimal.Parse(items[i]);
break;
}
}
//do the time addition
if (closingTime != null)
{
bar.DT += closingTime.Value;
}
return bar;
}
private static TimeSeries TimeSeriesFromFXRates(IEnumerable<FXRate> rates)
{
var bars = new List<OHLCBar>();
foreach (var rate in rates)
{
var bar = new OHLCBar
{
Open = rate.Rate,
High = rate.Rate,
Low = rate.Rate,
Close = rate.Rate,
AdjOpen = rate.Rate,
AdjHigh = rate.Rate,
AdjLow = rate.Rate,
AdjClose = rate.Rate,
DT = rate.Date
};
bars.Add(bar);
}
return new TimeSeries(bars);
}
/// <summary>
/// Takes XML formated data from Quandl and turns it into a List of OHLCBars.
/// </summary>
public static List<OHLCBar> ParseXML(string data)
{
var doc = XDocument.Parse(data);
var bars = new List<OHLCBar>();
//standard checks that the XML is what it should be
if (doc.Root == null)
{
throw new Exception("XML Parse error: no root.");
}
if (doc.Root.Element("column-names") == null)
{
throw new Exception("Quandl: Column names element not found.");
}
//this simply gives us a list of column names, needed to parse the data correctly later on
List<string> columns = doc.Root.Element("column-names").Elements("column-name").Select(x => x.Value).ToList();
//some columns are required..
if (!columns.Contains("Date"))
{
throw new Exception("Quandl: no date column, cannot parse data.");
}
var dataElement = doc.Root.Element("data");
if (dataElement == null)
{
throw new Exception("Quandl: No data present in XML file.");
}
bool skipBar, dateSet;
//finally loop through each bar and try to parse it
foreach (var barElements in dataElement.Elements("datum"))
{
skipBar = false;
dateSet = false;
decimal parsedValue;
var bar = new OHLCBar();
int counter = 0;
foreach (var price in barElements.Elements("datum"))
{
bool isNull = price.Attribute("nil") != null; //if the attribute "nil" exists, then the value of this field is null
switch (columns[counter])
{
case "Date":
if (isNull)
{
skipBar = true;
break;
}
bar.DT = DateTime.ParseExact(price.Value, "yyyy-MM-dd", CultureInfo.InvariantCulture);
dateSet = true;
break;
case "Open":
if (decimal.TryParse(price.Value, NumberStyles.Number | NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out parsedValue))
bar.Open = parsedValue;
break;
case "High":
if (decimal.TryParse(price.Value, NumberStyles.Number | NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out parsedValue))
bar.High = parsedValue;
break;
case "Low":
if (decimal.TryParse(price.Value, NumberStyles.Number | NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out parsedValue))
bar.Low = parsedValue;
break;
case "Close":
if (decimal.TryParse(price.Value, NumberStyles.Number | NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out parsedValue))
bar.Close = parsedValue;
break;
case "Settle": //some futures data series have "settle" field instead of "close"
if (!isNull && decimal.TryParse(price.Value, NumberStyles.Number | NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out parsedValue))
bar.Close = parsedValue;
break;
//volume and OI are not represented as ints for some reason
case "Volume":
double volume;
if (!isNull && double.TryParse(price.Value, NumberStyles.Number | NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out volume))
bar.Volume = (long)volume;
break;
case "Open Interest":
double openInterest;
if (!isNull && double.TryParse(price.Value, NumberStyles.Number | NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out openInterest))
bar.OpenInterest = (int)openInterest;
break;
case "Adjusted Close":
if (decimal.TryParse(price.Value, NumberStyles.Number | NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out parsedValue))
bar.AdjClose = parsedValue;
break;
}
counter++;
}
//if the adjusted close is set, generate adjusted OHL
if (bar.AdjClose.HasValue)
{
decimal adjFactor = bar.AdjClose.Value / bar.Close;
bar.AdjOpen = bar.Open * adjFactor;
bar.AdjHigh = bar.High * adjFactor;
bar.AdjLow = bar.Low * adjFactor;
}
//make sure that the date has been set
if (!dateSet)
skipBar = true;
if (!skipBar)
bars.Add(bar);
}
return bars;
}
public void AddDataAsync(OHLCBar data, Instrument instrument, BarSize frequency, bool overwrite = false)
{
throw new NotImplementedException();
}
