public static IEnumerable <ContractVolume> GetContractVolumes(DateTime folderDate)
{
ContractVolumeFolder = DirectoryNames.GetDirectoryName("ttapiContractVolume") + DirectoryNames.GetDirectoryExtension(BusinessDays.GetBusinessDayShifted(-1));
var sr = new StreamReader(ContractVolumeFolder + "/ContractList.csv");
var reader = new CsvHelper.CsvReader(sr);
reader.Configuration.RegisterClassMap(new MyClassMap());
ContractVolumeList = reader.GetRecords <ContractVolume>().ToList();
for (int i = 0; i < ContractVolumeList.Count(); i++)
{
string[] words = ContractVolumeList[i].instrumentName.Split();
ContractVolumeList[i].SeriesKey = words[words.Count() - 1];
}
return(ContractVolumeList);
}
public static DataTable GetPriceFromCMEDirectFile()
{
string FilePath = DirectoryNames.GetDirectoryName(ext: "daily") + FileNames.CMEDirectIntradayPrice;
string[] csvRows = System.IO.File.ReadAllLines(FilePath);
string[] fields = null;
DataTable PriceTable = new DataTable();
PriceTable.Columns.Add("Ticker", typeof(string));
PriceTable.Columns.Add("TickerHead", typeof(string));
PriceTable.Columns.Add("BidPrice", typeof(double));
PriceTable.Columns.Add("AskPrice", typeof(double));
PriceTable.Columns.Add("MidPrice", typeof(double));
double PriceMultiplier;
for (int i = 1; i < csvRows.Length; i++)
{
fields = csvRows[i].Split(',');
DataRow Row = PriceTable.NewRow();
Row["Ticker"] = fields[0];
Row["TickerHead"] = ContractUtilities.ContractMetaInfo.GetContractSpecs(fields[0]).tickerHead;
if (Row.Field <string>("TickerHead") == "JY")
{
PriceMultiplier = 1e7;
}
else
{
PriceMultiplier = 1;
}
Row["BidPrice"] = Convert.ToDouble(fields[2]) * PriceMultiplier;
Row["AskPrice"] = Convert.ToDouble(fields[3]) * PriceMultiplier;
Row["MidPrice"] = (Row.Field <double>("BidPrice") + Row.Field <double>("AskPrice")) / 2;
PriceTable.Rows.Add(Row);
}
return(PriceTable);
}
public static Dictionary <string, string> GetTTAPICredentials()
{
List <string> lineList = IOUtilities.FromTxt2List.LoadFile(DirectoryNames.GetDirectoryName("ttapiConfig") + FileNames.ttapi_credential_file);
return(FormatUtilities.FromString2Dictionary.Convert(lineList[0]));
}