/// <summary>
/// Gets the level1 quote from the current input lines.
/// </summary>
/// <param name="ticker">The ticker.</param>
/// <param name="data">The data.</param>
/// <returns></returns>
private DataPoint GetLevel1Quote(string ticker, List <InputLine> data, DateTime date)
{
//Creaate new orderbook
OrderBook orderbook = new OrderBook(ticker);
//Get lines
foreach (var line in data)
{
//Get data
var input = line.Line.Split(',');
bool isBid = input[1] == "b";
double price = double.Parse(input[2], NumberStyles.Any, new CultureInfo("en-US"));
double size = double.Parse(input[3], NumberStyles.Any, new CultureInfo("en-US"));
//Add to book
orderbook.AddQuote(isBid, price, size);
}
//Return current quote
return(new Tick(DataFeed.GetQuantlerTicker(ticker), DataFeed.DataSource)
{
AskSize = Convert.ToDecimal(orderbook.AskSize),
AskPrice = Convert.ToDecimal(orderbook.BestAsk),
BidPrice = Convert.ToDecimal(orderbook.BestBid),
BidSize = Convert.ToDecimal(orderbook.BidSize),
Depth = 0,
Occured = date,
TimeZone = TimeZone.Utc
});
}
/// <summary>
/// Gets the data points.
/// </summary>
/// <param name="inputLine">The line.</param>
/// <returns></returns>
public override IEnumerable <DataPoint> GetDataPoints(InputLine inputLine)
{
//Get data in json format
RootObject data = JSON.Deserialize <RootObject>(inputLine.Line, Jil.Options.ISO8601);
//Go trough messages
foreach (var message in data.Messages)
{
//Get current time
if (!DateTime.TryParseExact(message.Timestamp[0], "yyyy-MM-dd HH:mm:ss.ffffff", null, DateTimeStyles.None,
out DateTime utc))
{
if (!DateTime.TryParse(message.Timestamp[0], out utc))
{
continue;
}
}
//Get bidprice and askprice
decimal bidprice = message.BidPrice / 10000m;
decimal askprice = message.AskPrice / 10000m;
//Create tick
DateTime nytime = utc.ConvertTo(TimeZone.Utc, TimeZone.NewYork);
yield return(new Tick(DataFeed.GetQuantlerTicker(message.Symbol), DataSource.IEX)
{
AskSize = message.AskSize,
AskPrice = askprice,
BidSize = message.BidSize,
BidPrice = bidprice,
Depth = 0,
Occured = nytime,
TimeZone = TimeZone.NewYork
});
}
}
/// <summary>
/// Gets the data points.
/// </summary>
/// <param name="inputLine">The line.</param>
/// <returns></returns>
public override IEnumerable <DataPoint> GetDataPoints(InputLine inputLine)
{
//Get input
var data = inputLine.Line.Split(',');
var toreturn = new List <DataPoint>();
try
{
//Check input
if (data.Length < 4)
{
throw new Exception("Missing data");
}
else if (Regex.Matches(data[0], @"[a-zA-Z]").Count > 0) //Header
{
return(toreturn);
}
else if (data.Length > 4) //Trade data
{
//Prob. trade data
DateTime occured = Time.FromUnixTime(long.Parse(data[3]), true);
toreturn.Add(new Tick(DataFeed.GetQuantlerTicker(data[2]), DataFeed.DataSource)
{
TradePrice = decimal.Parse(data[4], NumberStyles.Any, new CultureInfo("en-US")),
Size = decimal.Parse(data[5], NumberStyles.Any, new CultureInfo("en-US")),
Occured = occured,
TimeZone = TimeZone.Utc
});
return(toreturn);
}
//Get data
DateTime date = Time.FromUnixTime(long.Parse(data[0]), true);
string ticker = inputLine.Filename.Split('_')[1];
//Get Current Snapshot
if (!_aggregatedLines.TryGetValue(ticker, out Snapshot snapshot))
{
snapshot = new Snapshot(date);
_aggregatedLines.Add(ticker, snapshot);
}
//Check if this snapshot has ended
if (snapshot.Date < date)
{
//Return the level 1 quote
toreturn.Add(GetLevel1Quote(ticker, snapshot.InputLines, snapshot.Date));
//Remove the old lines from this snapshot and add the current new one
snapshot.Reset(date, inputLine);
}
else //Add to known lines
{
snapshot.InputLines.Add(inputLine);
}
}
catch
{
_log.Warn($"Cannot parse data from line as it is incorrect");
}
//Return what we have
return(toreturn);
}
/// <summary> /// Gets the name of the ticker at quantler. /// </summary> /// <param name="ticker">The ticker.</param> /// <returns></returns> public override TickerSymbol GetQuantlerTicker(string ticker) => _baseDataFeed.GetQuantlerTicker(ticker);