MarketHistoryFileReport DoQueryTicksHistoryFile(DateTime to, string symbol, bool includeLevel2)
{
var info = this.dataFeed.Server.GetQuotesHistoryFiles(symbol, includeLevel2, to);
var result = new MarketHistoryFileReport
{
Symbol = symbol,
AvailableFrom = info.FromAll,
AvailableTo = info.ToAll,
From = info.From ?? DateTime.MinValue,
To = info.To ?? DateTime.MinValue,
LastTickId = !string.IsNullOrEmpty(info.LastTickId) ? FeedTickId.Parse(info.LastTickId) : default(FeedTickId?)
};
var count = info.Files.Length;
result.Files = new MarketHistoryFile[count];
for (var index = 0; index < count; ++index)
{
var file = info.Files[index];
using (var stream = new DataStream(this.dataFeed, file, this.Timeout))
{
var part = new MarketHistoryFile
{
FileBytes = stream.ToArray()
};
result.Files[index] = part;
}
}
return(result);
}
public MarketHistoryItemsReport <HistoryBar> QueryBarHistory(DateTime to, int maxBars, string symbol, string periodicity, FxPriceType priceType)
{
var type = FxPriceType.Bid == priceType ? PriceType.Bid : PriceType.Ask;
var period = new BarPeriod(periodicity);
var info = this.dataFeed.Server.GetHistoryBars(symbol, to, -maxBars, type, period);
var result = new MarketHistoryItemsReport <HistoryBar>
{
Items = info.Bars.Select(StorageConvert.ToHistoryBar).ToList(),
AvailableFrom = info.FromAll,
AvailableTo = info.ToAll,
From = info.From.Value,
To = info.To.Value,
LastTickId = !string.IsNullOrEmpty(info.LastTickId) ? FeedTickId.Parse(info.LastTickId) : default(FeedTickId?),
Symbol = symbol
};
return(result);
}
MarketBarHistoryFileReport DoQueryBarHistoryFile(DateTime to, string symbol, string periodicity, PriceType type)
{
DataHistoryInfo info;
if (this.Timeout > 0)
{
info = this.dataFeed.Server.GetBarsHistoryFilesEx(symbol, to, type, periodicity, this.Timeout);
}
else
{
info = this.dataFeed.Server.GetBarsHistoryFiles(symbol, to, type, periodicity);
}
var result = new MarketBarHistoryFileReport
{
Symbol = symbol,
AvailableFrom = info.FromAll,
AvailableTo = info.ToAll,
From = info.From ?? DateTime.MinValue,
To = info.To ?? DateTime.MinValue,
LastTickId = !string.IsNullOrEmpty(info.LastTickId) ? FeedTickId.Parse(info.LastTickId) : default(FeedTickId?)
};
var count = info.Files.Length;
result.Files = new MarketHistoryFile[count];
for (var index = 0; index < count; ++index)
{
var file = info.Files[index];
using (var stream = new DataStream(this.dataFeed, file, this.Timeout))
{
var part = new MarketHistoryFile
{
FileBytes = stream.ToArray()
};
result.Files[index] = part;
}
}
return(result);
}
public FeedTick ToFeedTick(Quote quote)
{
this.records.Clear();
this.FillRecords(FxPriceType.Bid, quote.Bids);
this.FillRecords(FxPriceType.Ask, quote.Asks);
if (!string.IsNullOrEmpty(quote.Id))
{
var id = FeedTickId.Parse(quote.Id);
this.index = id.Index;
}
else if (this.lastUsedTimeStamp < quote.CreatingTime)
{
this.index = 0;
}
this.lastUsedTimeStamp = quote.CreatingTime;
var result = new FeedTick(quote.Symbol, quote.CreatingTime, this.index, this.records);
++this.index;
return(result);
}