public static MarketDataEventArg ProcessMarketData(FXSession connection, O2GResponse response)
{
try
{
O2GResponseReaderFactory rrfactory = connection.Session.getResponseReaderFactory();
O2GMarketDataSnapshotResponseReader mReader = rrfactory.createMarketDataSnapshotReader(response);
var d = new SortedList <DateTime, Tick>(mReader.Count);
for (int i = 0; i < mReader.Count; i++)
{
// information like reader.getDate(i), reader.getBidOpen(i), reader.getBidHigh(i), reader.getBidLow(i), reader.getBidClose(i), reader.getVolume(i) is now available
//Console.WriteLine(i + ":" + mReader.getDate(i).ToString() + ":" + mReader.getBidOpen(i));
//create a quantum of ticks for the market data
var tick = new Tick(
mReader.getBid(i),
mReader.getBidOpen(i),
mReader.getBidHigh(i),
mReader.getBidLow(i),
mReader.getBidClose(i),
mReader.getAsk(i),
mReader.getAskOpen(i),
mReader.getAskHigh(i),
mReader.getAskLow(i),
mReader.getAskClose(i),
mReader.getVolume(i),
mReader.getDate(i));
d.Add(mReader.getDate(i), tick);
}
var q = new Quantum(d);
return(new MarketDataEventArg(q));
}
catch (Exception e)
{
Console.WriteLine(e.Message);
return(new MarketDataEventArg(new Quantum(new SortedList <DateTime, Tick>(300))));
}
}
private IEnumerable <BaseRow> GetGenericResponse(O2GMarketDataSnapshotResponseReader reader, string requestID)
{
var rows = new List <MarketDataRow>();
// Try to obtain the instrument from a saved list of market data requests.
var instrument = this.MarketDataInstrumentGetter(requestID);
for (var i = 0; i < reader.Count; i++)
{
var row = new MarketDataRow();
row.Instrument = instrument;
if (reader.isBar)
{
row.AskClose = reader.getAskClose(i);
row.AskHigh = reader.getAskHigh(i);
row.AskLow = reader.getAskLow(i);
row.AskOpen = reader.getAskOpen(i);
row.BidClose = reader.getBidClose(i);
row.BidHigh = reader.getBidHigh(i);
row.BidLow = reader.getBidLow(i);
row.BidOpen = reader.getBidOpen(i);
}
else
{
row.Ask = reader.getAsk(i);
row.Bid = reader.getBid(i);
}
row.IsBar = reader.isBar;
row.Time = reader.getDate(i);
row.Volume = reader.getVolume(i);
rows.Add(row);
}
return(rows);
}
private static void GetHistoryPrices(O2GSession session, string sInstrument, string sTimeframe, DateTime dtFrom, DateTime dtTo, ResponseListener responseListener)
{
try
{
StreamWriter m_data = new StreamWriter(OutData);
string m_string_to_write = "";
O2GRequestFactory factory = session.getRequestFactory();
O2GTimeframe timeframe = factory.Timeframes[sTimeframe];
if (timeframe == null)
{
throw new Exception(string.Format("Timeframe '{0}' is incorrect!", sTimeframe));
}
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(sInstrument, timeframe, 300);
DateTime dtFirst = dtTo;
do // cause there is limit for returned candles amount
{
factory.fillMarketDataSnapshotRequestTime(request, dtFrom, dtFirst, false);
responseListener.SetRequestID(request.RequestID);
session.sendRequest(request);
if (!responseListener.WaitEvents())
{
throw new Exception("Response waiting timeout expired");
}
// shift "to" bound to oldest datetime of returned data
O2GResponse response = responseListener.GetResponse();
if (response != null && response.Type == O2GResponseType.MarketDataSnapshot)
{
O2GResponseReaderFactory readerFactory = session.getResponseReaderFactory();
if (readerFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
if (DateTime.Compare(dtFirst, reader.getDate(0)) != 0)
{
dtFirst = reader.getDate(0); // earliest datetime of returned data
for (int nData = reader.Count - 1; nData > -1; nData--)
{
// reader.getDate(0);
m_string_to_write = reader.getDate(nData).ToString() + ";" +
reader.getAsk(nData).ToString() + ";" +
reader.getAskOpen(nData).ToString() + ";" +
reader.getAskClose(nData).ToString() + ";" +
reader.getAskLow(nData).ToString() + ";" +
reader.getAskHigh(nData).ToString() + ";" +
reader.getBid(nData).ToString() + ";" +
reader.getBidOpen(nData).ToString() + ";" +
reader.getBidClose(nData).ToString() + ";" +
reader.getBidLow(nData).ToString() + ";" +
reader.getBidHigh(nData).ToString() + ";" +
reader.getVolume(nData).ToString() + ";" +
reader.getLastBarTime().ToString() + ";" +
reader.getLastBarVolume().ToString();
m_data.WriteLine(m_string_to_write);
}
}
else
{
break;
}
}
else
{
Console.WriteLine("0 rows received");
break;
}
}
// PrintPrices(session, response);
}
else
{
break;
}
} while (dtFirst > dtFrom);
m_data.Close();
}
catch (Exception e)
{
int ErrorCounter = 0;
if (ErrorCounter > 5)
{
LogDirector.DoAction(4, e);
}
else
{
ErrorCounter++;
LogDirector.DoAction(2, e);
GetHistoryPrices(session, sInstrument, sTimeframe, dtFrom, dtTo, responseListener);
}
}
}
/// <summary>
/// Print history data from response.
/// </summary>
/// <param name="communicator">The price history communicator.</param>
/// <param name="response">The response. Cannot be null.</param>
public static void PrintPrices(IPriceHistoryCommunicator communicator, IPriceHistoryCommunicatorResponse response)
{
// use O2GMarketDataSnapshotResponseReader to extract price data from the response object
O2GMarketDataSnapshotResponseReader reader = communicator.createResponseReader(response);
for (int i = 0; i < reader.Count; i++)
{
if (reader.isBar)
{
Console.WriteLine("DateTime={0}, BidOpen={1}, BidHigh={2}, BidLow={3}, BidClose={4}, AskOpen={5}, AskHigh={6}, AskLow={7}, AskClose={8}, Volume={9}",
reader.getDate(i), reader.getBidOpen(i), reader.getBidHigh(i), reader.getBidLow(i), reader.getBidClose(i),
reader.getAskOpen(i), reader.getAskHigh(i), reader.getAskLow(i), reader.getAskClose(i), reader.getVolume(i));
}
else
{
Console.WriteLine("DateTime={0}, Bid={1}, Ask={2}", reader.getDate(i), reader.getBid(i), reader.getAsk(i));
}
}
}
private void GetHistoryPrices(O2GSession O2GSession, string Instrument, string Interval, DateTime DtFrom, DateTime DtTo)
{
m_responseListener = new ResponseListener(O2GSession);
O2GSession.subscribeResponse(m_responseListener);
O2GRequestFactory factory = O2GSession.getRequestFactory();
O2GTimeframeCollection timeframecollection = factory.Timeframes;
O2GTimeframe Timeframe = timeframecollection[Interval];
if (Timeframe == null)
{
throw new Exception(string.Format("Timeframe '{0}' is incorrect!", Timeframe));
}
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(Instrument, Timeframe, 300);
DateTime DtFirst = DtTo;
DateTime DatePrec = System.DateTime.MinValue;
//TimeSpan PricesTimeSpan = System.TimeSpan.MinValue;
//if (Interval == "m5")
//{
// PricesTimeSpan = new TimeSpan(0, 0, 5, 0, 0);
//}
do // cause there is limit for returned candles amount
{
factory.fillMarketDataSnapshotRequestTime(request, DtFrom, DtFirst, false);
m_responseListener.SetRequestID(request.RequestID);
O2GSession.sendRequest(request);
if (!m_responseListener.WaitEvents())
{
throw new Exception("Response waiting timeout expired");
}
// shift "to" bound to oldest datetime of returned data
O2GResponse response = m_responseListener.GetResponse();
if (response != null && response.Type == O2GResponseType.MarketDataSnapshot)
{
O2GResponseReaderFactory readerFactory = O2GSession.getResponseReaderFactory();
if (readerFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
if (DateTime.Compare(DtFirst, reader.getDate(0)) != 0)
{
DtFirst = reader.getDate(0); // earliest datetime of returned data
for (int nData = reader.Count - 1; nData > -1; nData--)
{
if (reader.getDate(nData) != DatePrec)
{
m_datetime.Add(reader.getDate(nData));
m_ask.Add(reader.getAsk(nData));
m_askopen.Add(reader.getAskOpen(nData));
m_askclose.Add(reader.getAskClose(nData));
m_askhigh.Add(reader.getAskHigh(nData));
m_asklow.Add(reader.getAskLow(nData));
m_bid.Add(reader.getBid(nData));
m_bidopen.Add(reader.getBidOpen(nData));
m_bidclose.Add(reader.getBidClose(nData));
m_bidhigh.Add(reader.getBidHigh(nData));
m_bidlow.Add(reader.getBidLow(nData));
}
//else
//{
// break;
//}
DatePrec = reader.getDate(nData);
}
}
else
{
break;
}
}
else
{
Console.WriteLine("0 rows received");
break;
}
}
// PrintPrices(session, response);
}
else
{
break;
}
} while (DtFirst > DtFrom);
m_datetime.Reverse();
m_ask.Reverse();
m_askopen.Reverse();
m_askclose.Reverse();
m_askhigh.Reverse();
m_asklow.Reverse();
m_bid.Reverse();
m_bidopen.Reverse();
m_bidclose.Reverse();
m_bidhigh.Reverse();
m_bidlow.Reverse();
}
