public override int GetHashCode()
{
unchecked
{
return((RequestTime.GetHashCode() * 397) ^ (Log != null ? Log.GetHashCode() : 0));
}
}
public override string ToString()
{
var responseBodyLength = 0;
if (ResponseBody != null)
{
responseBodyLength = ResponseBody.Length;
}
var requestTime = RequestTime.ToString("yyyy-MM-dd HH:mm:ss.fff");
var responseTime = ResponseTime.ToString("yyyy-MM-dd HH:mm:ss.fff");
var requestHeader = string.Empty;
if (RequestHeader != null && RequestHeader.Count > 0)
{
requestHeader = string.Join(",", RequestHeader.Select(x => string.Format("{0}:{1}", x.Key, x.Value)));
}
var responseHeader = string.Empty;
if (ResponseHeader != null && ResponseHeader.Count > 0)
{
responseHeader = string.Join(",", ResponseHeader.Select(x => string.Format("{0}:{1}", x.Key, x.Value)));
}
return(string.Format("[RequestType:{0}, RequestCode:{1}, RequestSequence:{2}, RequestTime:{3}, RequestHeader: [{4}], ResponseCode:{5}, ResponseTime:{6}, ResponseBodyLength:{7}, ResponseHeader: [{8}]]",
RequestType, RequestCode, RequestSequence, requestTime, requestHeader, ResponseCode, responseTime, responseBodyLength, responseHeader));
}
public XmlNode ToXmlNode(XmlDocument xDoc)
{
XmlNode xInput = xDoc.CreateElement("Input");
// TODO: Add Description and Groupings
xInput.AppendChild(xDoc.CreateElement("Value")).InnerText = _value;
xInput.AppendChild(xDoc.CreateElement("RequestTime")).InnerText = RequestTime.ToString();
xInput.AppendChild(xDoc.CreateElement("ResponseTime")).InnerText = ResponseTime.ToString();
xInput.AppendChild(xDoc.CreateElement("Delay")).InnerText = Delay.Value.Ticks.ToString();
xInput.AppendChild(xDoc.CreateElement("Method")).InnerText = Method.ToString();
xInput.AppendChild(xDoc.CreateElement("Description")).AppendChild(xDoc.CreateCDataSection(Description));
if (OptionReference != null)
{
xInput.AppendChild(OptionReference.ToXmlNode(xDoc));
}
var xInputTransforms = xInput.AppendChild(xDoc.CreateElement("Transforms"));
if (Transforms?.Length > 0)
{
foreach (InputTransform inputTransform in Transforms)
{
xInputTransforms.AppendChild(inputTransform.ToXmlNode(xDoc));
}
}
return(xInput);
}
public override int GetHashCode()
{
unchecked
{
int hashCode = StationYear.GetHashCode();//(StationYear != null ? StationYear.GetHashCode() : 0);
hashCode = (hashCode * 397) ^ Priority;
hashCode = (hashCode * 397) ^ RequestTime.GetHashCode();
hashCode = (hashCode * 397) ^ LastRun.GetHashCode();//(LastRun != null ? LastRun.GetHashCode() : 0);
return(hashCode);
}
}
/// <summary>
/// Returns true if ResponseMetricsListData instances are equal
/// </summary>
/// <param name="other">Instance of ResponseMetricsListData to be compared</param>
/// <returns>Boolean</returns>
public bool Equals(ResponseMetricsListData other)
{
if (ReferenceEquals(null, other))
{
return(false);
}
if (ReferenceEquals(this, other))
{
return(true);
}
return
((
RequestTime == other.RequestTime ||
RequestTime != null &&
RequestTime.Equals(other.RequestTime)
) &&
(
Availability == other.Availability ||
Availability != null &&
Availability.Equals(other.Availability)
) &&
(
Invocations == other.Invocations ||
Invocations != null &&
Invocations.Equals(other.Invocations)
) &&
(
AverageResponse == other.AverageResponse ||
AverageResponse != null &&
AverageResponse.Equals(other.AverageResponse)
) &&
(
AverageTps == other.AverageTps ||
AverageTps != null &&
AverageTps.Equals(other.AverageTps)
) &&
(
PeakTps == other.PeakTps ||
PeakTps != null &&
PeakTps.Equals(other.PeakTps)
) &&
(
Errors == other.Errors ||
Errors != null &&
Errors.Equals(other.Errors)
) &&
(
Rejections == other.Rejections ||
Rejections != null &&
Rejections.Equals(other.Rejections)
));
}
public override string ToString()
{
var result = new StringBuilder();
result.AppendLine("BuildRequestRecord");
result.AppendLine("ReceiveTunnel : " + ReceiveTunnel.ToString());
result.AppendLine("OurIdent : " + OurIdent.ToString());
result.AppendLine("NextTunnel : " + NextTunnel.ToString());
result.AppendLine("NextIdent : " + NextIdent.ToString());
result.AppendLine("Flag : 0x" + Flag.ToString("X2"));
result.AppendLine("ToAnyone : " + ToAnyone.ToString());
result.AppendLine("FromAnyone : " + FromAnyone.ToString());
result.AppendLine("RequestTime : " + RequestTime.ToString());
result.AppendLine("SendMessageId : " + SendMessageId.ToString());
return(result.ToString());
}
public int CompareTo(StationYearRequest other)
{
int compareTo;
if ((compareTo = Priority.CompareTo(other.Priority)) != 0)
{
return(compareTo);
}
if ((compareTo = RequestTime.CompareTo(other.RequestTime)) != 0)
{
return(compareTo);
}
if ((compareTo = StationYear.CompareTo(other.StationYear)) != 0)
{
return(compareTo);
}
return(0);
}
/// <summary>
/// Gets the hash code
/// </summary>
/// <returns>Hash code</returns>
public override int GetHashCode()
{
unchecked // Overflow is fine, just wrap
{
var hashCode = 41;
// Suitable nullity checks etc, of course :)
if (RequestTime != null)
{
hashCode = hashCode * 59 + RequestTime.GetHashCode();
}
if (Availability != null)
{
hashCode = hashCode * 59 + Availability.GetHashCode();
}
if (Invocations != null)
{
hashCode = hashCode * 59 + Invocations.GetHashCode();
}
if (AverageResponse != null)
{
hashCode = hashCode * 59 + AverageResponse.GetHashCode();
}
if (AverageTps != null)
{
hashCode = hashCode * 59 + AverageTps.GetHashCode();
}
if (PeakTps != null)
{
hashCode = hashCode * 59 + PeakTps.GetHashCode();
}
if (Errors != null)
{
hashCode = hashCode * 59 + Errors.GetHashCode();
}
if (Rejections != null)
{
hashCode = hashCode * 59 + Rejections.GetHashCode();
}
return(hashCode);
}
}
public override int GetHashCode()
{
int hash = 1;
if (security_ != null)
{
hash ^= Security.GetHashCode();
}
if (RequestTime.Length != 0)
{
hash ^= RequestTime.GetHashCode();
}
if (RequestTimeStamp != 0L)
{
hash ^= RequestTimeStamp.GetHashCode();
}
if (_unknownFields != null)
{
hash ^= _unknownFields.GetHashCode();
}
return(hash);
}
internal override bool Process(FTController ibController, bool allowNewRequest)
{
const int requestTimeoutPeriod = 20;
// if no contract received yet
if (TickerData.ContractStatus == ContractStatus.SendRequest || TickerData.ContractStatus == ContractStatus.WaitForResponse)
{
return(allowNewRequest);
}
// if no contract found
if (TickerData.ContractStatus != ContractStatus.Ok)
{
TickerData.HeadTimestampStatus = HeadTimestampStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
lock (TickerData) // request handling
{
// if not waiting for response
switch (TickerData.HeadTimestampStatus)
{
// if marked to get headtimestamp
case HeadTimestampStatus.SendRequest:
if (allowNewRequest)
{
LogAndMessage.Log(TickerData, MessageType.Trace, "Requesting earliest data point. " + ToString(false, LogAndMessage.VerboseLog));
TickerData.HeadTimestampStatus = HeadTimestampStatus.WaitForResponse;
RequestTime = DateTime.Now;
ibController.SendHeadTimestampRequest(Id, TickerData);
}
return(false);
// if request is sent, but response has not arrived yet
// see ibClient_HeadTimestamp event handler
case HeadTimestampStatus.WaitForResponse:
// if no answer in time
if (RequestTime.AddSeconds(requestTimeoutPeriod) < DateTime.Now)
{
if (RequestTimeouts == 0)
{
LogAndMessage.LogAndQueue(TickerData, MessageType.Error, "Request of earliest data point timed out. Retrying. " + ToString(true, LogAndMessage.VerboseLog));
RequestTimeouts++;
TickerData.HeadTimestampStatus = HeadTimestampStatus.SendRequest;
Id = IBClientHelper.GetNextReqId();
goto case HeadTimestampStatus.SendRequest;
}
LogAndMessage.LogAndQueue(TickerData, MessageType.Error, "Request of earliest data point timed out. " + ToString(true, LogAndMessage.VerboseLog));
TickerData.HeadTimestampStatus = HeadTimestampStatus.Failed;
goto case HeadTimestampStatus.Failed;
}
return(allowNewRequest);
// if new, offline ticker
case HeadTimestampStatus.Offline:
// ticker's HeadTimestamp is updated
case HeadTimestampStatus.Ok:
// ticker's HeadTimestamp is NOT updated (we do not mark ticker as failed. it still may work!)
case HeadTimestampStatus.Failed:
IsFinished = true;
return(allowNewRequest);
// this is program error
default:
TickerData.HeadTimestampStatus = HeadTimestampStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
}
}
public bool Equals(StationYearRequest other)
{
if (ReferenceEquals(null, other))
{
return(false);
}
if (ReferenceEquals(this, other))
{
return(true);
}
return(Equals(StationYear, other.StationYear) && Priority == other.Priority && RequestTime.Equals(other.RequestTime) && Equals(LastRun, other.LastRun));
}
internal override bool Process(FTController ibController, bool allowNewRequest)
{
const int requestTimeoutPeriod = 10;
lock (TickerData) // request handling
{
// if not waiting for response
switch (TickerData.ContractStatus)
{
// if marked to get contract details
case ContractStatus.SendRequest:
if (allowNewRequest)
{
LogAndMessage.Log(TickerData, MessageType.Trace, "Getting contract. " + ToString(false, LogAndMessage.VerboseLog));
Contract contract = new Contract();
contract.Exchange = TickerData.SymbolParts.Exchange;
contract.SecType = TickerData.SymbolParts.SecurityType;
contract.Currency = TickerData.SymbolParts.Currency;
contract.IncludeExpired = true;
if (TickerData.SymbolParts.IsContinuous)
{
if (!string.IsNullOrEmpty(TickerData.SymbolParts.Underlying))
{
contract.Symbol = TickerData.SymbolParts.Underlying;
}
else
{
contract.Symbol = TickerData.SymbolParts.Symbol;
}
}
else
{
contract.LocalSymbol = TickerData.SymbolParts.Symbol;
}
TickerData.contractDetailsList.Clear();
TickerData.ContractStatus = ContractStatus.WaitForResponse;
RequestTime = DateTime.Now;
ibController.SendContractDetailsRequest(Id, contract);
}
return(false);
// if request is sent, but response has not arrived yet
// see ibclient_ContractDetails and ibclient_ContractDetailsEnd event handlers
case ContractStatus.WaitForResponse:
// if no answer in Time
if (RequestTime.AddSeconds(requestTimeoutPeriod) < DateTime.Now)
{
LogAndMessage.LogAndQueue(TickerData, MessageType.Error, "Getting contract info timed out, symbol is offline. " + ToString(true, LogAndMessage.VerboseLog));
TickerData.ContractStatus = ContractStatus.Failed;
goto case ContractStatus.Failed;
}
return(allowNewRequest);
// if new, offline ticker
case ContractStatus.Offline:
goto case ContractStatus.Failed;
// contract found
case ContractStatus.Ok:
goto case ContractStatus.Failed;
// no contract found
case ContractStatus.Failed:
IsFinished = true;
return(allowNewRequest);
default:
throw new ArgumentOutOfRangeException();
}
}
}
internal override bool Process(FTController ibController, bool allowNewRequest)
{
int requestTimeoutPeriod = 75;
// if contract of the ticker is still being retrieved or headtimestamp of the ticker is needed (not Offline) AND not yet retrieved
if (TickerData.ContractStatus <= ContractStatus.WaitForResponse ||
((FTDataSource.Periodicity == Periodicity.EndOfDay || FTDataSource.AllowMixedEODIntra) && TickerData.HeadTimestampStatus <= HeadTimestampStatus.WaitForResponse))
{
return(allowNewRequest);
}
if (TickerData.ContractStatus == ContractStatus.Failed || TickerData.ContractStatus == ContractStatus.Offline ||
TickerData.HeadTimestampStatus == HeadTimestampStatus.Failed || (TickerData.HeadTimestampStatus == HeadTimestampStatus.Offline && (FTDataSource.Periodicity == Periodicity.EndOfDay || FTDataSource.AllowMixedEODIntra)))
{
TickerData.QuoteDataStatus = QuotationStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
lock (TickerData) // request handling
{
// if reqHistoricalData is send to IB and we are waiting for answer
if (WaitingForResponse)
{
// request is not yet timed out...
if (RequestTime.AddSeconds(requestTimeoutPeriod) > DateTime.Now)
{
return(allowNewRequest);
}
// no response arrived in time, request is timed out...
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Historical data request has timed out. " + ToString(true, LogAndMessage.VerboseLog));
RequestTimeouts++;
WaitingForResponse = false;
// if there were too many reqHistoricalData timeouts
if (RequestTimeouts > 2)
{
// drop this ticker...
TickerData.QuoteDataStatus = QuotationStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
}
// if no new request can be sent (request pacing)
bool histThrottling = !allowNewRequest || TickerData.QuoteDataStatus > QuotationStatus.New && RequestTime.AddSeconds(6.5) > DateTime.Now;
// process the ticker depending on its state
switch (TickerData.QuoteDataStatus)
{
case QuotationStatus.Offline:
LogAndMessage.Log(MessageType.Error, "Program error. Offline ticker cannot get historical update.");
IsFinished = true;
return(allowNewRequest);
// All historical data requests are processed for the ticker
// (the last CalcNextHistoricalDataRequest call sets this state)
case QuotationStatus.DownloadedEod:
#region Merging and backadjusting downloaded quotes of different contracts/expiry into a simgle QuotationList of the continuous contract
if (TickerData.SymbolParts.IsContinuous)
{
QuotationList mergedQuotes = new QuotationList(FTDataSource.Periodicity);
int newQuoteIndex;
foreach (ContractDetails cd in TickerData.contractDetailsList)
{
// if there were no quotes receiced for this contract...
if (!TickerData.ContinuousQuotesDictionary.ContainsKey(cd.Contract.LocalSymbol))
{
continue;
}
newQuoteIndex = 0;
if (mergedQuotes.Count > 0)
{
int mergedQuoteIndex = mergedQuotes.Count - 1;
AmiDate mergedQuoteDateTime = mergedQuotes[mergedQuoteIndex].DateTime;
// move forward to the first quote not overlqapping with prev contract
while (newQuoteIndex < TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol].Count - 1 && TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date < mergedQuoteDateTime.Date)
{
newQuoteIndex++;
}
// at this point newQuoteIndex points to a quote of the "same" date as mergedQuoteDateTime (if there are quotes for the same day, if not, then the next day)
// if daily database then we look for a day where volume on older contract is greater (switch over day)
if (FTDataSource.Periodicity == Periodicity.EndOfDay)
{
// find the quote that has a lower volume
while (newQuoteIndex > 0 && mergedQuoteIndex > 0 &&
TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date == mergedQuotes[mergedQuoteIndex].DateTime.Date && // quotes are of same date
TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].Volume > mergedQuotes[mergedQuoteIndex].Volume) // new contract's volume is higher then old contract's volume
{
newQuoteIndex--;
mergedQuoteIndex--;
}
// at this point newQuoteIndex and lastQuoteDateTime point to quote at which contract is replaced
}
if (TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date != mergedQuotes[mergedQuoteIndex].DateTime.Date)
{
LogAndMessage.Log(MessageType.Info, TickerData.ToString(cd.Contract) + ": No overlapping quote found. Used dates to change contracts: " + mergedQuotes[mergedQuoteIndex].DateTime + " and " + TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime + ".");
}
else
{
LogAndMessage.Log(MessageType.Info, TickerData.ToString(cd.Contract) + ": Switching to new contract on " + mergedQuotes[mergedQuoteIndex].DateTime + ".");
}
// get "closing prices" of the contract on the same day
float closeOfNewer = TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].Price;
float closeOfOlder = mergedQuotes[mergedQuoteIndex].Price;
double priceMult = closeOfNewer / closeOfOlder;
// back-adjust prev contracts' prices
QuotationList tempList = new QuotationList(FTDataSource.Periodicity);
for (int i = 0; i < mergedQuoteIndex; i++)
{
Quotation quote = mergedQuotes[i];
quote.Open = (float)(quote.Open * priceMult);
quote.High = (float)(quote.High * priceMult);
quote.Low = (float)(quote.Low * priceMult);
quote.Price = (float)(quote.Price * priceMult);
tempList.Merge(quote);
}
mergedQuotes.Clear();
mergedQuotes = tempList;
}
// add quotes of newer contract
for (; newQuoteIndex < TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol].Count; newQuoteIndex++)
{
mergedQuotes.Merge(TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex]);
}
}
TickerData.Quotes = mergedQuotes;
}
#endregion
// this is not THROTTLED, but counted in general throttling queue
ibController.SendSubscriptionRequest(0, TickerData, false);
TickerData.QuoteDataStatus = QuotationStatus.Online;
return(allowNewRequest);
// this should never happen (ticker with online status should not be in the queue...)
case QuotationStatus.Online:
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Backfill finished, symbol is ready. ");
IsFinished = true;
return(allowNewRequest);
// if any error happend
case QuotationStatus.Failed:
// if intraday download received no data response
if (errorCode == 162 && FTDataSource.Periodicity < Periodicity.EndOfDay && FTDataSource.Periodicity > Periodicity.FifteenSeconds)
{
errorCode = 0;
// move forward 4 periods to speed up download/find first valid period with available data
CalcNextBackfillRequest();
CalcNextBackfillRequest();
CalcNextBackfillRequest();
LogAndMessage.Log(TickerData, MessageType.Trace, "No data returned, fast forward download period.");
// start next download
TickerData.QuoteDataStatus = QuotationStatus.DownloadingIntra;
return(allowNewRequest);
}
else
{
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Backfill failed, symbol is offline.");
IsFinished = true;
return(allowNewRequest);
}
// start historical data refresh
case QuotationStatus.New:
if (histThrottling)
{
return(false);
}
// calc download properties
downloadPeriodicity = FTDataSource.Periodicity;
downloadStep = IBClientHelper.GetDownloadStep(FTDataSource.Periodicity);
downloadInterval = IBClientHelper.GetDownloadInterval(FTDataSource.Periodicity);
downloadStart = IBClientHelper.GetAdjustedStartDate(TickerData.RefreshStartDate, FTDataSource.Periodicity, GetEarliestDownloadDate(), true);
downloadEnd = downloadStart.AddMinutes(downloadInterval);
downloadContract = GetCurrentContract(downloadStart);
// remove quotes already stored
TickerData.Quotes.Clear();
// set next state
if (FTDataSource.Periodicity == Periodicity.EndOfDay)
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadingEod;
}
else
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadingIntra;
}
// not to wait to send next request
RequestTime = DateTime.MinValue;
// download historical data
SendBackfillRequest(ibController);
return(false);
case QuotationStatus.DownloadingEod:
case QuotationStatus.DownloadingIntra:
if (histThrottling)
{
return(false);
}
// if previous request timed out
if (RequestTimeouts != 0)
{
SendBackfillRequest(ibController);
}
// download historical data
else if (CalcNextBackfillRequest())
{
SendBackfillRequest(ibController);
}
return(false);
// last CalcNextHistoricalDataRequest call for intraday bars should have set this state
case QuotationStatus.DownloadedIntra:
// if we need EOD data as well
if (FTDataSource.AllowMixedEODIntra)
{
if (histThrottling)
{
return(false);
}
// calc download properties for EOD
downloadPeriodicity = Periodicity.EndOfDay;
downloadStep = IBClientHelper.GetDownloadStep(Periodicity.EndOfDay);
downloadInterval = IBClientHelper.GetDownloadInterval(Periodicity.EndOfDay);
downloadStart = IBClientHelper.GetAdjustedStartDate(TickerData.RefreshStartDate, Periodicity.EndOfDay, GetEarliestDownloadDate(), true);
downloadEnd = downloadStart.AddMinutes(downloadInterval);
downloadContract = GetCurrentContract(downloadStart);
SendBackfillRequest(ibController);
TickerData.QuoteDataStatus = QuotationStatus.DownloadingEod;
}
else
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadedEod;
}
return(false);
default:
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Program error in backfill logic.");
IsFinished = true;
return(true);
}
}
}