public static Contract BuildUSStock(ActiveContract t)
{
Contract contract = new Contract();
contract.Symbol = "AMZN";
contract.SecType = "STK";
contract.Currency = "USD";
contract.Exchange = "SMART";
return(contract);
}
static public dynamic GetPriceData(ActiveContract t)
{
Console.WriteLine("--Getting Data For: " + t.IBFuturesLocalSymbol);
using (var jetiDB = new JETIEntities())
{
return((from PriceCapture p in jetiDB.PriceCaptures
where p.Ticker == t.IBFuturesLocalSymbol
//& p.IBTimestamp == DateTime.Today
select new { p.IBTimestamp, p.Ticker, p.Price }).ToList());
}
}
public static Contract BuildNymexFuturesContract(ActiveContract t)
{
Contract contract = new Contract();
contract.SecType = "FUT";
if (t.IBFuturesLocalSymbol.Substring(t.IBFuturesLocalSymbol.Length - 2) == "ES")
{
contract.Exchange = "GLOBEX";
}
else
{
contract.Exchange = "NYMEX";
}
contract.Currency = "USD";
contract.LocalSymbol = t.IBFuturesLocalSymbol;
contract.reqId = Contract.GetActiveInstances();
return(contract);
}
static public DataTable GetPricesFromDB(ActiveContract t, int periods)
{
DataTable dt = new DataTable();
dt.Columns.Add("time", typeof(DateTime));
dt.Columns.Add("ticker", typeof(string));
dt.Columns.Add("price", typeof(double));
using (var jetiDB = new JETIEntities())
{
var q = (from PriceCapture p in jetiDB.PriceCaptures
where p.Ticker == t.IBFuturesLocalSymbol
orderby p.IBTimestamp descending
//& p.IBTimestamp == DateTime.Today
select new { p.IBTimestamp, p.Ticker, p.Price }).Take(periods);
foreach (var k in q)
{
dt.Rows.Add(k.IBTimestamp, k.Ticker, k.Price);
//Console.WriteLine("");
}
}
return(dt);
}
public static int Main(string[] args)
{
//Connect to the API
EWrapperImpl ApiWrapper = new EWrapperImpl();
//public EWrapperImpl ApiWrapper;
ApiWrapper.ClientSocket.eConnect("127.0.0.1", 7496, 0, false);
// before proceding, monitor nextValidId
while (ApiWrapper.NextOrderId <= 0)
{
}
// Load securities
var activecontracts = GetActiveContracts();
// If no tickers found in database, load a default (hard coded) ticker
if (activecontracts.Count == 0)
{
ActiveContract defaultcontract = new ActiveContract();
DateTime date1 = new DateTime(1900, 12, 31, 0, 0, 0);
defaultcontract.ActivityDate = date1;
defaultcontract.IBFuturesLocalSymbol = "ZZN6";
activecontracts.Add(defaultcontract);
}
// BUILD A CONTRACT FOR EACH TICKER
var IBcontractlist = new List <Contract>();
activecontracts.ForEach(t =>
{ if (t.ActivityDate == DateTime.Today)
{
Contract nextcontract = BuildNymexFuturesContract(t);
IBcontractlist.Add(nextcontract);
}
});
// set up dataTable for capture of datafeed price data
p.Columns.Add("ticker", typeof(string));
p.Columns.Add("close", typeof(float));
p.Columns.Add("time", typeof(Int64));
//p.Columns.Add("processed", typeof(DateTime));
// set up dictionary of Tickers:ReqIds
int i = 0;
Parallel.ForEach(IBcontractlist, (t) =>
{
i++;
reqIds.Add(t.LocalSymbol, i);
});
// open an api datafeed for each contract
Parallel.ForEach(IBcontractlist, (t) =>
{
i++;
ApiWrapper.ClientSocket.reqRealTimeBars(t.reqId, t, -1, "BID", false,
GetFakeParameters(4));
Thread.Sleep(5000);
});
// dequeue price updates and write to database
while (1 > 0)
{
// if new data arrived...
if (q.Count > 0)
{
rtbUpdateStruct t = new rtbUpdateStruct();
t = (rtbUpdateStruct)q.Dequeue();
// write to console
Console.WriteLine(t.ticker +
", close: " + t.close +
", time: " + t.time);
// write to database
ApiWrapper.RealTimeBarCapturetoDB(t.close, t.time, t.ticker);
// append to datatable
p.Rows.Add(t.ticker, t.close, t.time);
// update technical indicators
//Studies(t.ticker);
//Scores(t.ticker);
//Weights(t.ticker);
//Trades(t.ticker);
//Orders();
//Reports();
}
}
////Shut down
//Console.WriteLine("Disconnecting... Please press ENTER to close application.");
//Console.ReadLine();
//ApiWrappper.ClientSocket.eDisconnect();
//return 0;
}
