public override void OnTicksReport(ClientSession session, TicksRequestClientContext TicksRequestClientContext, QueryTicksReport report)
{
var context = (QueryQuoteHistoryTicksAsyncContext)TicksRequestClientContext;
var result = new List <Tick>();
for (int i = 0; i < report.Ticks.Length; i++)
{
var sourceTick = report.Ticks[i];
var tick = new Tick()
{
Id = new TickId
{
Time = sourceTick.Id.Time,
Index = sourceTick.Id.Index
},
Level2 = new Level2Collection()
};
for (int j = 0; j < sourceTick.Level2.Bids.Length; j++)
{
var sourceBid = sourceTick.Level2.Bids[j];
var bid = new Level2Value
{
Price = (decimal)sourceBid.Price,
Volume = (decimal)sourceBid.Volume
};
tick.Level2.Bids.Add(bid);
}
for (int j = 0; j < sourceTick.Level2.Asks.Length; j++)
{
var sourceAsk = sourceTick.Level2.Asks[j];
var ask = new Level2Value
{
Price = (decimal)sourceAsk.Price,
Volume = (decimal)sourceAsk.Volume
};
tick.Level2.Asks.Add(ask);
}
result.Add(tick);
}
context.Tcs.SetResult(result);
}
public IEnumerable <Tick> QueryQuoteHistoryTicksRange(DateTime from, DateTime to, string symbol, bool level2)
{
if (!IsConnected)
{
throw new Exception("Client is not connected!");
}
if (to < from)
{
DateTime temp = from;
from = to;
to = temp;
}
var timestamp = from;
var last = timestamp;
var filename = level2 ? "ticks level2" : "ticks";
var formatter = level2 ? (IFormatter <TickValue>)FeedTickLevel2Formatter.Instance : FeedTickFormatter.Instance;
var zipSerializer = new ItemsZipSerializer <TickValue, TickValueList>(formatter, filename);
var txtSerializer = new ItemsTextSerializer <TickValue, TickValueList>(formatter, filename);
do
{
List <byte[]> content = QueryQuoteHistoryTicksFilesInternal(timestamp, symbol, level2);
foreach (var file in content)
{
TickValueList historyTicks;
if ((file.Length >= 4) && (file[0] == 0x50) && (file[1] == 0x4b) && (file[2] == 0x03) && (file[3] == 0x04))
{
historyTicks = zipSerializer.Deserialize(file);
}
else
{
historyTicks = txtSerializer.Deserialize(file);
}
foreach (var historyTick in historyTicks)
{
if (historyTick.Time < from)
{
continue;
}
if (historyTick.Time > to)
{
break;
}
if (historyTick.Time <= last)
{
continue;
}
last = historyTick.Time;
var tick = new Tick()
{
Id = new TickId
{
Time = historyTick.Id.Time,
Index = historyTick.Id.Index
},
Level2 = new Level2Collection()
};
foreach (var level2record in historyTick.Level2)
{
if (level2record.Type == FxPriceType.Bid)
{
var bid = new Level2Value
{
Price = (decimal)level2record.Price,
Volume = (decimal)level2record.Volume
};
tick.Level2.Bids.Insert(0, bid);
}
if (level2record.Type == FxPriceType.Ask)
{
var ask = new Level2Value
{
Price = (decimal)level2record.Price,
Volume = (decimal)level2record.Volume
};
tick.Level2.Asks.Add(ask);
}
}
yield return(tick);
}
}
timestamp = timestamp.AddHours(1);
} while (timestamp < to);
}