private void initializeDataHandler()
{
_markets = new MarketAggregator();
//const string dsPath = "TickData.qbd";
//_histFeed = new HistoricalDataHandler(dsPath);
//_histFeed.AddDataInterval(new DateTime(2013, 3, 4, 23, 59, 50), new DateTime(2013, 3, 5, 0, 1, 0));
//_histFeed.AddDataInterval(new DateTime(2013, 3, 5, 23, 59, 44), new DateTime(2013, 3, 6, 0, 1, 0));
//var NKH3 = new DataFactory(new Security("NKM3 Index", 13, Security.SecurityType.IndexFuture));
//_histFeed.AddSecurity(NKH3);
//_markets.AddSecurity(NKH3);
//NKH3.AddReferenceToMarkets(_markets);
//var NOH3 = new DataFactory(new Security("NOH3 Index", 17, Security.SecurityType.IndexFuture));
//_histFeed.AddSecurity(NOH3);
//_markets.AddSecurity(NOH3);
//NOH3.AddReferenceToMarkets(_markets);
//var NIH3 = new DataFactory(new Security("NIH3 Index", 21, Security.SecurityType.IndexFuture));
//_histFeed.AddSecurity(NIH3);
//_markets.AddSecurity(NIH3);
//NIH3.AddReferenceToMarkets(_markets);
//NIH3.LogEachTick = true;
//var TPH3 = new DataFactory(new Security("TPH3 Index", 26, Security.SecurityType.IndexFuture));
//_histFeed.AddSecurity(TPH3);
//_markets.AddSecurity(TPH3);
//TPH3.AddReferenceToMarkets(_markets);
//var JBH3 = new DataFactory(new Security("JBH3 Comdty", 31, Security.SecurityType.IndexFuture));
//_histFeed.AddSecurity(JBH3);
//_markets.AddSecurity(JBH3);
//JBH3.AddReferenceToMarkets(_markets);
//var JPY = new DataFactory(new Security("JPY Curncy", 9, Security.SecurityType.IndexFuture));
//_histFeed.AddSecurity(JPY);
//_markets.AddSecurity(JPY);
//JPY.AddReferenceToMarkets(_markets);
//_histFeed.LoadHistoricalData();
//DateTime start = DateTime.Now;
//_histFeed.PlayBackData();
//TimeSpan time = DateTime.Now - start;
//Console.WriteLine("Playback time {0} seconds", time.Seconds.ToString());
//const string filePath = @"C:\Users\Andre\Documents\BBDataSource\Market Aggregator OutPut\";
//_markets.BatchWriteOutData(MarketAggregator.OutPutType.FlatFile, MarketAggregator.OutPutMktMode.BothMkts, filePath, 11);
var NKM3 = new DataFactory(new Security("NKM3 Index", 13, Security.SecurityType.IndexFuture));
_markets.AddSecurity(NKM3);
_blbgFeed.AddSecurity(NKM3, NKM3.SecurityName);
NKM3.SubscribeToDataFeedEvents(_blbgFeed);
NKM3.AddReferenceToMarkets(_markets);
NKM3.LogEachTick = true;
//var NOM3 = new DataFactory(new Security("NOM3 Index", 18, Security.SecurityType.IndexFuture));
//_markets.AddSecurity(NOM3);
//_blbgFeed.AddSecurity(NOM3);
//NOM3.SubscribeToDataFeedEvents(_blbgFeed);
//NOM3.AddReferenceToMarkets(_markets);
//NOM3.LogEachTick = true;
//var JPY = new DataFactory(new Security("JPY Curncy", 9, Security.SecurityType.Curncy));
//_markets.AddSecurity(JPY);
//_blbgFeed.AddSecurity(JPY.Security, JPY);
//JPY.SubscribeToDataFeedEvents(_blbgFeed);
//JPY.AddReferenceToMarkets(_markets);
//JPY.LogEachTick = true;
////var NIM3 = new DataFactory(new Security("NIM3 Index", 22, Security.SecurityType.IndexFuture));
////_markets.AddSecurity(NIM3);
////_blbgFeed.AddSecurity(NIM3);
////NIM3.SubscribeToDataFeedEvents(_blbgFeed);
////NIM3.AddReferenceToMarkets(_markets);
////NIM3.LogEachTick = true;
//var JBM3 = new DataFactory(new Security("JBM3 Comdty", 32, Security.SecurityType.IndexFuture));
//_markets.AddSecurity(JBM3);
//_blbgFeed.AddSecurity(JBM3);
//JBM3.SubscribeToDataFeedEvents(_blbgFeed);
//JBM3.AddReferenceToMarkets(_markets);
//JBM3.LogEachTick = true;
_blbgFeed.Subscribe();
}
private void setUpInsturment(DateTime start, DateTime end, string security, Security.SecurityType secType)
{
var sec = new DataFactory(new Security(security, 0, secType));
_factories.Add(sec);
_markets.AddSecurity(sec);
sec.AddReferenceToMarkets(_markets);
sec.AddReferenceToDatafeed((ITickDataFeed)_histFeed);
var query = new TickDataQuery()
{
Security = sec.SecurityName,
CorrelationIdObj = sec,
StartDate = start,
EndDate = end,
IncludeConditionCode = true,
IncludeExchangeCode = true
};
var queryGenerator = new TickDataQueries();
var queries = queryGenerator.GetTickDataQueries(query);
var queriesPM = new List <ITickDataQuery>();
foreach (var q in queries)
{
queriesPM.Add(new TickDataQuery()
{
Security = q.Security,
StartDate = new DateTime(q.EndDate.Year, q.EndDate.Month, q.EndDate.Day, 7, 15, 00),
EndDate = new DateTime(q.EndDate.Year, q.EndDate.Month, q.EndDate.Day, 18, 20, 00),
Fields = q.Fields,
CorrelationIdObj = q.CorrelationIdObj,
IncludeConditionCode = q.IncludeConditionCode,
IncludeExchangeCode = q.IncludeExchangeCode,
});
//q.StartDate = q.StartDate.AddHours(-1);
q.EndDate = new DateTime(q.EndDate.Year, q.EndDate.Month, q.EndDate.Day, 6, 20, 00);
}
if (useBB)
{
// Historical playback From Bloomberg
var histBBTickData = new BloombergHistTickDataHandler();
histBBTickData.BBHTDUpdate += histTickData_Update;
histBBTickData.AddDataQueries(queries);
histBBTickData.AddDataQueries(queriesPM);
histBBTickData.DataHandler = _histFeed;
_histFeed.AddHistoricalAdapter(histBBTickData);
}
else
{
// Historical playback from SQL DB
const string dsPath = "TickData.qbd";
var histTickData = new HistoricalData.HistoricalAdapterSqlDB(dsPath);
histTickData.HistTDUpdate += histTickData_Update;
histTickData.AddDataQueries(queries);
//histTickData.AddDataQueries(queriesPM);
histTickData.DataHandler = _histFeed;
_histFeed.AddHistoricalAdapter(histTickData);
}
responded.Add(security, false);
}
