/// <summary>
/// Retrieve a list of sessions that describe the regular trading hours for this instrument.
/// </summary>
public List<InstrumentSession> GetSessions(EntityModel.Instrument instrument)
{
RefreshInstrumentsList();
var qdmsInstrument = instrument.GetQDMSInstrument(_instrumentsList);
if(qdmsInstrument == null || qdmsInstrument.Sessions == null)
{
_logger.Log(LogLevel.Info, string.Format("QDMS instrument not found for local instrument: {0}", instrument));
return new List<InstrumentSession>();
}
return qdmsInstrument.Sessions.ToList();
}
public List<OHLCBar> GetAllData(EntityModel.Instrument instrument, BarSize frequency = BarSize.OneDay)
{
if (!_client.Connected) return new List<OHLCBar>();
RefreshInstrumentsList();
//find instrument
var qdmsInst = instrument.GetQDMSInstrument(_instrumentsList);
if (qdmsInst == null) //nothing like this in QDMS, just grab local data
{
return new List<OHLCBar>();
}
StoredDataInfo dataInfo = TryGetStorageInfo(qdmsInst);
if (dataInfo == null)
{
return new List<OHLCBar>();
}
return GetData(
instrument,
dataInfo.EarliestDate,
dataInfo.LatestDate,
frequency);
}
public decimal? GetLastPrice(EntityModel.Instrument instrument, out DateTime lastDate)
{
lastDate = new DateTime(1, 1, 1);
var qdmsInst = instrument.GetQDMSInstrument(_instrumentsList);
if (qdmsInst == null || !qdmsInst.ID.HasValue)
{
return null;
}
StoredDataInfo dataInfo = TryGetStorageInfo(qdmsInst);
if (dataInfo == null)
{
return null;
}
var lastAvailableDate = dataInfo.LatestDate;
//Send out the request for the data
var req = new HistoricalDataRequest
{
Instrument = qdmsInst,
StartingDate = lastAvailableDate.AddDays(-1),
EndingDate = lastAvailableDate,
Frequency = BarSize.OneDay,
DataLocation = _allowFreshData ? DataLocation.Both : DataLocation.LocalOnly,
RTHOnly = true,
SaveDataToStorage = false
};
var id = _client.RequestHistoricalData(req);
_requestIDs.Add(id, false);
//Wait until the data arrives
int i = 0;
while (i < 100)
{
Thread.Sleep(20);
lock (_arrivedDataLock)
{
if (_requestIDs[id])
{
var data = _arrivedData[qdmsInst.ID.Value].Last();
_arrivedData.Remove(qdmsInst.ID.Value);
lastDate = data.DT;
return data.Close;
}
}
i++;
}
return null;
}
public List<OHLCBar> GetData(EntityModel.Instrument instrument, DateTime from, DateTime to, BarSize frequency = BarSize.OneDay)
{
if (!_client.Connected) return null;
RefreshInstrumentsList();
var qdmsInst = instrument.GetQDMSInstrument(_instrumentsList);
if (qdmsInst == null) //nothing like this in QDMS, just grab local data
{
return null;
}
StoredDataInfo dataInfo = TryGetStorageInfo(qdmsInst);
//Here we check if there's is absolutely no
if ((dataInfo == null || dataInfo.LatestDate < from || dataInfo.EarliestDate > to) &&
!_allowFreshData)
{
return null;
}
//grab the data
return RequestData(qdmsInst, from, to, frequency);
}
