public BarsHistoryCache(string symbol, Periodicity periodicity, FxPriceType priceType, QuoteHistoryClient historyClient) : base(symbol)
{
_historyClient = historyClient;
Periodicity = periodicity;
PriceType = priceType;
}
public static PriceType ToPriceType(FxPriceType type)
{
if (type == FxPriceType.Bid)
return PriceType.Bid;
if (type == FxPriceType.Ask)
return PriceType.Ask;
var message = string.Format("Incorrect price type: expected Bid or Ask, but received = {0}", type);
throw new ArgumentException("type", message);
}
void FillRecords(FxPriceType type, QuoteEntry[] entries)
{
for (var index = 0; index < entries.Length; ++index)
{
var entry = entries[index];
var record = new FeedLevel2Record
{
Price = RoundPrice(entry.Price),
Volume = entry.Volume,
Type = type
};
this.records.Add(record);
}
}
public static PriceType ToPriceType(FxPriceType type)
{
if (type == FxPriceType.Bid)
{
return(PriceType.Bid);
}
if (type == FxPriceType.Ask)
{
return(PriceType.Ask);
}
var message = string.Format("Incorrect price type: expected Bid or Ask, but received = {0}", type);
throw new ArgumentException("type", message);
}
public string DumpBarsIntervals(string symbol, Periodicity periodicity, FxPriceType priceType)
{
BarsHistoryCache cache;
try
{
_lock.EnterReadLock();
var key = new Tuple <string, Periodicity, FxPriceType>(symbol, periodicity, priceType);
if (!_cachedBars.TryGetValue(key, out cache) || (cache == null))
{
throw new HistoryNotFoundException();
}
}
finally
{
_lock.ExitReadLock();
}
return(cache.DumpIntervals());
}
static void ForwardFillBars(IHistoryManager cache, string symbol, Periodicity periodicity, FxPriceType priceType, DateTime startTime, DateTime endTime, ICollection<HistoryBar> bars)
{
try
{
for (var current = startTime; current < endTime; )
{
var report = cache.QueryBarHistory(current, -RequestedBarsNumber, symbol, periodicity.ToString(), priceType);
var items = report.Items;
foreach (var element in report.Items)
{
if (element.Time >= endTime)
{
return;
}
bars.Add(element);
}
if (items.Count == 0)
{
return;
}
current = items.Last().Time;
current = current + periodicity;
}
}
catch (StorageHistoryNotFoundException)
{
}
}
public TickTraderHistoryInfo GetBarsHistoryInfo(string symbol, Periodicity periodicity, FxPriceType priceType)
{
var apiPriceType = StorageConvert.ToPriceType(priceType);
var apiPeriodicity = StorageConvert.ToBarPeriod(periodicity);
var info = this.dataFeed.Server.GetBarsHistoryFiles(symbol, ZeroDateTime, apiPriceType, apiPeriodicity.ToString());
var result = new TickTraderHistoryInfo
{
AvailableFrom = info.FromAll,
AvailableTo = info.ToAll
};
return(result);
}
void FillRecords(FxPriceType type, QuoteEntry[] entries)
{
for (var index = 0; index < entries.Length; ++index)
{
var entry = entries[index];
var record = new FeedLevel2Record
{
Price = RoundPrice(entry.Price),
Volume = entry.Volume,
Type = type
};
this.records.Add(record);
}
}
public MarketHistoryItemsReport <HistoryBar> QueryBarHistory(DateTime to, int maxBars, string symbol, string periodicity, FxPriceType priceType)
{
var type = FxPriceType.Bid == priceType ? PriceType.Bid : PriceType.Ask;
var period = new BarPeriod(periodicity);
var info = this.dataFeed.Server.GetHistoryBars(symbol, to, -maxBars, type, period);
var result = new MarketHistoryItemsReport <HistoryBar>
{
Items = info.Bars.Select(StorageConvert.ToHistoryBar).ToList(),
AvailableFrom = info.FromAll,
AvailableTo = info.ToAll,
From = info.From.Value,
To = info.To.Value,
LastTickId = !string.IsNullOrEmpty(info.LastTickId) ? FeedTickId.Parse(info.LastTickId) : default(FeedTickId?),
Symbol = symbol
};
return(result);
}
public List <HistoryBar> QueryBarHistoryCache(DateTime to, int maxBars, string symbol, string periodicity, FxPriceType priceType)
{
throw new NotImplementedException();
}
public MarketBarHistoryFileReport QueryBarHistoryFile(DateTime from, DateTime to, string symbol, string periodicity, FxPriceType priceType)
{
if (to != from)
{
throw new Exception("Range bar history queries are unsupported");
}
var type = StorageConvert.ToPriceType(priceType);
return(this.Attempt(this.DoQueryBarHistoryFile, from, symbol, periodicity, type));
}
public MarketHistoryMetaFileReport QueryBarHistoryMetaFile(string symbol, string periodicity, FxPriceType priceType)
{
var result = new MarketHistoryMetaFileReport
{
FileBytes = this.GetBarMetadataFile(symbol, periodicity, priceType)
};
return(result);
}
/// <summary>
/// Reads data chunk for a specified symbol.
/// </summary>
/// <param name="symbol">Can not be null.</param>
/// <param name="periodicity">Can not be null.</param>
/// <param name="priceType"></param>
/// <returns>Can not be null</returns>
byte[] GetBarMetadataFile(string symbol, string periodicity, FxPriceType priceType)
{
var type = StorageConvert.ToPriceType(priceType);
return(this.Attempt(this.DoGetBarMetadataFile, symbol, type, periodicity));
}
static void BackwardFillBars(IHistoryManager cache, string symbol, Periodicity periodicity, FxPriceType priceType, DateTime startTime, DateTime endTime, List<HistoryBar> bars)
{
ForwardFillBars(cache, symbol, periodicity, priceType, endTime, startTime, bars);
bars.Reverse();
}
public List <HistoryBar> GetBarsHistory(string symbol, Periodicity periodicity, FxPriceType priceType, DateTime timestamp, int count)
{
BarsHistoryCache cache;
try
{
_lock.EnterReadLock();
var key = new Tuple <string, Periodicity, FxPriceType>(symbol, periodicity, priceType);
if (!_cachedBars.TryGetValue(key, out cache) || (cache == null))
{
throw new HistoryNotFoundException();
}
}
finally
{
_lock.ExitReadLock();
}
return(cache.GetHistory(timestamp, count));
}
static void ForwardFillBars(IHistoryManager cache, string symbol, Periodicity periodicity, FxPriceType priceType, DateTime startTime, DateTime endTime, ICollection <HistoryBar> bars)
{
try
{
for (var current = startTime; current < endTime;)
{
var report = cache.QueryBarHistory(current, -RequestedBarsNumber, symbol, periodicity.ToString(), priceType);
var items = report.Items;
foreach (var element in report.Items)
{
if (element.Time >= endTime)
{
return;
}
bars.Add(element);
}
if (items.Count == 0)
{
return;
}
current = items.Last().Time;
current = current + periodicity;
}
}
catch (StorageHistoryNotFoundException)
{
}
}
static void BackwardFillBars(IHistoryManager cache, string symbol, Periodicity periodicity, FxPriceType priceType, DateTime startTime, DateTime endTime, List <HistoryBar> bars)
{
ForwardFillBars(cache, symbol, periodicity, priceType, endTime, startTime, bars);
bars.Reverse();
}