protected void PopulateGrid(IBMessage message)
{
HistoricalDataMessage bar = (HistoricalDataMessage)message;
RealTimeBarMessage rtBar = (RealTimeBarMessage)message;
DateTime start = new DateTime(1970, 1, 1, 0, 0, 0);
DateTime dt = start.AddMilliseconds(rtBar.Timestamp * 1000).ToLocalTime();
String strDT = String.Format("{0:yyyyMMdd HH:mm:ss}", dt);
gridView.Rows.Add(1);
//gridView[0, gridView.Rows.Count - 1].Value = bar.Date;
gridView[0, gridView.Rows.Count - 1].Value = strDT;
gridView[1, gridView.Rows.Count - 1].Value = bar.Close;
gridView[2, gridView.Rows.Count - 1].Value = bar.Open;
gridView[3, gridView.Rows.Count - 1].Value = bar.High;
gridView[4, gridView.Rows.Count - 1].Value = bar.Low;
gridView[5, gridView.Rows.Count - 1].Value = rtBar.LongVolume;
/*
* gridView[0, gridView.Rows.Count - 1].Value = bar.Date;
* gridView[1, gridView.Rows.Count - 1].Value = bar.Open;
* gridView[2, gridView.Rows.Count - 1].Value = bar.High;
* gridView[3, gridView.Rows.Count - 1].Value = bar.Low;
* gridView[4, gridView.Rows.Count - 1].Value = bar.Close;
* gridView[5, gridView.Rows.Count - 1].Value = bar.Volume;
* gridView[6, gridView.Rows.Count - 1].Value = bar.Wap;
* */
}
protected void PopulateGrid(HistoricalDataMessage bar)
{
gridView.Rows.Add(1);
gridView[0, gridView.Rows.Count - 1].Value = bar.Date;
gridView[1, gridView.Rows.Count - 1].Value = bar.Open;
gridView[2, gridView.Rows.Count - 1].Value = bar.High;
gridView[3, gridView.Rows.Count - 1].Value = bar.Low;
gridView[4, gridView.Rows.Count - 1].Value = bar.Close;
gridView[5, gridView.Rows.Count - 1].Value = bar.Volume;
gridView[6, gridView.Rows.Count - 1].Value = bar.Wap;
}
public Boolean updateTimeBarSeries(IBMessage message)
{
Boolean isAdded = false;
if ((!isDataMerged && getNeedMergeFlag()) || !getNeedMergeFlag())
{
return(isAdded);
}
Series <DateTime, MarketDataElement> TimeBarSeries = appMDManager.getTimeBarSeries();
if (TimeBarSeries == null)
{
return(isAdded);
}
HistoricalDataMessage histMessage = (HistoricalDataMessage)message;
double h = Convert.ToDouble(histMessage.High);
double l = Convert.ToDouble(histMessage.Low);
double o = Convert.ToDouble(histMessage.Open);
double c = Convert.ToDouble(histMessage.Close);
double vol = Convert.ToDouble(histMessage.Volume);
DateTime time = DateTime.ParseExact(histMessage.Date.Trim(), "yyyyMMdd HH:mm:ss", CultureInfo.InvariantCulture, DateTimeStyles.AssumeLocal);
MarketDataElement currentHsiData = MarketDataUtil.createHLOC(time, "HLOC", "HSI", "FUT");
currentHsiData.volume = vol;
currentHsiData.time = time;
if (TimeBarSeries == null)
{
TimeBarSeries = new SeriesBuilder <DateTime, MarketDataElement>()
{
{ time, currentHsiData }
}.Series;
isAdded = true;
}
else
{
MarketDataElement element = TimeBarSeries.GetAt(TimeBarSeries.KeyCount - 1);
if (!TimeBarSeries.ContainsKey(time))
{
TimeBarSeries = TimeBarSeries.Merge(new SeriesBuilder <DateTime, MarketDataElement>()
{
{ time, currentHsiData }
}.Series);
isAdded = true;
}
}
return(isAdded);
}
public void AddHistoricalData(int requestId, HistoricalDataMessage data)
{
if (HistoricalData.ContainsKey(requestId))
{
HistoricalData[requestId].Add(data);
}
else
{
HistoricalData.Add(requestId, new List <HistoricalDataMessage> {
data
});
}
}
public void UpdateHistoricalData(IBMessage message)
{
switch (message.Type)
{
case MessageType.HistoricalData:
HistoricalDataMessage hdMsg = (HistoricalDataMessage)message;
if (!HistoricalData.ContainsKey(hdMsg.RequestId))
{
HistoricalData.Add(hdMsg.RequestId, new List <HistoricalDataMessage>());
}
HistoricalData[hdMsg.RequestId].Add(hdMsg);
break;
case MessageType.HistoricalDataEnd:
HistoricalDataEndMessage endMsg = (HistoricalDataEndMessage)message;
int requestId = endMsg.RequestId;
if (!HistoricalData.ContainsKey(requestId))
{
throw new Exception("Received end message with no historical data");
}
HistoricalData[endMsg.RequestId].Sort(HistoricalDataComparer);
if (HistoricalReqIdToContractDesc.ContainsKey(requestId))
{
string contractDesc = HistoricalReqIdToContractDesc[requestId];
if (ContractDescToWPR.ContainsKey(contractDesc))
{
WPRCalculator calc = ContractDescToWPR[contractDesc];
if (HistoricalData.ContainsKey(requestId) &&
(HistoricalData[requestId].Count > 0))
{
List <HistoricalDataMessage> historicalData = HistoricalData[requestId];
HistoricalDataMessage last = historicalData.Last();
calc.OneDayHigh = last.High;
calc.OneDayLow = last.Low;
calc.Close = last.Close;
double fiveDayHigh = -1;
double fiveDayLow = double.MaxValue;
foreach (var item in historicalData)
{
fiveDayHigh = Math.Max(fiveDayHigh, item.High);
fiveDayLow = Math.Min(fiveDayLow, item.Low);
}
calc.FiveDayHigh = fiveDayHigh;
calc.FiveDayLow = (fiveDayLow == double.MaxValue) ? -1 : fiveDayLow;
}
}
}
break;
}
}
public Boolean updatePreMergeHistBarSeries(IBMessage message)
{
Boolean isAdded = false;
if (isDataMerged)
{
return(isAdded);
}
HistoricalDataMessage histMessage = (HistoricalDataMessage)message;
double h = Convert.ToDouble(histMessage.High);
double l = Convert.ToDouble(histMessage.Low);
double o = Convert.ToDouble(histMessage.Open);
double c = Convert.ToDouble(histMessage.Close);
double vol = Convert.ToDouble(histMessage.Volume);
DateTime time = DateTime.ParseExact(histMessage.Date.Trim(), "yyyyMMdd HH:mm:ss", CultureInfo.InvariantCulture, DateTimeStyles.AssumeLocal);
MarketDataElement currentHistData = MarketDataUtil.createHLOC(time, "HLOC", "HSI", "FUT");
MarketDataUtil.setHLOC(currentHistData, h, l, o, c);
currentHistData.volume = vol;
currentHistData.time = time;
if (preMergeHistBarSeries == null)
{
preMergeHistBarSeries = new SeriesBuilder <DateTime, MarketDataElement>()
{
{ time, currentHistData }
}.Series;
isAdded = true;
}
else
{
if (!preMergeHistBarSeries.ContainsKey(time))
{
preMergeHistBarSeries = preMergeHistBarSeries.Merge(new SeriesBuilder <DateTime, MarketDataElement>()
{
{ time, currentHistData }
}.Series);
isAdded = true;
}
}
return(isAdded);
}
public OptionQuote(Contract OptionContract, Contract Underlying, HistoricalDataMessage Quote)
{
this.symbol = OptionContract.LocalSymbol;
this.type = OptionContract.SecType;
this.contractId = OptionContract.ConId;
this.date = DateTime.Parse(Quote.Date);
this.id = this.symbol + " " + this.date.ToString("yyyy-MM-ddTHH:mm:ssZ"); //fixed-length ISO string
this.expiry = (DateTime)Framework.ParseDateTz(OptionContract.LastTradeDateOrContractMonth, DateTime.Now);
this.daysExp = (int)(this.expiry - this.date).TotalDays;
this.strike = OptionContract.Strike;
this.right = OptionContract.Right;
this.bid = Quote.Open;
this.maxAsk = Quote.High;
this.lowBid = Quote.Low;
this.ask = Quote.Close;
this.baseSymbol = Underlying.Symbol;
this.baseType = Underlying.SecIdType;
this.volume = Quote.Volume;
}
//2015-10-27
private Boolean isHistDataRequested(IBMessage message)
{
IAppMDManager appMDMManager = appStrategyManager.getAppMDManager();
switch (message.Type)
{
case MessageType.HistoricalData:
HistoricalDataMessage hMessage = (HistoricalDataMessage)message;
if (appMDMManager.isHistDataAdHocRequested(hMessage.RequestId))
{
return(true);
}
break;
case MessageType.HistoricalDataEnd:
return(false);
break;
}
return(false);
}
//used to update the historical data grid
protected void PopulateHistGrid(IBMessage message)
{
HistoricalDataMessage bar = (HistoricalDataMessage)message;
// DateTime start = new DateTime(1970, 1, 1, 0, 0, 0);
//DateTime dt = start.AddMilliseconds(bar.Timestamp * 1000).ToLocalTime();
//String strDT = String.Format("{0:yyyy-MM-dd HH:mm:ss}", dt);
gridView.Rows.Add(1);
//gridView[0, gridView.Rows.Count - 1].Value = bar.Date;
//gridView[0, gridView.Rows.Count - 1].Value = strDT;
//gridView[0, gridView.Rows.Count - 1].Value = bar.RequestId;
gridView[1, gridView.Rows.Count - 1].Value = bar.Date;
gridView[2, gridView.Rows.Count - 1].Value = bar.Close;
gridView[3, gridView.Rows.Count - 1].Value = bar.Open;
gridView[4, gridView.Rows.Count - 1].Value = bar.High;
gridView[5, gridView.Rows.Count - 1].Value = bar.Low;
gridView[6, gridView.Rows.Count - 1].Value = bar.Volume;
}
public override void UpdateUI(IBMessage message)
{
switch (message.Type)
{
case MessageType.HistoricalData:
var watch = Stopwatch.StartNew();
RTBSynchronizer.updatePreMergeHistBarSeries(message);
Series <DateTime, MarketDataElement> series = appMDManager.getTimeBarSeries();
HistoricalDataMessage histMsg = (HistoricalDataMessage)message;
DateTime time = DateTime.ParseExact(histMsg.Date.Trim(), "yyyyMMdd HH:mm:ss", CultureInfo.InvariantCulture, DateTimeStyles.AssumeLocal);
if (series != null && series.ContainsKey(time))
{
PopulateHistGrid(message);
}
appForm.showMessage("test 1 : " + watch.ElapsedMilliseconds + " millsecond");
break;
case MessageType.HistoricalDataEnd:
PaintChart();
break;
}
}
public void UpdateUI(HistoricalDataMessage message)
{
historicalData.Add(message);
}
void HistoricalDataHandler(HistoricalDataMessage message)
{
throw new NotImplementedException();
}
private void HistoricalDataUpdateHandler(HistoricalDataMessage obj)
{
throw new NotImplementedException();
}
private void UpdateUI(IBMessage message)
{
switch (message.Type)
{
case MessageType.ConnectionStatus:
{
ConnectionStatusMessage status = (ConnectionStatusMessage)message;
if (status.Connected)
{
tssLabel.Text = "Status: Connected - Client ID = " + Client.ClientId;
btnConnect.Text = "Disconnect";
//OneDayWPRTimer = new Timer(new TimerCallback(CalculateWPR), WPRType.OneDay, 0, 60 * 1000);
//FiveDayWPRTimer = new Timer(new TimerCallback(CalculateWPR), WPRType.FiveDay, 0, 60 * 1000);
//WPRTimer = new Timer(new TimerCallback(CalculateWPR), WPRType.Both, 0, 60 * 1000);
}
else
{
tssLabel.Text = "Status: Disconnected";
btnConnect.Text = "Connect";
}
break;
}
case MessageType.Error:
{
ErrorMessage error = (ErrorMessage)message;
string requestId = GetString(error.RequestId, "RequestId");
string code = GetString(error.Code, "Code");
Log($"{(string.IsNullOrEmpty(requestId) ? string.Empty : requestId + ", ")}" +
$"{(string.IsNullOrEmpty(code) ? string.Empty : code + " - ")}" +
$"{error.Message}");
break;
}
case MessageType.Log:
{
LogMessage log = (LogMessage)message;
Log(log.Message);
break;
}
case MessageType.CalculateWPR:
{
//Log(string.Format("{0:MM/dd/yyyy HH:mm:ss} - Calculate WPR", DateTime.Now));
MDManager.UpdateUI(message);
break;
}
case MessageType.TickPrice:
{
MDManager.UpdateUI(message);
break;
}
case MessageType.HistoricalDataEnd:
{
HistoricalDataEndMessage historicalDataEndMessage = (HistoricalDataEndMessage)message;
HandleMessage(new LogMessage(historicalDataEndMessage.ToString()));
MDManager.UpdateHistoricalData(message);
break;
}
case MessageType.HistoricalData:
{
HistoricalDataMessage historicalDataMessage = (HistoricalDataMessage)message;
HandleMessage(new LogMessage(historicalDataMessage.ToString()));
MDManager.UpdateHistoricalData(message);
break;
}
case MessageType.RealTimeBars:
{
RealTimeBarMessage rtbMessage = (RealTimeBarMessage)message;
HandleMessage(new LogMessage(rtbMessage.ToString()));
MDManager.UpdateRealTimeData(rtbMessage);
break;
}
//case MessageType.ScannerData:
//case MessageType.ScannerParameters:
// {
// scannerManager.UpdateUI(message);
// break;
// }
//case MessageType.OpenOrder:
//case MessageType.OpenOrderEnd:
//case MessageType.OrderStatus:
//case MessageType.ExecutionData:
//case MessageType.CommissionsReport:
// {
// orderManager.UpdateUI(message);
// break;
// }
//case MessageType.ManagedAccounts:
// {
// orderManager.ManagedAccounts = ((ManagedAccountsMessage)message).ManagedAccounts;
// accountManager.ManagedAccounts = ((ManagedAccountsMessage)message).ManagedAccounts;
// exerciseAccount.Items.AddRange(((ManagedAccountsMessage)message).ManagedAccounts.ToArray());
// break;
// }
//case MessageType.AccountSummaryEnd:
// {
// accSummaryRequest.Text = "Request";
// accountManager.UpdateUI(message);
// break;
// }
//case MessageType.AccountDownloadEnd:
// {
// break;
// }
//case MessageType.AccountUpdateTime:
// {
// accUpdatesLastUpdateValue.Text = ((UpdateAccountTimeMessage)message).Timestamp;
// break;
// }
//case MessageType.PortfolioValue:
// {
// accountManager.UpdateUI(message);
// if (exerciseAccount.SelectedItem != null)
// optionsManager.HandlePosition((UpdatePortfolioMessage)message);
// break;
// }
//case MessageType.AccountSummary:
//case MessageType.AccountValue:
//case MessageType.Position:
//case MessageType.PositionEnd:
// {
// accountManager.UpdateUI(message);
// break;
// }
//case MessageType.ContractDataEnd:
// {
// searchContractDetails.Enabled = true;
// contractManager.UpdateUI(message);
// break;
// }
//case MessageType.ContractData:
// {
// HandleContractDataMessage((ContractDetailsMessage)message);
// break;
// }
//case MessageType.FundamentalData:
// {
// fundamentalsQueryButton.Enabled = true;
// contractManager.UpdateUI(message);
// break;
// }
//case MessageType.ReceiveFA:
// {
// advisorManager.UpdateUI((AdvisorDataMessage)message);
// break;
// }
//case MessageType.PositionMulti:
//case MessageType.AccountUpdateMulti:
//case MessageType.PositionMultiEnd:
//case MessageType.AccountUpdateMultiEnd:
// {
// acctPosMultiManager.UpdateUI(message);
// break;
// }
//case MessageType.SecurityDefinitionOptionParameter:
//case MessageType.SecurityDefinitionOptionParameterEnd:
// {
// optionsManager.UpdateUI(message);
// break;
// }
//case MessageType.SoftDollarTiers:
// {
// orderManager.UpdateUI(message);
// break;
// }
default:
{
HandleMessage(new ErrorMessage(message.ToString()));
break;
}
}
}
static void Insert(MySqlConnection db, MySqlTransaction tr, string symbol, int granularity, HistoricalDataMessage msg)
{
bool inserted = false;
using (var cmd = new MySqlCommand(@"INSERT IGNORE INTO candles(symbol, date, granularity, open, high, low, close, volume, trades) VALUES((SELECT id FROM symbols WHERE symbol=@symbol LIMIT 1), @date, @granularity, @open, @high, @low, @close, @volume, @trades)", db, tr))
{
cmd.Parameters.Add(new MySqlParameter("@symbol", symbol));
cmd.Parameters.Add(new MySqlParameter("@date", IBtoDateTime(msg.Date)));
cmd.Parameters.Add(new MySqlParameter("@granularity", granularity));
cmd.Parameters.Add(new MySqlParameter("@open", msg.Open));
cmd.Parameters.Add(new MySqlParameter("@high", msg.High));
cmd.Parameters.Add(new MySqlParameter("@low", msg.Low));
cmd.Parameters.Add(new MySqlParameter("@close", msg.Close));
cmd.Parameters.Add(new MySqlParameter("@volume", msg.Volume));
cmd.Parameters.Add(new MySqlParameter("@trades", msg.Count));
inserted = cmd.ExecuteNonQuery() > 0;
}
if (!inserted)
{
using (var cmd = new MySqlCommand(@"UPDATE candles SET open=@open, high=@high, low=@low, close=@close, volume=@volume, trades=@trades WHERE symbol=(SELECT id FROM symbols WHERE symbol=@symbol LIMIT 1) AND date=@date AND granularity=@granularity LIMIT 1", db, tr))
{
cmd.Parameters.Add(new MySqlParameter("@symbol", symbol));
cmd.Parameters.Add(new MySqlParameter("@date", IBtoDateTime(msg.Date)));
cmd.Parameters.Add(new MySqlParameter("@granularity", granularity));
cmd.Parameters.Add(new MySqlParameter("@open", msg.Open));
cmd.Parameters.Add(new MySqlParameter("@high", msg.High));
cmd.Parameters.Add(new MySqlParameter("@low", msg.Low));
cmd.Parameters.Add(new MySqlParameter("@close", msg.Close));
cmd.Parameters.Add(new MySqlParameter("@volume", msg.Volume));
cmd.Parameters.Add(new MySqlParameter("@trades", msg.Count));
}
}
}
public StockOptionQuote(Contract OptionContract, Contract Underlying, HistoricalDataMessage OptionQuote, HistoricalDataMessage StockQuote)
: base(OptionContract, Underlying, OptionQuote)
{
this.basePrice = StockQuote.Close;
}
