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);
}
public IEnumerable <Bar> QueryQuoteHistoryBarsRange(DateTime from, DateTime to, string symbol, string pereodicity, PriceType priceType)
{
if (!IsConnected)
{
throw new Exception("Client is not connected!");
}
if (to < from)
{
DateTime temp = from;
from = to;
to = temp;
}
var periodicity = Periodicity.Parse(pereodicity);
var timestamp = periodicity.GetPeriodStartTime(from);
var last = timestamp;
var filename = periodicity + " " + priceType.ToString("g").ToLowerInvariant();
var zipSerializer = new ItemsZipSerializer <HistoryBar, List <HistoryBar> >(BarFormatter.Default, filename);
var txtSerializer = new ItemsTextSerializer <HistoryBar, List <HistoryBar> >(BarFormatter.Default, filename);
do
{
List <byte[]> content = QueryQuoteHistoryBarsFilesInternal(timestamp, symbol, pereodicity, priceType);
foreach (var file in content)
{
List <HistoryBar> historyBars;
if ((file.Length >= 4) && (file[0] == 0x50) && (file[1] == 0x4b) && (file[2] == 0x03) && (file[3] == 0x04))
{
historyBars = zipSerializer.Deserialize(file);
}
else
{
historyBars = txtSerializer.Deserialize(file);
}
foreach (var historyBar in historyBars)
{
if (historyBar.Time < from)
{
continue;
}
if (historyBar.Time > to)
{
break;
}
if (historyBar.Time <= last)
{
continue;
}
last = historyBar.Time;
yield return(new Bar
{
Time = historyBar.Time,
Open = historyBar.Open,
High = historyBar.Hi,
Low = historyBar.Low,
Close = historyBar.Close,
Volume = (decimal)historyBar.Volume
});
}
}
if (periodicity.Interval == TimeInterval.Second)
{
if (periodicity.IntervalsCount < 10)
{
timestamp = timestamp.AddHours(1);
}
else
{
timestamp = timestamp.AddDays(1);
}
}
else if (periodicity.Interval == TimeInterval.Minute)
{
if (periodicity.IntervalsCount < 5)
{
timestamp = timestamp.AddDays(1);
}
else
{
timestamp = timestamp.AddMonths(1);
}
}
else
{
timestamp = timestamp.AddMonths(1);
}
} while (timestamp < to);
}