static void wc_DownloadStringCompleted(object sender, System.Net.DownloadStringCompletedEventArgs e)
{
string res = string.Empty;
BarListDownload bld = (BarListDownload)e.UserState;
if (!bld.isValid)
{
return;
}
if (e.Cancelled || (e.Error != null))
{
if (bld.AppendAMEXonFail)
{
DayFromGoogleAsync(bld.Symbol + AMEX, bld.DoResults, false);
return;
}
bld.DoResults(new BarListImpl(BarInterval.Day, bld.Symbol));
return;
}
res = e.Result;
BarListImpl bl = new BarListImpl(BarInterval.Day, bld.Symbol);
string[] line = res.Split(Environment.NewLine.ToCharArray());
for (int i = line.Length - 1; i > 0; i--)
{
if (line[i] != "")
{
addbar(bl, BarImpl.FromCSV(line[i]), 0);
}
}
bld.DoResults(bl);
}
private static BarList DayFromURL(string url, string Symbol, bool appendAMEXonfail)
{
BarListImpl bl = new BarListImpl(BarInterval.Day, Symbol);
if (Symbol == "")
{
return(bl);
}
System.Net.WebClient wc = new System.Net.WebClient();
string res = "";
try
{
res = wc.DownloadString(url + Symbol);
}
catch (Exception)
{
if (appendAMEXonfail)
{
return(DayFromURL(url, Symbol + AMEX, false));
}
return(bl);
}
string[] line = res.Split(Environment.NewLine.ToCharArray());
for (int i = line.Length - 1; i > 0; i--)
{
if (line[i] != "")
{
addbar(bl, BarImpl.FromCSV(line[i]), 0);
}
}
return(bl);
}
public Bar GetBar(int index, string symbol)
{
Bar b = new BarImpl();
if ((index < 0) || (index >= _Count)) return b;
b = new BarImpl(opens[index], highs[index], lows[index], closes[index], vols[index], dates[index], times[index], symbol);
if (index == Last()) b.isNew = _isRecentNew;
return b;
}
/// <summary>
/// create ticks from bars on default interval
/// </summary>
/// <param name="bl"></param>
/// <returns></returns>
public static Tick[] Barlist2Tick(BarList bl)
{
List <Tick> k = new List <Tick>(bl.Count * 4);
foreach (Bar b in bl)
{
k.AddRange(BarImpl.ToTick(b));
}
return(k.ToArray());
}
public BarImpl(BarImpl b)
{
v = b.Volume;
h = b.lHigh;
l = b.lLow;
o = b.lOpen;
c = b.lClose;
DAYEND = b.DAYEND;
bartime = b.bartime;
bardate = b.bardate;
}
public BarImpl(BarImpl b)
{
v = b.Volume;
h = b.High;
l = b.Low;
o = b.Open;
c = b.Close;
DAYEND = b.DAYEND;
bartime = b.bartime;
bardate = b.bardate;
}
public BarImpl(BarImpl b)
{
v = b.Volume;
h = b.lHigh;
l = b.lLow;
o = b.lOpen;
c = b.lClose;
DAYEND = b.DAYEND;
_time = b._time;
bardate = b.bardate;
}
public virtual bool SendMessage(MessageTypes type, long source, long dest, long msgid, string request, string response)
{
if (_tl == null)
{
return(false);
}
if (!_tl.RequestFeatureList.Contains(type))
{
SendDebug(type.ToString() + " not supported by " + _tl.Name);
return(false);
}
try
{
// prepare message
switch (type)
{
case MessageTypes.DOMREQUEST:
request = request.Replace(Book.EMPTYREQUESTOR, _tl.Name);
break;
case MessageTypes.BARREQUEST:
{
BarRequest br = BarImpl.ParseBarRequest(request);
br.Client = _tl.Name;
request = BarImpl.BuildBarRequest(br);
}
break;
case MessageTypes.FEATUREREQUEST:
request = _tl.Name;
break;
case MessageTypes.IMBALANCEREQUEST:
request = _tl.Name;
break;
}
// send it
long result = _tl.TLSend(type, request);
string res = result.ToString();
// pass along result
if ((SendMessageResponse != null) && (result != 0))
{
SendMessageResponse(type, source, dest, msgid, request, ref res);
}
return(true);
}
catch (Exception ex)
{
debug("Error on: " + type.ToString() + source + dest + msgid + request + response);
debug(ex.Message + ex.StackTrace);
}
return(false);
}
public Bar GetBar(int index, string symbol)
{
Bar b = new BarImpl();
if (index >= _Count) return b;
else if (index < 0)
{
index = _Count - 1 + index;
if (index < 0) return b;
}
b = new BarImpl(opens[index], highs[index], lows[index], closes[index], vols[index], dates[index], times[index], symbol,intervaltype,intervallength);
if (index == Last()) b.isNew = _isRecentNew;
return b;
}
public static Bar parseline(string line, string sym)
{
string[] values = line.Split(',');
Bar bar = new BarImpl(sym);
DateTime date;
if(DateTime.TryParse(line[DATE], out date))
{
bar.Date = date;
}
decimal priceOpen;
if(decimal.TryParse(line[OPEN], out priceOpen))
{
bar.Open = priceOpen;
}
decimal priceHigh;
if(decimal.TryParse(line[HIGH], out priceHigh))
{
bar.High = priceHigh;
}
decimal priceLow;
if(decimal.TryParse(line[LOW], out priceLow))
{
bar.Low = priceLow;
}
decimal priceClose;
if(decimal.TryParse(line[CLOSE], out priceClose))
{
bar.Close = priceClose;
}
int volume;
if(decimal.TryParse(line[VOLUME], out volume))
{
bar.Volume = volume;
}
int openInterest;
if(decimal.TryParse(line[OPENINTEREST], out volume))
{
bar.OpenInterest = openInterest;
}
return bar;
}
public BarImpl(BarImpl b)
{
_id = b.id;
units = b.units;
_ci = b.CustomInterval;
v = b.Volume;
h = b.lHigh;
l = b.lLow;
o = b.lOpen;
c = b.lClose;
DAYEND = b.DAYEND;
_time = b._time;
bardate = b.bardate;
}
public BarImpl(BarImpl b)
{
_id = b.id;
units = b.units;
_ci = b.CustomInterval;
v = b.Volume;
h = b.lHigh;
l = b.lLow;
o = b.lOpen;
c = b.lClose;
DAYEND = b.DAYEND;
_time = b._time;
bardate = b.bardate;
}
/// <summary>
/// Create a barlist from a succession of bar records provided as comma-delimited OHLC+volume data.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="file">The file containing the CSV records.</param>
/// <returns></returns>
public static BarListImpl FromCSV(string symbol, string file)
{
BarListImpl b = new BarListImpl(BarInterval.Day, symbol);
string[] line = file.Split(Environment.NewLine.ToCharArray());
for (int i = line.Length - 1; i > 0; i--)
{
if (line[i] != string.Empty)
{
addbar(b, BarImpl.FromCSV(line[i]), 0);
}
}
return(b);
}
void bl_GotNewBar(string symbol, int interval)
{
Bar b = bl[-1];
Tick[] ks = BarImpl.ToTick(b);
foreach (Tick t in ks)
{
if (_saveticks)
{
ticks.Add(t);
}
datetimes.Add(t.datetime);
index.Add(idx);
}
}
public Bar GetBar(int index, string symbol)
{
Bar b = new BarImpl();
if ((index < 0) || (index >= _Count))
{
return(b);
}
b = new BarImpl(opens[index], highs[index], lows[index], closes[index], vols[index], dates[index], times[index], symbol);
if (index == Last())
{
b.isNew = _isRecentNew;
}
return(b);
}
public void BarTime()
{
Bar b = new BarImpl(1, 1, 1, 1, 1, 20100302, 93533, "IBM", (int)BarInterval.FiveMin);
Assert.AreEqual(93500, b.Bartime);
Assert.AreEqual(93533, b.time);
Console.WriteLine(b.Bartime + " " + b.time);
b = new BarImpl(1, 1, 1, 1, 1, 20100302, 93533, "IBM", (int)BarInterval.Hour);
Assert.AreEqual(90000, b.Bartime);
Assert.AreEqual(93533, b.time);
Console.WriteLine(b.Bartime + " " + b.time);
b = new BarImpl(1, 1, 1, 1, 1, 20100302, 95504, "IBM", (int)BarInterval.FiveMin);
Assert.AreEqual(95500, b.Bartime);
Assert.AreEqual(95504, b.time);
Console.WriteLine(b.Bartime + " " + b.time);
}
public void Construction()
{
BarImpl b = new BarImpl();
Assert.That(!b.isValid);
Assert.That(!b.isNew);
b.newTick(ticklist[0]);
Assert.That(b.isValid);
Assert.That(b.isNew);
b.newTick(ticklist[1]);
Assert.That(b.isValid);
Assert.That(!b.isNew);
Assert.That(b.Volume == 200);
b.newTick(TickImpl.NewQuote(sym,d,t,0,10m,11m,1,1,x,x));
Assert.That(b.TradeCount == 2);
}
/// <summary>
/// send a message to providers
/// </summary>
/// <param name="type"></param>
/// <param name="source"></param>
/// <param name="dest"></param>
/// <param name="msgid"></param>
/// <param name="message"></param>
/// <param name="result"></param>
/// <returns></returns>
public long TLSend(MessageTypes type, long source, long dest, long msgid, string message, ref string result)
{
v(type.ToString() + " sending to all providers: " + message);
for (int i = 0; i < _pcon.Count; i++)
{
if (_pcon[i].RequestFeatureList.Contains(type))
{
bool showret = false;
// prepare message
switch (type)
{
case MessageTypes.DOMREQUEST:
message = message.Replace(Book.EMPTYREQUESTOR, _pcon[i].Name);
showret = true;
break;
case MessageTypes.BARREQUEST:
{
BarRequest br = BarImpl.ParseBarRequest(message);
br.Client = _pcon[i].Name;
message = BarImpl.BuildBarRequest(br);
showret = true;
}
break;
case MessageTypes.FEATUREREQUEST:
message = _pcon[i].Name;
showret = true;
break;
}
long res = _pcon[i].TLSend(type, message);
result = res.ToString();
if (gotUnknownMessage != null)
{
gotUnknownMessage(type, source, dest, msgid, message, ref result);
}
return(res);
}
else if (VerboseDebugging)
{
v(_pcon[i].BrokerName + " " + _pcon[i].Name + " does not support feature " + type + ", dropping message.");
}
}
return(0);
}
/// <summary>
/// gets specific date range of bars from google
/// </summary>
/// <param name="symbol"></param>
/// <param name="startdate"></param>
/// <param name="enddate"></param>
/// <returns></returns>
public static BarList DayFromGoogle(string symbol, int startdate, int enddate)
{
const string AMEX = ":AMEX";
if ((symbol == null) || (symbol == string.Empty))
{
return(new
BarListImpl());
}
string url = @"http://finance.google.com/finance/historical?
histperiod=daily&startdate=" + startdate + "&enddate=" + enddate + "&output=csv&q=" + symbol;
BarListImpl bl = new BarListImpl(BarInterval.Day, symbol);
System.Net.WebClient wc = new System.Net.WebClient();
string res = "";
try
{
res = wc.DownloadString(url);
}
catch (Exception)
{
if (!symbol.Contains(AMEX))
{
DayFromGoogle(symbol + AMEX, startdate, enddate);
}
return(bl);
}
string[] line = res.Split(Environment.NewLine.ToCharArray());
for (int i = line.Length - 1; i > 0; i--)
{
if (line[i] == "")
{
continue;
}
Bar b = BarImpl.FromCSV(line[i]);
foreach (Tick k in BarImpl.ToTick(b))
{
bl.newTick(k);
}
}
return(bl);
}
public void BarIntervals()
{
BarImpl b = new BarImpl(BarInterval.FiveMin);
int accepts = 0;
foreach (TickImpl k in ticklist)
if (b.newTick(k)) accepts++;
Assert.AreEqual(5, accepts);
b = new BarImpl(BarInterval.FifteenMin);
accepts = 0;
foreach (TickImpl k in ticklist)
if (b.newTick(k)) accepts++;
Assert.AreEqual(9, accepts);
b = new BarImpl(BarInterval.Minute);
accepts = 0;
for (int i = 7; i<ticklist.Length; i++)
if (b.newTick(ticklist[i])) accepts++;
Assert.AreEqual(2,accepts);
}
public Bar GetBar(int index, string symbol)
{
Bar b = new BarImpl();
if (index >= _Count)
{
return(b);
}
else if (index < 0)
{
index = _Count - 1 + index;
if (index < 0)
{
return(b);
}
}
b = new BarImpl(opens[index], highs[index], lows[index], closes[index], vols[index], dates[index], times[index], symbol, intervallength);
if (index == Last())
{
b.isNew = _isRecentNew;
}
return(b);
}
public void SerializeDeseralize_Custom()
{
Bar b = new BarImpl(1, 1, 1, 1, 1, 20100302, 93533, "IBM", (int)BarInterval.CustomVol,10000, OrderImpl.Unique);
g.d(b.Interval + b.CustomInterval.ToString());
Assert.IsTrue(b.isCustom, "org not custom");
string msg = BarImpl.Serialize(b);
Bar cb = BarImpl.Deserialize(msg);
Assert.AreEqual(b.Symbol, cb.Symbol);
Assert.AreEqual(b.time, cb.time);
Assert.AreEqual(b.Interval, cb.Interval);
Assert.AreEqual(b.High, cb.High);
Assert.AreEqual(b.Low, cb.Low);
Assert.AreEqual(b.Open, cb.Open);
Assert.AreEqual(b.Close, cb.Close);
Assert.AreEqual(b.Volume, cb.Volume);
Assert.AreEqual(b.Bardate, cb.Bardate);
Assert.IsTrue(cb.isCustom, "copy not custom");
Assert.AreEqual(b.CustomInterval, cb.CustomInterval,"cust int mismatch");
Assert.AreNotEqual(b.id, 0, "id was zero");
Assert.AreEqual(b.id, cb.id);
}
public void SerializeDeseralize()
{
Bar b = new BarImpl(1, 1, 1, 1, 1, 20100302, 93533, "IBM", (int)BarInterval.FiveMin);
string msg = BarImpl.Serialize(b);
Bar cb = BarImpl.Deserialize(msg);
Assert.AreEqual(b.Symbol, cb.Symbol);
Assert.AreEqual(b.time, cb.time);
Assert.AreEqual(b.Interval, cb.Interval);
Assert.AreEqual(b.High, cb.High);
Assert.AreEqual(b.Low, cb.Low);
Assert.AreEqual(b.Open, cb.Open);
Assert.AreEqual(b.Close, cb.Close);
Assert.AreEqual(b.Volume, cb.Volume);
Assert.AreEqual(b.Bardate, cb.Bardate);
}
void OnReceiveHist(IAsyncResult result)
{
try
{
int bytesReceived = m_hist.EndReceive(result);
string recvdata = Encoding.ASCII.GetString(m_buffhist, 0, bytesReceived);
string rawData = _histbuff ==string.Empty ? recvdata : _histbuff+recvdata;
string[] bars = rawData.Split(Environment.NewLine.ToCharArray());
foreach (string bar in bars)
{
string[] r = bar.Split(',');
// this should get hit on ENDMSG
if (r.Length < 8)
continue;
// get request id
long rid = 0;
if (!long.TryParse(r[0], out rid))
continue;
BarRequest br;
if (!reqid2req.TryGetValue(rid, out br))
continue;
bool errorfree = true;
Bar b = new BarImpl();
try
{
DateTime dt = DateTime.Parse(r[1]);
decimal h = Convert.ToDecimal(r[2]);
decimal l = Convert.ToDecimal(r[3]);
decimal o = Convert.ToDecimal(r[4]);
decimal c = Convert.ToDecimal(r[5]);
long v = Convert.ToInt64(r[7]);
// build bar
b = new BarImpl(o, h, l, c, v, Util.ToTLDate(dt), Util.ToTLTime(dt), br.Symbol, br.Interval);
}
catch { errorfree = false; }
// send it
if (errorfree)
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
}
string lastrecord = bars[bars.Length-1];
if (lastrecord.Contains(HISTEND))
_histbuff = string.Empty;
else
_histbuff = lastrecord;
// wait for more historical data
WaitForData(HISTSOCKET);
}
catch (Exception ex)
{
debug(ex.Message + ex.StackTrace);
}
}
private void m_Session_OnHistMessage(object sender, BWHistResponse histMsg)
{
if (histMsg.Error.Length > 0)
{
debug("ERROR: " + histMsg.Error);
}
else
{
v(histMsg.Symbol + " received bar history data containing " + histMsg.bars.Length + " bars.");
if (histMsg.bars != null && histMsg.bars.Length > 0)
{
string sym = histMsg.Symbol;
foreach (BWBar bar in histMsg.bars)
{
int tlDate = TradeLink.Common.Util.ToTLDate(bar.time);
int tlTime = TradeLink.Common.Util.ToTLTime(bar.time);
Bar tlBar = new BarImpl((decimal)bar.open, (decimal)bar.high, (decimal)bar.low, (decimal)bar.close, (int)bar.volume, tlDate, tlTime,sym,(int)histMsg.Interval);
for (int i = 0; i < tl.NumClients; i++)
tl.TLSend(BarImpl.Serialize(tlBar), MessageTypes.BARRESPONSE, i.ToString());
}
}
//else if (histMsg.ticks != null && histMsg.ticks.Length > 0)
//{
// foreach (BWTickData tick in histMsg.ticks)
// {
// Tick tlTick = new TickImpl(tick.symbol);
// tlTick.ask = (decimal)tick.askprice;
// tlTick.AskSize = (int)tick.asksize;
// tlTick.bid = (decimal)tick.bidprice;
// tlTick.BidSize = (int)tick.bidsize;
// tlTick.trade = (decimal)tick.price;
// tlTick.size = (int)tick.size;
// }
//}
}
}
Bar GetBar(List<string> r)
{
if (type != ConvertMapType.Bar)
return new BarImpl();
Bar b = new BarImpl(get(gi(r,O)), get(gi(r,H)), get(gi(r,L)), get(gi(r,C)), getl(gi(r,V)),
getd(gi(r,DATE)), gett(gi(r,TIME)), gi(r,SYM), geti(gi(r,BI)));
return b;
}
private void m_Session_OnHistMessage(object sender, CBWMsgHistResponse histMsg)
{
if (histMsg.Error.Value.Length > 0)
{
debug("ERROR: " + histMsg.Error);
}
else
{
v(String.Format("{0} received bar history data containing {1} bars.", histMsg.Symbol.Value, histMsg.Bars.Length ));
if (histMsg.Bars != null && histMsg.Bars.Length > 0)
{
string sym = histMsg.Symbol;
foreach (CBWMsgHistResponse.BarData bar in histMsg.Bars)
{
int tlDate = TradeLink.Common.Util.ToTLDate(bar.Time);
int tlTime = TradeLink.Common.Util.ToTLTime(bar.Time);
Bar tlBar = new BarImpl((decimal)bar.Open, (decimal)bar.High, (decimal)bar.Low, (decimal)bar.Close, (int)bar.Volume, tlDate, tlTime, sym, Convert.ToInt32(histMsg.Interval));
for (int i = 0; i < tl.NumClients; i++)
tl.TLSend(BarImpl.Serialize(tlBar), MessageTypes.BARRESPONSE, i.ToString());
}
}
}
}
//pmh MbtHist events ####################################################################################
public void m_HistMgr_OnDataEvent(int lRequestId, object pHist, enumHistEventType evt)
{
debug(String.Format("m_HistMgr_OnDataEvent lRequestId: {0}, evt: {1}", lRequestId, evt));
Bar b;
int date, time;
long vol;
decimal open, high, low, close;
string symbol;
// Notice we are using lRequestId in the original SendRequest()s to indicate whether we're
// dealing with a Day, Min or Tick bar object. Process accordingly.
BarRequest br;
int MbtCustInt;
//pmh ?!? debug("Unknown barrequest handle: ");
if (!_barhandle2barrequest.TryGetValue(lRequestId, out br))
{
debug("Unknown barrequest handle, lRequestId: " + lRequestId);
return;
}
int lRequestType = lRequestId % 10;
switch (lRequestType)
{
case 1:
//pmh ?!? - debug("number of client");
MbtHistDayBar barDay = pHist as MbtHistDayBar;
debug("Day bar, " + barDay.Count + " recs");
barDay.Last();
while (!barDay.Bof)
{
debug("number of client"); //pmh ?!?
symbol = barDay.Symbol; //pmh - 10/4/12 - was absent, but not sure if needed
open = Convert.ToDecimal(barDay.Open, System.Globalization.CultureInfo.InvariantCulture);
high = Convert.ToDecimal(barDay.High, System.Globalization.CultureInfo.InvariantCulture);
low = Convert.ToDecimal(barDay.Low, System.Globalization.CultureInfo.InvariantCulture);
close = Convert.ToDecimal(barDay.Close, System.Globalization.CultureInfo.InvariantCulture);
vol = Convert.ToInt64(barDay.TotalVolume, System.Globalization.CultureInfo.InvariantCulture);
date = Util.ToTLDate(barDay.CloseDate);
time = 0;
MbtCustInt = MbtDayInt2CustInt((int)br.Interval / 100);
b = new BarImpl(open, high, low, close, vol, date, time, barDay.Symbol, MbtCustInt);
debug("number of client" + tl.NumClients);
debug("bar" + BarImpl.Serialize(b));
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
barDay.Previous();
}
//use this message to inform that the data for requestID is completed
tl.TLSend(Convert.ToString(lRequestId), MessageTypes.CUSTOM40, br.Client);
break;
case 2:
MbtHistMinBar barMin = pHist as MbtHistMinBar;
debug("Min bar, " + barMin.Count + " recs");
barMin.Last();
while (!barMin.Bof)
{
symbol = barMin.Symbol; //pmh - 10/4/12 - was absent, but not sure if needed
open = Convert.ToDecimal(barMin.Open, System.Globalization.CultureInfo.InvariantCulture);
high = Convert.ToDecimal(barMin.High, System.Globalization.CultureInfo.InvariantCulture);
low = Convert.ToDecimal(barMin.Low, System.Globalization.CultureInfo.InvariantCulture);
close = Convert.ToDecimal(barMin.Close, System.Globalization.CultureInfo.InvariantCulture);
vol = Convert.ToInt64(barMin.TotalVolume, System.Globalization.CultureInfo.InvariantCulture);
date = Util.ToTLDate(barMin.LocalDateTime);
time = Util.ToTLTime(barMin.LocalDateTime);
MbtCustInt = MbtMinInt2CustInt((int)br.Interval / 100);
b = new BarImpl(open, high, low, close, vol, date, time, barMin.Symbol, MbtCustInt);
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
barMin.Previous();
}
//use this message to inform that the data for requestID is completed
tl.TLSend(Convert.ToString(lRequestId), MessageTypes.CUSTOM40, br.Client);
break;
case 3:
/* pmh
* 0 = All ticks
* 1 = Trade ticks
* 2 = Bid/Ask ticks
* 3 = Bid ticks
* 4 = Ask ticks
*/
MbtHistTick barTick = pHist as MbtHistTick;
debug("Tick bar, " + barTick.Count + " recs (showing only 1 - Trade ticks)");
TickImpl k = new TickImpl(barTick.Symbol);
//MBT default tick data is trade data
int lTickFilter = 1;
barTick.First();
switch (lTickFilter)
{
case 1:
while (!barTick.Bof)
{
k.symbol = barTick.Symbol; //pmh - 10/4/12 - was absent, but not sure if needed
k.trade = Convert.ToDecimal(barTick.Price);
k.ex = barTick.Exchange;
k.size = barTick.Volume;
k.date = Util.ToTLDate(barTick.LocalDateTime);
k.time = Util.ToTLTime(barTick.LocalDateTime);
SendNewTick(k);
barTick.Previous();
};
break;
}
break;
case 4: //pmh - 9/15/12 - PV bars
MbtHistPVBar barPV = pHist as MbtHistPVBar;
debug("PV bar, " + barPV.Count + " recs");
barPV.Last();
while (!barPV.Bof)
{
open = high = low = 0;
symbol = barPV.Symbol; //pmh - 10/4/12 - was absent, but not sure if needed
close = Convert.ToDecimal(barPV.Price, System.Globalization.CultureInfo.InvariantCulture);
vol = Convert.ToInt64(barPV.Volume, System.Globalization.CultureInfo.InvariantCulture);
date = Util.ToTLDate(barPV.LocalDateTime);
time = Util.ToTLTime(barPV.LocalDateTime);
MbtCustInt = MbtMinInt2CustInt((int)br.Interval / 100);
b = new BarImpl(open, high, low, close, vol, date, time, barPV.Symbol, MbtCustInt);
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
barPV.Previous();
}
//use this message to inform that the data for requestID is completed
tl.TLSend(Convert.ToString(lRequestId), MessageTypes.CUSTOM40, br.Client);
break;
}
if (_barrequests.hasItems)
{
// BarRequest br1= new BarRequest();
try
{
br = _barrequests.Read();
submitBarRequest(br);
}
catch (Exception ex)
{
debug("error on historical bar request: " + br.ToString());
debug(ex.Message + ex.StackTrace);
}
}
else waitforhistorical2complete = false;
}
public void InsertBar_MultipleInsert()
{
string sym = "FTI";
int d = 20070926;
var bint = BarInterval.FiveMin;
var bsize = (int)bint;
BarList org = new BarListImpl(bint, sym);
Assert.IsTrue(org.isValid, "your original barlist is not valid 1");
int orgcount = org.Count;
Assert.AreEqual(0, orgcount);
int h = 7;
int m = 55;
for (int i = 0; i < 10; i++)
{
int t = h*10000+m*100;
Bar insert = new BarImpl(30, 30, 30, 30, 10000, d, t, sym, bsize);
Assert.IsTrue(insert.isValid, "your bar to insert is not valid #" + i);
int insertpos = BarListImpl.GetBarIndexPreceeding(org, insert.Bardate, insert.Bartime);
Assert.AreEqual(i - 1, insertpos, "insertion position#" + i);
BarList inserted = BarListImpl.InsertBar(org, insert, insertpos);
Assert.IsTrue(g.ta(i + 1 == inserted.Count, BarListImpl.Bars2String(org)+Environment.NewLine+ BarListImpl.Bars2String(inserted)), "element count after insertion #" + i + " pos: " + insertpos);
m += 5;
if (m >= 60)
{
h += m / 60;
m = m % 60;
}
org = inserted;
}
Assert.AreEqual(orgcount+10, org.Count, "total element count after insertion");
}
public void InsertBar_HistoricalPlusNewBarsPresent()
{
string sym = "FTI";
int d = 20070926;
// historical bar filename
string filename = sym + d + TikConst.DOT_EXT;
// case 3 - middle insertion aka (some historical and some new bars already present)
var org = BarListImpl.FromTIK(filename);
Assert.IsTrue(org.isValid, "your original bar is not valid 3");
var orgcount = org.Count;
Assert.Greater(orgcount,0);
// create bar to insert
var insert = new BarImpl(30, 30, 30, 30, 10000, d, 75500, sym, (int)BarInterval.FiveMin);
Assert.IsTrue(insert.isValid, "your bar to insert is not valid 3");
int insertpos = BarListImpl.GetBarIndexPreceeding(org,insert.Bardate);
var inserted = BarListImpl.InsertBar(org, insert, insertpos);
Assert.AreEqual(inserted.Count,orgcount+1);
var actualinsert = inserted[insertpos];
Assert.IsTrue(actualinsert.isValid);
Assert.AreEqual(insert.Close,actualinsert.Close);
Assert.AreEqual(insert.Open,actualinsert.Open);
Assert.AreEqual(insert.High,actualinsert.High);
Assert.AreEqual(insert.Low,actualinsert.Low);
Assert.AreEqual(insert.Symbol,actualinsert.Symbol);
}
/// <summary>
/// build bar request for certain # of bars back from present
/// </summary>
/// <param name="sym"></param>
/// <param name="barsback"></param>
/// <param name="interval"></param>
/// <returns></returns>
public static string BuildBarRequestBarsBack(string sym, int barsback, int interval)
{
DateTime n = DateTime.Now;
return(BarImpl.BuildBarRequest(new BarRequest(sym, interval, Util.ToTLDate(BarImpl.DateFromBarsBack(barsback, interval, n)), Util.ToTLTime(BarImpl.DateFromBarsBack(barsback, interval, n)), Util.ToTLDate(n), Util.ToTLTime(n), string.Empty)));
}
public virtual bool GotMessage(MessageTypes type, long source, long dest, long msgid, string request, ref string response)
{
long lv = 0;
switch (type)
{
case MessageTypes.BARRESPONSE:
{
try
{
// get bar
Bar b = BarImpl.Deserialize(response);
// quit if bar is invalid
if (!b.isValid)
{
debug(b.Symbol + " ignoring invalid bar message: " + response);
return(true);
}
else
{
v(b.Symbol + " got bar: " + b.ToString());
}
// notify bar was received
if (GotNewBar != null)
{
GotNewBar(b.Symbol, b.Interval);
}
// update blt if desired
if (BLT != null)
{
// get bar list
BarList bl = BLT[b.Symbol, b.Interval];
// convert to ticks
var barticks = BarImpl.ToTick(b);
// insert
for (int i = 0; i < barticks.Length; i++)
{
bl.newTick(barticks[i]);
}
// put it back
BLT[b.Symbol] = bl;
}
}
catch (Exception ex)
{
debug("error receiving bardata: " + response + " err: " + ex.Message + ex.StackTrace);
return(false);
}
return(true);
}
case MessageTypes.CLOSEPRICE:
{
if ((GotClosePrice != null) && long.TryParse(response, out lv))
{
GotClosePrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.OPENPRICE:
{
if ((GotOpenPrice != null) && long.TryParse(response, out lv))
{
GotOpenPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.DAYHIGH:
{
if ((GotHighPrice != null) && long.TryParse(response, out lv))
{
GotHighPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.DAYLOW:
{
if ((GotLowPrice != null) && long.TryParse(response, out lv))
{
GotLowPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.NYSEDAYHIGH:
{
if ((GotNyseHighPrice != null) && long.TryParse(response, out lv))
{
GotNyseHighPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.NYSEDAYLOW:
{
if ((GotNyseLowPrice != null) && long.TryParse(response, out lv))
{
GotNyseLowPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.INTRADAYHIGH:
{
if ((GotIntraHighPrice != null) && long.TryParse(response, out lv))
{
GotIntraHighPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.INTRADAYLOW:
{
if ((GotIntraLowPrice != null) && long.TryParse(response, out lv))
{
GotIntraLowPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.BROKERNAME:
{
if (GotProvider != null)
{
try
{
Providers p = (Providers)Enum.Parse(typeof(Providers), response);
GotProvider(p);
}
catch (Exception ex)
{
debug("Unknown provider: " + response);
debug(ex.Message + ex.StackTrace);
return(false);
}
}
return(true);
}
case MessageTypes.FEATURERESPONSE:
{
if (GotFeatures != null)
{
string[] r = response.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
foreach (string rs in r)
{
try
{
MessageTypes mt = (MessageTypes)Enum.Parse(typeof(MessageTypes), rs);
f.Add(mt);
}
catch { continue; }
}
if (f.Count > 0)
{
GotFeatures(f.ToArray());
}
}
return(true);
}
default:
v("ignoring message: " + type + " " + request + " " + response);
return(true);
}
}
public void InsertBar_NoexistingBars()
{
string sym = "FTI";
int d = 20070926;
// historical bar filename
string filename = sym+d+TikConst.DOT_EXT;
// test for the parameter's prescence
Assert.IsNotEmpty(filename,"forgot to assign insert bar filename");
// unit test case 1 no existing bars aka (empty or brand-new insertion)
BarList org = new BarListImpl(BarInterval.FiveMin,sym);
Assert.IsTrue(org.isValid, "your original barlist is not valid 1");
int orgcount = org.Count;
Assert.AreEqual(0,orgcount);
// make up a bar here (eg at 755 in FTI there are no ticks so this should add a new bar in most scenarios)
Bar insert = new BarImpl(30,30,30,30,10000,d,75500,sym,(int)BarInterval.FiveMin);
Assert.IsTrue(insert.isValid,"your bar to insert is not valid 1");
BarList inserted = BarListImpl.InsertBar(org,insert,org.Count);
Assert.AreEqual(inserted.Count,orgcount+1);
Bar actualinsert = inserted.RecentBar;
Assert.IsTrue(actualinsert.isValid);
Assert.AreEqual(insert.Close,actualinsert.Close);
Assert.AreEqual(insert.Open,actualinsert.Open);
Assert.AreEqual(insert.High,actualinsert.High);
Assert.AreEqual(insert.Low,actualinsert.Low);
Assert.AreEqual(insert.Symbol,actualinsert.Symbol);
}
public static BarList DayFromEuronext(string isin, DateTime?startDate, DateTime?endDate)
{
string market;
string urlTemplate =
@"http://www.euronext.com/tools/datacentre/dataCentreDownloadExcell.jcsv?cha=2593&lan=EN&fileFormat=txt&separator=.&dateFormat=dd/MM/yy" +
"&isinCode=[symbol]&selectedMep=[market]&indexCompo=&opening=on&high=on&low=on&closing=on&volume=on&dateFrom=[startDay]/[startMonth]/[startYear]&" +
"dateTo=[endDay]/[endMonth]/[endYear]&typeDownload=2";
if (!endDate.HasValue)
{
endDate = DateTime.Now;
}
if (!startDate.HasValue)
{
startDate = DateTime.Now.AddYears(-5);
}
if (isin == null || !Regex.IsMatch(isin, "[A-Za-z0-9]{12}"))
{
throw new ArgumentException("Invalid ISIN: " + isin);
}
/* ugly hack to get the market number from the isin (not always valid..) */
CompareInfo myComp = CultureInfo.InvariantCulture.CompareInfo;
if (myComp.IsPrefix(isin, "BE"))
{
market = "3";
}
else if (myComp.IsPrefix(isin, "FR"))
{
market = "1";
}
else if (myComp.IsPrefix(isin, "NL"))
{
market = "2";
}
else if (myComp.IsPrefix(isin, "PT"))
{
market = "5";
}
else
{
market = "1";
}
string startMonth = startDate.Value.Month.ToString();
string startDay = startDate.Value.Day.ToString();
string startYear = startDate.Value.Year.ToString();
string endMonth = endDate.Value.Month.ToString();
string endDay = endDate.Value.Day.ToString();
string endYear = endDate.Value.Year.ToString();
urlTemplate = urlTemplate.Replace("[symbol]", isin);
urlTemplate = urlTemplate.Replace("[market]", market);
urlTemplate = urlTemplate.Replace("[startMonth]", startMonth);
urlTemplate = urlTemplate.Replace("[startDay]", startDay);
urlTemplate = urlTemplate.Replace("[startYear]", startYear);
urlTemplate = urlTemplate.Replace("[endMonth]", endMonth);
urlTemplate = urlTemplate.Replace("[endDay]", endDay);
urlTemplate = urlTemplate.Replace("[endYear]", endYear);
BarListImpl bl = new BarListImpl(BarInterval.Day, isin);
System.Net.WebClient wc = new System.Net.WebClient();
StreamReader res;
try
{
res = new StreamReader(wc.OpenRead(urlTemplate));
int skipCount = 0;
string tmp = null;
do
{
tmp = res.ReadLine();
if (skipCount++ < 7)
{
continue;
}
tmp = tmp.Replace(";", ",");
Bar b = BarImpl.FromCSV(tmp, isin, (int)BarInterval.Day);
foreach (Tick k in BarImpl.ToTick(b))
{
bl.newTick(k);
}
} while (tmp != null);
}
catch (Exception)
{
return(bl);
}
return(bl);
}
public virtual bool GotMessage(MessageTypes type, long source, long dest, long msgid, string request, ref string response)
{
long lv = 0;
switch (type)
{
case MessageTypes.CLOSEPRICE:
{
if ((GotClosePrice != null) && long.TryParse(response, out lv))
{
GotClosePrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.OPENPRICE:
{
if ((GotOpenPrice != null) && long.TryParse(response, out lv))
{
GotOpenPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.DAYHIGH:
{
if ((GotHighPrice != null) && long.TryParse(response, out lv))
{
GotHighPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.DAYLOW:
{
if ((GotLowPrice != null) && long.TryParse(response, out lv))
{
GotLowPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.NYSEDAYHIGH:
{
if ((GotNyseHighPrice != null) && long.TryParse(response, out lv))
{
GotNyseHighPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.NYSEDAYLOW:
{
if ((GotNyseLowPrice != null) && long.TryParse(response, out lv))
{
GotNyseLowPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.INTRADAYHIGH:
{
if ((GotIntraHighPrice != null) && long.TryParse(response, out lv))
{
GotIntraHighPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.INTRADAYLOW:
{
if ((GotIntraLowPrice != null) && long.TryParse(response, out lv))
{
GotIntraLowPrice(request, WMUtil.unpack(lv));
}
return(true);
}
case MessageTypes.BROKERNAME:
{
if (GotProvider != null)
{
try
{
Providers p = (Providers)Enum.Parse(typeof(Providers), response);
GotProvider(p);
}
catch (Exception ex)
{
debug("Unknown provider: " + response);
debug(ex.Message + ex.StackTrace);
return(false);
}
}
return(true);
}
case MessageTypes.FEATURERESPONSE:
{
if (GotFeatures != null)
{
string[] r = response.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
foreach (string rs in r)
{
try
{
MessageTypes mt = (MessageTypes)Enum.Parse(typeof(MessageTypes), rs);
f.Add(mt);
}
catch { continue; }
}
if (f.Count > 0)
{
GotFeatures(f.ToArray());
}
}
return(true);
}
case MessageTypes.BARRESPONSE:
{
try
{
// get bar
Bar b = BarImpl.Deserialize(response);
// quit if bar is invalid
if (!b.isValid)
{
return(true);
}
// notify bar was received
if (GotNewBar != null)
{
GotNewBar(b.Symbol, b.Interval);
}
// update blt if desired
if (BLT != null)
{
// get bar list
BarList bl = BLT[b.Symbol, b.Interval];
//cjyu
//return if bar already exists
//if (BarListImpl.BarExists(bl, b))
// return true;
// get nearest intrday bar
int preceed = BarListImpl.GetBarIndexPreceeding(bl, b.Bardate, b.Bartime);
// increment by one to get new position
int newpos = preceed + 1;
// insert bar
BLT[b.Symbol] = BarListImpl.InsertBar(bl, b, newpos);
}
}
catch (Exception ex)
{
debug("error receiving bardata: " + response + " err: " + ex.Message + ex.StackTrace);
return(false);
}
return(true);
}
break;
}
return(false);
}
void OnReceiveHist(IAsyncResult result)
{
try
{
int bytesReceived = m_hist.EndReceive(result);
var records = getrecords(m_buffhist, bytesReceived);
// mark record processing status
var lastrecordprocessed = false;
var lastrecordidx = records.Length - 1;
// process records
for (int i = 0; i<records.Length; i++)
{
// get record
var rec = records[i];
// mark it's status
lastrecordprocessed = false;
// skip empty data
if (string.IsNullOrWhiteSpace(rec))
continue;
// look for misc responses
if (checkhistproto && rec.Contains(expecthistproto))
{
checkhistproto = false;
rec = rec.Replace(expecthistproto, string.Empty);
records[i] = rec;
lastrecordprocessed = i == lastrecordidx;
v("hist protocol ack:" + expecthistproto);
}
string[] r = rec.Split(',');
// test for request id and response type
BarRequest br = new BarRequest();
var prev = (i == 0) ? string.Empty : records[i - 1];
if (isrecorddone(rec, r, prev, out br))
{
v("hist processed: " + rec);
lastrecordprocessed = i == lastrecordidx;
continue;
}
else if (i==lastrecordidx)
{
lastrecordprocessed = false;
}
Bar b = new BarImpl();
try
{
if (br.isValid)
{
if (br.BarInterval == BarInterval.Day)
{
DateTime dt = DateTime.MinValue;
if (!DateTime.TryParse(r[1], System.Globalization.CultureInfo.InvariantCulture, System.Globalization.DateTimeStyles.NoCurrentDateDefault, out dt))
{
v("hist can't parse date: " + r[1] + " data: " + rec);
continue;
}
decimal o, h, l, c;
long vol;
if (!decimal.TryParse(r[2], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out h))
{
v("hist can't parse high: " + r[2] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[3], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out l))
{
v("hist can't parse low: " + r[3] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[4], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out o))
{
v("hist can't parse open: " + r[4] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[5], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out c))
{
v("hist can't parse close: " + r[5] + " data: " + rec);
continue;
}
else if (!long.TryParse(r[6], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out vol))
{
v("hist can't parse vol: " + r[6] + " data: " + rec);
continue;
}
// mark iqfeed processing status
lastrecordprocessed = i == lastrecordidx;
// build bar
b = new BarImpl(o, h, l, c, vol, Util.ToTLDate(dt), Util.ToTLTime(dt), br.symbol, br.Interval,br.CustomInterval,br.ID);
if (VerboseDebugging)
debug("hist got bar: " + b);
}
else
{
DateTime dt = DateTime.MinValue;
if (!DateTime.TryParse(r[1], System.Globalization.CultureInfo.InvariantCulture, System.Globalization.DateTimeStyles.NoCurrentDateDefault, out dt))
{
v("hist can't parse date: " + r[1] + " data: " + rec);
continue;
}
decimal o, h, l, c;
long vol;
if (!decimal.TryParse(r[2], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out h))
{
v("hist can't parse high: " + r[2] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[3], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out l))
{
v("hist can't parse low: " + r[3] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[4], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out o))
{
v("hist can't parse open: " + r[4] + " data: " + rec);
continue;
}
else if (!decimal.TryParse(r[5], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out c))
{
v("hist can't parse close: " + r[5] + " data: " + rec);
continue;
}
else if (!long.TryParse(r[7], System.Globalization.NumberStyles.Number, System.Globalization.CultureInfo.InvariantCulture, out vol))
{
v("hist can't parse vol: " + r[7] + " data: " + rec);
continue;
}
// mark iqfeed processing status
lastrecordprocessed = i == lastrecordidx;
// build bar
b = new BarImpl(o, h, l, c, vol, Util.ToTLDate(dt), Util.ToTLTime(dt), br.symbol, br.Interval,br.CustomInterval,br.ID);
if (VerboseDebugging)
debug("hist got bar: " + b);
}
}
}
catch (Exception ex)
{
v("hist ohlc parse err: " + ex.Message + ex.StackTrace + " data: " + rec);
b = new BarImpl();
}
// send it
if (b.isValid)
{
var barserial = BarImpl.Serialize(b);
if (VerboseDebugging)
debug("hist sending response to: "+br.ID+" int: "+ b.Interval + " bar: " + b.ToString() + " to: " + br.Client + " using data: " + rec);
try
{
tl.TLSend(barserial, MessageTypes.BARRESPONSE, br.Client);
if (VerboseDebugging)
debug("hist sent " + b.Symbol + " bar in response to: " + br.ID);
}
catch (Exception ex)
{
debug("hist send error: " + ex.Message + ex.StackTrace + " on: " + barserial + " to: " + br.Client);
}
}
}
if (!lastrecordprocessed)
{
string lastrecord = records[lastrecordidx];
var endidx = lastrecord.IndexOf(HISTEND);
if (endidx >= 0)
{
lastrecord = lastrecord.Substring(endidx, HISTEND.Length);
v("hist got " + HISTEND);
}
if (!string.IsNullOrWhiteSpace(lastrecord))
{
_histbuff = lastrecord;
v("hist saving: " + _histbuff + " for more data.");
}
}
// wait for more historical data
WaitForData(HISTSOCKET);
}
catch (SocketException)
{
v("hist connection closed.");
}
catch (Exception ex)
{
debug(ex.Message + ex.StackTrace);
}
}
void processhistory(int lHandle,BarRequest br)
{
int numbars = esig.get_GetNumBars(lHandle);
if (numbars == 0)
{
verb("no bars available for reqhandle: " + lHandle);
return;
}
numbars *= -1;
for (int i = numbars; i<=0; i++)
{
try
{
BarData bd = esig.get_GetBar(lHandle, i);
if (VerboseDebugging)
verb(br.symbol + " " + bd.dtTime.ToString() + " " + bd.dOpen + " " + bd.dHigh + " " + bd.dLow + " " + bd.dClose + " " + bd.dVolume);
Bar b = new BarImpl((decimal)bd.dOpen, (decimal)bd.dHigh, (decimal)bd.dLow, (decimal)bd.dClose, (long)bd.dVolume, Util.ToTLDate(bd.dtTime), Util.ToTLTime(bd.dtTime), br.symbol, br.Interval);
string msg = BarImpl.Serialize(b);
if (!b.isValid && !AllowSendInvalidBars)
{
debug("Not sending invalid bar: " + b.ToString()+" raw: "+msg);
continue;
}
tl.TLSend(msg, MessageTypes.BARRESPONSE, br.Client);
}
catch (Exception ex)
{
verb("error obtaining bar: " + i + " from: " + lHandle);
verb(ex.Message + ex.StackTrace);
}
}
if (ReleaseBarHistoryAfteRequest)
{
try
{
esig.ReleaseHistory(lHandle);
_barhandle2barrequest.Remove(lHandle);
}
catch { }
}
}
public void m_Hist_OnDataEvent(int lRequestId, object pHist, enumHistEventType evt)
{
debug("Processing Id: " + lRequestId + " evt: " + evt);
Bar b;
int date, time; long vol;
decimal open, high, low, close;
string symbol;
// Notice we are using lRequestId in the original SendRequest()s to indicate whether we're
// dealing with a Day, Min or Tick bar object. Process accordingly.
BarRequest br;
int MbtCustInt;
debug("Unknown barrequest handle: ");
if (!_barhandle2barrequest.TryGetValue(lRequestId, out br))
{
debug("Unknown barrequest handle: " + lRequestId);
return;
}
int lRequestType = lRequestId % 10;
switch (lRequestType)
{
case 1:
debug("number of client");
MbtHistDayBar mhd = pHist as MbtHistDayBar;
mhd.Last();
while (!mhd.Bof)
{
debug("number of client");
open = Convert.ToDecimal(mhd.Open, System.Globalization.CultureInfo.InvariantCulture);
high = Convert.ToDecimal(mhd.High, System.Globalization.CultureInfo.InvariantCulture);
low = Convert.ToDecimal(mhd.Low, System.Globalization.CultureInfo.InvariantCulture);
close = Convert.ToDecimal(mhd.Close, System.Globalization.CultureInfo.InvariantCulture);
vol = Convert.ToInt64(mhd.TotalVolume, System.Globalization.CultureInfo.InvariantCulture);
date = Util.ToTLDate(mhd.CloseDate);
time = 0;
MbtCustInt = MbtDayInt2CustInt((int)br.Interval / 100);
b = new BarImpl(open, high, low, close, vol, date, time, mhd.Symbol, MbtCustInt);
debug("number of client" + tl.NumClients);
debug("bar" + BarImpl.Serialize(b));
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
mhd.Previous();
}
//use this mesage to inform that the data for requestID is compeleted
tl.TLSend(Convert.ToString(lRequestId), MessageTypes.CUSTOM40, br.Client);
break;
case 2:
MbtHistMinBar mhm = pHist as MbtHistMinBar;
mhm.Last();
while (!mhm.Bof)
{
open = Convert.ToDecimal(mhm.Open, System.Globalization.CultureInfo.InvariantCulture);
high = Convert.ToDecimal(mhm.High, System.Globalization.CultureInfo.InvariantCulture);
low = Convert.ToDecimal(mhm.Low, System.Globalization.CultureInfo.InvariantCulture);
close = Convert.ToDecimal(mhm.Close, System.Globalization.CultureInfo.InvariantCulture);
vol = Convert.ToInt64(mhm.TotalVolume, System.Globalization.CultureInfo.InvariantCulture);
date = Util.ToTLDate(mhm.LocalDateTime);
time = Util.ToTLTime(mhm.LocalDateTime);
MbtCustInt = MbtMinInt2CustInt((int)br.Interval / 100);
b = new BarImpl(open, high, low, close, vol, date, time, mhm.Symbol, MbtCustInt);
tl.TLSend(BarImpl.Serialize(b), MessageTypes.BARRESPONSE, br.Client);
mhm.Previous();
}
//use this mesage to inform that the data for requestID is compeleted
tl.TLSend(Convert.ToString(lRequestId), MessageTypes.CUSTOM40, br.Client);
break;
case 3:
MbtHistTick mht = pHist as MbtHistTick;
TickImpl k = new TickImpl(mht.Symbol);
//MBT default tick data is trade data
int lTickFilter = 1;
mht.First();
switch (lTickFilter)
{
case 1:
while (!mht.Bof)
{
k.trade = Convert.ToDecimal(mht.Price);
k.ex = mht.Exchange;
k.size = mht.Volume;
k.date = Util.ToTLDate(mht.LocalDateTime);
k.time = Util.ToTLTime(mht.LocalDateTime);
SendNewTick(k);
mht.Previous();
}
; break;
}
break;
}
if (_barrequests.hasItems)
{
// BarRequest br1= new BarRequest();
try
{
br = _barrequests.Read();
submitBarRequest(br);
}
catch (Exception ex)
{
debug("error on historical bar request: " + br.ToString());
debug(ex.Message + ex.StackTrace);
}
}
else waitforhistorical2complete = false;
}
public static Bar GetRandomBar(string sym, int intervaltype, int custinterval, int date, int time)
{
// send some bars back
var b = new BarImpl();
while (!b.isValid)
{
var p = (decimal)r.NextDouble() * 100;
var d = (decimal)Math.Round(r.NextDouble(), 2);
var v = r.Next(1000, 100000);
var dt = Util.ToDateTime(date, time);
b = new BarImpl(p, p + d * 3, p - d * 5, p - d, v, Util.ToTLDate(dt), Util.ToTLTime(dt), sym, intervaltype,custinterval);
}
return b;
}
public void InsertBar_HistoricalBarsPresent()
{
string sym = "FTI";
int d = 20070926;
// historical bar filename
string filename = sym + d + TikConst.DOT_EXT;
// unit test case 2 existing bars with front insertion (aka historical bar insert)
var org = BarListImpl.FromTIK(filename);
Assert.IsTrue(org.isValid, "your original bar is not valid 2");
var orgcount = org.Count;
Assert.Greater(orgcount,0);
// create bar to insert
var insert = new BarImpl(30, 30, 30, 30, 10000, d, 75500, sym, (int)BarInterval.FiveMin);
Assert.IsTrue(insert.isValid, "your bar to insert is not valid 2");
var inserted = BarListImpl.InsertBar(org,insert,0);
Assert.AreEqual(inserted.Count,orgcount+1);
var actualinsert = inserted[0];
Assert.IsTrue(actualinsert.isValid);
Assert.AreEqual(insert.Close,actualinsert.Close);
Assert.AreEqual(insert.Open,actualinsert.Open);
Assert.AreEqual(insert.High,actualinsert.High);
Assert.AreEqual(insert.Low,actualinsert.Low);
Assert.AreEqual(insert.Symbol,actualinsert.Symbol);
}
