private void UpdateHistoricalData(BarSize barSize)
{
var frequency = barSize; //(BarSize) ((MenuItem) sender).Tag;
int requestCount = 0;
using (var localStorage = DataStorageFactory.Get())
{
foreach (var instrument in selectedInstruments)
{
var storageInfo = localStorage.GetStoredDataInfo(instrument.ID);
if (storageInfo.Any(x => x.Frequency == frequency))
{
var relevantStorageInfo = storageInfo.First(x => x.Frequency == frequency);
Client.RequestHistoricalData(new HistoricalDataRequest(
instrument,
frequency,
relevantStorageInfo.LatestDate +
frequency.ToTimeSpan(),
DateTime.Now,
DataLocation.ExternalOnly,
true));
requestCount++;
}
}
}
if (ProgressBarValue >= ProgressBarMaximum)
{
ProgressBarMaximum = requestCount;
ProgressBarValue = 0;
}
else
{
ProgressBarMaximum += requestCount;
}
}
private void ImportBtn_Click()
{
var sw = new Stopwatch();
sw.Start();
//check that we've got the relevant data needed
if (!Data.Columns.Contains("Date") && !Data.Columns.Contains("DateTime"))
{
MessageBox.Show("Must have a date column.");
return;
}
if (SelectedBarSize < BarSize.OneDay && !Data.Columns.Contains("DateTime") &&
!Data.Columns.Contains("Time"))
{
MessageBox.Show("Must have time column at this frequency");
return;
}
if (!Data.Columns.Contains("Open") ||
!Data.Columns.Contains("High") ||
!Data.Columns.Contains("Low") ||
!Data.Columns.Contains("Close"))
{
MessageBox.Show("Must have all OHLC columns.");
return;
}
//make sure the timezone is set, and get it
if (string.IsNullOrEmpty(_instrument.Exchange.Timezone))
{
MessageBox.Show("Instrument's exchange has no set timezone, can't import.");
return;
}
var tzInfo = TimeZoneInfo.FindSystemTimeZoneById(_instrument.Exchange.Timezone);
//get the multipliers
var parseWorked = decimal.TryParse(PriceMultiplier, out decimal priceMultiplier);
if (!parseWorked)
{
priceMultiplier = 1;
}
parseWorked = int.TryParse(VolumeMultiplier, out int volumeMultiplier);
if (!parseWorked)
{
volumeMultiplier = 1;
}
//lines to skip
parseWorked = int.TryParse(StartingLine, out int toSkip);
if (!parseWorked)
{
toSkip = 1;
}
//get the frequency
var frequency = SelectedBarSize;
//separator
var separator = SelectedDelimeter.ToCharArray();
var bars = new List <OHLCBar>();
var columns = new string[Data.Columns.Count];
for (var i = 0; i < Data.Columns.Count; i++)
{
columns[i] = Data.Columns[i].ColumnName;
}
//determining time: if the freq is >= one day, then the time is simply the session end for this day
var sessionEndTimes = new Dictionary <int, TimeSpan>();
//1 day and up: we can load it all in one go with no trouble, also may require adjustment
var periodicSaving = frequency < BarSize.OneDay;
OHLCBar bar;
var barsCount = 0;
using (var sr = new StreamReader(FilePath))
{
string line;
while ((line = sr.ReadLine()) != null)
{
barsCount++;
if (barsCount < toSkip)
{
continue;
}
try
{
bar = ParseLine(line.Split(separator), columns, priceMultiplier,
volumeMultiplier);
}
catch (Exception ex)
{
MessageBox.Show("Importing error: " + ex.Message);
return;
}
//only add the bar if it falls within the specified date range
if (bar.DateTimeClose >= MinDT && bar.DateTimeClose <= MaxDT)
{
bars.Add(bar);
}
//with 30 bars, we make a check to ensure that the user has entered the correct frequency
if (bars.Count == 30)
{
//the reason we have to use a bunch of bars and look for the most frequent timespan between them
//is that session breaks, daily breaks, weekends, etc. can have different timespans despite the
//correct frequency being chosen
var secDiffs = new List <int>();
for (var i = 1; i < bars.Count; i++)
{
secDiffs.Add(
(int)Math.Round((bars[i].DateTimeClose - bars[i - 1].DateTimeClose).TotalSeconds));
}
var mostFrequent = secDiffs.MostFrequent();
if ((int)Math.Round(frequency.ToTimeSpan().TotalSeconds) != mostFrequent)
{
MessageBox.Show("You appear to have selected the wrong frequency.");
return;
}
}
if (periodicSaving && bars.Count > 1000)
{
//convert to exchange timezone
ConvertTimeZone(bars, tzInfo);
//low frequencies, < 1 day. No adjustment required and inserting data at intervals instead of all at once
using (var storage = DataStorageFactory.Get())
{
try
{
storage.AddData(bars, _instrument, frequency, IsOverwrite, false);
}
catch (Exception ex)
{
MessageBox.Show("Error: " + ex.Message);
}
}
bars.Clear();
}
}
}
if (bars.Count == 0)
{
return;
}
//convert to exchange timezone
ConvertTimeZone(bars, tzInfo);
//if only the date column is set, we need to get the session info and generate the closing time ourselves
if (frequency >= BarSize.OneDay && !Data.Columns.Contains("Time") &&
!Data.Columns.Contains("DateTime"))
{
//get the closing time for every day of the week
var dotwValues = MyUtils.GetEnumValues <DayOfTheWeek>();
foreach (var d in dotwValues)
{
if (_instrument.Sessions.Any(x => x.ClosingDay == d && x.IsSessionEnd))
{
var endTime =
_instrument.Sessions.First(x => x.ClosingDay == d && x.IsSessionEnd)
.ClosingTime;
sessionEndTimes.Add((int)d, endTime);
}
else
{
sessionEndTimes.Add((int)d, TimeSpan.FromSeconds(0));
}
}
foreach (var t in bars)
{
var dayOfWeek = t.DateTimeClose.DayOfWeek.ToInt();
t.DateTimeClose = t.DateTimeClose.Date + sessionEndTimes[dayOfWeek];
}
}
//sort by date
if (frequency >= BarSize.OneDay)
{
bars.Sort((x, y) => x.DateTimeClose.CompareTo(y.DateTimeClose));
}
//try to import
using (var storage = DataStorageFactory.Get())
{
try
{
storage.AddData(bars,
_instrument,
frequency,
IsOverwrite,
frequency >= BarSize.OneDay);
}
catch (Exception ex)
{
MessageBox.Show("Error: " + ex.Message);
}
}
sw.Stop();
MessageBox.Show($"Imported {barsCount} bars in {sw.ElapsedMilliseconds} ms.");
}
