//
//
//
//
//
// *********************************************************
// **** CreateBar() ****
// *********************************************************
/// <summary>
/// This is called each time a bar must be created from a snapshot of the current market.
/// New bars are pushed into the BarEventArg.BarList queue and handed to the QueryBuilder
/// for query creation and writing.
/// Called by internal hub thread.
/// </summary>
private void CreateBar(DateTime barTime)
{
//Log.NewEntry(LogLevel.Minor, "DataHub: CreateBar - Bar Creation Started");
BarEventArgs eArg = m_BarEventFactory.Get(); // new version GetBarEventArg();
eArg.unixTime = (int)Utilities.QTMath.DateTimeToEpoch(barTime.ToUniversalTime()); //round this to the floor.
Log.NewEntry(LogLevel.Minor, "CreateBar: Attempting to create bar for timestamp {0} - miliseconds = {1}", eArg.unixTime, barTime.Millisecond);
if ((eArg.unixTime - m_LastBarTimeStamp) > 1)
{ // we have stepped through time in some interval greater than a second....create email alert for debugging purposes
DatabaseWriterEventArgs emailEvent = new DatabaseWriterEventArgs();
emailEvent.Request = DatabaseWriterRequests.SendEmail;
emailEvent.QueryBase.AppendFormat("Data Hub Missed Timestamp. Current timestamp={0} and last timestamp={1} difference is {2} seconds", eArg.unixTime, m_LastBarTimeStamp, eArg.unixTime - m_LastBarTimeStamp);
m_DatabaseWriterHub.HubEventEnqueue(emailEvent);
}
m_LastBarTimeStamp = eArg.unixTime;
//
// Get markets now.
//
UV.Lib.BookHubs.Book aBook;
if (m_Market.TryEnterReadBook(out aBook))
{
foreach (KeyValuePair <int, UV.Lib.BookHubs.Market> aBookMarket in aBook.Instruments)
{
int mySQLID = -1;
if (m_InstrumentsRequested.Contains(aBookMarket.Value.Name) && m_InstrToMySQLID.TryGetValue(aBookMarket.Value.Name, out mySQLID))
{ // we would like to record data for this instrument
if (aBookMarket.Value.Qty[(int)UV.Lib.Utilities.QTMath.BidSide][0] == 0 ||
aBookMarket.Value.Qty[(int)UV.Lib.Utilities.QTMath.AskSide][0] == 0)
{// we have bad data this can happen sometimes in between sessions..
//Log.NewEntry(LogLevel.Major, "CreateBar: Bid Or Ask qty for {0} is equal To zero, skipping bar", aBookMarket.Value.Name);
continue;
}
Bar aBar = m_BarFactory.Get(); // grab a bar!
aBar.mysqlID = mySQLID; // set instrument id
aBar.bidPrice = aBookMarket.Value.Price[(int)UV.Lib.Utilities.QTMath.BidSide][0]; // set best bid
aBar.askPrice = aBookMarket.Value.Price[(int)UV.Lib.Utilities.QTMath.AskSide][0]; // set best ask
aBar.bidQty = aBookMarket.Value.Qty[(int)UV.Lib.Utilities.QTMath.BidSide][0]; // set best bidqty
aBar.askQty = aBookMarket.Value.Qty[(int)UV.Lib.Utilities.QTMath.AskSide][0]; // set best askqty
aBar.lastTradePrice = aBookMarket.Value.LastPrice;
aBar.sessionVolume = aBookMarket.Value.Volume[(int)UV.Lib.Utilities.QTMath.LastSide];
aBar.longVolume = aBookMarket.Value.Volume[(int)UV.Lib.Utilities.QTMath.BidSide];
aBar.shortVolume = aBookMarket.Value.Volume[(int)UV.Lib.Utilities.QTMath.AskSide];
aBar.totalVolume = aBar.longVolume + aBar.shortVolume + aBookMarket.Value.Volume[(int)UV.Lib.Utilities.QTMath.UnknownSide];
aBar.sessionCode = Convert.ToInt32(aBookMarket.Value.IsMarketGood); // flag for trading ==1 or not trading==0
eArg.BarList.Enqueue(aBar);
}
}
m_Market.ExitReadBook(aBook);
}
else
{ // something went wrong here!
Log.NewEntry(LogLevel.Error, " ********* CreateBar: FAILED TO OBTAIN READ FOR BOOK! *********");
}
if (eArg.BarList.Count > 0 && !m_IsDebugMode) // do not write to db in debug mode.
{
m_QueryBuilderHub.HubEventEnqueue(eArg);
}
}//CreateBar().
}//end HubEvent
//
//
//
//
#endregion// Hub Event Handler overrides
#region Public Methods
// *****************************************************************
// **** Public Methods ****
// *****************************************************************
//
//
//***********************************************
// **** Start() ****
//***********************************************
public override void Start()
{
//
// Create needed hubs
//
m_DatabaseWriterHub = new DatabaseWriterHub(m_DataBaseInfo);
m_DatabaseWriterHub.Log.AllowedMessages = LogLevel.ShowAllMessages;
m_DatabaseWriterHub.Log.IsViewActive = true;
m_DatabaseWriterHub.WriteCompleted += new EventHandler(this.HubEventEnqueue);
m_DatabaseWriterHub.Start();
m_QueryBuilderHub = new QueryBuilderHub(this, m_DatabaseWriterHub);
//
// Set datetime bars.
//
DateTime dt = Log.GetTime();
double totalSeconds = dt.Minute * 60.0 + dt.Second;
dt = dt.AddSeconds(-totalSeconds); // rip off minutes and seconds.
totalSeconds = Math.Ceiling(totalSeconds / m_BarTimeStep) * m_BarTimeStep; // rounding off to nearest bar.
totalSeconds += m_BarTimeStep; // increment to next bar.
dt = dt.AddSeconds(totalSeconds); // set bar time.
dt = dt.AddMilliseconds(-dt.Millisecond);
m_NextBar = dt;
base.m_WaitListenUpdatePeriod = 100; // update every n ms
//
// Find stop time.
//
DateTime today = DateTime.Today;
DateTime startTime = DateTime.Now;
m_EndRecordingDateTime = today.AddMinutes(60 * 16 + 20); // we want to stop each day at 4:20 pm
if (m_StopFrequency == StopFrequency.Daily)
{
if (startTime > m_EndRecordingDateTime) // it is already past 4:20, so stop the next day at 4:20
{
m_EndRecordingDateTime = m_EndRecordingDateTime.AddDays(1);
}
}
else if (m_StopFrequency == StopFrequency.Weekly)
{
int daysToAdd = ((int)DayOfWeek.Friday - (int)startTime.DayOfWeek + 7) % 7;
m_EndRecordingDateTime = m_EndRecordingDateTime.AddDays(daysToAdd);
}
Log.NewEntry(LogLevel.Major, "DataHub: Scheduled Shutdown for {0} ", m_EndRecordingDateTime);
//
List <ProductRequest> startingRequestList;
ProductRequest.TryCreateFromFile("ProductRequest.txt", out startingRequestList);
//
// Split requests into smaller subsets to avoid TT Choking.
//
if (startingRequestList.Count > m_MaxProductsPerRequest)
{ // we need to subset.
int reqCount = 0; //dummy counter varialble
while (reqCount < startingRequestList.Count)
{ // iterate through and subset lists until we are completed.
List <ProductRequest> subsettedList = new List <ProductRequest>();
int endOfList = Math.Min(m_MaxProductsPerRequest, startingRequestList.Count - reqCount); //this ensures we don't mess up the indexing
subsettedList = startingRequestList.GetRange(reqCount, endOfList);
m_SplitProdReqs.Add(subsettedList);
reqCount += m_MaxProductsPerRequest;
}
}
else
{
m_SplitProdReqs.Add(startingRequestList); // no need to subset, just add them all.
}
m_nProductRequested = startingRequestList.Count; // store for reporting purposes
//
// Send email's on startup
//
if (m_IsEmailOnStartStop)
{ // we can abuse the DataBaseWrtiter to send start and stop emails
DatabaseWriterEventArgs emailEvent = new DatabaseWriterEventArgs();
emailEvent.Request = DatabaseWriterRequests.SendEmail;
emailEvent.QueryBase.AppendFormat("Data Hub Starting {0}", DateTime.Now);
emailEvent.QueryValues.AppendFormat("Data Hub requesting {0} products to be recorded to {1}. Scheduled for shutdown at {2}",
m_nProductRequested,
m_DataBaseInfo.Location,
m_EndRecordingDateTime);
m_DatabaseWriterHub.HubEventEnqueue(emailEvent);
}
base.Start();
m_IsReadyToRequest = true;
}// Start()