private Tick CreateDerivativeTick(QuoteStreamDefinition tsd, SecurityType derivativeType = SecurityType.Equity)
{
Symbol symbol = null;
//TODO: fix this hackiness
if (derivativeType == SecurityType.Option)
{
symbol = _symbolMapper.OptionNameResolver.FirstOrDefault(x => x.Value == tsd.Symbol).Key;
if (symbol == null)
{
symbol = _subscriptions.FirstOrDefault(x => x.Key.Value.StartsWith("?") && x.Key.ID.Symbol == tsd.Symbol && x.Key.SecurityType == SecurityType.Option).Key;
}
}
else
{
symbol = _subscriptions.FirstOrDefault(x => x.Key.ID.Symbol == tsd.Symbol && x.Key.SecurityType == derivativeType).Key;
}
// Not subscribed to this symbol.
if (symbol == null)
{
//Log.Trace("TradeStation.DataQueueHandler.Stream(): Not subscribed to symbol " + tsd.Symbol);
return(null);
}
//this is bad/useless data
//if (tsd.TradeTime == DateTime.MinValue) return null;
//TODO: hack fix
tsd.TradeTime = GetRealTimeTickTime(symbol);
var tick = new Tick
{
Exchange = tsd.Exchange,
TickType = symbol.ID.SecurityType == SecurityType.Option ? TickType.Quote : TickType.Trade,
Quantity = (int)tsd.Volume,
Time = tsd.TradeTime,
EndTime = tsd.TradeTime,
Symbol = symbol,
//DataType = MarketDataType.Tick,
Suspicious = false,
Value = (decimal)tsd.Last,
AskPrice = (decimal)tsd.Ask,
AskSize = (decimal)tsd.AskSize,
BidPrice = (decimal)tsd.Bid,
BidSize = (decimal)tsd.BidSize
};
/*
* if (tick.TickType == TickType.Quote)
* {
* Console.WriteLine("got option quote: {0}\t= {1}, {2}", tick.Symbol.ToString(), tick.Value, tick.Time);
* }
*/
return(tick);
}
private void mergeQuote(QuoteStreamDefinition source, QuoteStreamDefinition target)
{
//we only care about the things needed to create a valid 'Tick' object
target.Exchange = target.Exchange != null ? target.Exchange : source.Exchange;
target.Volume = target.Volume != null ? target.Volume : 0;
target.TradeTime = target.TradeTime > DateTime.MinValue ? target.TradeTime : source.TradeTime;
target.Last = target.Last != null ? target.Last : source.Last;
target.Ask = target.Ask != null ? target.Ask : source.Ask;
target.AskSize = target.AskSize != null ? target.AskSize : source.AskSize;
target.Bid = target.Bid != null ? target.Bid : source.Bid;
target.BidSize = target.BidSize != null ? target.BidSize : source.BidSize;
}
/// <summary>
/// Connect to tradier API strea:
/// </summary>
/// <param name="symbols">symbol list</param>
/// <returns></returns>
private IEnumerable <QuoteStreamDefinition> Stream()
{
if (_tradestationStream != null)
{
//only 1 is allowed at a time
_tradestationStream.Close();
}
//Tradestation will send a full quote first, then only changes. We need to keep track of the full one,
// and merge in the changed one.
var activeQuotes = new Dictionary <string, QuoteStreamDefinition>();
//Gather together all the symbols we want to subscribe to
var symbols = new HashSet <string>();
foreach (var sub in _subscriptions)
{
if (sub.Key.Value.StartsWith("?"))
{
//resolve derivative
symbols.Add(sub.Key.ID.Symbol);
}
else if (sub.Key.SecurityType == SecurityType.Option)
{
if (_symbolMapper.OptionNameResolver.ContainsKey(sub.Key))
{
symbols.Add(_symbolMapper.OptionNameResolver[sub.Key]);
}
else
{
Log.Error("No option symbol was resolved for " + sub.Key.Value);
}
}
else
{
symbols.Add(sub.Value);
}
}
var symbolJoined = String.Join(",", symbols);
Log.Trace("TradeStation.Stream(): Creating new session, Reading Stream... (" + symbols.Count + " tickers)", true);
HttpWebRequest request;
request = (HttpWebRequest)WebRequest.Create(String.Format("{0}/stream/quote/changes/{1}?access_token={2}", _tradeStationClient.BaseUrl, symbolJoined, _accessToken));
request.Timeout = 30 * 1000;
request.Accept = "application/vnd.tradestation.streams+json";
//Get response as a stream:
try
{
var response = (HttpWebResponse)request.GetResponse();
if (response.StatusCode != HttpStatusCode.OK)
{
Log.Trace("TradeStation.DataQueueHandler.Stream(): Bad request status " + response.StatusCode + "! Disconnecting from stream...");
_isConnected = false;
yield break;
}
_tradestationStream = response.GetResponseStream();
if (_tradestationStream == null)
{
Log.Error("TradeStation.DataQueueHandler.Stream(): Null stream error!");
yield break;
}
}
catch (Exception ex)
{
Log.Error("TradeStation.DataQueueHandler.Stream(): Error establishing connection: " + ex.Message);
yield break;
}
using (_tradestationStream)
using (var sr = new StreamReader(_tradestationStream))
using (var jsonReader = new JsonTextReader(sr))
{
jsonReader.SupportMultipleContent = true;
// keep going until stream gets closed
while (!_refresh)
{
JToken token = null;
try
{
if (!_tradestationStream.CanRead)
{
yield break; //stream closed down, exit normally
}
//Read the jsonSocket in a safe manner: might close and so need handlers, but can't put handlers around a yield.
jsonReader.Read();
if (jsonReader.TokenType != JsonToken.StartObject)
{
Log.Debug("TradeStation.DataQueueHandler.Stream(): token parse error");
continue; //bad json or we're parsing in the wrong place somehow, just move along...
}
token = JToken.Load(jsonReader);
}
catch (Exception err)
{
Log.Trace("TradeStation.DataQueueHandler.Stream(): Stream read error: " + err.Message);
}
if (token == null)
{
// if we couldn't get a successful read, abort this session
yield break;
}
//after the first read, we set a high timeout on the socket, the server can keep it open as long as it wants.
//... but if nothing comes in for a few minutes, might as well restart the stream.
_tradestationStream.ReadTimeout = 3 * 60 * 1000; //3mins
//now deserialize it for processing
/*
* Anonymous3 z = null;
* try
* {
* z = token.ToObject<Anonymous3>();
* if (z!=null)
* {
* Log.Trace("got snapshot from stream");
* }
* }
* catch (Exception err)
* {
* // Do nothing for now. Can come back later to fix. Errors are from Tradier not properly json encoding values E.g. "NaN" string.
* Log.Trace("TradeStation.DataQueueHandler.Stream(): z json deserialization error: " + err.Message);
* }
*/
QuoteStreamDefinition tsd = null;
try
{
tsd = token.ToObject <QuoteStreamDefinition>();
if (tsd != null)
{
Log.Debug("TradeStation.DataQueueHandler.Stream(): got quote: " + token.ToString());
}
}
catch (Exception err)
{
// Do nothing for now. Can come back later to fix. Errors are from Tradier not properly json encoding values E.g. "NaN" string.
Log.Error("TradeStation.DataQueueHandler.Stream(): json deserialization error: " + err.Message);
}
// don't yield garbage, just wait for the next one
if (tsd != null)
{
if (!activeQuotes.ContainsKey(tsd.Symbol))
{
activeQuotes[tsd.Symbol] = tsd;
}
else
{
mergeQuote(activeQuotes[tsd.Symbol], tsd);
}
yield return(tsd);
}
//no need to rail the cpu doing this
Thread.Sleep(10);
}
}
}
/// <summary>
/// Create a tick from the tradier stream data:
/// </summary>
/// <param name="tsd">Tradier stream data obejct</param>
/// <returns>LEAN Tick object</returns>
private Tick CreateTick(QuoteStreamDefinition tsd)
{
return(CreateDerivativeTick(tsd, SecurityType.Equity));
}
