public Bar[] GetBars(string symbol, PriceType priceType, BarPeriod period, DateTime startTime, DateTime endTime)
{
try
{
var forexPeriodicity = StorageConvert.ToPeriodicity(period);
var forexPriceType = StorageConvert.ToFxPriceType(priceType);
var manager = this.storage.GetOrCreateHistoryManager(symbol);
if (this.source != null)
{
// online mode
if (!manager.BarsAreSynchronized(this.source, symbol, forexPeriodicity, forexPriceType, startTime, endTime, false))
{
manager.SynchronizeBars(this.source, symbol, forexPeriodicity, forexPriceType, startTime, endTime, false, NullCallback);
}
}
var bars = new List <HistoryBar>();
if (startTime < endTime)
{
ForwardFillBars(manager, symbol, forexPeriodicity, forexPriceType, startTime, endTime, bars);
}
else
{
BackwardFillBars(manager, symbol, forexPeriodicity, forexPriceType, startTime, endTime, bars);
}
var result = bars.Select(o => StorageConvert.ToBar(o, period)).ToArray();
return(result);
}
catch (StorageHistoryNotFoundException ex)
{
throw new HistoryNotFoundException("GetBars", ex);
}
}
public Quote[] GetQuotes(string symbol, DateTime startTime, DateTime endTime, int depth)
{
try
{
if (depth == 0)
depth = int.MaxValue;
var manager = this.storage.GetOrCreateHistoryManager(symbol);
var includeLevel2 = depth != 1;
if (this.source != null)
{
// online mode
if (!manager.TicksAreSynchronized(this.source, symbol, includeLevel2, startTime, endTime, false))
manager.SynchronizeTicks(this.source, symbol, includeLevel2, startTime, endTime, false, NullCallback);
}
var ticks = new List<TickValue>();
if (startTime < endTime)
ForwardFillTicks(manager, symbol, includeLevel2, startTime, endTime, ticks);
else
BackwardFillTicks(manager, symbol, includeLevel2, startTime, endTime, ticks);
var converter = new StorageConvert();
var result = ticks.Select(o => converter.ToQuote(symbol, o, depth)).ToArray();
return result;
}
catch (StorageHistoryNotFoundException ex)
{
throw new HistoryNotFoundException("GetQuotes", ex);
}
}
/// <summary>
/// The method append a new quote to the storage.
/// </summary>
/// <param name="quote"></param>
public void Append(Quote quote)
{
var manager = this.GetOrCreateHistoryManager(quote.Symbol);
var converter = new StorageConvert();
var tick = converter.ToFeedTick(quote);
manager.Append(tick);
}
public MarketBarHistoryFileReport QueryBarHistoryFile(DateTime from, DateTime to, string symbol, string periodicity, FxPriceType priceType)
{
if (to != from)
{
throw new Exception("Range bar history queries are unsupported");
}
var type = StorageConvert.ToPriceType(priceType);
return(this.Attempt(this.DoQueryBarHistoryFile, from, symbol, periodicity, type));
}
/// <summary>
/// The method synchronizes bars.
/// </summary>
/// <param name="symbol"></param>
/// <param name="priceType"></param>
/// <param name="period"></param>
/// <param name="startTime"></param>
/// <param name="endTime"></param>
public void Synchronize(string symbol, PriceType priceType, BarPeriod period, DateTime startTime, DateTime endTime)
{
if (this.source == null)
{
throw new InvalidOperationException("Can't synchronize in offline mode.");
}
var manager = this.GetOrCreateHistoryManager(symbol);
var periodicity = StorageConvert.ToPeriodicity(period);
var fxPriceType = StorageConvert.ToFxPriceType(priceType);
manager.SynchronizeBars(this.source, symbol, periodicity, fxPriceType, startTime, endTime, false, NullCallback);
}
public TickTraderHistoryInfo GetBarsHistoryInfo(string symbol, Periodicity periodicity, FxPriceType priceType)
{
var apiPriceType = StorageConvert.ToPriceType(priceType);
var apiPeriodicity = StorageConvert.ToBarPeriod(periodicity);
var info = this.dataFeed.Server.GetBarsHistoryFiles(symbol, ZeroDateTime, apiPriceType, apiPeriodicity.ToString());
var result = new TickTraderHistoryInfo
{
AvailableFrom = info.FromAll,
AvailableTo = info.ToAll
};
return(result);
}
/// <summary>
/// Imports bars to storage.
/// </summary>
/// <param name="symbol">Symbol of importing bars</param>
/// <param name="period">Period of importing bars</param>
/// <param name="bars">Importing bars</param>
/// <param name="priceType">Price type of importing bars</param>
/// <param name="overwriteBarChainsWithEqualTime"></param>
public void Import(string symbol, BarPeriod period, IEnumerable <Bar> bars, PriceType priceType, bool overwriteBarChainsWithEqualTime)
{
var provider = this.GetOrCreateHistoryManager(symbol);
var fxPeriod = StorageConvert.ToPeriodicity(period);
var fxPriceType = StorageConvert.ToFxPriceType(priceType);
var fxBars = bars.Select(StorageConvert.ToHistoryBar);
provider.ImportBars(
fxBars,
symbol,
fxPeriod,
fxPriceType,
true,
overwriteBarChainsWithEqualTime ? BarsImportRules.Replace : BarsImportRules.Skip,
null
);
}
public HistoryInfo GetBarsInfo(string symbol, PriceType priceType, BarPeriod period)
{
try
{
var source = this.GetRemoteOrLocalSource(symbol);
var periodicity = StorageConvert.ToPeriodicity(period);
var priceTypeEx = StorageConvert.ToFxPriceType(priceType);
var info = source.GetBarsHistoryInfo(symbol, periodicity, priceTypeEx);
var result = new HistoryInfo(info.AvailableFrom.Value, info.AvailableTo.Value);
return(result);
}
catch (StorageHistoryNotFoundException ex)
{
throw new HistoryNotFoundException("GetBarsInfo", ex);
}
}
Bar[] GetOfflineBars(string symbol, PriceType priceType, BarPeriod period, DateTime startTime, int barsNumber)
{
var manager = this.storage.GetOrCreateHistoryManager(symbol);
var fxPriceType = StorageConvert.ToFxPriceType(priceType);
var report = manager.QueryBarHistory(startTime, -barsNumber, symbol, period.ToString(), fxPriceType);
var items = report.Items;
if (barsNumber > 0)
{
return(items.Select(o => StorageConvert.ToBar(o, period)).ToArray());
}
else if (barsNumber < 0)
{
return(items.Select(o => StorageConvert.ToBar(o, period)).Reverse().ToArray());
}
return(Enumerable.Empty <Bar>().ToArray());
}
public Quote[] GetQuotes(string symbol, DateTime startTime, DateTime endTime, int depth)
{
try
{
if (depth == 0)
{
depth = int.MaxValue;
}
var manager = this.storage.GetOrCreateHistoryManager(symbol);
var includeLevel2 = depth != 1;
if (this.source != null)
{
// online mode
if (!manager.TicksAreSynchronized(this.source, symbol, includeLevel2, startTime, endTime, false))
{
manager.SynchronizeTicks(this.source, symbol, includeLevel2, startTime, endTime, false, NullCallback);
}
}
var ticks = new List <TickValue>();
if (startTime < endTime)
{
ForwardFillTicks(manager, symbol, includeLevel2, startTime, endTime, ticks);
}
else
{
BackwardFillTicks(manager, symbol, includeLevel2, startTime, endTime, ticks);
}
var converter = new StorageConvert();
var result = ticks.Select(o => converter.ToQuote(symbol, o, depth)).ToArray();
return(result);
}
catch (StorageHistoryNotFoundException ex)
{
throw new HistoryNotFoundException("GetQuotes", ex);
}
}
Quote[] GetOfflineQuotes(string symbol, DateTime startTime, int quotesNumber, int depth)
{
var includeLevel2 = depth != 1;
var manager = this.storage.GetOrCreateHistoryManager(symbol);
var report = manager.QueryTickHistory(startTime, -quotesNumber, symbol, includeLevel2);
var items = report.Items;
var converter = new StorageConvert();
if (quotesNumber > 0)
{
return(items.Select(o => converter.ToQuote(symbol, o, depth)).ToArray());
}
else if (quotesNumber < 0)
{
return(items.Select(o => converter.ToQuote(symbol, o, depth)).Reverse().ToArray());
}
return(Enumerable.Empty <Quote>().ToArray());
}
Quote[] GetOnlineQuotes(string symbol, DateTime startTime, int quotesNumber, int depth)
{
var includeLevel2 = depth != 1;
var manager = this.storage.GetOrCreateHistoryManager(symbol);
var ticks = new List <TickValue>();
if (quotesNumber > 0)
{
ForwardFillTicks(manager, symbol, includeLevel2, startTime, quotesNumber, ticks);
}
else if (quotesNumber < 0)
{
BackwardFillTicks(manager, symbol, includeLevel2, startTime, -quotesNumber, ticks);
}
var converter = new StorageConvert();
var result = ticks.Select(o => converter.ToQuote(symbol, o, depth)).ToArray();
return(result);
}
/// <summary>
/// Reads data chunk for a specified symbol.
/// </summary>
/// <param name="symbol">Can not be null.</param>
/// <param name="periodicity">Can not be null.</param>
/// <param name="priceType"></param>
/// <returns>Can not be null</returns>
byte[] GetBarMetadataFile(string symbol, string periodicity, FxPriceType priceType)
{
var type = StorageConvert.ToPriceType(priceType);
return(this.Attempt(this.DoGetBarMetadataFile, symbol, type, periodicity));
}
/// <summary>
/// The method append a new quote to the storage.
/// </summary>
/// <param name="quote"></param>
public void Append(Quote quote)
{
var manager = this.GetOrCreateHistoryManager(quote.Symbol);
var converter = new StorageConvert();
var tick = converter.ToFeedTick(quote);
manager.Append(tick);
}
