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);
}
/// <summary>
/// insert a bar at particular place in the list.
/// REMEMBER YOU MUST REHANDLE GOTNEWBAR EVENT AFTER CALLING THIS.
/// </summary>
/// <param name="bl"></param>
/// <param name="b"></param>
/// <param name="position"></param>
/// <returns></returns>
public static BarListImpl InsertBar(BarList bl, Bar b, int position)
{
BarListImpl copy = new BarListImpl(bl);
for (int j = 0; j < bl.CustomIntervals.Length; j++)
{
if (bl.CustomIntervals[j] != b.Interval)
{
continue;
}
int count = bl.IntervalCount(b.Interval);
if (count != 0)
{
for (int i = 0; i < count; i++)
{
if (i == position)
{
addbar(copy, b, j);
}
addbar(copy, bl[i, (BarInterval)b.Interval], j);
}
}
else
{
addbar(copy, b, 0);
}
}
return(copy);
}
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);
}
/// <summary>
/// insert one barlist into another barlist
/// REMEMBER: You must re-handle the GotNewBar event after calling this method.
/// You should also ensure that inserted barlist has same intervals/types as original barlist.
/// </summary>
/// <param name="bl"></param>
/// <param name="insert"></param>
/// <returns></returns>
public static BarListImpl InsertBarList(BarList bl, BarList insert)
{
BarListImpl copy = new BarListImpl(bl);
for (int j = 0; j < bl.CustomIntervals.Length; j++)
{
for (int k = 0; k < insert.CustomIntervals.Length; k++)
{
if (bl.CustomIntervals[j] != insert.CustomIntervals[k])
{
continue;
}
for (int l = 0; l < insert.Count; l++)
{
for (int m = 0; m < bl.Count; m++)
{
if (l == m)
{
addbar(copy, insert[l, (BarInterval)insert.CustomIntervals[k]], j);
}
addbar(copy, bl[m], j);
}
}
}
}
return(copy);
}
public void Hours()
{
System.IO.StreamReader sr = new System.IO.StreamReader("TestWAG.txt");
sr.ReadLine();
sr.ReadLine();
BarListImpl bl = new BarListImpl(BarInterval.Hour, "WAG");
Tick k = new TickImpl();
int tickcount = 0;
while (!sr.EndOfStream)
{
k = eSigTick.FromStream(bl.Symbol, sr);
if (tickcount == 0)
{
Assert.IsTrue(k.isValid);
Assert.AreEqual(20070926041502, k.datetime);
Assert.AreEqual(20070926, k.date);
Assert.AreEqual(041502, k.time);
Assert.AreEqual(43.81m, k.bid);
Assert.AreEqual(51.2m, k.ask);
Assert.AreEqual(1, k.bs);
Assert.AreEqual(1, k.os);
Assert.IsTrue(k.be.Contains("PSE"));
Assert.IsTrue(k.oe.Contains("PSE"));
}
tickcount++;
bl.newTick(k);
}
// hour is what we asked for
Assert.AreEqual(BarInterval.Hour,bl.DefaultInterval);
// there are 4 trades on hour intervals, 6/7/8/9
Assert.AreEqual(4,bl.Count);
}
/// <summary>
/// attempts to get year worth of daily data from google, if fails tries yahoo.
/// </summary>
/// <param name="symbol"></param>
/// <returns></returns>
public static BarList DayFromAny(string symbol)
{
BarList bl = BarListImpl.DayFromGoogle(symbol);
if (bl.Count == 0)
{
bl = BarListImpl.DayFromYahoo(symbol);
}
return(bl);
}
internal static void addbar(BarListImpl b, Bar mybar, int instdataidx)
{
b._intdata[instdataidx].Count++;
b._intdata[instdataidx].closes.Add(mybar.Close);
b._intdata[instdataidx].opens.Add(mybar.Open);
b._intdata[instdataidx].dates.Add(mybar.Bardate);
b._intdata[instdataidx].highs.Add(mybar.High);
b._intdata[instdataidx].lows.Add(mybar.Close);
b._intdata[instdataidx].vols.Add(mybar.Volume);
b._intdata[instdataidx].times.Add(mybar.Bartime);
}
/// <summary>
/// Build a barlist using an EPF file as the source
/// </summary>
/// <param name="filename">The filename.</param>
/// <returns>barlist</returns>
public static BarList FromEPF(string filename)
{
System.IO.StreamReader sr = new System.IO.StreamReader(filename);
SecurityImpl s = eSigTick.InitEpf(sr);
BarList b = new BarListImpl(s.Symbol);
while (!sr.EndOfStream)
{
b.newTick(eSigTick.FromStream(s.Symbol, sr));
}
return(b);
}
/// <summary>
/// give any ticks to this symbol and tracker will create barlists automatically
/// </summary>
/// <param name="k"></param>
public void newTick(Tick k)
{
BarListImpl bl;
if (!_bdict.TryGetValue(k.symbol, out bl))
{
bl = new BarListImpl(k.symbol,_requested);
bl.DefaultInterval = _default;
bl.GotNewBar+=new SymBarIntervalDelegate(bl_GotNewBar);
_bdict.Add(k.symbol, bl);
}
bl.newTick(k);
}
public static BarList FromTIK(string filename)
{
SecurityImpl s = SecurityImpl.FromTIK(filename);
s.HistSource.gotTick += new TickDelegate(HistSource_gotTick);
_fromepf = new BarListImpl(s.Symbol);
while (s.HistSource.NextTick())
{
;
}
return(_fromepf);
}
/// <summary>
/// add any data point to bar
/// </summary>
/// <param name="symbol"></param>
/// <param name="p"></param>
/// <param name="time"></param>
/// <param name="date"></param>
/// <param name="size"></param>
public void newPoint(string symbol, decimal p, int time, int date, int size)
{
BarListImpl bl;
if (!_bdict.TryGetValue(symbol, out bl))
{
bl = new BarListImpl(symbol, _requested, _reqtype);
bl.DefaultCustomInterval = _default;
bl.GotNewBar += new SymBarIntervalDelegate(bl_GotNewBar);
_bdict.Add(symbol, bl);
}
bl.newPoint(p, time, date, size);
}
/// <summary>
/// give any ticks (trades) to this symbol and tracker will create barlists automatically
/// </summary>
/// <param name="k"></param>
public void newTick(Tick k)
{
BarListImpl bl;
if (!_bdict.TryGetValue(k.symbol, out bl))
{
bl = new BarListImpl(k.symbol, _requested, _reqtype);
bl.DefaultCustomInterval = _default;
bl.GotNewBar += new SymBarIntervalDelegate(bl_GotNewBar);
_bdict.Add(k.symbol, bl);
}
bl.newTick(k);
}
/// <summary>
/// downloads yearly charts for a list of symbols
/// (source: google finance)
/// </summary>
/// <param name="symbols"></param>
/// <returns></returns>
public static BarList[] FetchCharts(string[] symbols)
{
List <BarList> l = new List <BarList>();
foreach (string sym in symbols)
{
BarList bl = BarListImpl.DayFromGoogle(sym);
if (bl.isValid)
{
l.Add(bl);
}
}
return(l.ToArray());
}
/// <summary>
/// create barlist from a tik file using given intervals/types
/// </summary>
/// <param name="filename"></param>
/// <param name="uselast"></param>
/// <param name="usebid"></param>
/// <param name="intervals"></param>
/// <param name="types"></param>
/// <returns></returns>
public static BarList FromTIK(string filename, bool uselast, bool usebid, int[] intervals, BarInterval[] types)
{
_uselast = uselast;
_usebid = usebid;
SecurityImpl s = SecurityImpl.FromTIK(filename);
s.HistSource.gotTick += new TickDelegate(HistSource_gotTick);
_fromepf = new BarListImpl(s.Symbol, intervals, types);
while (s.HistSource.NextTick())
{
;
}
return(_fromepf);
}
/// <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);
}
/// <summary>
/// find the bar # that matches a given time
/// </summary>
/// <param name="bl"></param>
/// <param name="time"></param>
/// <param name="bint"></param>
/// <returns></returns>
public static int GetNearestIntraBar(BarList bl, int time, BarInterval bint)
{
long barid = TimeIntervalData.getbarid(time, bl.RecentBar.Bardate, (int)bint);
BarListImpl bli = (BarListImpl)bl;
TimeIntervalData tid = (TimeIntervalData)bli._intdata[bli._intdataidx[(int)bint]];
for (int i = 0; i < tid.Count(); i++)
{
if (tid.ids[i] == barid)
{
return(i);
}
}
return(-1);
}
/// <summary>
/// gets barlist for a given symbol. will return an invalid barlist if no ticks have been received for symbol
/// </summary>
/// <param name="sym"></param>
/// <returns></returns>
public BarList this[string sym]
{
get
{
BarListImpl bl;
if (_bdict.TryGetValue(sym, out bl))
return (BarList)bl;
bl = new BarListImpl(sym,_requested);
bl.DefaultInterval = _default;
bl.GotNewBar += new SymBarIntervalDelegate(bl_GotNewBar);
_bdict.Add(sym, bl);
return bl;
}
}
public BarList this[string sym, int interval]
{
get
{
BarListImpl bl;
if (_bdict.TryGetValue(sym, out bl))
{
return((BarList)bl);
}
bl = new BarListImpl(sym, _requested, _reqtype);
bl.DefaultCustomInterval = interval;
bl.GotNewBar += new SymBarIntervalDelegate(bl_GotNewBar);
_bdict.Add(sym, bl);
return(bl);
}
}
public void BarMath()
{
// get tickdata
Tick[] tape = SampleData();
// create bar
BarList bl = new BarListImpl(BarInterval.Minute);
// pass ticks to bar
foreach (Tick k in tape)
bl.newTick(k);
// verify HH
Assert.AreEqual(16, Calc.HH(bl));
// verify LL
Assert.AreEqual(10, Calc.LL(bl));
// verify average
Assert.AreEqual(11.888888888888888888888888889m, Calc.Avg(bl.Open()));
}
/// <summary>
/// gets a quandl data object directly from url
/// </summary>
/// <param name="qurl"></param>
/// <param name="TryCache"></param>
/// <param name="d"></param>
/// <returns></returns>
public static RootObject Get(string qurl, bool TryCache, DebugDelegate d)
{
if (_d == null)
{
_d = d;
}
var path = BarListImpl.GetDBLoc(PROGRAM, qurl.GetHashCode().ToString(), 7, DateTime.Now, getformatext(DefaultQuadlFormat));
if (TryCache)
{
if (System.IO.File.Exists(path))
{
try
{
var raw = Util.getfile(path, d);
var dataok = !string.IsNullOrWhiteSpace(raw) && (raw.Length > 0);
if (dataok)
{
var data = isCacheCompressed ? GZip.Uncompress(raw) : raw;
return(json.Deserialize2Root(data, false, d));
}
}
catch (Exception ex)
{
debug("Will ignore cache and repull as error reading cache for: " + qurl + " , err: " + ex.Message + ex.StackTrace);
}
}
}
// pull data
var urldata = Util.geturl(qurl, d);
var isurldataok = !string.IsNullOrWhiteSpace(urldata) && (urldata.Length > 0);
if (isurldataok)
{
var compdata = isCacheCompressed ? GZip.Compress(urldata) : urldata;
if (Util.setfile(path, compdata))
{
v("Cached " + urldata.Length.ToString("N0") + " bytes of qurl: " + qurl);
}
else
{
v("Error caching: " + qurl + ", will repull next time.");
}
}
return(json.Deserialize2Root(urldata, false, d));
}
public void Basics()
{
const string sym = "TST";
const int d = 20080509;
const int t = 93500;
const string x = "NYSE";
TickImpl[] ticklist = new TickImpl[] {
TickImpl.NewTrade(sym,d,t,10,100,x),
TickImpl.NewTrade(sym,d,t+100,10,100,x),
TickImpl.NewTrade(sym,d,t+200,10,100,x),
TickImpl.NewTrade(sym,d,t+300,10,100,x),
TickImpl.NewTrade(sym,d,t+400,15,100,x), // blade up
TickImpl.NewTrade(sym,d,t+500,16,100,x), // new bar (blades reset)
TickImpl.NewTrade(sym,d,t+600,16,100,x),
TickImpl.NewTrade(sym,d,t+700,10,100,x), // blade down
TickImpl.NewTrade(sym,d,t+700,10,100,x), // still a blade down (same bar)
TickImpl.NewTrade(sym,d,t+800,15,100,x),
TickImpl.NewTrade(sym,d,t+1500,15,800,x), // volume spike
TickImpl.NewTrade(sym,d,t+2000,15,100,x),
TickImpl.NewTrade(sym,d,t+2500,15,100,x),
};
BarListImpl bl = new BarListImpl(BarInterval.FiveMin,sym);
Blade b = new Blade();
Assert.That(b.BladePercentage != 0);
b = new Blade(.2m); // 20 percent move is a blade
int up=0,down=0,newbar=0,bigvol=0;
foreach (TickImpl k in ticklist)
{
bl.newTick(k);
b.newBar(bl);
if (bl.NewBar) newbar++;
if (b.isBladeUP) up++;
if (b.isBladeDOWN) down++;
if (b.isBigVolume) bigvol++;
}
Assert.AreEqual(1, up);
Assert.AreEqual(2,down);
Assert.AreEqual(5, newbar);
Assert.AreEqual(1,bigvol);
}
/// <summary>
/// load previous days bar data from tick files located in tradelink tick folder
/// </summary>
/// <param name="PreviousDay"></param>
/// <param name="syms"></param>
/// <param name="AttemptToLoadPreviousDayBars"></param>
/// <param name="_blt"></param>
/// <param name="NewBarEvents"></param>
/// <param name="deb"></param>
/// <returns></returns>
public static bool LoadPreviousBars(int PreviousDay, string[] syms, bool AttemptToLoadPreviousDayBars, ref BarListTracker _blt, SymBarIntervalDelegate NewBarEvents, DebugDelegate deb)
{
if (AttemptToLoadPreviousDayBars)
{
bool errors = false;
foreach (string sym in syms)
{
string fn = Util.TLTickDir + "\\" + sym + PreviousDay + TikConst.DOT_EXT;
if (System.IO.File.Exists(fn))
{
try
{
BarList test = BarListImpl.FromTIK(fn);
_blt[sym] = BarListImpl.FromTIK(fn, true, false, _blt[sym].CustomIntervals, _blt[sym].Intervals);
_blt[sym].GotNewBar += NewBarEvents;
if (deb != null)
{
deb(sym + " loaded historical bars from: " + fn);
}
}
catch (Exception ex)
{
errors = true;
if (deb != null)
{
deb(sym + " error loading historical bars from: " + fn);
deb(ex.Message + ex.StackTrace);
}
}
}
else
{
errors = true;
if (deb != null)
{
deb(sym + " starting from zero, no historical bar data at: " + fn);
}
}
}
return(!errors);
}
return(true);
}
public Image DrawBarList(BarListImpl bl, BarInterval bi,Color up, Color down)
{
bl.DefaultInterval = bi;
Bitmap sl = new Bitmap(w, h);
Graphics g = Graphics.FromImage(sl);
high = Calc.HH(bl);
low = Calc.LL(bl);
decimal range = high - low;
int pixperdollar = range != 0 ? (int)(h / range) : 0;
int pixperbar = bl.Count != 0 ? (int)(w / (decimal)bl.Count) : 0;
for (int i = 0; i< bl.Count; i++)
{
Bar b = bl[i,bi];
Pen p = new Pen(b.Close>=b.Open ? up : down);
g.DrawLine(p, i * pixperbar, h-(int)((b.Low - low) * pixperdollar), i * pixperbar, h-(int)((b.High - low) * pixperdollar));
}
return sl;
}
public void PointFiveMin()
{
// get some sample data to fill barlist
Tick[] ticklist = SampleData();
// prepare barlist
BarListImpl bl = new BarListImpl(BarInterval.FiveMin);
bl.GotNewBar += new SymBarIntervalDelegate(bl_GotNewBar);
// reset count
newbars = 0;
// create bars from all ticks available
foreach (TickImpl k in ticklist)
{
/// add tick to bar
bl.newPoint(k.symbol,k.trade,k.time,k.date,k.size);
}
// verify we had expected number of bars
Assert.AreEqual(3, bl.Count);
}
/// <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 Image DrawBarList(BarListImpl bl, BarInterval bi, Color up, Color down)
{
bl.DefaultInterval = bi;
Bitmap sl = new Bitmap(w, h);
Graphics g = Graphics.FromImage(sl);
high = Calc.HH(bl);
low = Calc.LL(bl);
decimal range = high - low;
int pixperdollar = range != 0 ? (int)(h / range) : 0;
int pixperbar = bl.Count != 0 ? (int)(w / (decimal)bl.Count) : 0;
for (int i = 0; i < bl.Count; i++)
{
Bar b = bl[i, bi];
Pen p = new Pen(b.Close >= b.Open ? up : down);
g.DrawLine(p, i * pixperbar, h - (int)((b.Low - low) * pixperdollar), i * pixperbar, h - (int)((b.High - low) * pixperdollar));
}
return(sl);
}
public void OneMinute()
{
// prepare barlist
BarList bl = new BarListImpl(BarInterval.Minute);
// reset count
int newbars = 0;
// build bars from ticks available
foreach (TickImpl k in SampleData())
{
// add tick to bar
bl.newTick(k);
// count if it's a new bar
if (bl.RecentBar.isNew)
newbars++;
}
// verify expected # of bars are present
Assert.AreEqual(9, newbars);
// verify barcount is same as newbars
Assert.AreEqual(newbars, bl.Count);
}
public void QuoteOnlyTest()
{
TickImpl[] timesales = new TickImpl[] {
TickImpl.NewBid("TST",100m,100),
TickImpl.NewAsk("TST",100.1m,200),
};
Blade b = new Blade();
BarListImpl bl = new BarListImpl(BarInterval.FiveMin,"TST");
foreach (TickImpl k in timesales)
{
bl.newTick(k);
b.newBar(bl);
}
// average volume should be zero bc
// with only quotes we should have no bars to process
Assert.That(b.AvgVol(bl) == 0, b.AvgVol(bl).ToString());
Assert.That(!bl.Has(1), bl.ToString());
}
public static int GetNearestIntraBar(BarList bl, int time, BarInterval bint, DebugDelegate debug)
{
try
{
long barid = TimeIntervalData.getbarid(time, bl.RecentBar.Bardate, (int)bint);
BarListImpl bli = (BarListImpl)bl;
TimeIntervalData tid = (TimeIntervalData)bli._intdata[bli._intdataidx[(int)bint]];
for (int i = 0; i < tid.Count(); i++)
{
if (tid.ids[i] == barid)
{
return(i);
}
}
}
catch (Exception ex)
{
if (debug != null)
{
debug("error getting nearest bar from: " + bl.Symbol + " at: " + time + " for: " + bint + " error: " + ex.Message + ex.StackTrace);
}
}
return(-1);
}
public void FiveMin()
{
// get some sample data to fill barlist
Tick[] ticklist = SampleData();
// prepare barlist
BarListImpl bl = new BarListImpl(BarInterval.FiveMin);
bl.GotNewBar+=new SymBarIntervalDelegate(bl_GotNewBar);
// reset count
newbars = 0;
// create bars from all ticks available
foreach (TickImpl k in ticklist)
{
/// add tick to bar
bl.newTick(k);
}
// verify we had expected number of bars
Assert.AreEqual(3,newbars);
// verify symbol was set
Assert.AreEqual(sym, bl.Symbol);
// verify each bar symbol matches barlist
foreach (Bar b in bl)
Assert.AreEqual(bl.Symbol, b.Symbol);
}
static Basket verify_equitysymbol(Basket b, bool googleyahoo, DebugDelegate d)
{
debs = d;
b = RemoveDupe(b);
if (googleyahoo)
{
Basket v = new BasketImpl();
foreach (Security s in b)
{
BarList bl = BarListImpl.DayFromAny(s.symbol, sdebug);
if (bl.Count > 0)
{
v.Add(s.symbol);
sdebug("verified google/yahoo: " + s.symbol + " bars: " + bl.Count);
}
else
{
sdebug("ignoring, not verified google/yahoo: " + s.symbol + " bars: " + bl.Count);
}
}
return(v);
}
return(b);
}
internal static void addbar(BarListImpl b, Bar mybar, int instdataidx)
{
b._intdata[instdataidx].addbar(mybar);
}
/// <summary>
/// insert one barlist into another barlist
/// REMEMBER: You must re-handle the GotNewBar event after calling this method.
/// You should also ensure that inserted barlist has same intervals/types as original barlist.
/// </summary>
/// <param name="bl"></param>
/// <param name="insert"></param>
/// <returns></returns>
public static BarListImpl InsertBarList(BarList bl, BarList insert)
{
BarListImpl copy = new BarListImpl(bl);
for (int j = 0; j < bl.CustomIntervals.Length; j++)
{
for (int k = 0; k < insert.CustomIntervals.Length; k++)
{
if (bl.CustomIntervals[j] != insert.CustomIntervals[k])
continue;
for (int l = 0; l < insert.Count; l++)
{
for (int m = 0; m < bl.Count; m++)
{
if (l == m)
{
addbar(copy, insert[l, (BarInterval)insert.CustomIntervals[k]], j);
}
addbar(copy, bl[m], j);
}
}
}
}
return copy;
}
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 Image DrawBarList(BarListImpl bl, BarInterval bi) { return DrawBarList(bl, bi, Color.Green, Color.Red); }
public Image DrawBarListBlack(BarListImpl bl, BarInterval bi) { return DrawBarList(bl, bi, Color.Black,Color.Black); }
/// <summary>
/// creates tracker for specified number of standard intervals
/// </summary>
/// <param name="intervals"></param>
public BarListTracker(BarInterval[] intervals)
{
_requested = BarListImpl.BarInterval2Int(intervals);
_reqtype = intervals;
_default = (int)intervals[0];
}
public Image DrawBarList(BarListImpl bl)
{
return(DrawBarList(bl, BarInterval.FiveMin, Color.Green, Color.Red));
}
public Image DrawBarListBlack(BarListImpl bl)
{
return(DrawBarList(bl, BarInterval.FiveMin, Color.Black, Color.Black));
}
public void PointHour()
{
// get data
Tick[] tape = SampleData();
// count new hour bars
newbars = 0;
// setup hour bar barlist
BarListImpl bl = new BarListImpl(BarInterval.Hour, sym);
// handle new bar events
bl.GotNewBar += new SymBarIntervalDelegate(bl_GotNewBar);
// add ticks to bar
foreach (Tick k in tape)
{
// add ticks
bl.newPoint(k.trade,k.time,k.date,k.size);
}
// make sure we have at least 1 bars
Assert.IsTrue(bl.Has(1));
// make sure we actually have two bars
Assert.AreEqual(2, bl.Count);
}
public void DefaultIntervalAndReset()
{
// get some data
Tick[] tape = SampleData();
// setup an hour barlist
BarList bl = new BarListImpl();
bl.DefaultInterval = BarInterval.Hour;
// build the barlist
foreach (Tick k in tape)
bl.newTick(k);
// make sure we have 2 hour bars
Assert.AreEqual(2, bl.Count);
// switch default
bl.DefaultInterval = BarInterval.FiveMin;
// make sure we have 3 5min bars
Assert.AreEqual(3, bl.Count);
// reset it
bl.Reset();
// verify we have no data
Assert.AreEqual(0, bl.Count);
}
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);
}
static string GetData(IQuandlRequest req, string sym, string dataset, FileFormats form, bool checkcache, bool compressedcache, DebugDelegate d)
{
if (_d == null)
{
_d = d;
}
try
{
var path = BarListImpl.GetDBLoc(PROGRAM, dataset + "_" + sym, 30, DateTime.Now, getformatext(form));
if (checkcache)
{
if (System.IO.File.Exists(path))
{
try
{
var cached = Util.getfile(path, null);
if (compressedcache)
{
var cacheddata = GZip.Uncompress(cached);
v(sym + " " + dataset + " found " + cacheddata.Length.ToString("N0") + " bytes of cached data.");
return(cacheddata);
}
}
catch (Exception ex)
{
debug("Ignoring cache (will pull directly) after cache error for: " + dataset + " on " + sym + " err: " + ex.Message + ex.StackTrace);
}
}
}
var con = new QuandlConnection();
var data = con.Request(req);
var isdataok = !qh.isQdlUnderMaintence(data);
if (isdataok)
{
v(sym + " " + dataset + " retrieved " + data.Length.ToString("N0") + " bytes of " + dataset + " data.");
// save it for later caching
if (Util.setfile(path, compressedcache ? GZip.Compress(data) : data))
{
v(sym + " " + dataset + " cached " + data.Length.ToString("N0") + " bytes of " + dataset + " data.");
}
else
{
v(sym + " " + dataset + " error caching " + data.Length.ToString("N0") + " bytes of " + dataset + " data. Will be re-pulled on next attempt.");
}
}
else
{
debug(sym + " " + dataset + " can't be retrieved because quandl is down.");
return(string.Empty);
}
return(data);
}
catch (Exception ex)
{
if (isVerboseDebugging)
{
debug("An error occurred getting data for: " + dataset + " on symbol: " + sym + " using url: " + req.ToRequestString());
debug("Error for " + dataset + " on symbol: " + sym + ": " + ex.Message + ex.StackTrace);
}
else
{
debug("An error occurred getting data for: " + dataset + " on symbol: " + sym + ", err: " + ex.Message + ex.StackTrace);
}
return(string.Empty);
}
}
/// <summary>
/// get a barlist from tick data and optionally use bid/ask data to construct bars
/// </summary>
/// <param name="filename"></param>
/// <param name="uselast"></param>
/// <param name="usebid"></param>
/// <returns></returns>
public static BarList FromTIK(string filename, bool uselast, bool usebid)
{
_uselast = uselast;
_usebid = usebid;
SecurityImpl s = SecurityImpl.FromTIK(filename);
s.HistSource.gotTick += new TickDelegate(HistSource_gotTick);
_fromepf = new BarListImpl(s.Symbol);
while (s.HistSource.NextTick()) ;
s.HistSource.Close();
return _fromepf;
}
public void NewBarEvent()
{
// get tickdata
Tick[] tape = SampleData();
// reset bar count
newbars = 0;
// request hour interval
BarList bl = new BarListImpl(BarInterval.Hour, sym);
// handle new bars
bl.GotNewBar += new SymBarIntervalDelegate(bl_GotNewBar);
foreach (TickImpl k in tape)
bl.newTick(k);
Assert.AreEqual(2, newbars);
}
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 void VolInterval()
{
// request 300 volume bars
const int MYINTERVAL = 300;
BarList bl = new BarListImpl(sym, MYINTERVAL, BarInterval.CustomVol);
// verify custom interval
Assert.AreEqual(MYINTERVAL, bl.DefaultCustomInterval);
Assert.AreEqual(MYINTERVAL, bl.CustomIntervals[0]);
// iterate ticks
foreach (Tick k in SampleData())
bl.newTick(k);
// count em
Assert.AreEqual(4, bl.Count);
}
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);
}
public void CustomInterval()
{
// request 5 second bars
const int MYINTERVAL = 5;
BarList bl = new BarListImpl(sym, MYINTERVAL);
// verify custom interval
Assert.AreEqual(MYINTERVAL, bl.DefaultCustomInterval);
Assert.AreEqual(MYINTERVAL, bl.CustomIntervals[0]);
// iterate ticks
foreach (Tick k in SampleData())
bl.newTick(k);
// count em
Assert.AreEqual(10, bl.Count);
}
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 Image DrawBarListBlack(BarListImpl bl, BarInterval bi)
{
return(DrawBarList(bl, bi, Color.Black, Color.Black));
}
/// <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 Image DrawBarList(BarListImpl bl, BarInterval bi)
{
return(DrawBarList(bl, bi, Color.Green, Color.Red));
}
/// <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;
}
public Image DrawBarListBlack(BarListImpl bl) { return DrawBarList(bl, BarInterval.FiveMin, Color.Black, Color.Black); }
/// <summary>
/// Build a barlist using an EPF file as the source
/// </summary>
/// <param name="filename">The filename.</param>
/// <returns>barlist</returns>
public static BarList FromEPF(string filename)
{
System.IO.StreamReader sr = new System.IO.StreamReader(filename);
SecurityImpl s = eSigTick.InitEpf(sr);
BarList b = new BarListImpl(s.Symbol);
while (!sr.EndOfStream)
b.newTick(eSigTick.FromStream(s.Symbol, sr));
return b;
}
public Image DrawBarList(BarListImpl bl) { return DrawBarList(bl, BarInterval.FiveMin, Color.Green, Color.Red); }
/// <summary>
/// create barlist from a tik file using given intervals/types
/// </summary>
/// <param name="filename"></param>
/// <param name="uselast"></param>
/// <param name="usebid"></param>
/// <param name="intervals"></param>
/// <param name="types"></param>
/// <returns></returns>
public static BarList FromTIK(string filename, bool uselast, bool usebid, int[] intervals, BarInterval[] types)
{
_uselast = uselast;
_usebid = usebid;
SecurityImpl s = SecurityImpl.FromTIK(filename);
s.HistSource.gotTick += new TickDelegate(HistSource_gotTick);
_fromepf = new BarListImpl(s.Symbol,intervals,types);
while (s.HistSource.NextTick()) ;
return _fromepf;
}
/// <summary>
/// insert a bar at particular place in the list.
/// REMEMBER YOU MUST REHANDLE GOTNEWBAR EVENT AFTER CALLING THIS.
/// </summary>
/// <param name="bl"></param>
/// <param name="b"></param>
/// <param name="position"></param>
/// <returns></returns>
public static BarListImpl InsertBar(BarList bl, Bar b, int position)
{
BarListImpl copy = new BarListImpl(bl);
for (int j = 0; j < bl.CustomIntervals.Length; j++)
{
if (bl.CustomIntervals[j] != b.Interval)
continue;
int count = bl.IntervalCount(b.Interval);
if (count != 0)
{
for (int i = 0; i < count; i++)
{
if (i == position)
{
addbar(copy, b, j);
}
addbar(copy, bl[i, (BarInterval)b.Interval], j);
}
}
else
addbar(copy, b, 0);
}
return copy;
}
internal static void addbar(BarListImpl b, Bar mybar, int instdataidx)
{
b._intdata[instdataidx].addbar(mybar);
}