private void _broker_HistoricalDataArrived(object sender, HistoricalDataEventArgs e)
{
if (e.Request.RequesterIdentity != _requesterID)
{
return;
}
//If no data was received, we add that to the errors
if (e.Data.Count == 0 && _settings.NoDataReceived)
{
_errors.Add(string.Format("Data update for instrument {0} downloaded 0 bars.", e.Request.Instrument));
}
//Check the data for abnormalities
CheckDataForOutliers(e.Request);
//Remove the request from pending ones
lock (_reqIDLock)
{
var req = _pendingRequests.FirstOrDefault(x => x.RequestID == e.Request.RequestID);
if (req != null)
{
_pendingRequests.Remove(req);
}
}
}
private void Client_HistoricalDataReceived(object sender, HistoricalDataEventArgs e)
{
StatusLabelText = $"Loaded {e.Data.Count} Bars";
//find largest significant decimal by sampling the prices at the start and end of the series
var decPlaces = new List <int>();
for (var i = 0; i < Math.Min(20, e.Data.Count); i++)
{
decPlaces.Add(e.Data[i].Open.CountDecimalPlaces());
decPlaces.Add(e.Data[e.Data.Count - 1 - i].Close.CountDecimalPlaces());
}
//set the column format to use that number so we don't get any useless trailing 0s
var decimalPlaces = 5;
if (decPlaces.Count > 0)
{
decimalPlaces = decPlaces.Max();
}
foreach (var bar in e.Data)
{
var newBar = DataUtils.BarWithRoundedPrices(bar, decimalPlaces);
uiContext.Send(x => Data.Add(newBar), null);
}
}
void _client_HistoricalDataReceived(object sender, HistoricalDataEventArgs e)
{
Application.Current.Dispatcher.Invoke(() =>
{
StatusLabel.Content = string.Format("Loaded {0} Bars", e.Data.Count);
//find largest significant decimal by sampling the prices at the start and end of the series
var decPlaces = new List <int>();
for (int i = 0; i < Math.Min(20, e.Data.Count); i++)
{
decPlaces.Add(e.Data[i].Open.CountDecimalPlaces());
decPlaces.Add(e.Data[e.Data.Count - 1 - i].Close.CountDecimalPlaces());
}
//set the column format to use that number so we don't get any useless trailing 0s
if (decPlaces.Count > 0)
{
SetPriceColumnFormat(decPlaces.Max());
}
foreach (OHLCBar bar in e.Data)
{
Data.Add(bar);
}
});
}
/// <inheritdoc/>
public void historicalDataUpdate(int reqId, Bar bar)
{
// Raise an event which can be listened throughout the application
var eventArgs = new HistoricalDataEventArgs(reqId, bar.Time, bar.Open, bar.High, bar.Low, bar.Close, (int)bar.Volume, bar.Count, bar.WAP, false);
this.HistoricalDataUpdateEvent?.Invoke(this, eventArgs);
}
/// <summary>
/// A callback for historical data, fixing a breaking change by the IB API to keep this signature
/// </summary>
/// <param name="reqId">The req id</param>
/// <param name="date">The date</param>
/// <param name="open">The open</param>
/// <param name="high">The high</param>
/// <param name="low">The low</param>
/// <param name="close">The close</param>
/// <param name="volume">The volume</param>
/// <param name="count">The count</param>
/// <param name="WAP">The WAP</param>
/// <param name="hasGaps">Whether the data has gaps</param>
public void historicalData(int reqId, string date, double open, double high, double low, double close, int volume, int count, double WAP, bool hasGaps)
{
// Raise an event which can be listened throughout the application
var eventArgs = new HistoricalDataEventArgs(reqId, date, open, high, low, close, volume, count, WAP, hasGaps);
this.HistoricalDataEvent.Invoke(this, eventArgs);
}
private void OnHistoricalDataRequestCancelled(object sender, HistoricalDataEventArgs e)
{
if (e.RequestId == this.request.RequestId)
{
this.mres.Set();
}
}
private void _broker_HistoricalDataArrived(object sender, HistoricalDataEventArgs e)
{
lock (_socketLock)
{
SendFilledHistoricalRequest(e.Request, e.Data);
}
}
public void EmitHistoricalDataCancelled(global::OpenQuant.API.HistoricalDataRequest request)
{
if (this.HistoricalDataRequestCancelled != null)
{
HistoricalDataEventArgs args = new HistoricalDataEventArgs(request.request.RequestId, request.request.Instrument, this, 0);
this.HistoricalDataRequestCancelled(this, args);
}
}
/// <summary>
/// This method handles data arrivals from the local database
/// </summary>
private void LocalStorageHistoricalDataArrived(object sender, HistoricalDataEventArgs e)
{
Log(LogLevel.Info,
$"Pulled {e.Data.Count} data points from local storage on instrument {e.Request.Instrument.Symbol}.");
//pass up the data to the server so it can be sent out
ReturnData(e);
}
private static void client_HistoricalDataReceived(object sender, HistoricalDataEventArgs e)
{
Console.WriteLine("Historical data received:");
foreach (var bar in e.Data)
{
Console.WriteLine($"{bar.DT} - O: {bar.Open} H: {bar.High} L: {bar.Low} C: {bar.Close}");
}
}
private void J9LThvcYS([In] HistoricalDataRequest obj0, [In] int obj1)
{
HistoricalDataEventArgs args = new HistoricalDataEventArgs(obj0.RequestId, obj0.Instrument, (IHistoricalDataProvider)this, obj1);
if (this.MYMwJXMLq == null)
{
return;
}
this.MYMwJXMLq((object)this, args);
}
private void xmlocsjtF([In] HistoricalDataRequest obj0, [In] int obj1)
{
HistoricalDataEventArgs args = new HistoricalDataEventArgs(obj0.RequestId, obj0.Instrument, (IHistoricalDataProvider)this, obj1);
if (this.uGp8FpvD3 == null)
{
return;
}
this.uGp8FpvD3((object)this, args);
}
private void FAwwpUwD2([In] HistoricalDataRequest obj0, [In] int obj1)
{
HistoricalDataEventArgs args = new HistoricalDataEventArgs(obj0.RequestId, obj0.Instrument, (IHistoricalDataProvider)this, obj1);
if (this.NI1e0JhDM == null)
{
return;
}
this.NI1e0JhDM((object)this, args);
}
private void iAYkpjLCs([In] HistoricalDataRequest obj0, [In] int obj1)
{
HistoricalDataEventArgs args = new HistoricalDataEventArgs(obj0.RequestId, obj0.Instrument, (IHistoricalDataProvider)this, obj1);
if (this.utrQoQnL1 == null)
{
return;
}
this.utrQoQnL1((object)this, args);
}
void tws_HistoricalData(object sender, HistoricalDataEventArgs e)
{
// get history object
if (!hist_list.ContainsKey(e.RequestId))
{
return;
}
HistData h = hist_list[e.RequestId];
h.history.Add(e);
}
private void aNXk7gk8ZR([In] object obj0, [In] HistoricalDataEventArgs obj1)
{
uRIUcg8mp5qy3pl442 riUcg8mp5qy3pl442 = (uRIUcg8mp5qy3pl442)null;
if (!this.V43ldlVmhs.TryGetValue(obj1.RequestId, out riUcg8mp5qy3pl442))
{
return;
}
this.zYhk9pJVyB(riUcg8mp5qy3pl442, nB29ckVlruqARiYysQ.Cancelled);
this.hRhl1skFVG.Remove(obj1.RequestId);
}
private void provider_HistoricalDataRequestCancelled(object sender, HistoricalDataEventArgs args)
{
DownloadViewItem downloadViewItem = (DownloadViewItem)null;
if (!this.items.TryGetValue(args.RequestId, out downloadViewItem))
{
return;
}
this.SetItemStatus(downloadViewItem, DownloadItemStatus.Cancelled);
this.activeRequests.Remove(args.RequestId);
}
private void NhvknhbWi9([In] object obj0, [In] HistoricalDataEventArgs obj1)
{
uRIUcg8mp5qy3pl442 riUcg8mp5qy3pl442 = (uRIUcg8mp5qy3pl442)null;
if (!this.V43ldlVmhs.TryGetValue(obj1.RequestId, out riUcg8mp5qy3pl442))
{
return;
}
this.zYhk9pJVyB(riUcg8mp5qy3pl442, nB29ckVlruqARiYysQ.Done);
this.puvkWE62bU();
this.hRhl1skFVG.Remove(obj1.RequestId);
}
static void client_HistoricalDataReceived(object sender, HistoricalDataEventArgs e)
{
Console.WriteLine("Historical data received:");
foreach (OHLCBar bar in e.Data)
{
Console.WriteLine("{0} - O: {1} H: {2} L: {3} C: {4}",
bar.DT,
bar.Open,
bar.High,
bar.Low,
bar.Close);
}
}
private void OnHistoricalData(object sender, HistoricalDataEventArgs e)
{
// ignore 'end' notification
if ((e.Bar != null) || (e.ErrorMessage != null))
{
lock (m_quoteMapLock)
{
TWSQuoteObject quoteObject;
if (m_quoteMap.TryGetValue(e.RequestId, out quoteObject))
{
quoteObject.Quote = e;
quoteObject.WaitHandle.Set();
m_quoteMap.Remove(e.RequestId);
}
}
}
}
private void dataClient_HistoricalDataReceived(object sender, HistoricalDataEventArgs e)
{
if (!_requestIDs.ContainsKey(e.Request.RequestID))
{
return;
}
if (e.Request.Instrument.ID == null)
{
throw new Exception("Null instrument ID return wtf");
}
lock (_arrivedDataLock)
{
int id = e.Request.Instrument.ID.Value;
_arrivedData.Add(id, e.Data);
_requestIDs[e.Request.RequestID] = true;
}
}
/// <summary>
/// Raise the event that returns data to the server, after applying an RTH filter if needed.
/// </summary>
private void ReturnData(HistoricalDataEventArgs e)
{
//if needed, we filter out the data outside of regular trading hours
if (e.Request.RTHOnly &&
e.Request.Frequency < BarSize.OneDay &&
e.Request.Instrument.Sessions != null)
{
RTHFilter.Filter(e.Data, e.Request.Instrument.Sessions.ToList());
}
//For daily+ data using RTH, we set the bar opening and closing times using
if (e.Request.Frequency >= BarSize.OneDay)
{
MyUtils.SetSessionTimes(e.Data, e.Request.Instrument);
}
RaiseEvent(HistoricalDataArrived, this, new HistoricalDataEventArgs(e.Request, e.Data));
}
private void Dispatcher_HistoricalData(object sender, HistoricalDataEventArgs args)
{
HistoricalData data = args.Data;
ImportTaskViewItem importTaskViewItem;
if (!this.taskItems.TryGetValue(data.RequestId, out importTaskViewItem))
{
return;
}
foreach (SmartQuant.DataObject dataObject in data.Objects)
{
if (dataObject is Quote)
{
Quote quote1 = (Quote)dataObject;
Quote quote2;
lock (this.lastQuotes)
{
if (!this.lastQuotes.TryGetValue(data.RequestId, out quote2))
{
quote2 = new Quote(new Bid(), new Ask());
this.lastQuotes.Add(data.RequestId, quote2);
}
}
if (quote1.Bid.Price != quote2.Bid.Price || quote1.Bid.Size != quote2.Bid.Size)
{
this.framework.DataManager.Save(importTaskViewItem.Task.Instrument, (SmartQuant.DataObject) new Bid(quote1.Bid), SaveMode.Add);
}
if (quote1.Ask.Price != quote2.Ask.Price || quote1.Ask.Size != quote2.Ask.Size)
{
this.framework.DataManager.Save(importTaskViewItem.Task.Instrument, (SmartQuant.DataObject) new Ask(quote1.Ask), SaveMode.Add);
}
quote2.Bid.Price = quote1.Bid.Price;
quote2.Bid.Size = quote1.Bid.Size;
quote2.Ask.Price = quote1.Ask.Price;
quote2.Ask.Size = quote1.Ask.Size;
}
else
{
this.framework.DataManager.Save(importTaskViewItem.Task.Instrument, dataObject, SaveMode.Add);
}
}
importTaskViewItem.Task.TotalNum = data.TotalNum;
importTaskViewItem.Task.Count += data.Objects.Length;
}
private void Client_HistoricalDataReceived(object sender, HistoricalDataEventArgs e)
{
Application.Current.Dispatcher.Invoke(() =>
{
ProgressBarValue++;
if (ProgressBarValue >= ProgressBarMaximum)
{
ProgressBarValue = 0;
ProgressBarMaximum = 0;
StatusBarLabel = "Historical data update complete";
}
else
{
StatusBarLabel =
$"Rcvd {e.Data.Count} bars of {e.Request.Instrument.Symbol} @ {e.Request.Frequency}";
}
}
);
}
private void _client_HistoricalDataReceived(object sender, HistoricalDataEventArgs e)
{
Application.Current.Dispatcher.Invoke(() =>
{
_progressBar.Value++;
if (_progressBar.Value >= _progressBar.Maximum)
{
_progressBar.Value = 0;
_progressBar.Maximum = 0;
StatusBarLabel.Content = "Historical data update complete";
}
else
{
StatusBarLabel.Content = string.Format("Rcvd {0} bars of {1} @ {2}",
e.Data.Count,
e.Request.Instrument.Symbol,
e.Request.Frequency);
}
}
);
}
private void OnHistoricalData(object sender, HistoricalDataEventArgs e)
{
// ignore 'end' notification
if ((e.Bar != null) || (e.ErrorMessage != null))
{
lock (m_quoteMapLock)
{
TWSQuoteObject quoteObject;
if (!m_quoteMap.TryGetValue(e.RequestId, out quoteObject))
{
m_host.OnInfo(String.Format("Unable to find request id {0} in map", e.RequestId), true);
}
else
{
quoteObject.Quote = e;
quoteObject.WaitHandle.Set();
m_quoteMap.Remove(e.RequestId);
}
}
}
}
/// <summary>
/// This one handles data arrivals from historical data sources other than local storage
/// </summary>
private void ExternalHistoricalDataArrived(object sender, HistoricalDataEventArgs e)
{
var assignedID = e.Request.IsSubrequestFor ?? e.Request.AssignedID;
var gotOriginalRequest = originalRequests.TryGetValue(assignedID, out HistoricalDataRequest originalRequest);
if (!gotOriginalRequest)
{
throw new Exception("Something went wrong: original request disappeared");
}
if (e.Request.SaveToLocalStorage)
{
SaveToLocaLStorage(e, originalRequest);
}
else
{
var storageData = new List <OHLCBar>();
if (e.Data.Count > 0 &&
e.Data[0].Date().ToDateTime() > originalRequest.StartingDate &&
e.Request.DataLocation != DataLocation.ExternalOnly)
{
lock (localStorageLock)
{
//we add half a bar to the request limit so that the data we get starts with the next one
DateTime correctedDateTime =
e.Data[0].Date().Date.ToDateTime()
.AddMilliseconds(originalRequest.Frequency.ToTimeSpan().TotalMilliseconds / 2);
storageData = dataStorage.GetData(originalRequest.Instrument, originalRequest.StartingDate,
correctedDateTime, originalRequest.Frequency);
}
}
ReturnData(new HistoricalDataEventArgs(e.Request, storageData.Concat(e.Data).ToList()));
Log(LogLevel.Info,
$"Pulled {e.Data.Count} data points from source {e.Request.Instrument.Datasource.Name} on instrument {e.Request.Instrument.Symbol} and {storageData.Count} points from local storage.");
}
}
private void SaveToLocaLStorage(HistoricalDataEventArgs e, HistoricalDataRequest originalRequest)
{
HistoricalDataRequest historicalDataRequest = e.Request;
AddData(new DataAdditionRequest(historicalDataRequest.Frequency, historicalDataRequest.Instrument, e.Data));
if (historicalDataRequest.IsSubrequestFor.HasValue && subRequests.ContainsKey(historicalDataRequest.IsSubrequestFor.Value))
{
subRequests[historicalDataRequest.IsSubrequestFor.Value].Remove(historicalDataRequest);
if (subRequests[historicalDataRequest.IsSubrequestFor.Value].Count == 0)
{
subRequests.TryRemove(historicalDataRequest.IsSubrequestFor.Value, out List <HistoricalDataRequest> tmpList);
lock (localStorageLock)
{
dataStorage.RequestHistoricalData(originalRequest);
}
}
}
else
{
if (historicalDataRequest.DataLocation == DataLocation.ExternalOnly)
{
//if the request specifies only fresh data, we don't want to go through local storage
ReturnData(new HistoricalDataEventArgs(historicalDataRequest, e.Data));
}
else
{
lock (localStorageLock)
{
dataStorage.RequestHistoricalData(originalRequest);
}
}
}
Log(LogLevel.Info,
$"Pulled {e.Data.Count} data points from source {historicalDataRequest.Instrument.Datasource.Name} on instrument {historicalDataRequest.Instrument.Symbol}.");
}
private void OnHistoricalData(object sender, HistoricalDataEventArgs args)
{
var f = Framework.Current;
HistoricalData data = args.Data;
// ImportTaskViewItem importTaskViewItem;
// if (!this.taskItems.TryGetValue(data.RequestId, out importTaskViewItem))
// return;
// foreach (DataObject dataObject in data.Objects)
// {
// if (dataObject is Quote)
// {
// Quote quote1 = (Quote) dataObject;
// Quote quote2;
// lock (this.lastQuotes)
// {
// if (!this.lastQuotes.TryGetValue(data.RequestId, out quote2))
// {
// quote2 = new Quote(new Bid(), new Ask());
// this.lastQuotes.Add(data.RequestId, quote2);
// }
// }
// if (quote1.Bid.Price != quote2.Bid.Price || quote1.Bid.Size != quote2.Bid.Size)
// f.DataManager.Save(importTaskViewItem.Task.Instrument, (SmartQuant.DataObject) new Bid(quote1.Bid), SaveMode.Add);
// if (quote1.Ask.Price != quote2.Ask.Price || quote1.Ask.Size != quote2.Ask.Size)
// f.DataManager.Save(importTaskViewItem.Task.Instrument, (SmartQuant.DataObject) new Ask(quote1.Ask), SaveMode.Add);
// quote2.Bid.Price = quote1.Bid.Price;
// quote2.Bid.Size = quote1.Bid.Size;
// quote2.Ask.Price = quote1.Ask.Price;
// quote2.Ask.Size = quote1.Ask.Size;
// }
// else
// this.framework.DataManager.Save(importTaskViewItem.Task.Instrument, dataObject, SaveMode.Add);
// }
// importTaskViewItem.Task.TotalNum = data.TotalNum;
// importTaskViewItem.Task.Count += data.Objects.Length;
}
/// <summary>
/// HistoricalData event invocator
/// </summary>
protected virtual void OnHistoricalData(HistoricalDataEventArgs e)
{
var handler = HistoricalData;
if (handler != null) handler(this, e);
}
private void BrokerHistoricalDataArrived(object sender, HistoricalDataEventArgs e)
{
SendFilledHistoricalRequest(e.Request, e.Data);
}
public void EmitHistoricalDataCancelled(global::OpenQuant.API.HistoricalDataRequest request)
{
if (this.HistoricalDataRequestCancelled != null)
{
HistoricalDataEventArgs args = new HistoricalDataEventArgs(request.request.RequestId, request.request.Instrument, this, 0);
this.HistoricalDataRequestCancelled(this, args);
}
}
