/// <summary>
/// Stream IQFeed TickMessages from disk to Lean Tick
/// </summary>
/// <param name="filename"></param>
/// <param name="request"></param>
/// <param name="tickFunc"></param>
/// <param name="delete"></param>
/// <returns>Converted Tick</returns>
private IEnumerable <BaseData> GetDataFromTickMessages(string filename, HistoryRequest request, Func <DateTime, Symbol, TickMessage, Tick> tickFunc, bool delete)
{
var dataTimeZone = _marketHoursDatabase.GetDataTimeZone(request.Symbol.ID.Market, request.Symbol, request.Symbol.SecurityType);
// We need to discard ticks which are not impacting the price, i.e those having BasisForLast = O
// To get a better understanding how IQFeed is resampling ticks, have a look to this algorithm:
// https://github.com/mathpaquette/IQFeed.CSharpApiClient/blob/1b33250e057dfd6cd77e5ee35fa16aebfc8fbe79/src/IQFeed.CSharpApiClient.Extensions/Lookup/Historical/Resample/TickMessageExtensions.cs#L41
foreach (var tick in TickMessage.ParseFromFile(filename).Where(t => t.BasisForLast != 'O'))
{
var timestamp = tick.Timestamp.ConvertTo(TimeZones.NewYork, dataTimeZone);
yield return(tickFunc(timestamp, request.Symbol, tick));
}
if (delete)
{
File.Delete(filename);
}
}
/// <summary>
/// Stream IQFeed TickMessages from disk to Lean Tick
/// </summary>
/// <param name="filename"></param>
/// <param name="request"></param>
/// <param name="isEquity"></param>
/// <returns>Converted Tick</returns>
private IEnumerable <BaseData> GetDataFromTickMessages(string filename, HistoryRequest request)
{
var dataTimeZone = _marketHoursDatabase.GetDataTimeZone(request.Symbol.ID.Market, request.Symbol, request.Symbol.SecurityType);
// We need to discard ticks which are not impacting the price, i.e those having BasisForLast = O
// To get a better understanding how IQFeed is resampling ticks, have a look to this algorithm:
// https://github.com/mathpaquette/IQFeed.CSharpApiClient/blob/1b33250e057dfd6cd77e5ee35fa16aebfc8fbe79/src/IQFeed.CSharpApiClient.Extensions/Lookup/Historical/Resample/TickMessageExtensions.cs#L41
foreach (var tick in TickMessage.ParseFromFile(filename).Where(t => t.BasisForLast != 'O'))
{
var timestamp = tick.Timestamp.ConvertTo(TimeZones.NewYork, dataTimeZone);
// trade
yield return(new Tick(
timestamp,
request.Symbol,
tick.TradeConditions,
tick.TradeMarketCenter.ToStringInvariant(),
tick.LastSize,
(decimal)tick.Last
));
// quote
yield return(new Tick(
timestamp,
request.Symbol,
tick.TradeConditions,
tick.TradeMarketCenter.ToStringInvariant(),
0, // not provided by IQFeed on history
(decimal)tick.Bid,
0, // not provided by IQFeed on history
(decimal)tick.Ask
));
}
File.Delete(filename);
}
/// <summary>
/// Get the last known price using the history provider.
/// Useful for seeding securities with the correct price
/// </summary>
/// <param name="security"><see cref="Security"/> object for which to retrieve historical data</param>
/// <returns>A single <see cref="BaseData"/> object with the last known price</returns>
public BaseData GetLastKnownPrice(Security security)
{
if (security.Symbol.IsCanonical() || HistoryProvider == null)
{
return(null);
}
var configs = SubscriptionManager.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(security.Symbol);
var dataTimeZone = MarketHoursDatabase
.GetDataTimeZone(security.Symbol.ID.Market, security.Symbol, security.Symbol.SecurityType);
// For speed and memory usage, use Resolution.Minute as the minimum resolution
var resolution = (Resolution)Math.Max((int)Resolution.Minute, (int)configs.GetHighestResolution());
var isExtendedMarketHours = configs.IsExtendedMarketHours();
// request QuoteBar for Options and Futures
var dataType = typeof(BaseData);
if (security.Type == SecurityType.Option || security.Type == SecurityType.Future)
{
dataType = LeanData.GetDataType(resolution, TickType.Quote);
}
// Get the config with the largest resolution
var subscriptionDataConfig = GetMatchingSubscription(security.Symbol, dataType);
TickType tickType;
if (subscriptionDataConfig == null)
{
dataType = typeof(TradeBar);
tickType = LeanData.GetCommonTickTypeForCommonDataTypes(dataType, security.Type);
}
else
{
// if subscription resolution is Tick, we also need to update the data type from Tick to TradeBar/QuoteBar
if (subscriptionDataConfig.Resolution == Resolution.Tick)
{
dataType = LeanData.GetDataType(resolution, subscriptionDataConfig.TickType);
subscriptionDataConfig = new SubscriptionDataConfig(subscriptionDataConfig, dataType, resolution: resolution);
}
dataType = subscriptionDataConfig.Type;
tickType = subscriptionDataConfig.TickType;
}
Func <int, BaseData> getLastKnownPriceForPeriods = backwardsPeriods =>
{
var startTimeUtc = _historyRequestFactory
.GetStartTimeAlgoTz(security.Symbol, backwardsPeriods, resolution, security.Exchange.Hours, dataTimeZone)
.ConvertToUtc(_localTimeKeeper.TimeZone);
var request = new HistoryRequest(
startTimeUtc,
UtcTime,
dataType,
security.Symbol,
resolution,
security.Exchange.Hours,
dataTimeZone,
resolution,
isExtendedMarketHours,
configs.IsCustomData(),
configs.DataNormalizationMode(),
tickType
);
BaseData result = null;
History(new List <HistoryRequest> {
request
})
.PushThrough(bar =>
{
if (!bar.IsFillForward)
{
result = bar;
}
});
return(result);
};
var lastKnownPrice = getLastKnownPriceForPeriods(1);
if (lastKnownPrice != null)
{
return(lastKnownPrice);
}
// If the first attempt to get the last know price returns null, it maybe the case of an illiquid security.
// We increase the look-back period for this case accordingly to the resolution to cover 3 trading days
var periods =
resolution == Resolution.Daily ? 3 :
resolution == Resolution.Hour ? 24 : 1440;
return(getLastKnownPriceForPeriods(periods));
}
