/// <summary>
/// Get Wealth Lab bars from QuikBars
/// </summary>
/// <param name="symbol"></param>
/// <param name="startTime"></param>
/// <param name="endTime"></param>
public static BarsAndDom GetHistoryBars(string symbol, DataSource ds, DateTime startTime, DateTime endTime)
{
// Return bars in ticks data. Will be recalculated by Wealth-lab
// Bars bars = new Bars(symbol.Trim(new char[] { ' ', '"' }), ds.Scale, ds.BarInterval);
if (HistoryBars.ContainsKey(symbol))
{
HistoryBars.Remove(symbol);
//return HistoryBars[symbol];
}
BarsAndDom bars = new BarsAndDom(symbol.Trim(new char[] { ' ', '"' }), ds.Scale, ds.BarInterval);
HistoryBars.Add(bars.Symbol, bars);
// Load from file
string[] lines = File.ReadAllLines(string.Format(historyFilePath, bars.Symbol));
int i = 0;
// Init quik bar
QuikBar quikBar = null;
if (lines.Length > 2)
{
if (ds.Scale == BarScale.Tick)
{
QuikQuote quikQuote = new QuikQuote(lines[1]);
quikBar = new QuikBar(quikQuote);
}
else
{
quikBar = new QuikBar(lines[1]);
}
}
// Add bars
foreach (string line in lines)
{
// First line is a header, no parse
if (i++ == 0)
continue;
QuikQuote quikQuote = new QuikQuote(line);
// Add bar to wealth-lab if quote is a quote of new bar
if(IsNewBarQuote(quikBar, quikQuote, ds.BarDataScale))
{
bars.Add(quikBar.OpenTime, quikBar.Open, quikBar.High, quikBar.Low, quikBar.Close, quikBar.Volume);
quikBar = new QuikBar();
}
quikBar.Update(quikQuote);
// Start a new bar or not?
//TimeSpan timeFromOpen = quikBar.OpenTime - quikQuote.Time;
// bars.Add(quikQuote.Time, quikQuote.Close, quikQuote.Close, quikQuote.Close, quikQuote.Close, quikQuote.Volume);
}
// Load history
if (bars.Count != 0)
{
bars.Level2History= new Level2History(bars.Symbol);
bars.Level2History.Load(bars.Date.Last());
}
return bars;
}
/// <summary>
/// True if QuikQuote is inside QuikBar time interval
/// </summary>
/// <param name="bar">QuikBar</param>
/// <param name="quote">QuikQuote</param>
/// <param name="dataScale">Bar data scale</param>
/// <returns></returns>
private static bool IsNewBarQuote(QuikBar bar, QuikQuote quote, BarDataScale dataScale)
{
switch (dataScale.Scale)
{
case BarScale.Tick:
return true;
break;
case BarScale.Second:
return (quote.Time.Second != bar.OpenTime.Second
&& quote.Time.Second % dataScale.BarInterval == 0);
break;
case BarScale.Minute:
return ( quote.Time.Minute != bar.OpenTime.Minute
&& quote.Time.Minute % dataScale.BarInterval == 0);
break;
case BarScale.Daily:
case BarScale.Weekly:
default:
return (quote.Time.Day != bar.OpenTime.Day
&& quote.Time.Day % dataScale.BarInterval == 0);
break;
case BarScale.Monthly:
case BarScale.Quarterly:
return (quote.Time.Month != bar.OpenTime.Month
&& quote.Time.Month % dataScale.BarInterval == 0);
break;
case BarScale.Yearly:
return (quote.Time.Year != bar.OpenTime.Year
&& quote.Time.Year % dataScale.BarInterval == 0);
}
}
