private void doFetchAMEXImbalance(TCLIService.Client client, TSessionHandle sessHandle, DateTime QueryDate)
{
#region Construct Query
double st = StartTime.TotalMilliseconds;
double et = EndTime.TotalMilliseconds;
var q = string.Format("select * from {1}.imb_amex where imb_amex.day={0:yyyyMMdd}",
QueryDate, db);
string symbolArry = "";
if (Symbols != null)
{
foreach (string s in Symbols)
{
symbolArry = symbolArry + "','" + s;
}
symbolArry = "(" + symbolArry.Remove(0, 2) + "')";
q = q + " and symbol in " + symbolArry;
}
if (StartTime.TotalMilliseconds != 0)
{
q = q + " and time >=" + st.ToString();
}
if (EndTime.TotalMilliseconds != 0)
{
q = q + " and time <=" + et.ToString();
}
#endregion
TExecuteStatementReq execReq = new TExecuteStatementReq
{
SessionHandle = sessHandle,
Statement = q
};
var execResp = client.ExecuteStatement(execReq);
if (execResp.Status.StatusCode == TStatusCode.SUCCESS_STATUS || execResp.Status.StatusCode == TStatusCode.SUCCESS_WITH_INFO_STATUS)
{
#region Fetch Results
var stmtHandle = execResp.OperationHandle;
var fetchReq = new TFetchResultsReq
{
OperationHandle = stmtHandle,
Orientation = TFetchOrientation.FETCH_NEXT,
MaxRows = Maxrows
};
var bMore = false;
do
{
var resultsResp = client.FetchResults(fetchReq);
var resultSet = resultsResp.Results;
bMore = resultsResp.HasMoreRows;
int datet = 0;
DateTime dateti = DateTime.Now;
foreach (var row in resultSet.Rows)
{
TimeSpan t = TimeSpan.FromMilliseconds((double)row.ColVals[3].I32Val.Value);
if (datet != row.ColVals[0].I32Val.Value)
{
datet = row.ColVals[0].I32Val.Value;
dateti = DateTime.ParseExact(row.ColVals[0].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture);
}
uint buyv = 0;
uint sellv = 0;
var sidej = API.Imbalance.ImbSide.NONE;
if (row.ColVals[4].I32Val.Value == 0)
{
sidej = API.Imbalance.ImbSide.NONE;
buyv = 0;
sellv = 0;
}
else if (row.ColVals[4].I32Val.Value == 1)
{
sidej = API.Imbalance.ImbSide.BUY;
buyv = (uint)row.ColVals[9].I32Val.Value;
sellv = 0;
}
else if (row.ColVals[4].I32Val.Value == 2)
{
sidej = API.Imbalance.ImbSide.SELL;
sellv = (uint)row.ColVals[9].I32Val.Value;
buyv = 0;
}
var typej = API.Imbalance.ImbType.OTHER;
if (row.ColVals[5].I32Val.Value == 3)
{ typej = API.Imbalance.ImbType.OTHER; }
else if (row.ColVals[5].I32Val.Value == 1)
{ typej = API.Imbalance.ImbType.OPEN; }
else if (row.ColVals[5].I32Val.Value == 2)
{ typej = API.Imbalance.ImbType.CLOSE; }
var data = new Data
{
type = Data.DataType.IMBALANCE,
imbalance = new API.Imbalance
{
Symbol = row.ColVals[2].StringVal.Value,
Date = dateti,
PairedVolume = (uint)row.ColVals[7].I32Val.Value,
Type = typej,
Time = t,
NetImbalance = (uint)row.ColVals[9].I32Val.Value,
BuyVolume = buyv,
SellVolume = sellv,
ReferencePrice = (decimal)row.ColVals[10].DoubleVal.Value,
Side = sidej,
ClearingPrice = (decimal)row.ColVals[13].DoubleVal.Value
}
};
Observer.OnNext(data); // notify observer...
}
fetchReq.Orientation = TFetchOrientation.FETCH_NEXT;
Observer.Notify(1.0m); /// TODO: send a report of the pct of job completed...
} while (bMore);
Observer.OnCompleted(); // we're done
#endregion
}
else
{
Observer.OnError(new Exception(string.Format("{0}: {1}", execResp.Status.ErrorCode, execResp.Status.ErrorMessage)));
}
}
private void doFetchTradeNo(TCLIService.Client client, TSessionHandle sessHandle, DateTime StartDate,DateTime EndDate)
{
#region Construct Query
double st = StartTime.TotalMilliseconds;
double et = EndTime.TotalMilliseconds;
var q = string.Format("select * from {1}.trades where day >= {0:yyyyMMdd} and day <= {2:yyyyMMdd}",
StartDate, db , EndDate);
string symbolArry = "";
if (Symbols != null)
{
foreach (string s in Symbols)
{
symbolArry = symbolArry + "','" + s;
}
symbolArry = "(" + symbolArry.Remove(0, 2) + "')";
q = q + " and symbol in " + symbolArry;
}
if (StartTime.TotalMilliseconds != 0)
{
q = q + " and time >=" + st.ToString();
}
if (EndTime.TotalMilliseconds != 0)
{
q = q + " and time <=" + et.ToString();
}
q = q + " order by day,seqno limit " + Maxrows;
#endregion
TExecuteStatementReq execReq = new TExecuteStatementReq
{
SessionHandle = sessHandle,
Statement = q
};
var execResp = client.ExecuteStatement(execReq);
if (execResp.Status.StatusCode == TStatusCode.SUCCESS_STATUS || execResp.Status.StatusCode == TStatusCode.SUCCESS_WITH_INFO_STATUS)
{
#region Process Results
var stmtHandle = execResp.OperationHandle;
var fetchReq = new TFetchResultsReq
{
OperationHandle = stmtHandle,
Orientation = TFetchOrientation.FETCH_NEXT,
MaxRows = Maxrows
};
var bMore = false;
var stshow = true;
var stfetchshow = true;
double fetchstart = 0.0;
do
{
if (_cancellationSource.Token.IsCancellationRequested)
{
return;
}
var resultsResp = new TFetchResultsResp();
if (stshow)
{
var stbegin = DateTime.Now.TimeOfDay.TotalMilliseconds;
resultsResp = client.FetchResults(fetchReq);
var stend = DateTime.Now.TimeOfDay.TotalMilliseconds;
Console.WriteLine("Marketdata1 running query time: " + ((stend - stbegin) / 1000.0).ToString());
stshow = false;
}
else
{
resultsResp = client.FetchResults(fetchReq);
}
var resultSet = resultsResp.Results;
bMore = resultsResp.HasMoreRows;
if (stfetchshow)
{
fetchstart = DateTime.Now.TimeOfDay.TotalMilliseconds;
stfetchshow = false;
}
foreach (var row in resultSet.Rows)
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[16].I32Val.Value);
var data = new Data
{
type = Data.DataType.TRADE,
trade = new API.Tick
{
Symbol = row.ColVals[2].StringVal.Value,
Date = DateTime.ParseExact(row.ColVals[19].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture),
Price = (decimal)row.ColVals[3].DoubleVal.Value,
Size = (uint)row.ColVals[7].I32Val.Value,
Open = (decimal)row.ColVals[9].DoubleVal.Value,
High = (decimal)row.ColVals[10].DoubleVal.Value,
Low = (decimal)row.ColVals[11].DoubleVal.Value,
Last = (decimal)row.ColVals[12].DoubleVal.Value,
TotalVolume = (ulong)row.ColVals[14].I64Val.Value,
BestBidSize = (uint)row.ColVals[0].I32Val.Value,
Time = t
}
};
Observer.OnNext(data); // notify observer...
}
fetchReq.Orientation = TFetchOrientation.FETCH_NEXT;
Observer.Notify((decimal)resultsResp.Results.Rows.Count); /// send a report of the pct of job completed...
} while (bMore); // We're fetching 100 at a time.
Console.WriteLine("Marketdata1 fetch data time: " + ((DateTime.Now.TimeOfDay.TotalMilliseconds - fetchstart) / 1000.0).ToString());
Observer.OnCompleted(); // we're done
#endregion
}
else
{
Observer.OnError(new Exception(string.Format("{0}: {1}", execResp.Status.ErrorCode, execResp.Status.ErrorMessage)));
}
}
private void doFetchUnion(TCLIService.Client client, TSessionHandle sessHandle, string query)
{
TExecuteStatementReq execReq = new TExecuteStatementReq
{
SessionHandle = sessHandle,
Statement = query
};
var execResp = client.ExecuteStatement(execReq);
if (execResp.Status.StatusCode == TStatusCode.SUCCESS_STATUS || execResp.Status.StatusCode == TStatusCode.SUCCESS_WITH_INFO_STATUS)
{
#region test order file
FileStream fs = new FileStream("KMB.csv", FileMode.OpenOrCreate);
StreamWriter m_streamWriter = new StreamWriter(fs);
#endregion
#region Process Results
var stmtHandle = execResp.OperationHandle;
var fetchReq = new TFetchResultsReq
{
OperationHandle = stmtHandle,
Orientation = TFetchOrientation.FETCH_NEXT,
MaxRows = Maxrows
};
var bMore = false;
do
{
if (_cancellationSource.Token.IsCancellationRequested)
{
return;
}
var resultsResp = client.FetchResults(fetchReq);
var resultSet = resultsResp.Results;
bMore = resultsResp.HasMoreRows;
int datet = 0;
DateTime dateti = DateTime.Now;
#region fetch union data
foreach (var row in resultSet.Rows)
{
#region TQI
if (unionType == "TQI")
{
#region T
if (row.ColVals[4].StringVal.Value == "T")
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[1].DoubleVal.Value);
var data = new Data
{
type = Data.DataType.TRADE,
trade = new API.Tick
{
Symbol = row.ColVals[2].StringVal.Value,
Date = DateTime.ParseExact(row.ColVals[0].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture),
Price = (decimal)row.ColVals[6].DoubleVal.Value,
Size = (uint)row.ColVals[11].I32Val.Value,
Open = (decimal)row.ColVals[7].DoubleVal.Value,
High = (decimal)row.ColVals[8].DoubleVal.Value,
Low = (decimal)row.ColVals[9].DoubleVal.Value,
Last = (decimal)row.ColVals[10].DoubleVal.Value,
TotalVolume = (ulong)row.ColVals[18].I64Val.Value,
Time = t
}
};
Observer.OnNext(data); // notify observer...
}
#endregion
#region Q
else if (row.ColVals[4].StringVal.Value == "Q")
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[1].DoubleVal.Value);
if (datet != row.ColVals[0].I32Val.Value)
{
datet = row.ColVals[0].I32Val.Value;
dateti = DateTime.ParseExact(row.ColVals[0].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture);
}
var typej = API.Quote.QuoteType.NONE;
if (row.ColVals[31].DoubleVal.Value == row.ColVals[34].DoubleVal.Value)
{
typej = API.Quote.QuoteType.BEST_ASK;
}
else if (row.ColVals[40].DoubleVal.Value == row.ColVals[37].DoubleVal.Value)
{
typej = API.Quote.QuoteType.BEST_BID;
}
// string askexch = row.ColVals[11].StringVal.Value;
var data = new Data
{
type = Data.DataType.QUOTE,
quote = new API.Quote
{
Symbol = row.ColVals[2].StringVal.Value,
Date = dateti,
AskSize = (uint)row.ColVals[32].I32Val.Value,
BidSize = (uint)row.ColVals[41].I32Val.Value,
Ask = (decimal)row.ColVals[31].DoubleVal.Value,
Bid = (decimal)row.ColVals[40].DoubleVal.Value,
AskExchange = row.ColVals[35].StringVal.Value[0],
BidExchange = row.ColVals[38].StringVal.Value[0],
Type = typej,
Time = t
}
};
Observer.OnNext(data); // notify observer...
}
#endregion
#region I
else
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[1].DoubleVal.Value);
if (datet != row.ColVals[0].I32Val.Value)
{
datet = row.ColVals[0].I32Val.Value;
dateti = DateTime.ParseExact(row.ColVals[0].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture);
}
uint buyv = 0;
uint sellv = 0;
var sidej = API.Imbalance.ImbSide.NONE;
if (row.ColVals[27].I32Val.Value == 0)
{
sidej = API.Imbalance.ImbSide.NONE;
buyv = 0;
sellv = 0;
}
else if (row.ColVals[27].I32Val.Value == 1)
{
sidej = API.Imbalance.ImbSide.BUY;
buyv = (uint)row.ColVals[29].I32Val.Value;
sellv = 0;
}
else if (row.ColVals[27].I32Val.Value == 2)
{
sidej = API.Imbalance.ImbSide.SELL;
sellv = (uint)row.ColVals[29].I32Val.Value;
buyv = 0;
}
var typej = API.Imbalance.ImbType.OTHER;
if (row.ColVals[30].I32Val.Value == 3)
{ typej = API.Imbalance.ImbType.OTHER; }
else if (row.ColVals[30].I32Val.Value == 1)
{ typej = API.Imbalance.ImbType.OPEN; }
else if (row.ColVals[30].I32Val.Value == 2)
{ typej = API.Imbalance.ImbType.CLOSE; }
var data = new Data
{
type = Data.DataType.IMBALANCE,
imbalance = new API.Imbalance
{
Symbol = row.ColVals[2].StringVal.Value,
Date = dateti,
PairedVolume = (uint)row.ColVals[25].I32Val.Value,
Type = typej,
Time = t,
NetImbalance = (uint)row.ColVals[29].I32Val.Value,
BuyVolume = buyv,
SellVolume = sellv,
ReferencePrice = (decimal)row.ColVals[26].DoubleVal.Value,
Side = sidej,
ClearingPrice = (decimal)row.ColVals[19].DoubleVal.Value
}
};
Observer.OnNext(data); // notify observer...
}
#endregion
}
#endregion
#region TI
if (unionType == "TI")
{
#region T
if (row.ColVals[4].StringVal.Value == "T")
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[1].DoubleVal.Value);
var data = new Data
{
type = Data.DataType.TRADE,
trade = new API.Tick
{
Symbol = row.ColVals[2].StringVal.Value,
Date = DateTime.ParseExact(row.ColVals[0].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture),
Price = (decimal)row.ColVals[6].DoubleVal.Value,
Size = (uint)row.ColVals[11].I32Val.Value,
Open = (decimal)row.ColVals[7].DoubleVal.Value,
High = (decimal)row.ColVals[8].DoubleVal.Value,
Low = (decimal)row.ColVals[9].DoubleVal.Value,
Last = (decimal)row.ColVals[10].DoubleVal.Value,
TotalVolume = (ulong)row.ColVals[18].I64Val.Value,
Time = t
}
};
Observer.OnNext(data); // notify observer...
}
#endregion
#region I
else
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[1].DoubleVal.Value);
if (datet != row.ColVals[0].I32Val.Value)
{
datet = row.ColVals[0].I32Val.Value;
dateti = DateTime.ParseExact(row.ColVals[0].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture);
}
uint buyv = 0;
uint sellv = 0;
var sidej = API.Imbalance.ImbSide.NONE;
if (row.ColVals[27].I32Val.Value == 0)
{
sidej = API.Imbalance.ImbSide.NONE;
buyv = 0;
sellv = 0;
}
else if (row.ColVals[27].I32Val.Value == 1)
{
sidej = API.Imbalance.ImbSide.BUY;
buyv = (uint)row.ColVals[29].I32Val.Value;
sellv = 0;
}
else if (row.ColVals[27].I32Val.Value == 2)
{
sidej = API.Imbalance.ImbSide.SELL;
sellv = (uint)row.ColVals[29].I32Val.Value;
buyv = 0;
}
var typej = API.Imbalance.ImbType.OTHER;
if (row.ColVals[30].I32Val.Value == 3)
{ typej = API.Imbalance.ImbType.OTHER; }
else if (row.ColVals[30].I32Val.Value == 1)
{ typej = API.Imbalance.ImbType.OPEN; }
else if (row.ColVals[30].I32Val.Value == 2)
{ typej = API.Imbalance.ImbType.CLOSE; }
var data = new Data
{
type = Data.DataType.IMBALANCE,
imbalance = new API.Imbalance
{
Symbol = row.ColVals[2].StringVal.Value,
Date = dateti,
PairedVolume = (uint)row.ColVals[25].I32Val.Value,
Type = typej,
Time = t,
NetImbalance = (uint)row.ColVals[29].I32Val.Value,
BuyVolume = buyv,
SellVolume = sellv,
ReferencePrice = (decimal)row.ColVals[26].DoubleVal.Value,
Side = sidej,
ClearingPrice = (decimal)row.ColVals[19].DoubleVal.Value
}
};
Observer.OnNext(data); // notify observer...
}
#endregion
}
#endregion
#region QI
if (unionType == "QI")
{
#region Q
if (row.ColVals[4].StringVal.Value == "Q")
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[1].DoubleVal.Value);
if (datet != row.ColVals[0].I32Val.Value)
{
datet = row.ColVals[0].I32Val.Value;
dateti = DateTime.ParseExact(row.ColVals[0].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture);
}
var typej = API.Quote.QuoteType.NONE;
if (row.ColVals[16].DoubleVal.Value == row.ColVals[19].DoubleVal.Value)
{
typej = API.Quote.QuoteType.BEST_ASK;
}
else if (row.ColVals[25].DoubleVal.Value == row.ColVals[22].DoubleVal.Value)
{
typej = API.Quote.QuoteType.BEST_BID;
}
// string askexch = row.ColVals[11].StringVal.Value;
var data = new Data
{
type = Data.DataType.QUOTE,
quote = new API.Quote
{
Symbol = row.ColVals[2].StringVal.Value,
Date = dateti,
AskSize = (uint)row.ColVals[17].I32Val.Value,
BidSize = (uint)row.ColVals[26].I32Val.Value,
Ask = (decimal)row.ColVals[16].DoubleVal.Value,
Bid = (decimal)row.ColVals[25].DoubleVal.Value,
AskExchange = row.ColVals[20].StringVal.Value[0],
BidExchange = row.ColVals[23].StringVal.Value[0],
Type = typej,
Time = t
}
};
Observer.OnNext(data); // notify observer...
}
#endregion
#region I
else
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[1].DoubleVal.Value);
if (datet != row.ColVals[0].I32Val.Value)
{
datet = row.ColVals[0].I32Val.Value;
dateti = DateTime.ParseExact(row.ColVals[0].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture);
}
uint buyv = 0;
uint sellv = 0;
var sidej = API.Imbalance.ImbSide.NONE;
if (row.ColVals[12].I32Val.Value == 0)
{
sidej = API.Imbalance.ImbSide.NONE;
buyv = 0;
sellv = 0;
}
else if (row.ColVals[12].I32Val.Value == 1)
{
sidej = API.Imbalance.ImbSide.BUY;
buyv = (uint)row.ColVals[14].I32Val.Value;
sellv = 0;
}
else if (row.ColVals[12].I32Val.Value == 2)
{
sidej = API.Imbalance.ImbSide.SELL;
sellv = (uint)row.ColVals[14].I32Val.Value;
buyv = 0;
}
var typej = API.Imbalance.ImbType.OTHER;
if (row.ColVals[15].I32Val.Value == 3)
{ typej = API.Imbalance.ImbType.OTHER; }
else if (row.ColVals[15].I32Val.Value == 1)
{ typej = API.Imbalance.ImbType.OPEN; }
else if (row.ColVals[15].I32Val.Value == 2)
{ typej = API.Imbalance.ImbType.CLOSE; }
var data = new Data
{
type = Data.DataType.IMBALANCE,
imbalance = new API.Imbalance
{
Symbol = row.ColVals[2].StringVal.Value,
Date = dateti,
PairedVolume = (uint)row.ColVals[10].I32Val.Value,
Type = typej,
Time = t,
NetImbalance = (uint)row.ColVals[14].I32Val.Value,
BuyVolume = buyv,
SellVolume = sellv,
ReferencePrice = (decimal)row.ColVals[11].DoubleVal.Value,
Side = sidej,
ClearingPrice = (decimal)row.ColVals[4].DoubleVal.Value
}
};
Observer.OnNext(data); // notify observer...
}
#endregion
}
#endregion
#region TQ
if (unionType == "TQ")
{
#region T
if (row.ColVals[4].StringVal.Value == "T")
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[2].I32Val.Value);
var data = new Data
{
type = Data.DataType.TRADE,
trade = new API.Tick
{
Symbol = row.ColVals[3].StringVal.Value,
Date = DateTime.ParseExact(row.ColVals[1].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture),
Price = (decimal)row.ColVals[7].DoubleVal.Value,
Size = (uint)row.ColVals[12].I32Val.Value,
Open = (decimal)row.ColVals[8].DoubleVal.Value,
High = (decimal)row.ColVals[9].DoubleVal.Value,
Low = (decimal)row.ColVals[10].DoubleVal.Value,
Last = (decimal)row.ColVals[11].DoubleVal.Value,
TotalVolume = (ulong)row.ColVals[19].I64Val.Value,
Time = t
}
};
#region test oreder file
m_streamWriter.WriteLine("OnTrade: " + data.trade.Symbol + "," + data.trade.Date.ToShortDateString()+","+ data.trade.Time.ToString() + "," + data.trade.Price.ToString() + "," + data.trade.Size.ToString() + "," + data.trade.Open.ToString() + "," + data.trade.High.ToString() + "," + data.trade.Low.ToString() + "," + data.trade.Last.ToString() + "," + data.trade.TotalVolume.ToString());
#endregion
Observer.OnNext(data); // notify observer...
}
#endregion
#region Q
else if (row.ColVals[4].StringVal.Value == "Q")
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[2].I32Val.Value);
if (datet != row.ColVals[1].I32Val.Value)
{
datet = row.ColVals[1].I32Val.Value;
dateti = DateTime.ParseExact(row.ColVals[1].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture);
}
var typej = API.Quote.QuoteType.NONE;
if (row.ColVals[20].DoubleVal.Value == row.ColVals[23].DoubleVal.Value)
{
typej = API.Quote.QuoteType.BEST_ASK;
}
else if (row.ColVals[29].DoubleVal.Value == row.ColVals[26].DoubleVal.Value)
{
typej = API.Quote.QuoteType.BEST_BID;
}
// string askexch = row.ColVals[11].StringVal.Value;
var data = new Data
{
type = Data.DataType.QUOTE,
quote = new API.Quote
{
Symbol = row.ColVals[3].StringVal.Value,
Date = dateti,
AskSize = (uint)row.ColVals[21].I32Val.Value,
BidSize = (uint)row.ColVals[30].I32Val.Value,
Ask = (decimal)row.ColVals[20].DoubleVal.Value,
Bid = (decimal)row.ColVals[29].DoubleVal.Value,
AskExchange = (char)row.ColVals[24].I32Val.Value,
BidExchange = (char)row.ColVals[27].I32Val.Value,
Type = typej,
Time = t
}
};
#region test oreder file
// m_streamWriter.WriteLine("OnQuote: " + data.quote.Symbol + "," + data.quote.Time.ToString() + "," + data.quote.Ask.ToString() + "," + data.quote.AskSize.ToString() + "," + data.quote.Bid.ToString() + "," + data.quote.BidSize.ToString() + "," + data.quote.AskExchange.ToString() + "," + data.quote.BidExchange.ToString() + "," + data.quote.Type.ToString());
#endregion
Observer.OnNext(data); // notify observer...
}
#endregion
}
#endregion
#region I
if (unionType == "I")
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[1].DoubleVal.Value);
if (datet != row.ColVals[0].I32Val.Value)
{
datet = row.ColVals[0].I32Val.Value;
dateti = DateTime.ParseExact(row.ColVals[0].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture);
}
uint buyv = 0;
uint sellv = 0;
var sidej = API.Imbalance.ImbSide.NONE;
if (row.ColVals[12].I32Val.Value == 0)
{
sidej = API.Imbalance.ImbSide.NONE;
buyv = 0;
sellv = 0;
}
else if (row.ColVals[12].I32Val.Value == 1)
{
sidej = API.Imbalance.ImbSide.BUY;
buyv = (uint)row.ColVals[14].I32Val.Value;
sellv = 0;
}
else if (row.ColVals[12].I32Val.Value == 2)
{
sidej = API.Imbalance.ImbSide.SELL;
sellv = (uint)row.ColVals[14].I32Val.Value;
buyv = 0;
}
var typej = API.Imbalance.ImbType.OTHER;
if (row.ColVals[15].I32Val.Value == 3)
{ typej = API.Imbalance.ImbType.OTHER; }
else if (row.ColVals[15].I32Val.Value == 1)
{ typej = API.Imbalance.ImbType.OPEN; }
else if (row.ColVals[15].I32Val.Value == 2)
{ typej = API.Imbalance.ImbType.CLOSE; }
var data = new Data
{
type = Data.DataType.IMBALANCE,
imbalance = new API.Imbalance
{
Symbol = row.ColVals[2].StringVal.Value,
Date = dateti,
PairedVolume = (uint)row.ColVals[10].I32Val.Value,
Type = typej,
Time = t,
NetImbalance = (uint)row.ColVals[14].I32Val.Value,
BuyVolume = buyv,
SellVolume = sellv,
ReferencePrice = (decimal)row.ColVals[11].DoubleVal.Value,
Side = sidej,
ClearingPrice = (decimal)row.ColVals[4].DoubleVal.Value
}
};
Observer.OnNext(data); // notify observer...
}
#endregion
}
#endregion
fetchReq.Orientation = TFetchOrientation.FETCH_NEXT;
Observer.Notify((decimal)resultsResp.Results.Rows.Count); /// send a report of the pct of job completed...
} while (bMore); // We're fetching 100 at a time.
Observer.OnCompleted(); // we're done
#region test oder file
m_streamWriter.Close();
m_streamWriter.Dispose();
fs.Close();
fs.Dispose();
#endregion
#endregion
}
else
{
Observer.OnError(new Exception(string.Format("{0}: {1}", execResp.Status.ErrorCode, execResp.Status.ErrorMessage)));
}
}
private void doFetchShowDate(TCLIService.Client client, TSessionHandle sessHandle)
{
#region Construct Query
string table = "";
switch (Tablesource)
{
case Table.DAILY:
{
table = db + ".daily";
}
break;
case Table.QUOTE:
{
table = db + ".quotes";
}
break;
case Table.TRADE:
{
table = db + ".trades";
}
break;
case Table.AMEX_IMB:
{
table = db + ".imb_amex";
}
break;
case Table.ARCA_IMB:
{
table = db + ".imb_arca";
}
break;
case Table.NASD_IMB:
{
table = db + ".imb_nasd";
}
break;
case Table.NYSE_IMB:
{
table = db + ".imb_nyse";
}
break;
}
var q = string.Format("show partitions {0}",
table);
#endregion
TExecuteStatementReq execReq = new TExecuteStatementReq
{
SessionHandle = sessHandle,
Statement = q
};
var execResp = client.ExecuteStatement(execReq);
if (execResp.Status.StatusCode == TStatusCode.SUCCESS_STATUS || execResp.Status.StatusCode == TStatusCode.SUCCESS_WITH_INFO_STATUS)
{
#region Process Results
var stmtHandle = execResp.OperationHandle;
var fetchReq = new TFetchResultsReq
{
OperationHandle = stmtHandle,
Orientation = TFetchOrientation.FETCH_NEXT,
MaxRows = Maxrows
};
var bMore = false;
do
{
var resultsResp = client.FetchResults(fetchReq);
var resultSet = resultsResp.Results;
bMore = resultsResp.HasMoreRows;
foreach (var row in resultSet.Rows)
{
// Construct the object
var data = new Data
{
type = Data.DataType.PARTITIONS,
dates = new Data.Partitions
{
Dates = row.ColVals[0].StringVal.Value
}
};
Observer.OnNext(data); // notify observer...
}
fetchReq.Orientation = TFetchOrientation.FETCH_NEXT;
Observer.Notify(1.0m); /// TODO: send a report of the pct of job completed...
} while (bMore);
Observer.OnCompleted(); // we're done
#endregion
}
else
{
Observer.OnError(new Exception(string.Format("{0}: {1}", execResp.Status.ErrorCode, execResp.Status.ErrorMessage)));
}
}
private void doFetchQuote(TCLIService.Client client, TSessionHandle sessHandle, DateTime QueryDate, bool lastQuery = false)
{
#region Construct Query
double st = StartTime.TotalMilliseconds;
double et = EndTime.TotalMilliseconds;
var q = string.Format("select * from {1}.quotes where day={0:yyyyMMdd}",
QueryDate, db);
string symbolArry = "";
if (Symbols != null && Symbols.Count() < 400)
{
foreach (string s in Symbols)
{
symbolArry = symbolArry + "','" + s;
}
symbolArry = "(" + symbolArry.Remove(0, 2) + "')";
q = q + " and symbol in " + symbolArry;
}
if (StartTime.TotalMilliseconds != 0)
{
q = q + " and time >=" + st.ToString();
}
if (EndTime.TotalMilliseconds != 0)
{
q = q + " and time <=" + et.ToString();
}
#endregion
TExecuteStatementReq execReq = new TExecuteStatementReq
{
SessionHandle = sessHandle,
Statement = q
};
var execResp = client.ExecuteStatement(execReq);
if (execResp.Status.StatusCode == TStatusCode.SUCCESS_STATUS || execResp.Status.StatusCode == TStatusCode.SUCCESS_WITH_INFO_STATUS)
{
#region Fetch Results
var stmtHandle = execResp.OperationHandle;
var fetchReq = new TFetchResultsReq
{
OperationHandle = stmtHandle,
Orientation = TFetchOrientation.FETCH_NEXT,
MaxRows = Maxrows
};
var bMore = false;
do
{
var resultsResp = client.FetchResults(fetchReq);
var resultSet = resultsResp.Results;
bMore = resultsResp.HasMoreRows;
int datet = 0;
DateTime dateti = DateTime.Now;
foreach (var row in resultSet.Rows)
{
bool symExi = false;
string str = row.ColVals[2].StringVal.Value;
foreach (var sym in Symbols)
{
if (str == sym || Symbols.Count() < 400)
{
symExi = true;
break;
}
}
if (symExi)
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[16].I32Val.Value);
if (datet != row.ColVals[19].I32Val.Value)
{
datet = row.ColVals[19].I32Val.Value;
dateti = DateTime.ParseExact(row.ColVals[19].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture);
}
var typej = API.Quote.QuoteType.NONE;
if (row.ColVals[5].DoubleVal.Value == row.ColVals[8].DoubleVal.Value)
{ typej = API.Quote.QuoteType.BEST_ASK; }
else if (row.ColVals[6].DoubleVal.Value == row.ColVals[9].DoubleVal.Value)
{ typej = API.Quote.QuoteType.BEST_BID; }
string askexch = row.ColVals[11].StringVal.Value;
var data = new Data
{
type = Data.DataType.QUOTE,
quote = new API.Quote
{
Symbol = row.ColVals[2].StringVal.Value,
Date = dateti,
AskSize = (uint)row.ColVals[3].I32Val.Value,
BidSize = (uint)row.ColVals[4].I32Val.Value,
Ask = (decimal)row.ColVals[5].DoubleVal.Value,
Bid = (decimal)row.ColVals[6].DoubleVal.Value,
AskExchange = Convert.ToChar(row.ColVals[12].I32Val.Value),
BidExchange = Convert.ToChar(row.ColVals[13].I32Val.Value),
Type = typej,
Time = t
}
};
Observer.OnNext(data); // notify observer...
}
}
fetchReq.Orientation = TFetchOrientation.FETCH_NEXT;
Observer.Notify(1.0m); /// TODO: send a report of the pct of job completed...
} while (bMore);
if (lastQuery)
{
Observer.OnCompleted(); // we're done
}
#endregion
}
else
{
Observer.OnError(new Exception(string.Format("{0}: {1}", execResp.Status.ErrorCode, execResp.Status.ErrorMessage)));
}
}
private void doFetchNews(TCLIService.Client client, TSessionHandle sessHandle, DateTime QueryDate, bool lastQuery = false)
{
#region Construct Query
double st = StartTime.TotalMilliseconds;
double et = EndTime.TotalMilliseconds;
var q = string.Format("select * from {1}.news where day={0:yyyyMMdd}",
QueryDate, db);
string symbolArry = "";
if (Symbols != null && Symbols.Count() < 400)
{
foreach (string s in Symbols)
{
symbolArry = symbolArry + "','" + s;
}
symbolArry = "(" + symbolArry.Remove(0, 2) + "')";
q = q + " and symbol in " + symbolArry;
}
if (StartTime.TotalMilliseconds != 0)
{
q = q + " and msofday >= " + st.ToString();
}
if (EndTime.TotalMilliseconds != 0)
{
q = q + " and msofday <= " + et.ToString();
}
// q = q + " order by timestamp limit " + Maxrows;
#endregion
TExecuteStatementReq execReq = new TExecuteStatementReq
{
SessionHandle = sessHandle,
Statement = q
};
var execResp = client.ExecuteStatement(execReq);
if (execResp.Status.StatusCode == TStatusCode.SUCCESS_STATUS || execResp.Status.StatusCode == TStatusCode.SUCCESS_WITH_INFO_STATUS)
{
#region Process Results
var stmtHandle = execResp.OperationHandle;
var fetchReq = new TFetchResultsReq
{
OperationHandle = stmtHandle,
Orientation = TFetchOrientation.FETCH_NEXT,
MaxRows = Maxrows
};
var bMore = false;
var stshow = true;
var stfetchshow = true;
double fetchstart = 0.0;
do
{
if (_cancellationSource.Token.IsCancellationRequested)
{
return;
}
var resultsResp = new TFetchResultsResp();
if (stshow)
{
var stbegin = DateTime.Now.TimeOfDay.TotalMilliseconds;
resultsResp = client.FetchResults(fetchReq);
var stend = DateTime.Now.TimeOfDay.TotalMilliseconds;
Console.WriteLine("Marketdata1 running query time: " + ((stend - stbegin) / 1000.0).ToString());
stshow = false;
}
else
{
resultsResp = client.FetchResults(fetchReq);
}
var resultSet = resultsResp.Results;
bMore = resultsResp.HasMoreRows;
if (stfetchshow)
{
fetchstart = DateTime.Now.TimeOfDay.TotalMilliseconds;
stfetchshow = false;
}
foreach (var row in resultSet.Rows)
{
bool symExi = false;
string str = row.ColVals[1].StringVal.Value;
foreach (var sym in Symbols)
{
if (str == sym || Symbols.Count() < 400)
{
symExi = true;
break;
}
}
if (symExi)
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[2].I32Val.Value);
var data = new Data
{
type = Data.DataType.NEWS,
news = new API.News
{
Symbol = row.ColVals[1].StringVal.Value,
Day = DateTime.ParseExact(row.ColVals[9].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture),
Seqno = (uint)row.ColVals[0].I32Val.Value,
Category=row.ColVals[3].StringVal.Value,
Source=row.ColVals[4].StringVal.Value,
Headline=Regex.Replace(row.ColVals[5].StringVal.Value,"\"",""),
Resourceid=row.ColVals[6].StringVal.Value,
Story = Regex.Replace(row.ColVals[7].StringVal.Value, "\"", ""),
Tags = Regex.Replace(row.ColVals[8].StringVal.Value, "\"", ""),
Msofday = t
}
};
Observer.OnNext(data); // notify observer...
}
}
fetchReq.Orientation = TFetchOrientation.FETCH_NEXT;
Observer.Notify((decimal)resultsResp.Results.Rows.Count); /// send a report of the pct of job completed...
} while (bMore); // We're fetching 100 at a time.
Console.WriteLine("Marketdata1 fetch data time: " + ((DateTime.Now.TimeOfDay.TotalMilliseconds - fetchstart) / 1000.0).ToString());
if (lastQuery)
{
Observer.OnCompleted(); // we're done
}
#endregion
}
else
{
Observer.OnError(new Exception(string.Format("{0}: {1}", execResp.Status.ErrorCode, execResp.Status.ErrorMessage)));
}
}
private void doFetchExgprints(TCLIService.Client client, TSessionHandle sessHandle, DateTime QueryDate, bool lastQuery = false)
{
#region Construct Query
double st = StartTime.TotalMilliseconds;
double et = EndTime.TotalMilliseconds;
var q = string.Format("select * from {1}.exgprints where day={0:yyyyMMdd}",
QueryDate, db);
string symbolArry = "";
if (Symbols != null && Symbols.Count()<400)
{
foreach (string s in Symbols)
{
symbolArry = symbolArry + "','" + s;
}
symbolArry = "(" + symbolArry.Remove(0, 2) + "')";
q = q + " and symbol in " + symbolArry;
}
#endregion
TExecuteStatementReq execReq = new TExecuteStatementReq
{
SessionHandle = sessHandle,
Statement = q
};
var execResp = client.ExecuteStatement(execReq);
if (execResp.Status.StatusCode == TStatusCode.SUCCESS_STATUS || execResp.Status.StatusCode == TStatusCode.SUCCESS_WITH_INFO_STATUS)
{
#region test order file
/*FileStream fs = new FileStream("Exgprints.csv", FileMode.OpenOrCreate);
StreamWriter m_streamWriter = new StreamWriter(fs);*/
#endregion
#region Process Results
var stmtHandle = execResp.OperationHandle;
var fetchReq = new TFetchResultsReq
{
OperationHandle = stmtHandle,
Orientation = TFetchOrientation.FETCH_NEXT,
MaxRows = Maxrows
};
var bMore = false;
var stshow = true;
var stfetchshow = true;
double fetchstart = 0.0;
do
{
if (_cancellationSource.Token.IsCancellationRequested)
{
return;
}
var resultsResp =new TFetchResultsResp();
if (stshow)
{
var stbegin = DateTime.Now.TimeOfDay.TotalMilliseconds;
resultsResp = client.FetchResults(fetchReq);
var stend = DateTime.Now.TimeOfDay.TotalMilliseconds;
Console.WriteLine("Marketdata1 running query time: "+((stend-stbegin)/1000.0).ToString());
stshow = false;
}
else
{
resultsResp = client.FetchResults(fetchReq);
}
var resultSet = resultsResp.Results;
bMore = resultsResp.HasMoreRows;
if (stfetchshow)
{
fetchstart = DateTime.Now.TimeOfDay.TotalMilliseconds;
stfetchshow = false;
}
#region Dic research
/* var DicSym = new Dictionary<string, int>();
foreach (var symbol in Symbols)
{
DicSym.Add(symbol, 0);
}*/
#endregion
foreach (var row in resultSet.Rows)
{
bool symExi = false;
#region Dic Research
// symExi = DicSym.ContainsKey(row.ColVals[0].StringVal.Value);
#endregion
string str = row.ColVals[0].StringVal.Value;
foreach (var sym in Symbols)
{
if (str == sym || Symbols.Count()<400)
{
symExi = true;
break;
}
}
if(symExi)
{
TimeSpan t = TimeSpan.FromMilliseconds(row.ColVals[1].I32Val.Value);
var data = new Data
{
type = Data.DataType.EXGPRINTS,
exgPrints = new API.Exgprints
{
Symbol = row.ColVals[0].StringVal.Value,
Date = DateTime.ParseExact(row.ColVals[7].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture),
Price = (decimal)row.ColVals[5].DoubleVal.Value,
Size = (uint)row.ColVals[6].I32Val.Value,
ListedExchange = (short)row.ColVals[2].I32Val.Value,
ReportingExchange = (short)row.ColVals[3].I32Val.Value,
printtype = (short)row.ColVals[4].I32Val.Value,
Time = t
}
};
#region test oreder file
/* m_streamWriter.WriteLine(data.exgPrints.Symbol + ","
+ data.exgPrints.Date.ToShortDateString() + ","
+ data.exgPrints.Time.ToString() + ","
+ data.exgPrints.Price.ToString() + ","
+ data.exgPrints.Size.ToString() + ","
+ data.exgPrints.ListedExchange.ToString() + ","
+ data.exgPrints.printtype.ToString() + ","
+ data.exgPrints.ReportingExchange.ToString());*/
#endregion
Observer.OnNext(data); // notify observer...
}
}
fetchReq.Orientation = TFetchOrientation.FETCH_NEXT;
Observer.Notify((decimal)resultsResp.Results.Rows.Count); /// send a report of the pct of job completed...
} while (bMore); // We're fetching 100 at a time.
Console.WriteLine("Marketdata1 fetch data time: " + ((DateTime.Now.TimeOfDay.TotalMilliseconds - fetchstart) / 1000.0).ToString());
if (lastQuery)
{
Observer.OnCompleted(); // we're done
}
#region test oder file
/* m_streamWriter.Close();
m_streamWriter.Dispose();
fs.Close();
fs.Dispose();*/
#endregion
#endregion
}
else
{
Observer.OnError(new Exception(string.Format("{0}: {1}", execResp.Status.ErrorCode, execResp.Status.ErrorMessage)));
}
}
private void doFetchDaily(TCLIService.Client client, TSessionHandle sessHandle, DateTime QueryDate, bool lastQuery = false)
{
#region Construct Query
var q = string.Format("select * from {1}.daily where day={0:yyyyMMdd}",
QueryDate, db);
string symbolArry = "";
if (Symbols != null && Symbols.Count()<400)
{
foreach (string s in Symbols)
{
symbolArry = symbolArry + "','" + s;
}
symbolArry = "(" + symbolArry.Remove(0, 2) + "')";
q = q + " and symbol in " + symbolArry;
}
#endregion
TExecuteStatementReq execReq = new TExecuteStatementReq
{
SessionHandle = sessHandle,
Statement = q
};
var execResp = client.ExecuteStatement(execReq);
if (execResp.Status.StatusCode == TStatusCode.SUCCESS_STATUS || execResp.Status.StatusCode == TStatusCode.SUCCESS_WITH_INFO_STATUS)
{
#region Fetch Results
var stmtHandle = execResp.OperationHandle;
var fetchReq = new TFetchResultsReq
{
OperationHandle = stmtHandle,
Orientation = TFetchOrientation.FETCH_NEXT,
MaxRows = Maxrows
};
var bMore = false;
do
{
var resultsResp = client.FetchResults(fetchReq);
var resultSet = resultsResp.Results;
bMore = resultsResp.HasMoreRows;
int datet = 0;
DateTime dateti = DateTime.Now;
foreach (var row in resultSet.Rows)
{
bool symExi = false;
string str = row.ColVals[1].StringVal.Value;
foreach (var sym in Symbols)
{
if (str == sym || Symbols.Count() < 400)
{
symExi = true;
break;
}
}
if (symExi)
{
if (datet != row.ColVals[7].I32Val.Value)
{
datet = row.ColVals[7].I32Val.Value;
dateti = DateTime.ParseExact(row.ColVals[7].I32Val.Value.ToString(), "yyyyMMdd", System.Globalization.CultureInfo.InvariantCulture);
}
var data = new Data
{
type = Data.DataType.DAILY,
daily = new API.OHLC
{
Symbol = row.ColVals[1].StringVal.Value,
Date = dateti,
Open = (decimal)row.ColVals[2].DoubleVal.Value,
High = (decimal)row.ColVals[3].DoubleVal.Value,
Low = (decimal)row.ColVals[4].DoubleVal.Value,
Close = (decimal)row.ColVals[5].DoubleVal.Value,
Volume = (ulong)row.ColVals[6].I32Val.Value,
Time = TimeSpan.Parse("0")
}
};
Observer.OnNext(data); // notify observer...
}
}
fetchReq.Orientation = TFetchOrientation.FETCH_NEXT;
Observer.Notify(1.0m); /// TODO: send a report of the pct of job completed...
} while (bMore);
if (lastQuery)
{
Observer.OnCompleted(); // we're done
}
#endregion
}
else
{
Observer.OnError(new Exception(string.Format("{0}: {1}", execResp.Status.ErrorCode, execResp.Status.ErrorMessage)));
}
}