public static void returnRTBfromAPI(int reqId, long time, double open,
double high, double low, double close, long volume, double WAP, int count)
{
rtbUpdateStruct rtb = new rtbUpdateStruct();
rtb.close = close;
rtb.time = time;
rtb.ticker = reqIds.FirstOrDefault(x => x.Value == reqId).Key;
q.Enqueue(rtb);
}
public static int Main(string[] args)
{
//Connect to the API
EWrapperImpl ApiWrapper = new EWrapperImpl();
//public EWrapperImpl ApiWrapper;
ApiWrapper.ClientSocket.eConnect("127.0.0.1", 7496, 0, false);
// before proceding, monitor nextValidId
while (ApiWrapper.NextOrderId <= 0)
{
}
// Load securities
var activecontracts = GetActiveContracts();
// If no tickers found in database, load a default (hard coded) ticker
if (activecontracts.Count == 0)
{
ActiveContract defaultcontract = new ActiveContract();
DateTime date1 = new DateTime(1900, 12, 31, 0, 0, 0);
defaultcontract.ActivityDate = date1;
defaultcontract.IBFuturesLocalSymbol = "ZZN6";
activecontracts.Add(defaultcontract);
}
// BUILD A CONTRACT FOR EACH TICKER
var IBcontractlist = new List <Contract>();
activecontracts.ForEach(t =>
{ if (t.ActivityDate == DateTime.Today)
{
Contract nextcontract = BuildNymexFuturesContract(t);
IBcontractlist.Add(nextcontract);
}
});
// set up dataTable for capture of datafeed price data
p.Columns.Add("ticker", typeof(string));
p.Columns.Add("close", typeof(float));
p.Columns.Add("time", typeof(Int64));
//p.Columns.Add("processed", typeof(DateTime));
// set up dictionary of Tickers:ReqIds
int i = 0;
Parallel.ForEach(IBcontractlist, (t) =>
{
i++;
reqIds.Add(t.LocalSymbol, i);
});
// open an api datafeed for each contract
Parallel.ForEach(IBcontractlist, (t) =>
{
i++;
ApiWrapper.ClientSocket.reqRealTimeBars(t.reqId, t, -1, "BID", false,
GetFakeParameters(4));
Thread.Sleep(5000);
});
// dequeue price updates and write to database
while (1 > 0)
{
// if new data arrived...
if (q.Count > 0)
{
rtbUpdateStruct t = new rtbUpdateStruct();
t = (rtbUpdateStruct)q.Dequeue();
// write to console
Console.WriteLine(t.ticker +
", close: " + t.close +
", time: " + t.time);
// write to database
ApiWrapper.RealTimeBarCapturetoDB(t.close, t.time, t.ticker);
// append to datatable
p.Rows.Add(t.ticker, t.close, t.time);
// update technical indicators
//Studies(t.ticker);
//Scores(t.ticker);
//Weights(t.ticker);
//Trades(t.ticker);
//Orders();
//Reports();
}
}
////Shut down
//Console.WriteLine("Disconnecting... Please press ENTER to close application.");
//Console.ReadLine();
//ApiWrappper.ClientSocket.eDisconnect();
//return 0;
}
