public static object BitMexIndex(string symbol, int count = -1, DateTime start = default(DateTime), DateTime end = default(DateTime))
{
//download the current list of instruments from the API
BitMexAPI api = new BitMexAPI();
List <BitMexIndex> index = api.DownloadIndex(symbol, count, start, end);
int rows = index.Count + 1; //add 1 for header row
object[,] result = new string[rows, 5];
//first row will be the headers
result[0, 0] = "Timestamp";
result[0, 1] = "Symbol";
result[0, 2] = "Side";
result[0, 3] = "Size";
result[0, 4] = "Price";
//add all the instrument details
for (int i = 0; i < index.Count; i++)
{
result[i + 1, 0] = index[i].timestamp;
result[i + 1, 1] = index[i].symbol;
result[i + 1, 2] = index[i].side;
result[i + 1, 3] = index[i].size.ToString();
result[i + 1, 4] = index[i].price.ToString();
}
// Excel-DNA hack to resize the resulting result set to the right number of rows/columns
return(XlCall.Excel(XlCall.xlUDF, "Resize", result));
}
public static object BitMexInstruments(string state = null)
{
//download the current list of instruments from the API
BitMexAPI api = new BitMexAPI();
List<BitMexInstrument> instruments = api.DownloadInstrumentList(state);
int rows = instruments.Count + 1; //add 1 for header row
object[,] result = new string[rows, 19];
//first row will be the headers
result[0, 0] = "Symbol";
result[0, 1] = "RootSymbol";
result[0, 2] = "State";
result[0, 3] = "Typ";
result[0, 4] = "Expiry";
result[0, 5] = "TickSize";
result[0, 6] = "Multiplier";
result[0, 7] = "PrevClosePrice";
result[0, 8] = "TotalVolume";
result[0, 9] = "Volume";
result[0, 10] = "Vwap";
result[0, 11] = "OpenInterest";
result[0, 12] = "UnderlyingSymbol";
result[0, 13] = "SettleCurrency";
result[0, 14] = "UnderlyingToSettleMultiplier";
result[0, 15] = "IsQuanto";
result[0, 16] = "IsInverse";
result[0, 17] = "High";
result[0, 18] = "Low";
//add all the instrument details
for (int i = 0; i < instruments.Count; i++)
{
result[i + 1, 0] = instruments[i].symbol;
result[i + 1, 1] = instruments[i].rootSymbol;
result[i + 1, 2] = instruments[i].state;
result[i + 1, 3] = instruments[i].typ;
result[i + 1, 4] = instruments[i].expiry;
result[i + 1, 5] = instruments[i].tickSize.ToString();
result[i + 1, 6] = instruments[i].multiplier.ToString();
result[i + 1, 7] = instruments[i].prevClosePrice.ToString();
result[i + 1, 8] = instruments[i].totalVolume.ToString();
result[i + 1, 9] = instruments[i].volume.ToString();
result[i + 1, 10] = instruments[i].vwap.ToString();
result[i + 1, 11] = instruments[i].openInterest.ToString();
result[i + 1, 12] = instruments[i].underlyingSymbol;
result[i + 1, 13] = instruments[i].settlCurrency;
result[i + 1, 14] = instruments[i].underlyingToSettleMultiplier.ToString();
result[i + 1, 15] = instruments[i].isQuanto.ToString();
result[i + 1, 16] = instruments[i].isInverse.ToString();
result[i + 1, 17] = instruments[i].highPrice.ToString();
result[i + 1, 18] = instruments[i].lowPrice.ToString();
}
// Excel-DNA hack to resize the resulting result set to the right number of rows/columns
return XlCall.Excel(XlCall.xlUDF, "Resize", result);
}
public static object BitMexInstruments(string state = null)
{
//download the current list of instruments from the API
BitMexAPI api = new BitMexAPI();
List <BitMexInstrument> instruments = api.DownloadInstrumentList(state);
int rows = instruments.Count + 1; //add 1 for header row
object[,] result = new string[rows, 19];
//first row will be the headers
result[0, 0] = "Symbol";
result[0, 1] = "RootSymbol";
result[0, 2] = "State";
result[0, 3] = "Typ";
result[0, 4] = "Expiry";
result[0, 5] = "TickSize";
result[0, 6] = "Multiplier";
result[0, 7] = "PrevClosePrice";
result[0, 8] = "TotalVolume";
result[0, 9] = "Volume";
result[0, 10] = "Vwap";
result[0, 11] = "OpenInterest";
result[0, 12] = "UnderlyingSymbol";
result[0, 13] = "SettleCurrency";
result[0, 14] = "UnderlyingToSettleMultiplier";
result[0, 15] = "IsQuanto";
result[0, 16] = "IsInverse";
result[0, 17] = "High";
result[0, 18] = "Low";
//add all the instrument details
for (int i = 0; i < instruments.Count; i++)
{
result[i + 1, 0] = instruments[i].symbol;
result[i + 1, 1] = instruments[i].rootSymbol;
result[i + 1, 2] = instruments[i].state;
result[i + 1, 3] = instruments[i].typ;
result[i + 1, 4] = instruments[i].expiry;
result[i + 1, 5] = instruments[i].tickSize.ToString();
result[i + 1, 6] = instruments[i].multiplier.ToString();
result[i + 1, 7] = instruments[i].prevClosePrice.ToString();
result[i + 1, 8] = instruments[i].totalVolume.ToString();
result[i + 1, 9] = instruments[i].volume.ToString();
result[i + 1, 10] = instruments[i].vwap.ToString();
result[i + 1, 11] = instruments[i].openInterest.ToString();
result[i + 1, 12] = instruments[i].underlyingSymbol;
result[i + 1, 13] = instruments[i].settlCurrency;
result[i + 1, 14] = instruments[i].underlyingToSettleMultiplier.ToString();
result[i + 1, 15] = instruments[i].isQuanto.ToString();
result[i + 1, 16] = instruments[i].isInverse.ToString();
result[i + 1, 17] = instruments[i].highPrice.ToString();
result[i + 1, 18] = instruments[i].lowPrice.ToString();
}
// Excel-DNA hack to resize the resulting result set to the right number of rows/columns
return(XlCall.Excel(XlCall.xlUDF, "Resize", result));
}
//initialisation method called when data is first accessed from Excel
protected override bool ServerStart()
{
Logging.Log("ServerStart");
_api = new BitMexAPI();
//download instruments to get last price snapshot
List<BitMexInstrument> instruments = _api.DownloadInstrumentList(null);
foreach (BitMexInstrument instrument in instruments)
_cache.Instruments[instrument.symbol] = instrument;
//then connect to websocket to get updates
_api.OnDepthUpdate += _api_OnDataUpdate; //subscribe to events so that we'll be notified when prices change
_api.OnTradeUpdate += _api_OnTradeUpdate; //and when products trade
_api.Reconnect();
return true;
}
//initialisation method called when data is first accessed from Excel
protected override bool ServerStart()
{
Logging.Log("ServerStart");
_api = new BitMexAPI();
//download instruments to get last price snapshot
List <BitMexInstrument> instruments = _api.DownloadInstrumentList(null);
foreach (BitMexInstrument instrument in instruments)
{
_cache.Instruments[instrument.symbol] = instrument;
}
//then connect to websocket to get updates
_api.OnDepthUpdate += _api_OnDataUpdate; //subscribe to events so that we'll be notified when prices change
_api.OnTradeUpdate += _api_OnTradeUpdate; //and when products trade
_api.Reconnect();
return(true);
}
public static object BitMexIndex(string symbol, int count = -1, DateTime start = default(DateTime), DateTime end = default(DateTime))
{
//download the current list of instruments from the API
BitMexAPI api = new BitMexAPI();
List<BitMexIndex> index = api.DownloadIndex(symbol, count, start, end);
int rows = index.Count + 1; //add 1 for header row
object[,] result = new string[rows, 5];
//first row will be the headers
result[0, 0] = "Timestamp";
result[0, 1] = "Symbol";
result[0, 2] = "Side";
result[0, 3] = "Size";
result[0, 4] = "Price";
//add all the instrument details
for (int i = 0; i < index.Count; i++)
{
result[i + 1, 0] = index[i].timestamp;
result[i + 1, 1] = index[i].symbol;
result[i + 1, 2] = index[i].side;
result[i + 1, 3] = index[i].size.ToString();
result[i + 1, 4] = index[i].price.ToString();
}
// Excel-DNA hack to resize the resulting result set to the right number of rows/columns
return XlCall.Excel(XlCall.xlUDF, "Resize", result);
}
