private void PreLoadDailyDataImpl(Instrument instrument, BarDuration duration)
{
BarSeries series = null;
string id = instrument.ToIdentifier();
Dictionary<string, BarSeries> dictionaryToUse = null;
if (duration == BarDuration.Daily)
dictionaryToUse = dailyBarSeriesDictionary;
else if (duration == BarDuration.Minutely)
dictionaryToUse = minutelyBarSeriesDictionary;
else
throw new ArgumentOutOfRangeException("duration", duration, "Incorrect value for duration");
dictionaryToUse.TryGetValue(id, out series);
if (null != series && series.Count >= 1)
return;
DateTime start = DateTime.Now;
if (duration == BarDuration.Daily)
series = GetHistoricalBars("IB", Instrument, DateTime.Now.AddDays(-60), DateTime.Now, PeriodConstants.PERIOD_DAILY);
else if (duration == BarDuration.Minutely)
series = GetHistoricalBars("IB", instrument, DateTime.Now.AddDays(-5), DateTime.Now, PeriodConstants.PERIOD_MINUTE);
DateTime end = DateTime.Now;
LoggingUtility.WriteDebug(LoggingConfig, string.Format("Took {0}ms to retrieve data from IB for {1} data", end.Subtract(start).TotalMilliseconds, duration));
dictionaryToUse[id] = series;
start = DateTime.Now;
foreach (Bar currentBar in series)
{
Bars.Add(currentBar);
if (PersistHistoricalData)
DataManager.Add(Instrument, currentBar);
}
end = DateTime.Now;
LoggingUtility.WriteDebug(LoggingConfig, string.Format("Took {0}ms to load data into memory for {1} data", end.Subtract(start).TotalMilliseconds, duration));
}
/// <summary>
///
/// </summary>
/// <param name="bar"></param>
/// <returns></returns>
protected Bar GetPreviousBar(Instrument instrument, Bar bar, int period)
{
Bar retVal = null;
BarSeries barsToUse = null;
string instId = instrument.ToIdentifier();
Dictionary<string, BarSeries> dictionaryToUse = null;
bool isSessionOpenBar = bar.IsSessionOpenBar(Instrument.Type);
bool isDailyPeriod = period == PeriodConstants.PERIOD_DAILY;
if (isDailyPeriod) // || isSessionOpenBar
dictionaryToUse = dailyBarSeriesDictionary;
else
dictionaryToUse = minutelyBarSeriesDictionary;
barsToUse = dictionaryToUse[instId];
if (barsToUse.Count > 0)
{
int idx = 0;
bool found = false;
while (!found && idx <= barsToUse.Count - 1)
{
Bar prevBar = barsToUse.Ago(idx);
if ((prevBar.EndTime <= bar.BeginTime) && prevBar.IsWithinRegularTradingHours(Instrument.Type))
{
if (isSessionOpenBar || isDailyPeriod)
{
found = DateTime.Today.Subtract(prevBar.BeginTime.Date).TotalDays >= 1;
if (!found && DateTime.Now.IsPastRegularTradingHours(Instrument.Type))
found = DateTime.Today.Subtract(prevBar.BeginTime.Date).TotalDays >= 0;
}
else
{
found = true;
}
}
if (found)
retVal = prevBar;
else
idx++;
}
}
if (retVal == null)
throw new ApplicationException(string.Format("Count not retreive a period {0} bar to {1}", period, bar));
LoggingUtility.WriteDebug(LoggingConfig, string.Format("Previous closing bar was {0}", retVal));
return retVal;
}
protected Bar GetPreviousDayBar(Instrument instrument)
{
Bar retVal = null;
string instId = instrument.ToIdentifier();
BarSeries barsToUse = dailyBarSeriesDictionary[instId];
if (barsToUse.Count > 0)
{
int idx = 0;
bool found = false;
while (!found && idx <= barsToUse.Count - 1)
{
Bar prevBar = barsToUse.Ago(idx);
if (prevBar.EndTime.Date <= DateTime.Today)
{
if (prevBar.IsWithinRegularTradingHours(Instrument.Type))
{
found = DateTime.Today.Subtract(prevBar.BeginTime.Date).TotalDays >= 1;
if (!found && DateTime.Now.IsPastRegularTradingHours(Instrument.Type))
found = DateTime.Today.Subtract(prevBar.BeginTime.Date).TotalDays >= 0;
}
}
if (found)
retVal = prevBar;
else
idx++;
}
}
if (retVal == null)
throw new ApplicationException(string.Format("Count not retreive a daily bar prior to {0}", DateTime.Today));
LoggingUtility.WriteDebug(LoggingConfig, string.Format("Previous closing bar was {0}", retVal));
return retVal;
}
protected ATR GetAtr(Instrument instrument, int period)
{
BarSeries dailyBarSeries = null;
string instId = instrument.ToIdentifier();
dailyBarSeriesDictionary.TryGetValue(instId, out dailyBarSeries);
if (dailyBarSeries == null || dailyBarSeries.Count <= 0)
throw new ApplicationException("Daily bar series has not been initialized");
string atrId = string.Format("{0}:{1}", instId, period);
if (!atrDictionary.ContainsKey(atrId))
{
lock (LockObject)
{
if (!atrDictionary.ContainsKey(atrId))
{
ATR atr = new ATR(dailyBarSeries, period);
atrDictionary.Add(atrId, atr);
}
}
}
return atrDictionary[atrId];
}
