//check the latest date we have available in local storage, then request historical data from that date to the current time
private void UpdateHistoricalDataBtn_ItemClick(object sender, RoutedEventArgs routedEventArgs)
{
var frequency = (BarSize)((MenuItem)sender).Tag;
List <Instrument> selectedInstruments = InstrumentsGrid.SelectedItems.Cast <Instrument>().ToList();
int requestCount = 0;
using (var localStorage = DataStorageFactory.Get())
{
foreach (Instrument i in selectedInstruments)
{
if (!i.ID.HasValue)
{
continue;
}
//TODO add GetStorageInfo to client, then remove dependency on DataStorageFactory here
var storageInfo = localStorage.GetStorageInfo(i.ID.Value);
if (storageInfo.Any(x => x.Frequency == frequency))
{
var relevantStorageInfo = storageInfo.First(x => x.Frequency == frequency);
_client.RequestHistoricalData(new HistoricalDataRequest(
i,
frequency,
relevantStorageInfo.LatestDate + frequency.ToTimeSpan(),
DateTime.Now,
dataLocation: DataLocation.ExternalOnly,
saveToLocalStorage: true));
requestCount++;
}
}
}
if (_progressBar.Value >= _progressBar.Maximum)
{
_progressBar.Maximum = requestCount;
_progressBar.Value = 0;
}
else
{
_progressBar.Maximum += requestCount;
}
}
private void LoadDataBtn_Click(object sender, RoutedEventArgs e)
{
Data.Clear();
//grab the data
//todo remove dependency on DataStorageFactory
using (var localStorage = DataStorageFactory.Get())
{
var bars = localStorage.GetData(TheInstrument, StartTime, EndTime, (BarSize)ResolutionComboBox.SelectedItem);
//find largest significant decimal by sampling the prices at the start and end of the series
var decPlaces = new List <int>();
for (int i = 0; i < Math.Min(bars.Count, 20); i++)
{
decPlaces.Add(bars[i].Open.CountDecimalPlaces());
decPlaces.Add(bars[bars.Count - 1 - i].Close.CountDecimalPlaces());
}
//set the column format to use that number so we don't get any useless trailing 0s
SetPriceColumnFormat(decPlaces.Max());
foreach (OHLCBar b in bars)
{
//do any required time zone coversions
if (TimezoneComboBox.Text == "UTC")
{
b.DT = TimeZoneInfo.ConvertTimeToUtc(b.DT, _tzInfo);
}
else if (TimezoneComboBox.Text == "Local")
{
b.DT = TimeZoneInfo.ConvertTime(b.DT, _tzInfo, TimeZoneInfo.Local);
}
Data.Add(b);
}
_loadedFrequency = (BarSize)ResolutionComboBox.SelectedItem;
_loadedTimeZone = TimezoneComboBox.Text;
}
StatusLabel.Content = string.Format("Loaded {0} Bars", Data.Count);
}
public MainWindow()
{
Common.Logging.LogManager.Adapter = new NLogLoggerFactoryAdapter(new Common.Logging.Configuration.NameValueCollection());
//make sure we can connect to the database
CheckDBConnection();
//set the log directory
SetLogDirectory();
//set the connection string
DBUtils.SetConnectionString();
//set EF configuration, necessary for MySql to work
DBUtils.SetDbConfiguration();
InitializeComponent();
DataContext = this;
//load datagrid layout
string layoutFile = AppDomain.CurrentDomain.BaseDirectory + "GridLayout.xml";
if (File.Exists(layoutFile))
{
try
{
InstrumentsGrid.DeserializeLayout(File.ReadAllText(layoutFile));
}
catch
{
}
}
LogMessages = new ConcurrentNotifierBlockingList <LogEventInfo>();
//target is where the log managers send their logs, here we grab the memory target which has a Subject to observe
var target = LogManager.Configuration.AllTargets.Single(x => x.Name == "myTarget") as MemoryTarget;
//Log unhandled exceptions
AppDomain.CurrentDomain.UnhandledException += AppDomain_CurrentDomain_UnhandledException;
//we subscribe to the messages and send them all to the LogMessages collection
if (target != null)
{
target.Messages.Subscribe(msg => LogMessages.TryAdd(msg));
}
//build the instruments grid context menu
//we want a button for each BarSize enum value in the UpdateFreqSubMenu menu
foreach (int value in Enum.GetValues(typeof(BarSize)))
{
var button = new MenuItem
{
Header = Regex.Replace(((BarSize)value).ToString(), "([A-Z])", " $1").Trim(),
Tag = (BarSize)value
};
button.Click += UpdateHistoricalDataBtn_ItemClick;
((MenuItem)Resources["UpdateFreqSubMenu"]).Items.Add(button);
}
//create metadata db if it doesn't exist
var entityContext = new MyDBContext();
entityContext.Database.Initialize(false);
//seed the datasources no matter what, because these are added frequently
Seed.SeedDatasources(entityContext);
//check for any exchanges, seed the db with initial values if nothing is found
if (!entityContext.Exchanges.Any())
{
Seed.DoSeed();
}
//create data db if it doesn't exist
var dataContext = new DataDBContext();
dataContext.Database.Initialize(false);
dataContext.Dispose();
//create quartz db if it doesn't exist
QuartzUtils.InitializeDatabase(Settings.Default.databaseType);
//build the tags menu
var allTags = entityContext.Tags.ToList();
BuildTagContextMenu(allTags);
//build session templates menu
BuildSetSessionTemplateMenu();
Instruments = new ObservableCollection <Instrument>();
var instrumentRepo = new InstrumentRepository(entityContext);
var instrumentList = instrumentRepo.FindInstruments().Result;
foreach (Instrument i in instrumentList)
{
Instruments.Add(i);
}
//create brokers
var cfRealtimeBroker = new ContinuousFuturesBroker(new QDMSClient.QDMSClient(
"RTDBCFClient",
"127.0.0.1",
Properties.Settings.Default.rtDBReqPort,
Properties.Settings.Default.rtDBPubPort,
Properties.Settings.Default.hDBPort,
Properties.Settings.Default.httpPort,
Properties.Settings.Default.apiKey,
useSsl: Properties.Settings.Default.useSsl),
connectImmediately: false);
var cfHistoricalBroker = new ContinuousFuturesBroker(new QDMSClient.QDMSClient(
"HDBCFClient",
"127.0.0.1",
Properties.Settings.Default.rtDBReqPort,
Properties.Settings.Default.rtDBPubPort,
Properties.Settings.Default.hDBPort,
Properties.Settings.Default.httpPort,
Properties.Settings.Default.apiKey,
useSsl: Properties.Settings.Default.useSsl),
connectImmediately: false);
var localStorage = DataStorageFactory.Get();
RealTimeBroker = new RealTimeDataBroker(cfRealtimeBroker, localStorage,
new IRealTimeDataSource[] {
//new Xignite(Properties.Settings.Default.xigniteApiToken),
//new Oanda(Properties.Settings.Default.oandaAccountId, Properties.Settings.Default.oandaAccessToken),
new IB(Properties.Settings.Default.ibClientHost, Properties.Settings.Default.ibClientPort, Properties.Settings.Default.rtdClientIBID),
//new ForexFeed(Properties.Settings.Default.forexFeedAccessKey, ForexFeed.PriceType.Mid)
});
HistoricalBroker = new HistoricalDataBroker(cfHistoricalBroker, localStorage,
new IHistoricalDataSource[] {
new Yahoo(),
new FRED(),
//new Forexite(),
new IB(Properties.Settings.Default.ibClientHost, Properties.Settings.Default.ibClientPort, Properties.Settings.Default.histClientIBID),
new Quandl(Properties.Settings.Default.quandlAuthCode),
new BarChart(Properties.Settings.Default.barChartApiKey)
});
var countryCodeHelper = new CountryCodeHelper(entityContext.Countries.ToList());
EconomicReleaseBroker = new EconomicReleaseBroker("FXStreet",
new[] { new fx.FXStreet(countryCodeHelper) });
//create the various servers
_realTimeServer = new RealTimeDataServer(Properties.Settings.Default.rtDBPubPort, Properties.Settings.Default.rtDBReqPort, RealTimeBroker);
_historicalDataServer = new HistoricalDataServer(Properties.Settings.Default.hDBPort, HistoricalBroker);
//and start them
_realTimeServer.StartServer();
_historicalDataServer.StartServer();
//we also need a client to make historical data requests with
_client = new QDMSClient.QDMSClient(
"SERVERCLIENT",
"localhost",
Properties.Settings.Default.rtDBReqPort,
Properties.Settings.Default.rtDBPubPort,
Properties.Settings.Default.hDBPort,
Properties.Settings.Default.httpPort,
Properties.Settings.Default.apiKey,
useSsl: Properties.Settings.Default.useSsl);
_client.Connect();
_client.HistoricalDataReceived += _client_HistoricalDataReceived;
ActiveStreamGrid.ItemsSource = RealTimeBroker.ActiveStreams;
//create the scheduler
var quartzSettings = QuartzUtils.GetQuartzSettings(Settings.Default.databaseType);
ISchedulerFactory schedulerFactory = new StdSchedulerFactory(quartzSettings);
_scheduler = schedulerFactory.GetScheduler();
_scheduler.JobFactory = new JobFactory(HistoricalBroker,
Properties.Settings.Default.updateJobEmailHost,
Properties.Settings.Default.updateJobEmailPort,
Properties.Settings.Default.updateJobEmailUsername,
Properties.Settings.Default.updateJobEmailPassword,
Properties.Settings.Default.updateJobEmailSender,
Properties.Settings.Default.updateJobEmail,
new UpdateJobSettings(
noDataReceived: Properties.Settings.Default.updateJobReportNoData,
errors: Properties.Settings.Default.updateJobReportErrors,
outliers: Properties.Settings.Default.updateJobReportOutliers,
requestTimeouts: Properties.Settings.Default.updateJobTimeouts,
timeout: Properties.Settings.Default.updateJobTimeout,
toEmail: Properties.Settings.Default.updateJobEmail,
fromEmail: Properties.Settings.Default.updateJobEmailSender),
localStorage,
EconomicReleaseBroker);
_scheduler.Start();
//Take jobs stored in the qmds db and move them to the quartz db - this can be removed in the next version
MigrateJobs(entityContext, _scheduler);
var bootstrapper = new CustomBootstrapper(
DataStorageFactory.Get(),
EconomicReleaseBroker,
HistoricalBroker,
RealTimeBroker,
Properties.Settings.Default.apiKey);
var uri = new Uri((Settings.Default.useSsl ? "https" : "http") + "://localhost:" + Properties.Settings.Default.httpPort);
var host = new NancyHost(bootstrapper, uri);
host.Start();
entityContext.Dispose();
ShowChangelog();
}
private void ImportBtn_Click(object sender, RoutedEventArgs e)
{
Stopwatch sw = new Stopwatch();
sw.Start();
//check that we've got the relevant data needed
if (!Data.Columns.Contains("Date") && !Data.Columns.Contains("DateTime"))
{
MessageBox.Show("Must have a date column.");
return;
}
if ((BarSize)FrequencyComboBox.SelectedItem < BarSize.OneDay && !Data.Columns.Contains("DateTime") && !Data.Columns.Contains("Time"))
{
MessageBox.Show("Must have time column at this frequency");
return;
}
if (!Data.Columns.Contains("Open") ||
!Data.Columns.Contains("High") ||
!Data.Columns.Contains("Low") ||
!Data.Columns.Contains("Close"))
{
MessageBox.Show("Must have all OHLC columns.");
return;
}
//make sure the timezone is set, and get it
if (string.IsNullOrEmpty(_instrument.Exchange.Timezone))
{
MessageBox.Show("Instrument's exchange has no set timezone, can't import.");
return;
}
var tzInfo = TimeZoneInfo.FindSystemTimeZoneById(_instrument.Exchange.Timezone);
//get the multipliers
decimal priceMultiplier;
int volumeMultiplier;
bool parseWorked = decimal.TryParse(PriceMultiplier.Text, out priceMultiplier);
if (!parseWorked)
{
priceMultiplier = 1;
}
parseWorked = int.TryParse(VolumeMultiplier.Text, out volumeMultiplier);
if (!parseWorked)
{
volumeMultiplier = 1;
}
//lines to skip
int toSkip;
parseWorked = int.TryParse(StartingLine.Text, out toSkip);
if (!parseWorked)
{
toSkip = 1;
}
//get the frequency
var frequency = (BarSize)FrequencyComboBox.SelectedItem;
//separator
char[] separator = DelimiterBox.Text.ToCharArray();
List <OHLCBar> bars = new List <OHLCBar>();
string[] columns = new string[Data.Columns.Count];
for (int i = 0; i < Data.Columns.Count; i++)
{
columns[i] = Data.Columns[i].ColumnName;
}
//determining time: if the freq is >= one day, then the time is simply the session end for this day
Dictionary <int, TimeSpan> sessionEndTimes = new Dictionary <int, TimeSpan>();
//1 day and up: we can load it all in one go with no trouble, also may require adjustment
bool periodicSaving = frequency < BarSize.OneDay;
OHLCBar bar;
var barsCount = 0;
using (StreamReader sr = new StreamReader(FilePathTextBox.Text))
{
string line;
while ((line = sr.ReadLine()) != null)
{
barsCount++;
if (barsCount < toSkip)
{
continue;
}
try
{
bar = ParseLine(line.Split(separator), columns, priceMultiplier, volumeMultiplier);
}
catch (Exception ex)
{
MessageBox.Show("Importing error: " + ex.Message);
return;
}
//only add the bar if it falls within the specified date range
if (bar.DT >= MinDT.Value && bar.DT <= MaxDT.Value)
{
bars.Add(bar);
}
//with 30 bars, we make a check to ensure that the user has entered the correct frequency
if (bars.Count == 30)
{
//the reason we have to use a bunch of bars and look for the most frequent timespan between them
//is that session breaks, daily breaks, weekends, etc. can have different timespans despite the
//correct frequency being chosen
List <int> secDiffs = new List <int>();
for (int i = 1; i < bars.Count; i++)
{
secDiffs.Add((int)Math.Round((bars[i].DT - bars[i - 1].DT).TotalSeconds));
}
int mostFrequent = secDiffs.MostFrequent();
if ((int)Math.Round(frequency.ToTimeSpan().TotalSeconds) != mostFrequent)
{
MessageBox.Show("You appear to have selected the wrong frequency.");
return;
}
}
if (periodicSaving && bars.Count > 1000)
{
//convert to exchange timezone
ConvertTimeZone(bars, tzInfo);
//low frequencies, < 1 day. No adjustment required and inserting data at intervals instead of all at once
using (var storage = DataStorageFactory.Get())
{
try
{
storage.AddData(bars, _instrument, frequency, OverwriteCheckbox.IsChecked.HasValue && OverwriteCheckbox.IsChecked.Value, false);
}
catch (Exception ex)
{
MessageBox.Show("Error: " + ex.Message);
}
}
bars.Clear();
}
}
}
if (bars.Count == 0)
{
return;
}
//convert to exchange timezone
ConvertTimeZone(bars, tzInfo);
//if only the date column is set, we need to get the session info and generate the closing time ourselves
if (frequency >= BarSize.OneDay && !Data.Columns.Contains("Time") && !Data.Columns.Contains("DateTime"))
{
//get the closing time for every day of the week
var dotwValues = MyUtils.GetEnumValues <DayOfTheWeek>();
foreach (DayOfTheWeek d in dotwValues)
{
if (_instrument.Sessions.Any(x => x.ClosingDay == d && x.IsSessionEnd))
{
var endTime = _instrument.Sessions.First(x => x.ClosingDay == d && x.IsSessionEnd).ClosingTime;
sessionEndTimes.Add((int)d, endTime);
}
else
{
sessionEndTimes.Add((int)d, TimeSpan.FromSeconds(0));
}
}
for (int i = 0; i < bars.Count; i++)
{
int dayOfWeek = bars[i].DT.DayOfWeek.ToInt();
bars[i].DT = bars[i].DT.Date + sessionEndTimes[dayOfWeek];
}
}
//if there are no dividends/splits, but there IS an adjclose column, use that to adjust data right here
//if there are divs/splits, adjustment will be done by the local storage
if (frequency >= BarSize.OneDay && !Data.Columns.Contains("Dividends") && !Data.Columns.Contains("Splits") && Data.Columns.Contains("AdjClose"))
{
//if we have an adjusted close to work off of, we just use the ratio to get the OHL
for (int i = 0; i < bars.Count; i++)
{
if (bars[i].AdjClose == null)
{
continue;
}
decimal ratio = bars[i].AdjClose.Value / bars[i].Close;
bars[i].AdjOpen = bars[i].Open * ratio;
bars[i].AdjHigh = bars[i].High * ratio;
bars[i].AdjLow = bars[i].Low * ratio;
}
}
//sort by date
if (frequency >= BarSize.OneDay)
{
bars.Sort((x, y) => x.DT.CompareTo(y.DT));
}
//try to import
using (var storage = DataStorageFactory.Get())
{
try
{
storage.AddData(bars,
_instrument,
frequency,
OverwriteCheckbox.IsChecked.HasValue && OverwriteCheckbox.IsChecked.Value,
frequency >= BarSize.OneDay);
}
catch (Exception ex)
{
MessageBox.Show("Error: " + ex.Message);
}
}
sw.Stop();
MessageBox.Show(string.Format("Imported {0} bars in {1} ms.", barsCount, sw.ElapsedMilliseconds));
}
