/// <summary>
/// gets or sets the trail amount for a given symbol
/// </summary>
/// <param name="sym"></param>
/// <returns></returns>
public OffsetInfo this[string sym]
{
get
{
// get index
int idx = symidx(sym);
// if not there, get default
if (idx == NOSYM)
{
return(_trailbydefault ? new OffsetInfo(_defaulttrail) : new OffsetInfo(0, 0));
}
// otherwise return whats there
return(_trail[idx]);
}
set
{
// get index
int idx = symidx(sym);
// if not there, save this info
if (idx == NOSYM)
{
_symidx.Add(sym, _trail.Count);
_trail.Add(value);
_ref.Add(0);
firecount.addindex(sym, 0);
esize.addindex(sym, pt[sym].UnsignedSize);
_pendingfill.Add(false);
}
else // save it
{
_trail[idx] = value;
}
D("trail changed: " + sym + " " + value.ToString());
}
}
public virtual void GotOrder(Order o)
{
if (o.id == 0)
{
debug(o.symbol + " can't track order with blank id!: " + o.ToString());
return;
}
int idx = sent.getindex(o.id.ToString());
if (idx < 0)
{
idx = orders.addindex(o.id.ToString(), o);
}
v(o.symbol + " order ack: " + o);
}
/// <summary>
/// send order and track it
/// </summary>
/// <param name="o"></param>
public void sendorder(Order o)
{
// ensure thread is running
if (!_processorderq)
{
debug("Sendorder tracker has not been Started, orders will not be sent.");
}
//get index
int idx = _loaded.getindex(o.symbol);
if (idx == GenericTracker.UNKNOWN)
{
// add index
_loaded.addindex(o.symbol, false);
// first time for this symbol, subscribe
if (SubscribeBeforeSend && subscribe(o.symbol))
{
debug(o.symbol + " not subscribed, subscribing.");
}
}
if (o.id == 0)
{
debug("No id, disabling max retry checking: " + o.ToString());
}
else
{
int oidx = _retries.addindex(o.id.ToString(), 0);
}
debug(o.symbol + " tracking order: " + o.ToString());
// queoe order
_orderq.Write(o);
}
/// <summary>
/// takes all or part of quandl object and converts it into GT
/// </summary>
/// <param name="ro"></param>
/// <param name="datecol"></param>
/// <param name="valcol"></param>
/// <param name="startrow"></param>
/// <param name="endrow"></param>
/// <returns></returns>
public static GenericTracker <decimal> Qdl2GT(RootObject ro, string datecol, string valcol, int startrow, int endrow, DebugDelegate d)
{
// get columns
var datecolidx = GetQdlColidx(ro, datecol);
var valcolidx = GetQdlColidx(ro, valcol);
// slice out the data
var subset = GetAllRows(ro, startrow, endrow, d);
// get date column
var dates = QdlCol2Dates(GetColumn(subset, datecolidx));
var vals = QdlCol2Vals(GetColumn(subset, valcolidx));
// populate GT
GenericTracker <decimal> gt = new GenericTracker <decimal>(dates.Count);
for (int i = 0; i < dates.Count; i++)
{
var val = vals[i];
var dt = dates[i];
if (val == qh.ERROR_VALUE)
{
continue;
}
if (dt == qh.ERROR_DATE)
{
continue;
}
var tldate = Util.ToTLDate(dt);
gt.addindex(tldate.ToString("F0"), val);
}
return(gt);
}
public static bool PlayHistoricalTicks(Response r, string symbol, int currentdate, int daysback, int expecteddays, DebugDelegate deb)
{
GenericTracker <string> symbols = new GenericTracker <string>();
symbols.addindex(symbol, symbol);
// calculate stop date
DateTime stop = Util.ToDateTime(currentdate, 0);
// calculate start date
DateTime start = stop.Subtract(new TimeSpan(daysback, 0, 0, 0));
// return results
return(PlayHistoricalTicks(r, symbols, start, stop, expecteddays, deb));
}
public static bool PlayHistoricalTicks(Response r, GenericTracker <string> symbols, DateTime start, DateTime endexclusive, int expecteddays, DebugDelegate deb)
{
bool skipexpected = expecteddays == 0;
// prepare to track actual days for each symbol
GenericTracker <int> actualdays = new GenericTracker <int>();
foreach (string sym in symbols)
{
actualdays.addindex(sym, 0);
}
// prepare to track all tickfiles
Dictionary <string, List <string> > files = new Dictionary <string, List <string> >();
// get all required tickfiles for each symbol on each date
DateTime now = new DateTime(start.Ticks);
int tfc = 0;
while (now < endexclusive)
{
// get the tick files
List <string> allfiles = TikUtil.GetFilesFromDate(Util.TLTickDir, Util.ToTLDate(now));
// go through them all and see if we find expected number
foreach (string fn in allfiles)
{
// get security
SecurityImpl sec = SecurityImpl.FromTIK(fn);
// see if we want this symbol
int idx = symbols.getindex(sec.HistSource.RealSymbol);
if (idx < 0)
{
idx = symbols.getindex(sec.Symbol);
}
sec.HistSource.Close();
// skip if we don't
if (idx < 0)
{
continue;
}
string sym = symbols.getlabel(idx);
// if we have it, count actual day
actualdays[idx]++;
// save file and symbol
if (!files.ContainsKey(sym))
{
files.Add(sym, new List <string>());
}
files[sym].Add(fn);
// count files
tfc++;
}
// add one day
now = now.AddDays(1);
}
// notify
if (deb != null)
{
deb("found " + tfc + " tick files matching dates: " + Util.ToTLDate(start) + "->" + Util.ToTLDate(endexclusive) + " for: " + string.Join(",", symbols.ToArray()));
}
// playback when actual meets expected
bool allok = true;
foreach (string sym in symbols)
{
if (skipexpected || (actualdays[sym] >= expecteddays))
{
// get tick files
string[] tf = files[sym].ToArray();
// notify
if (deb != null)
{
deb(sym + " playing back " + tf.Length + " tick files.");
}
// playback
HistSim h = new SingleSimImpl(tf);
h.GotTick += new TickDelegate(r.GotTick);
h.PlayTo(MultiSimImpl.ENDSIM);
h.Stop();
// notify
if (deb != null)
{
deb(sym + " completed playback. ");
}
}
else
{
allok = false;
}
}
return(allok);
}
/// <summary>
/// track a new symbol
/// </summary>
/// <param name="symbol"></param>
/// <returns></returns>
public int addindex(string symbol)
{
return(last.addindex(symbol, 0));
}
/// <summary>
/// get or set current id by name.
/// NOTE : generally you will want to call this with a symbol,
/// EG idt["IBM","my entry market"]
///
/// otherwise called like :
/// (eg idt["myentrymkt"], idt["myentrylmt"], idt["myexitprofit"])
/// Set name to zero to force reset on next use.
/// </summary>
/// <param name="idname"></param>
/// <returns></returns>
public override long this[string idname]
{
get
{
// see if we have this idname
int idx = getindex(idname);
// if we do, return the current numeric id
if ((idx >= 0) && (base[idx] != 0))
{
// test for max fire
if (idnamefires[idx] >= MaxNamedAssigns)
{
if (isMagicIdOnMaxName)
{
return(MagicId);
}
// otherwise return current id
return(base[idname]);
}
// otherwise reassign and fire
var newid = AssignId;
idnamefires[idx]++;
id2idname.addindex(newid.ToString(), idname);
base[idx] = newid;
debug("name: " + idname + " got new id: " + newid + " count: " + idnamefires[idx]);
return(newid);
}
else if ((idx >= 0) && (base[idx] == 0))
{
// test for max fire
if (idnamefires[idx] >= MaxNamedAssigns)
{
if (isMagicIdOnMaxName)
{
return(MagicId);
}
// otherwise return current id
return(base[idname]);
}
var newid = AssignId;
base[idx] = newid;
id2idname.addindex(newid.ToString(), idname);
idnamefires[idx]++;
debug("name: " + idname + " was reset, assigning new id: " + newid + " count: " + idnamefires[idx]);
return(newid);
}
// if we don't, assign one... save and return it
var newnameid = AssignId;
idx = addindex(idname, newnameid);
id2idname.addindex(newnameid.ToString(), idname);
idnamefires.addindex(idname, 1);
debug("name: " + idname + " never used, assigning new id: " + newnameid + " count: " + idnamefires[idx]);
return(newnameid);
}
set
{
int idx = getindex(idname);
if (idx < 0)
{
addindex(idname, value);
id2idname.addindex(value.ToString(), idname);
idnamefires.addindex(idname, 0);
debug("idtracker idname: " + idname + " reset to: " + value);
return;
}
id2idname[idx] = idname;
idnamefires[idx] = 0;
base[idx] = value;
debug("name: " + idname + " reset to: " + value);
}
}
void FlipTracker_NewTxt(string txt, int idx)
{
prev.addindex(txt, false);
cur.addindex(txt, false);
vcount.addindex(txt, 0);
}
void RejectTracker_NewTxt(string txt, int idx)
{
ids.addindex(txt);
times.addindex(txt);
rejected.addindex(txt);
}