public static Tick parseline(string line, string sym)
{
int decimalplaces = 5;
string[] r = line.Split(',');
var t = new TickImpl(sym);
if(sym.Contains("JPY"))
decimalplaces = 3;
DateTime dt;
if (DateTime.TryParseExact(r[DATETIME], "yyyyMMdd HH:mm:ss.fff", CultureInfo.InvariantCulture, DateTimeStyles.None, out dt))
{
t.date = Util.ToTLDate(dt.Date);
t.time = Util.ToTLTime(dt);
}
decimal b, a;
if (decimal.TryParse(r[BID], NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out b))
t.bid = b;
if (decimal.TryParse(r[ASK], NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out a))
t.ask = a;
//simulate bid/offer midpoint trade-tick
decimal px = Math.Round((a + b) / 2, decimalplaces);
t.trade = px;
//there is no size information in the data
//assume bid/offer size of 500K basecurrency units
//simulated midpoint trade of 1 BCU, for compatibility only
t.bs = 500000; t.os = 500000; t.size = 1;
return t;
}
public void fromApp(QuickFix.Message message, SessionID sessionID)
{
// receiving messages
Symbol sym = new Symbol();
message.getField(sym);
Tick k = new TickImpl(sym.getValue());
{
// bid
BidPx bp = new BidPx();
BidSize bs = new BidSize();
k.bid = (decimal)bp.getValue();
k.bs = (int)message.getField(bs).getValue();
}
{
// ask
OfferPx op = new OfferPx();
OfferSize os = new OfferSize();
k.ask = (decimal)op.getValue();
k.os = (int)message.getField(os).getValue();
}
{
// last
Price price = new Price();
message.getField(price);
k.trade = (decimal)price.getValue();
}
tl.newTick(k);
//ClOrdID clOrdID = new ClOrdID();
//message.getField(clOrdID);
}
void rs_LevelOneStreaming_TickWithArgs(DateTime time, AmeritradeBrokerAPI.ATradeArgument args)
{
if (args.FunctionType != AmeritradeBrokerAPI.RequestState.AsyncType.LevelOneStreaming) return;
Tick t = new TickImpl();
/* don't understand the time format provided here
int date = 0;
int ttime = 0;
if (int.TryParse(args.oLevelOneData[0].quotedate, out date))
t.date = date;
if (int.TryParse(args.oLevelOneData[0].quotetime, out ttime))
t.time = ttime;
*/
t.date = Util.ToTLDate(DateTime.Now);
t.time = Util.DT2FT(DateTime.Now);
t.symbol = args.oLevelOneData[0].stock;
t.bid = Convert.ToDecimal(args.oLevelOneData[0].bid);
t.ask = Convert.ToDecimal(args.oLevelOneData[0].ask);
t.ex = args.oLevelOneData[0].exchange;
t.trade = Convert.ToDecimal(args.oLevelOneData[0].last);
t.size = Convert.ToInt32(args.oLevelOneData[0].lastsize) * 100;
t.bs = Convert.ToInt32(args.oLevelOneData[0].bid_size);
t.os = Convert.ToInt32(args.oLevelOneData[0].ask_size);
tl.newTick(t);
}
// here is where a line is converted
public static Tick parseline(string line, string sym, int date)
{
// split line
string[] r = line.Split(',');
// create tick for this symbol
Tick k = new TickImpl(sym);
k.date = date;
char type = 'z';
long mtime = 0;
if(long.TryParse(r[TIME], out mtime))
{
int hr = (int) mtime / 3600000;
int min = (int) (mtime % 3600000) / 60000;
int sec = (int) (mtime % 60000) / 1000;
int ftime = Util.TL2FT(hr, min, sec);
k.time = ftime;
}
int size = 0;
if (int.TryParse(r[SHARES], out size))
k.size = size;
decimal price = 0.0M;
if(decimal.TryParse(r[PRICE], out price))
k.trade = price / 10000;
return k;
}
// here is where a line is converted
public static Tick parseline(string line, int defaultsize, int decimalplaces )
{
// split line
string[] r = line.Split(',');
// create tick for this symbol
Tick k = new TickImpl(r[SYM]);
// setup temp vars
int iv = 0;
decimal dv = 0;
// parse date
if (int.TryParse(r[DATE], out iv))
k.date = iv;
// parse time
if (int.TryParse(r[TIME], out iv))
k.time = iv * 100;
// parse close as trade price
if (decimal.TryParse(r[TRADE], out dv))
{
decimal divisor = (decimal)( Math.Pow( 10, decimalplaces ) );
// k.trade = (decimal)dv / 100;
k.trade = (decimal) dv / divisor;
k.size = defaultsize;
}
// return tick
return k;
}
// here is where a line is converted
public static Tick parseline(string line, string sym)
{
// split line
string[] r = line.Split(',');
// create tick for this symbol
Tick k = new TickImpl(sym);
// setup temp vars
int iv = 0;
decimal dv = 0;
DateTime date;
// parse date
if (DateTime.TryParse(r[DATE], out date))
k.date = Util.ToTLDate(date);
// parse time
if (int.TryParse(r[TIME], out iv))
k.time = iv * 100;
// parse close as trade price
if (decimal.TryParse(r[CLOSE], out dv))
k.trade = dv;
// parse volume (up and down); up = trade volume at prior ask; down = trade volume at prior bid
int volumeAtAsk = 0, volumeAtBid = 0;
if (int.TryParse(r[UP], out volumeAtAsk) && int.TryParse(r[DOWN], out volumeAtBid))
k.size = volumeAtAsk + volumeAtBid;
// return tick
return k;
}
// here is where a line is converted
public static Tick parseline(string line, string sym, int defaultsize)
{
// split line
string[] r = line.Split(',');
// create tick for this symbol
Tick k = new TickImpl(sym);
// setup temp vars
int iv = 0;
decimal dv = 0;
DateTime date;
// parse date
if (DateTime.TryParse(r[DATE], out date))
k.date = Util.ToTLDate(date);
// parse time
if (int.TryParse(r[TIME], out iv))
k.time = iv * 100;
// parse close as trade price
if (decimal.TryParse(r[CLOSE], out dv))
{
k.trade = dv;
k.size = defaultsize;
}
// return tick
return k;
}
public void Hours()
{
System.IO.StreamReader sr = new System.IO.StreamReader("TestWAG.txt");
sr.ReadLine();
sr.ReadLine();
BarListImpl bl = new BarListImpl(BarInterval.Hour, "WAG");
Tick k = new TickImpl();
int tickcount = 0;
while (!sr.EndOfStream)
{
k = eSigTick.FromStream(bl.Symbol, sr);
if (tickcount == 0)
{
Assert.IsTrue(k.isValid);
Assert.AreEqual(20070926041502, k.datetime);
Assert.AreEqual(20070926, k.date);
Assert.AreEqual(041502, k.time);
Assert.AreEqual(43.81m, k.bid);
Assert.AreEqual(51.2m, k.ask);
Assert.AreEqual(1, k.bs);
Assert.AreEqual(1, k.os);
Assert.IsTrue(k.be.Contains("PSE"));
Assert.IsTrue(k.oe.Contains("PSE"));
}
tickcount++;
bl.newTick(k);
}
// hour is what we asked for
Assert.AreEqual(BarInterval.Hour,bl.DefaultInterval);
// there are 4 trades on hour intervals, 6/7/8/9
Assert.AreEqual(4,bl.Count);
}
// here is where a line is converted
public static Tick parseline(string line, string sym)
{
// split line
string[] r = line.Split(',');
// create tick for this symbol
Tick k = new TickImpl(sym);
// setup temp vars
int iv = 0;
decimal dv = 0;
DateTime date;
// parse date
if (DateTime.TryParse(r[DATE], out date))
k.date = Util.ToTLDate(date);
// parse time - remove colons to give format HHMMSS
if (int.TryParse(r[TIME].Replace(":", ""), out iv))
k.time = iv;
// trade price
if (decimal.TryParse(r[PRICE], out dv))
k.trade = dv;
// size of trade
if (int.TryParse(r[VOLUME], out iv))
k.size = iv;
// return tick
return k;
}
// here is where a line is converted
public static Tick[] parseline(string line, string sym)
{
// split line
line=line.Remove(8, 1);
line=line.Insert(8, ";");
string[] r = line.Split(';');
// create tick for this symbol
Tick[] result = new Tick[4];
Tick high = new TickImpl(sym);
Tick low = new TickImpl(sym);
Tick open = new TickImpl(sym);
Tick close = new TickImpl(sym);
long dt = 0;
int tt;
if (long.TryParse(r[DATE], out dt))
{
open.date = (int)(dt);
high.date = (int)(dt);
low.date = (int)(dt);
close.date = (int)(dt);
}
//r[TIME]=r[TIME].Substring(0, 4);
if (int.TryParse(r[TIME], out tt))
{
if (tt < 040000) tt += 120000;
open.time = tt;
close.time = tt;
high.time = tt;
low.time = tt;
open.datetime = dt * 1000000 + tt;
high.datetime = dt * 1000000 + tt;
low.datetime = dt * 1000000 + tt;
close.datetime = dt * 1000000 + tt;
}
int size = 0;
if (int.TryParse(r[VOL], out size))
{
high.size = Math.Max(1, size / 4);
low.size = Math.Max(1, size / 4);
open.size = Math.Max(1, size / 4);
close.size = Math.Max(1, size/4);
}
decimal price = 0.0M;
if (decimal.TryParse(r[HIGH], out price))
high.trade = price;
if (decimal.TryParse(r[OPEN], out price))
open.trade = price;
if (decimal.TryParse(r[LOW], out price))
low.trade = price;
if (decimal.TryParse(r[CLOSE], out price))
close.trade = price;
result[0] = open;
result[1] = high;
result[2] = low;
result[3] = close;
return result;
}
// here is where a line is converted
public static Tick parseline(string line, string sym, int date)
{
// split line
string[] r = line.Split(',');
// create tick for this symbol
Tick k = new TickImpl(sym);
k.date = date;
int orderid = 0;
char type = 'z';
char.TryParse(r[TYPE], out type);
long mtime = 0;
if (long.TryParse(r[TIME], out mtime))
{
int hr = (int) mtime / 3600000;
int min = (int) (mtime % 3600000) / 60000;
int sec = (int) (mtime % 60000) / 1000;
int ftime = Util.TL2FT(hr, min, sec);
k.time = ftime;
}
int size = 0;
int.TryParse(r[SHARES], out size);
decimal price = 0.0M;
decimal.TryParse(r[PRICE], out price);
switch(type)
{
case 'B':
k.bid = price / 10000;
k.BidSize = size;
break;
case 'S':
k.ask = price / 10000;
k.AskSize = size;
break;
case 'F':
case 'T':
case 'E':
k.trade = price / 10000;
k.size = size;
break;
case 'D':
case 'X':
k.trade = price / 10000;
k.size = size;
break;
default:
k.trade = price / 10000;
k.size = size;
break;
}
return k;
}
public static TickImpl NewTrade(string sym, int date, int time, decimal trade, int size, string ex)
{
TickImpl t = new TickImpl(sym);
t.date = date;
t.time = time;
t.trade = trade;
t.size = size;
t.ex = ex.Trim();
t.bid = 0;
return(t);
}
// here is where a line is converted
public static Tick[] parseline(string line, string sym)
{
// split line
string[] r = line.Split(',');
sym = r[SYMBOL];
// create tick for this symbol
Tick[] result = new Tick[4];
Tick high = new TickImpl(sym);
Tick low = new TickImpl(sym);
Tick open = new TickImpl(sym);
Tick close = new TickImpl(sym);
long dt=0;
if (long.TryParse(r[DATETIME], out dt))
{
open.datetime = dt;
high.datetime = dt;
low.datetime = dt;
close.datetime = dt;
open.date = (int)(dt/10000);
high.date = (int)(dt/10000);
low.date = (int)(dt/10000);
close.date = (int)(dt/10000);
open.time = ((int)open.datetime - open.date * 10000)*100;
close.time = ((int)close.datetime - close.date * 10000)*100;
high.time = ((int)high.datetime - high.date * 10000)*100;
low.time = ((int)low.datetime - low.date * 10000)*100;
}
int size = 0;
if (int.TryParse(r[VOL], out size))
{
high.size = Math.Max(1, size / 4);
low.size = Math.Max(1, size / 4);
open.size = Math.Max(1, size / 4);
close.size = Math.Max(1, size / 4);
}
decimal price = 0.0M;
if (decimal.TryParse(r[HIGH], out price))
high.trade = price;
if (decimal.TryParse(r[OPEN], out price))
open.trade = price;
if (decimal.TryParse(r[LOW], out price))
low.trade = price;
if (decimal.TryParse(r[CLOSE], out price))
close.trade = price;
result[0] = open;
result[1] = high;
result[2] = low;
result[3] = close;
return result;
}
public static TickImpl GetQuoteTick(string strLine)
{
var values = strLine.Split(',');
if (values.Length < 14)
{
return(new TickImpl());
}
string strSym = values[2];
TickImpl q = new TickImpl(strSym);
//Date
string strDate = values[0];
q.date = Convert.ToInt32(strDate);
//Time
string strTime = values[1];
strTime = Regex.Replace(strTime, @":", "").Substring(0, 6);
q.time = Convert.ToInt32(strTime);
//DateTime
string strDateTime = strDate + strTime;
q.datetime = Convert.ToInt64(strDateTime);
//Bid / Ask
string strScale = values[6];
string strBid = values[9];
string strAsk = values[12];
int numDecPlace = Convert.ToInt32(Math.Log10(Convert.ToDouble(1 / Const.IPRECV)));
int appendZeros = numDecPlace - Convert.ToInt32(strScale);
strBid = appendZeros > 0 ? strBid + new string('0', appendZeros) : strBid.Substring(0, strBid.Length + appendZeros);
strAsk = appendZeros > 0 ? strAsk + new string('0', appendZeros) : strAsk.Substring(0, strAsk.Length + appendZeros);
q._bid = (ulong)Convert.ToInt64(strBid);
q._ask = (ulong)Convert.ToInt64(strAsk);
// BidSize / AskSize
string strBidSize = values[10];
string strAskSize = values[13];
q.bs = Convert.ToInt32(strBidSize);
q.os = Convert.ToInt32(strAskSize);
// Exchange
q.be = values[8];
q.oe = values[11];
return(q);
}
public static Tick Deserialize(string msg)
{
string [] r = msg.Split(',');
Tick t = new TickImpl();
decimal d = 0;
int i = 0;
t.symbol = r[(int)TickField.symbol];
if (decimal.TryParse(r[(int)TickField.trade], System.Globalization.NumberStyles.Any, System.Globalization.CultureInfo.InvariantCulture, out d))
{
t.trade = d;
}
if (decimal.TryParse(r[(int)TickField.bid], System.Globalization.NumberStyles.Any, System.Globalization.CultureInfo.InvariantCulture, out d))
{
t.bid = d;
}
if (decimal.TryParse(r[(int)TickField.ask], System.Globalization.NumberStyles.Any, System.Globalization.CultureInfo.InvariantCulture, out d))
{
t.ask = d;
}
if (int.TryParse(r[(int)TickField.tsize], out i))
{
t.size = i;
}
if (int.TryParse(r[(int)TickField.asksize], out i))
{
t.os = i;
}
if (int.TryParse(r[(int)TickField.bidsize], out i))
{
t.bs = i;
}
if (int.TryParse(r[(int)TickField.time], out i))
{
t.time = i;
}
if (int.TryParse(r[(int)TickField.date], out i))
{
t.date = i;
}
if (int.TryParse(r[(int)TickField.tdepth], out i))
{
t.depth = i;
}
t.ex = r[(int)TickField.tex];
t.be = r[(int)TickField.bidex];
t.oe = r[(int)TickField.askex];
t.datetime = t.date * 1000000 + t.time;
return(t);
}
// here is where a line is converted
public static Tick parseline(string line, int defaultsize, int decimalplaces)
{
// split line
string[] r;
if (line.Contains(","))
r = line.Split(','); // optional CQG format
else
r = line.Split(' '); // standard CQG format
// create tick for this symbol
string symbol = r[SYM];
Tick k = new TickImpl(symbol);
// setup temp vars
int iv = 0;
decimal dv = 0;
// parse date
if (int.TryParse(r[DATE], out iv))
k.date = iv;
// parse time
if (int.TryParse(r[TIME], out iv))
k.time = iv * 100;
// parse price
if (decimal.TryParse(r[PRICE], out dv))
{
decimal divisor = (decimal)(Math.Pow(10, decimalplaces));
dv = (decimal)dv / divisor;
string type = r[TYPE];
if (type == "T") // trade
{
k.trade = dv;
k.size = defaultsize;
}
else if (type == "B") // bid
{
k.bid = dv;
k.bs = defaultsize;
}
else if (type == "A") // ask
{
k.ask = dv;
k.os = defaultsize;
}
}
// return tick
return k;
}
/// <summary>
/// Loads a tick straight from an EPF file in the form of a StreamReader
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="sr">The sr.</param>
/// <returns></returns>
public static Tick FromStream(string symbol,StreamReader sr)
{
TickImpl t = new TickImpl();
string line = "";
try
{
line = sr.ReadLine();
}
catch (Exception) { return t; }
if (line == null) return t; // blank line
string[] r = line.Split(',');
if (r.Length < 6) return t;
decimal td = 0;
int ti = 0;
if (r[(int)Q.TYPE] == TRADE)
{
if (decimal.TryParse(r[(int)T.PRICE], out td))
t.trade = td;
if (int.TryParse(r[(int)T.SIZE], out ti))
t.size = ti;
t.ex = r[(int)T.EXCH];
}
else
{
if (r.Length < 9) return t;
if (decimal.TryParse(r[(int)Q.BID], out td))
t.bid = td;
if (decimal.TryParse(r[(int)Q.ASK], out td))
t.ask = td;
if (int.TryParse(r[(int)Q.BIDSIZE], out ti))
t.bs = ti;
if (int.TryParse(r[(int)Q.ASKSIZE], out ti))
t.os = ti;
t.be = r[(int)Q.BIDEX];
t.oe = r[(int)Q.ASKEX];
}
t.symbol = symbol;
if (int.TryParse(r[(int)Q.TIME], out ti))
{
t.time = ti;
}
if (int.TryParse(r[(int)Q.DATE], out ti))
t.date = ti + 20000000;
t.datetime = ((long)t.date * 1000000) + (long)t.time;
return t;
}
public static TickImpl NewQuote(string sym, int date, int time, decimal bid, decimal ask, int bidsize, int asksize, string be, string oe, int depth)
{
TickImpl q = new TickImpl(sym);
q.date = date;
q.time = time;
q.bid = bid;
q.ask = ask;
q.be = be.Trim();
q.oe = oe.Trim();
q.AskSize = asksize;
q.BidSize = bidsize;
q.trade = 0;
q.size = 0;
q.depth = depth;
return(q);
}
/// <summary>
/// convert a bar into an array of ticks
/// </summary>
/// <param name="bar"></param>
/// <returns></returns>
public static Tick[] ToTick(Bar bar)
{
if (!bar.isValid)
{
return(new Tick[0]);
}
List <Tick> list = new List <Tick>();
list.Add(TickImpl.NewTrade(bar.Symbol, bar.Bardate, bar.Bartime, bar.Open,
(int)((double)bar.Volume / 4), string.Empty));
list.Add(TickImpl.NewTrade(bar.Symbol, bar.Bardate, bar.Bartime,
bar.High, (int)((double)bar.Volume / 4), string.Empty));
list.Add(TickImpl.NewTrade(bar.Symbol, bar.Bardate, bar.Bartime, bar.Low,
(int)((double)bar.Volume / 4), string.Empty));
list.Add(TickImpl.NewTrade(bar.Symbol, bar.Bardate, bar.Bartime,
bar.Close, (int)((double)bar.Volume / 4), string.Empty));
return(list.ToArray());
}
public void Basics()
{
const string sym = "TST";
const int d = 20080509;
const int t = 93500;
const string x = "NYSE";
TickImpl[] ticklist = new TickImpl[] {
TickImpl.NewTrade(sym,d,t,10,100,x),
TickImpl.NewTrade(sym,d,t+100,10,100,x),
TickImpl.NewTrade(sym,d,t+200,10,100,x),
TickImpl.NewTrade(sym,d,t+300,10,100,x),
TickImpl.NewTrade(sym,d,t+400,15,100,x), // blade up
TickImpl.NewTrade(sym,d,t+500,16,100,x), // new bar (blades reset)
TickImpl.NewTrade(sym,d,t+600,16,100,x),
TickImpl.NewTrade(sym,d,t+700,10,100,x), // blade down
TickImpl.NewTrade(sym,d,t+700,10,100,x), // still a blade down (same bar)
TickImpl.NewTrade(sym,d,t+800,15,100,x),
TickImpl.NewTrade(sym,d,t+1500,15,800,x), // volume spike
TickImpl.NewTrade(sym,d,t+2000,15,100,x),
TickImpl.NewTrade(sym,d,t+2500,15,100,x),
};
BarListImpl bl = new BarListImpl(BarInterval.FiveMin,sym);
Blade b = new Blade();
Assert.That(b.BladePercentage != 0);
b = new Blade(.2m); // 20 percent move is a blade
int up=0,down=0,newbar=0,bigvol=0;
foreach (TickImpl k in ticklist)
{
bl.newTick(k);
b.newBar(bl);
if (bl.NewBar) newbar++;
if (b.isBladeUP) up++;
if (b.isBladeDOWN) down++;
if (b.isBigVolume) bigvol++;
}
Assert.AreEqual(1, up);
Assert.AreEqual(2,down);
Assert.AreEqual(5, newbar);
Assert.AreEqual(1,bigvol);
}
public static TickImpl GetTradeTick(string strLine)
{
var values = strLine.Split(',');
if (values.Length < 11)
{
return(new TickImpl());
}
string strSym = values[2];
TickImpl q = new TickImpl(strSym);
//Date
string strDate = values[0];
q.date = Convert.ToInt32(strDate);
//Time
string strTime = values[1];
strTime = Regex.Replace(strTime, @":", "").Substring(0, 6);
q.time = Convert.ToInt32(strTime);
//DateTime
string strDateTime = strDate + strTime;
q.datetime = Convert.ToInt64(strDateTime);
//TradePrice
string strScale = values[6];
string strTradePrice = values[9];
int numDecPlace = Convert.ToInt32(Math.Log10(Convert.ToDouble(1 / Const.IPRECV)));
int appendZeros = numDecPlace - Convert.ToInt32(strScale);
strTradePrice = appendZeros > 0 ? strTradePrice + new string('0', appendZeros) : strTradePrice.Substring(0, strTradePrice.Length + appendZeros);
q._trade = (ulong)Convert.ToInt64(strTradePrice);
// TradeSize
string strTradeSize = values[10];
q.size = Convert.ToInt32(strTradeSize);
// Exchange
q.ex = values[8];
return(q);
}
/// <summary>
/// get a tick in tick format
/// </summary>
/// <param name="sym"></param>
/// <returns></returns>
public Tick this[int idx]
{
get
{
Tick k = new TickImpl(last.getlabel(idx));
k.date = date[idx];
k.time = time[idx];
k.trade = last[idx];
k.size = ts[idx];
k.ex = ex[idx];
k.bid = bid[idx];
k.bs = bs[idx];
k.be = be[idx];
k.ask = ask[idx];
k.os = os[idx];
k.oe = oe[idx];
return(k);
}
}
public static TickImpl Copy(Tick c)
{
TickImpl k = new TickImpl();
if (c.symbol != "") k.symbol = c.symbol;
k.time = c.time;
k.date = c.date;
k.datetime = c.datetime;
k.size = c.size;
k.depth = c.depth;
k.trade = c.trade;
k.bid = c.bid;
k.ask = c.ask;
k.bs = c.bs;
k.os = c.os;
k.be = c.be;
k.oe = c.oe;
k.ex = c.ex;
return k;
}
public static Tick parseline(string line)
{
string[] r = line.Split(',');
TickImpl k = new TickImpl(r[SYM]);
DateTime dt = DateTime.Parse(r[DATE] + ' ' + r[TIME]);
k.time = Util.DT2FT(dt);
k.date = dt.Year * 10000 + dt.Month * 100 + dt.Day;
if(r[TYPE] == "Trade"){
k.trade = Convert.ToDecimal(r[PRICE]);
k.size = Convert.ToInt32(r[VOLUME]);
} else {
k.bid = Convert.ToDecimal(r[BID]);
k.bs = Convert.ToInt32(r[BIDSIZE]);
k.ask = Convert.ToDecimal(r[ASK]);
k.os = Convert.ToInt32(r[ASKSIZE]);
}
return k;
}
public void QuoteOnlyTest()
{
TickImpl[] timesales = new TickImpl[] {
TickImpl.NewBid("TST",100m,100),
TickImpl.NewAsk("TST",100.1m,200),
};
Blade b = new Blade();
BarListImpl bl = new BarListImpl(BarInterval.FiveMin,"TST");
foreach (TickImpl k in timesales)
{
bl.newTick(k);
b.newBar(bl);
}
// average volume should be zero bc
// with only quotes we should have no bars to process
Assert.That(b.AvgVol(bl) == 0, b.AvgVol(bl).ToString());
Assert.That(!bl.Has(1), bl.ToString());
}
public static Tick Deserialize(string msg)
{
string [] r = msg.Split(',');
Tick t = new TickImpl();
t.Sec = SecurityImpl.Parse(r[(int)TickField.symbol]);
t.symbol = t.Sec.Symbol;
t.trade = Convert.ToDecimal(r[(int)TickField.trade]);
t.size = Convert.ToInt32(r[(int)TickField.tsize]);
t.bid = Convert.ToDecimal(r[(int)TickField.bid]);
t.ask = Convert.ToDecimal(r[(int)TickField.ask]);
t.os = Convert.ToInt32(r[(int)TickField.asksize]);
t.bs = Convert.ToInt32(r[(int)TickField.bidsize]);
t.ex = r[(int)TickField.tex];
t.be = r[(int)TickField.bidex];
t.oe = r[(int)TickField.askex];
t.time = Convert.ToInt32(r[(int)TickField.time]);
t.date = Convert.ToInt32(r[(int)TickField.date]);
t.datetime = t.date * 1000000 + t.time;
t.depth = Convert.ToInt32(r[(int)TickField.tdepth]);
return(t);
}
public void Basics()
{
TickImpl t = new TickImpl();
Assert.That(!t.isValid);
t.symbol = "IBM";
t.size = 100;
t.trade = 1;
Assert.That(t.isValid);
Assert.That(t.isTrade);
Assert.That(!t.isQuote);
t = new TickImpl("TST");
t.TradeSize = 100;
Assert.That(t.TradeSize == t.ts * 100, t.TradeSize.ToString());
t = new TickImpl("TST");
t.BidSize = 200;
Assert.That(t.BidSize == t.bs * 100, t.BidSize.ToString());
t = new TickImpl("TST");
t.AskSize = 300;
Assert.That(t.AskSize == t.os*100, t.AskSize.ToString());
}
public static TickImpl Copy(Tick c)
{
TickImpl k = new TickImpl();
if (c.symbol != "")
{
k.symbol = c.symbol;
}
k.time = c.time;
k.date = c.date;
k.datetime = c.datetime;
k.size = c.size;
k.depth = c.depth;
k.trade = c.trade;
k.bid = c.bid;
k.ask = c.ask;
k.bs = c.bs;
k.os = c.os;
k.be = c.be;
k.oe = c.oe;
k.ex = c.ex;
return(k);
}
// here is where a line is converted
public static Tick parseline(string line, string SYMBOL)
{
// split line
string[] r = line.Split(',');
// create tick for this symbol
Tick k = new TickImpl(SYMBOL);
// setup temp vars
int iv = 0;
decimal dv = 0;
// parse date
if (int.TryParse(r[DATE], out iv))
k.date = iv + 20000000;
// parse time
if (int.TryParse(r[TIME], out iv))
k.time = iv;
// parse close as trade price
if (decimal.TryParse(r[TRADE], out dv))
{
k.trade = dv;
k.size = geti(r[SIZE]);
k.ex = r[EXCH];
}
if (decimal.TryParse(r[BID], out dv))
{
k.bid = dv;
k.bs = geti(r[BIDSIZE]);
k.be = r[BIDEX];
}
if (decimal.TryParse(r[ASK], out dv))
{
k.ask = dv;
k.os = geti(r[ASKSIZE]);
k.oe = r[ASKEX];
}
// return tick
return k;
}
/// <summary>
/// get a tick in tick format
/// </summary>
/// <param name="sym"></param>
/// <returns></returns>
public Tick this[string sym]
{
get
{
int idx = last.getindex(sym);
if (idx < 0)
{
return(new TickImpl());
}
Tick k = new TickImpl(last.getlabel(idx));
k.date = date[idx];
k.time = time[idx];
k.trade = last[idx];
k.size = ts[idx];
k.ex = ex[idx];
k.bid = bid[idx];
k.bs = bs[idx];
k.be = be[idx];
k.ask = ask[idx];
k.os = os[idx];
k.oe = oe[idx];
return(k);
}
}
void handle(MessageTypes type, string msg)
{
long result = 0;
switch (type)
{
case MessageTypes.TICKNOTIFY:
Tick t;
try
{
_lastheartbeat = DateTime.Now.Ticks;
t = TickImpl.Deserialize(msg);
}
catch (Exception ex)
{
_tickerrors++;
debug("Error processing tick: " + msg);
debug("TickErrors: " + _tickerrors);
debug("Error: " + ex.Message + ex.StackTrace);
break;
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
_lastheartbeat = DateTime.Now.Ticks;
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
case MessageTypes.ORDERCANCELRESPONSE:
{
long id = 0;
_lastheartbeat = DateTime.Now.Ticks;
if (gotOrderCancel != null)
{
if (long.TryParse(msg, out id))
{
gotOrderCancel(id);
}
else if (SendDebugEvent != null)
{
SendDebugEvent("Count not parse order cancel: " + msg);
}
}
}
break;
case MessageTypes.EXECUTENOTIFY:
_lastheartbeat = DateTime.Now.Ticks;
// date,time,symbol,side,size,price,comment
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
break;
case MessageTypes.ORDERNOTIFY:
_lastheartbeat = DateTime.Now.Ticks;
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
break;
case MessageTypes.HEARTBEATRESPONSE:
{
_lastheartbeat = DateTime.Now.Ticks;
v("got heartbeat response at: " + _lastheartbeat);
_recvheartbeat = !_recvheartbeat;
}
break;
case MessageTypes.POSITIONRESPONSE:
try
{
_lastheartbeat = DateTime.Now.Ticks;
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
}
catch (Exception ex)
{
if (SendDebugEvent != null)
{
SendDebugEvent(msg + " " + ex.Message + ex.StackTrace);
}
}
break;
case MessageTypes.ACCOUNTRESPONSE:
_lastheartbeat = DateTime.Now.Ticks;
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
_lastheartbeat = DateTime.Now.Ticks;
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
_rfl.Clear();
foreach (string s in p)
{
try
{
MessageTypes mt = (MessageTypes)Convert.ToInt32(s);
f.Add(mt);
_rfl.Add(mt);
}
catch (Exception) { }
}
if (gotFeatures != null)
{
gotFeatures(f.ToArray());
}
break;
case MessageTypes.SERVERDOWN:
if (gotServerDown != null)
{
gotServerDown(msg);
}
break;
case MessageTypes.SERVERUP:
if (gotServerUp != null)
{
gotServerUp(msg);
}
break;
default:
_lastheartbeat = DateTime.Now.Ticks;
if (gotUnknownMessage != null)
{
gotUnknownMessage(type, 0, 0, 0, string.Empty, ref msg);
}
break;
}
result = 0;
}
public static Tick Deserialize(string msg)
{
string [] r = msg.Split(',');
Tick t = new TickImpl();
decimal d = 0;
int i = 0;
t.symbol = r[(int)TickField.symbol];
if (decimal.TryParse(r[(int)TickField.trade], System.Globalization.NumberStyles.Any, System.Globalization.CultureInfo.InvariantCulture, out d))
t.trade = d;
if (decimal.TryParse(r[(int)TickField.bid], System.Globalization.NumberStyles.Any, System.Globalization.CultureInfo.InvariantCulture,out d))
t.bid = d;
if (decimal.TryParse(r[(int)TickField.ask], System.Globalization.NumberStyles.Any, System.Globalization.CultureInfo.InvariantCulture, out d))
t.ask = d;
if (int.TryParse(r[(int)TickField.tsize], out i))
t.size = i;
if (int.TryParse(r[(int)TickField.asksize], out i))
t.os= i;
if (int.TryParse(r[(int)TickField.bidsize], out i))
t.bs = i;
if (int.TryParse(r[(int)TickField.time], out i))
t.time = i;
if (int.TryParse(r[(int)TickField.date], out i))
t.date = i;
if (int.TryParse(r[(int)TickField.tdepth], out i))
t.depth = i;
t.ex = r[(int)TickField.tex];
t.be = r[(int)TickField.bidex];
t.oe = r[(int)TickField.askex];
t.datetime = t.date * 1000000 + t.time;
return t;
}
public static TickImpl NewQuote(string sym, int date, int time, int sec, decimal bid, decimal ask, int bidsize, int asksize, string be, string oe, int depth)
{
TickImpl q = new TickImpl(sym);
q.date = date;
q.time = time;
q.bid = bid;
q.ask = ask;
q.be = be.Trim();
q.oe = oe.Trim();
q.AskSize = asksize;
q.BidSize = bidsize;
q.trade = 0;
q.size = 0;
q.depth = depth;
return q;
}
/// <summary>
/// Loads a tick straight from an EPF file in the form of a StreamReader
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="sr">The sr.</param>
/// <returns></returns>
public static Tick FromStream(string symbol, StreamReader sr)
{
TickImpl t = new TickImpl();
string line = "";
try
{
line = sr.ReadLine();
}
catch (Exception) { return(t); }
string[] r = line.Split(',');
if (r.Length < 6)
{
return(t);
}
decimal td = 0;
int ti = 0;
if (r[(int)Q.TYPE] == TRADE)
{
if (decimal.TryParse(r[(int)T.PRICE], out td))
{
t.trade = td;
}
if (int.TryParse(r[(int)T.SIZE], out ti))
{
t.size = ti;
}
t.ex = r[(int)T.EXCH];
}
else
{
if (r.Length < 9)
{
return(t);
}
if (decimal.TryParse(r[(int)Q.BID], out td))
{
t.bid = td;
}
if (decimal.TryParse(r[(int)Q.ASK], out td))
{
t.ask = td;
}
if (int.TryParse(r[(int)Q.BIDSIZE], out ti))
{
t.bs = ti;
}
if (int.TryParse(r[(int)Q.ASKSIZE], out ti))
{
t.os = ti;
}
t.be = r[(int)Q.BIDEX];
t.oe = r[(int)Q.ASKEX];
}
t.symbol = symbol;
if (int.TryParse(r[(int)Q.TIME], out ti))
{
t.time = ti;
}
if (int.TryParse(r[(int)Q.DATE], out ti))
{
t.date = ti + 20000000;
}
t.datetime = ((long)t.date * 1000000) + (long)t.time;
return(t);
}
protected override void WndProc(ref System.Windows.Forms.Message m)
{
long result = 0;
TradeLinkMessage tlm = WMUtil.ToTradeLinkMessage(ref m);
if (tlm == null) // if it's not a WM_COPYDATA message
{
base.WndProc(ref m); // let form process it
return; // we're done
}
string msg = tlm.body;
switch (tlm.type)
{
case MessageTypes.TICKNOTIFY:
Tick t;
try
{
t = TickImpl.Deserialize(msg);
}
catch (Exception ex)
{
_tickerrors++;
debug("Error processing tick: " + msg);
debug("TickErrors: " + _tickerrors);
debug("Error: " + ex.Message + ex.StackTrace);
break;
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
case MessageTypes.ORDERCANCELRESPONSE:
{
long id = 0;
if (gotOrderCancel != null)
{
if (long.TryParse(msg, out id))
{
gotOrderCancel(id);
}
else if (SendDebugEvent != null)
{
SendDebugEvent("Count not parse order cancel: " + msg);
}
}
}
break;
case MessageTypes.EXECUTENOTIFY:
// date,time,symbol,side,size,price,comment
try
{
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
}
catch (Exception ex)
{
debug("error deserializing fill: " + msg);
debug("error: " + ex.Message + ex.StackTrace);
debug("broker: " + BrokerName);
}
break;
case MessageTypes.ORDERNOTIFY:
try
{
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
}
catch (Exception ex)
{
debug("error deserializing order: " + msg);
debug("error: " + ex.Message + ex.StackTrace);
debug("broker: " + BrokerName);
}
break;
case MessageTypes.POSITIONRESPONSE:
try
{
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
}
catch (Exception ex)
{
if (SendDebugEvent != null)
{
SendDebugEvent(msg + " " + ex.Message + ex.StackTrace);
}
}
break;
case MessageTypes.ACCOUNTRESPONSE:
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
foreach (string s in p)
{
try
{
f.Add((MessageTypes)Convert.ToInt32(s));
}
catch (Exception) { }
}
if (gotFeatures != null)
{
gotFeatures(f.ToArray());
}
if (gotUnknownMessage != null)
{
gotUnknownMessage(tlm.type, 0, 0, 0, string.Empty, ref tlm.body);
}
break;
case MessageTypes.SERVERDOWN:
if (gotServerDown != null)
{
gotServerDown(msg);
}
break;
case MessageTypes.SERVERUP:
if (gotServerUp != null)
{
gotServerUp(msg);
}
break;
default:
if (gotUnknownMessage != null)
{
gotUnknownMessage(tlm.type, 0, 0, 0, string.Empty, ref tlm.body);
}
break;
}
result = 0;
m.Result = (IntPtr)result;
}
protected override void WndProc(ref System.Windows.Forms.Message m)
{
long result = 0;
TradeLinkMessage tlm = WMUtil.ToTradeLinkMessage(ref m);
if (tlm == null) // if it's not a WM_COPYDATA message
{
base.WndProc(ref m); // let form process it
return; // we're done
}
string msg = tlm.body;
string[] r = msg.Split(',');
switch (tlm.type)
{
case MessageTypes.ORDERCANCELRESPONSE:
if (gotOrderCancel != null)
{
gotOrderCancel(Convert.ToUInt32(msg));
}
break;
case MessageTypes.TICKNOTIFY:
Tick t = TickImpl.Deserialize(msg);
if (t.isTrade)
{
try
{
if (t.trade > chighs[t.symbol])
{
chighs[t.symbol] = t.trade;
}
if (t.trade < clows[t.symbol])
{
clows[t.symbol] = t.trade;
}
}
catch (KeyNotFoundException)
{
chighs.Add(t.symbol, 0);
clows.Add(t.symbol, decimal.MaxValue);
}
}
if (gotTick != null)
{
gotTick(t);
}
break;
case MessageTypes.EXECUTENOTIFY:
// date,time,symbol,side,size,price,comment
Trade tr = TradeImpl.Deserialize(msg);
if (gotFill != null)
{
gotFill(tr);
}
break;
case MessageTypes.ORDERNOTIFY:
Order o = OrderImpl.Deserialize(msg);
if (gotOrder != null)
{
gotOrder(o);
}
break;
case MessageTypes.POSITIONRESPONSE:
Position pos = PositionImpl.Deserialize(msg);
if (gotPosition != null)
{
gotPosition(pos);
}
break;
case MessageTypes.ACCOUNTRESPONSE:
if (gotAccounts != null)
{
gotAccounts(msg);
}
break;
case MessageTypes.FEATURERESPONSE:
string[] p = msg.Split(',');
List <MessageTypes> f = new List <MessageTypes>();
foreach (string s in p)
{
try
{
f.Add((MessageTypes)Convert.ToInt32(s));
}
catch (Exception) { }
}
if (gotSupportedFeatures != null)
{
gotSupportedFeatures(f.ToArray());
}
break;
case MessageTypes.IMBALANCERESPONSE:
Imbalance i = ImbalanceImpl.Deserialize(msg);
if (gotImbalance != null)
{
gotImbalance(i);
}
break;
}
result = 0;
m.Result = (IntPtr)result;
}
/// <summary>
/// this constructor creates a new tick by combining two ticks
/// this is to handle tick updates that only provide bid/ask changes.
/// </summary>
/// <param name="a">old tick</param>
/// <param name="b">new tick or update</param>
public static Tick Copy(TickImpl a, TickImpl b)
{
TickImpl k = new TickImpl();
if (b.symbol != a.symbol) return k; // don't combine different symbols
if (b.time < a.time) return k; // don't process old updates
k.time = b.time;
k.date = b.date;
k.datetime = b.datetime;
k.symbol = b.symbol;
k.depth = b.depth;
if (b.isTrade)
{
k.trade = b.trade;
k.size = b.size;
k.ex = b.ex;
//
k.bid = a.bid;
k.ask = a.ask;
k.os = a.os;
k.bs = a.bs;
k.be = a.be;
k.oe = a.oe;
}
else if (b.hasAsk && b.hasBid)
{
k.bid = b.bid;
k.ask = b.ask;
k.bs = b.bs;
k.os = b.os;
k.be = b.be;
k.oe = b.oe;
//
k.trade = a.trade;
k.size = a.size;
k.ex = a.ex;
}
else if (b.hasAsk)
{
k.ask = b.ask;
k.os = b.os;
k.oe = b.oe;
//
k.bid = a.bid;
k.bs = a.bs;
k.be = a.be;
k.trade = a.trade;
k.size = a.size;
k.ex = a.ex;
}
else if (b.hasBid)
{
k.bid = b.bid;
k.bs = b.bs;
k.be = b.be;
//
k.ask = a.ask;
k.os = a.os;
k.oe = a.oe;
k.trade = a.trade;
k.size = a.size;
k.ex = a.ex;
}
return k;
}
void MBTQUOTELib.IMbtQuotesNotify.OnTSData(ref TSRECORD pRec)
{
TickImpl k = new TickImpl();
k.symbol = pRec.bstrSymbol;
enumTickType tt = (enumTickType)pRec.lType;
switch (tt)
{
case enumTickType.ttAskTick:
k.ask = (decimal)pRec.dPrice;
k.oe = pRec.bstrExchange;
k.os = pRec.lSize;
break;
case enumTickType.ttBidTick:
k.bid = (decimal)pRec.dPrice;
k.be = pRec.bstrExchange;
k.bs= pRec.lSize;
break;
case enumTickType.ttTradeTick:
k.trade = (decimal)pRec.dPrice;
k.ex = pRec.bstrExchange;
k.size= pRec.lSize;
break;
}
tl.newTick(k);
}
public static Tick Deserialize(string msg)
{
string [] r = msg.Split(',');
Tick t = new TickImpl();
t.Sec = SecurityImpl.Parse(r[(int)TickField.symbol]);
t.symbol = t.Sec.Symbol;
t.trade = Convert.ToDecimal(r[(int)TickField.trade]);
t.size = Convert.ToInt32(r[(int)TickField.tsize]);
t.bid = Convert.ToDecimal(r[(int)TickField.bid]);
t.ask = Convert.ToDecimal(r[(int)TickField.ask]);
t.os = Convert.ToInt32(r[(int)TickField.asksize]);
t.bs = Convert.ToInt32(r[(int)TickField.bidsize]);
t.ex = r[(int)TickField.tex];
t.be = r[(int)TickField.bidex];
t.oe = r[(int)TickField.askex];
t.time = Convert.ToInt32(r[(int)TickField.time]);
t.date = Convert.ToInt32(r[(int)TickField.date]);
t.datetime = t.date * 1000000 + t.time;
t.depth = Convert.ToInt32(r[(int)TickField.tdepth]);
return t;
}
Tick OrderToTick(Order o)
{
Tick t = new TickImpl(o.symbol);
if (!o.isLimit) return t;
t.time = o.time;
t.date = o.date;
if (o.side)
{
t.bid = o.price;
t.BidSize = o.UnsignedSize;
t.be = o.Exchange;
}
else
{
t.ask = o.price;
t.AskSize = o.UnsignedSize;
t.oe = o.Exchange;
}
return t;
}
public static TickImpl NewTrade(string sym, int date, int time, decimal trade, int size, string ex)
{
TickImpl t = new TickImpl(sym);
t.date = date;
t.time = time;
t.trade = trade;
t.size = size;
t.ex = ex.Trim();
t.bid = 0;
return t;
}
bool convert(Converter con, string filename,int tradesize,string sym)
{
int bads = 0;
int thistotal = _ticksprocessed;
bool g = true;
// get output filename
string convertname = string.Empty;
// setup writing to output
TikWriter outfile = null;
// setup input file
StreamReader infile = null;
int _date = 0;
int cqgdecimalplaces = 2;
try
{
// open input file
switch (con)
{
case Converter.TradeStation:
infile = new StreamReader(filename);
// read in and ignore header of input file
infile.ReadLine();
break;
case Converter.eSignal_EPF:
infile = new StreamReader(filename);
// ignore header
SecurityImpl esec = eSigTick.InitEpf(infile);
_sym = esec.Symbol;
break;
case Converter.CQG:
infile = new StreamReader(filename);
cqgdecimalplaces = (int) this._cqgdecimalplacesinput.Value;
// no header
break;
case Converter.TradingPhysicsTnS:
case Converter.TradingPhysicsTV:
string file = System.IO.Path.GetFileName(filename);
string[] date_sym = file.Split('_');
string[] sym_ext = date_sym[1].Split('.');
string datestr = date_sym[0];
int.TryParse(datestr, out _date);
_sym = sym_ext[0];
infile = new StreamReader(filename);
infile.ReadLine();//discard header line
break;
case Converter.QCollector_eSignal:
infile = new StreamReader(filename);
// no header in file
break;
case Converter.MultiCharts:
// The symbol for data being imported is obtained from the filename
// Selected files for import must be named SYMBOL.ext - eg AAPL.txt, GOOG.txt
_sym = System.IO.Path.GetFileNameWithoutExtension(filename);
infile = new StreamReader(filename);
infile.ReadLine(); // ignore first line header of input file
break;
}
}
catch (Exception ex) { debug("error reading input header:" + ex.Message); g = false; }
// setup previous tick and current tick
Tick pk = new TickImpl();
Tick k = null;
do
{
try
{
// get next tick from the file
switch (con)
{
case Converter.CQG:
k = CQG.parseline(infile.ReadLine(), tradesize, cqgdecimalplaces );
break;
case Converter.eSignal_EPF:
k = eSigTick.FromStream(_sym, infile);
break;
case Converter.TradeStation:
k = TradeStation.parseline(infile.ReadLine(), sym, tradesize);
break;
case Converter.TradingPhysicsTnS:
k = TradingPhysicsTnS.parseline(infile.ReadLine(), _sym, _date);
break;
case Converter.TradingPhysicsTV:
k = TradingPhysicsTV.parseline(infile.ReadLine(), _sym, _date);
break;
case Converter.QCollector_eSignal:
k = QCollector.parseline(infile.ReadLine(), sym);
break;
case Converter.MultiCharts:
k = MultiCharts.parseline(infile.ReadLine(), _sym);
break;
}
}
catch (Exception ex) { bads++; continue; }
if (k == null)
{
debug("Invalid converter: " + con.ToString());
return false;
}
// bad tick
if (k.date == 0) { bads++; continue; }
// if dates don't match, we need to write new output file
if (k.date != pk.date)
{
try
{
// if the outfile was open previously, close it
if (outfile != null)
outfile.Close();
// get path from input
string path = Path.GetDirectoryName(filename) + "\\";
// setup new file
outfile = new TikWriter(path,k.symbol, k.date);
// report progress
progress((double)_ticksprocessed / _approxtotal);
}
catch (Exception ex) { debug(ex.Message); g = false; }
}
try
{
// write the tick
outfile.newTick(k);
// save this tick as previous tick
pk = k;
// count the tick as processed
_ticksprocessed++;
}
catch (Exception ex) { debug("error writing output tick: " + ex.Message); g = false; }
}
// keep going until input file is exhausted
while (!infile.EndOfStream);
// close output file
if (outfile == null)
{
debug("Tick file was never opened, likely that input file in wrong format.");
}
else
{
debug("Saved: " + outfile.Filepath);
outfile.Close();
}
// close input file
infile.Close();
// get percentage of good ticks
double goodratio = (_ticksprocessed - thistotal - bads) / (_ticksprocessed - (double)thistotal);
if (goodratio < GOODRATIO)
{
debug("Less than " + GOODRATIO.ToString("P0") + " good ticks");
g = false;
}
// return status
return g;
}
/*
private void ExecuteNotifyHandler(object sender, OrderArgs e)
{
itemOrder iorder = e.ItemOrder;
Order o = new OrderImpl(iorder.msecsym, iorder.IsBuyOrder(), iorder.mqty, Convert.ToDecimal(iorder.mprice), Convert.ToDecimal(iorder.mstopprice), "", iorder.mc_date, iorder.mc_date, iorder.morderid);
Trade trade = new TradeImpl();
trade.symbol = iorder.msecsym;
trade.side = iorder.IsBuyOrder();
trade.xprice = Convert.ToDecimal(iorder.mprice);
trade.xsize = iorder.mqty;
DateTime mdate = ComFucs.GetDate(iorder.mm_date);
trade.xdate = mdate.Day+ mdate.Month*100+mdate.Year*10000;
trade.xtime = mdate.Second + mdate.Minute*100+ mdate.Hour*10000 ;
tl.newFill(trade);
}
private void OrderHandler(object sender, OrderArgs e)
{
itemOrder iorder = e.ItemOrder;
// if (!ls.Contains(iorder.morigtkn)) return;
DateTime mdate = ComFucs.GetDate(iorder.mm_date);
Order o = new OrderImpl(iorder.msecsym, iorder.IsBuyOrder(), iorder.mqty, Convert.ToDecimal(iorder.mprice), Convert.ToDecimal(iorder.mstopprice), "",
mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000, mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000, iorder.morderid);
tl.newOrder(o);
}
private void OrderModifyHandler(object sender, OrderArgs e)
{
if ((e.ItemOrder.mstatus | 0x0004) != 0)
{
// tl.newCancel(e.ItemOrder.morderid);
}
if ((e.ItemOrder.mstatus | 0x0002) != 0)
{
itemOrder iorder = e.ItemOrder;
Order o = new OrderImpl(iorder.msecsym, iorder.IsBuyOrder(), iorder.mqty, Convert.ToDecimal(iorder.mprice), Convert.ToDecimal(iorder.mstopprice), "", iorder.mc_date, iorder.mc_date, iorder.morderid);
Trade trade = new TradeImpl();
trade.symbol = iorder.msecsym;
trade.side = iorder.IsBuyOrder();
trade.xprice = Convert.ToDecimal(iorder.mprice);
trade.xsize = iorder.mqty;
DateTime mdate = ComFucs.GetDate(iorder.mm_date);
trade.xdate = mdate.Day + mdate.Month * 100 + mdate.Year * 10000;
trade.xtime = mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000;
tl.newFill(trade);
}
}
* */
private void Lv1Handler(object sender, Lv1Args e)
{
DateTime DT = new DateTime(1970, 1, 1);
Tick t = new TickImpl();
t.date = Util.ToTLDate(DateTime.Now);
t.time = Util.DT2FT(DateTime.Now);
t.symbol = e.TheIssuIfo.secsym;
t.bid = Convert.ToDecimal(e.TheIssuIfo.l1_BidPrice);
t.ask = Convert.ToDecimal(e.TheIssuIfo.l1_AskPrice);
t.ex = e.TheIssuIfo.PrimExch.ToString();
t.trade = Convert.ToDecimal(e.TheIssuIfo.l1_lastPrice);
t.size = e.TheIssuIfo.l1_volume;
t.bs = e.TheIssuIfo.l1_BidSize;
t.os = e.TheIssuIfo.l1_AskSize;
t.ex = e.TheIssuIfo.PrimExch.ToString();
tl.newTick(t);
}
/// <summary>
/// this constructor creates a new tick by combining two ticks
/// this is to handle tick updates that only provide bid/ask changes.
/// </summary>
/// <param name="a">old tick</param>
/// <param name="b">new tick or update</param>
public static Tick Copy(TickImpl a, TickImpl b)
{
TickImpl k = new TickImpl();
if (b.symbol != a.symbol)
{
return(k); // don't combine different symbols
}
if (b.time < a.time)
{
return(k); // don't process old updates
}
k.time = b.time;
k.date = b.date;
k.datetime = b.datetime;
k.symbol = b.symbol;
k.depth = b.depth;
k.symidx = b.symidx;
if (b.isTrade)
{
k.trade = b.trade;
k.size = b.size;
k.ex = b.ex;
//
k.bid = a.bid;
k.ask = a.ask;
k.os = a.os;
k.bs = a.bs;
k.be = a.be;
k.oe = a.oe;
}
if (b.hasAsk && b.hasBid)
{
k.bid = b.bid;
k.ask = b.ask;
k.bs = b.bs;
k.os = b.os;
k.be = b.be;
k.oe = b.oe;
//
k.trade = a.trade;
k.size = a.size;
k.ex = a.ex;
}
else if (b.hasAsk)
{
k.ask = b.ask;
k.os = b.os;
k.oe = b.oe;
//
k.bid = a.bid;
k.bs = a.bs;
k.be = a.be;
k.trade = a.trade;
k.size = a.size;
k.ex = a.ex;
}
else if (b.hasBid)
{
k.bid = b.bid;
k.bs = b.bs;
k.be = b.be;
//
k.ask = a.ask;
k.os = a.os;
k.oe = a.oe;
k.trade = a.trade;
k.size = a.size;
k.ex = a.ex;
}
return(k);
}
void InsideMktEvent_GBEvent(object pISrc, string bstrSymbol, string bstrHint, object pIEventData)
{
GBInsideMkt insideMkt = new GBInsideMktClass();
insideMkt = (GBInsideMkt)pIEventData;
Tick k = new TickImpl(bstrSymbol);
k.bid = (decimal)insideMkt.BidPrice;
k.ask = (decimal)insideMkt.AskPrice;
k.bs = insideMkt.BidVolume / 100;
k.os = insideMkt.AskVolume / 100;
k.date = Util.ToTLDate(DateTime.Now);
k.time = Util.ToTLTime(DateTime.Now);
tl.newTick(k);
}
/// <summary>
/// write a tick to file
/// </summary>
/// <param name="k"></param>
public void newTick(TickImpl k)
{
// make sure we have a header
if (!_hasheader)
{
init(k.symbol, k.date, _path);
}
// get types
bool t = k.isTrade;
bool fq = k.isFullQuote;
bool b = k.hasBid;
bool a = k.hasAsk;
bool i = k.isIndex;
// next we write tick type and the data
if (!fq && b) // bid only
{
Write(TikConst.TickBid);
Write(k.date);
Write(k.time);
Write(k._bid);
Write(k.bs);
Write(k.be);
Write(k.depth);
}
else if (!fq && a) // ask only
{
Write(TikConst.TickAsk);
Write(k.date);
Write(k.time);
Write(k._ask);
Write(k.os);
Write(k.oe);
Write(k.depth);
}
else if ((t && !fq) || i) // trade or index
{
Write(TikConst.TickTrade);
Write(k.date);
Write(k.time);
Write(k._trade);
Write(k.size);
Write(k.ex);
}
else if (t && fq) // full quote
{
Write(TikConst.TickFull);
Write(k.date);
Write(k.time);
Write(k._trade);
Write(k.size);
Write(k.ex);
Write(k._bid);
Write(k.bs);
Write(k.be);
Write(k._ask);
Write(k.os);
Write(k.oe);
Write(k.depth);
}
else if (!t && fq) // quote only
{
Write(TikConst.TickQuote);
Write(k.date);
Write(k.time);
Write(k._bid);
Write(k.bs);
Write(k.be);
Write(k._ask);
Write(k.os);
Write(k.oe);
Write(k.depth);
}
// end tick
Write(TikConst.EndTick);
// write to disk
Flush();
// count it
Count++;
}