public Bar GetBar(int index, string symbol)
{
Bar b = new Bar();
if (index >= _Count) return b;
else if (index < 0)
{
index = _Count - 1 + index;
if (index < 0) return b;
}
b = new Bar(opens[index], highs[index], lows[index], closes[index], vols[index], dates[index], orders[index], symbol, intervallength);
if (index == Last()) b.IsNew = _isRecentNew;
return b;
}
void _client_GotHistoricalBarDelegate(Bar obj)
{
_eventAggregator.GetEvent<HistBarEvent>().Publish(obj);
}
static void _iclient_GotHistoricalBarDelegate(Bar b)
{
// Find the security file
if (_sec2bars.ContainsKey(b.FullSymbol))
{
DateTime d = Util.ToDateTime(b.Date, b.BarStartTime);
DateTime d_local = DateTime.SpecifyKind(d, DateTimeKind.Local); // to local time
string line = d_local.ToString("yyyy/MM/dd HH:mm:ss") + "," +b.Open + "," + b.High + "," + b.Low + "," + b.Close + "," + b.Volume;
_sec2bars[b.FullSymbol].Add(line);
_processedBars[b.FullSymbol]++;
}
}
/// <summary>
/// http://www.marketcalls.in/database/google-realtime-intraday-backfill-data.html
/// http://www.codeproject.com/KB/IP/google_finance_downloader.aspx
/// </summary>
/// <param name="br"></param>
public void RequestHistoricalData(BarRequest br, bool useRTH=false)
{
// Google always returns the most recent data.
// i is interval in seconds, set to 60s, ignore interval
// ignore date; p: period
// q is the symbol (AAPL)
// x is the exchange (NASD)
// sessions is the session requested (ext_hours)
// p is the time period (5d = 5 days), set to 1d, ignore time span
// f is the requested fields (d,c,v,o,h,l)
// df = (cpct)
// auto = (1)
// ts is potentially a time stamp (1324323553 905) or time shift
try
{
using (WebClient client = new WebClient())
{
string google;
if (br.Interval != 86400)
{
google = @"https://www.google.com/finance/getprices?i="+br.Interval.ToString()+@"&p=1d&f=d,o,h,l,c,v&df=cpct&q=";
}
else // for oneday, today is empty
{
google = @"https://www.google.com/finance/getprices?i=86400&p=2d&f=d,o,h,l,c,v&df=cpct&q=";
}
string[] symbol = br.FullSymbol.Split(' ');
System.IO.Stream data = client.OpenRead(google + symbol[0]);
System.IO.StreamReader read = new System.IO.StreamReader(data);
string[] lines = new string[] { read.ReadToEnd() };
string[] lines2 = lines[0].Split('\n');
// get time zone adjustment
// In line 6, GOOG has time zone offset = -240 which is new york time;
// while SPX has time zone offset = -300, which is chicago time.
// The following find the additional offset relative to local time.
/*
int localtimezonediffinminutes = (int)Util.GetUtcOffset(DateTime.Today).TotalMinutes; // negative offset
string stime = lines[6];
int itime;
bool btime = Int32.TryParse(stime.Substring(stime.IndexOf('=') + 1), out itime); // negative offset
int additionaloffset = localtimezonediffinminutes - itime; // (-240) - (-300) = 60 mins
*/
IEnumerable<string> history = lines2.Skip(7); // skip the first 7 lines: header
int nlines = 0; // count of lines
string[] entries;
DateTime dstart = DateTime.Now; // just for initialization
DateTime dt = DateTime.Now;
foreach (string line in history)
{
if (!string.IsNullOrEmpty(line)) // skip empty lines, i.e., the last line
{
entries = line.Split(',');
if (nlines == 0)
{
// http://www.epochconverter.com/
dt = new DateTime(1970, 1, 1, 0, 0, 0, DateTimeKind.Utc);
double secs = double.Parse(entries[0].Remove(0, 1)); // remove character 'a'
dt = dt.AddSeconds(secs);
// GMT to EST
// dstart = TimeZoneInfo.ConvertTimeFromUtc(dt1, TimeZoneInfo.FindSystemTimeZoneById("Eastern Standard Time"));
dt = TimeZoneInfo.ConvertTimeFromUtc(dt, TimeZoneInfo.Local);
dstart = dt;
}
else
{
dstart = dt.AddSeconds(Int32.Parse(entries[0])*br.Interval);
}
nlines++;
// write line to database
Bar bar = new Bar();
bar.Interval = 1; // 1 sec
bar.FullSymbol = br.FullSymbol;
bar.Open = decimal.Parse(entries[4]);
bar.Date = Util.ToIntDate(dstart);
bar.BarOrderInADay = bar.GetOrder(Util.ToIntTime(dstart));
bar.High = decimal.Parse(entries[2]);
bar.Low = decimal.Parse(entries[3]);
bar.Close = decimal.Parse(entries[1]);
bar.Volume = long.Parse(entries[5]);
if (GotHistoricalBarDelegate != null)
GotHistoricalBarDelegate(bar);
}
}
}
}
catch (Exception e)
{
Debug("Error in requesting historical data from Google client.");
Debug(e.Message);
}
}
/// <summary>
/// Previous day daily bar
/// </summary>
private void ClientGotHistBar(Bar br)
{
foreach (StrategyItem si in _strategyitemlist)
{
si.S.GotHistoricalBar(br);
}
}
public void AddBar(Bar mybar)
{
_Count++;
closes.Add(mybar.Close);
opens.Add(mybar.Open);
dates.Add(mybar.Date);
highs.Add(mybar.High);
lows.Add(mybar.Low);
vols.Add(mybar.Volume);
orders.Add(GetOrder(mybar.BarStartTime,intervallength));
ids.Add(GetBarId(mybar.BarStartTime, mybar.Date, intervallength));
}
public virtual void historicalData(int reqId, string date, double open, double high, double low, double close, int volume, int count, double WAP, bool hasGaps)
{
if (reqId < 0 || reqId > _historicalBarRequests.Count)
{
OnDebug("historical data request doesn't match");
return;
}
// yyyyMMdd{space}{space}HH:mm:ss
DateTime dt;
if (!DateTime.TryParseExact(date, "yyyyMMdd HH:mm:ss", CultureInfo.InvariantCulture, DateTimeStyles.None, out dt))
{
// only 1s and 1d are supported at this time. so it must be 1d
dt = DateTime.ParseExact(date, "yyyyMMdd", CultureInfo.InvariantCulture);
}
int ndate = dt.Year * 10000 + dt.Month * 100 + dt.Day;
int ntime = dt.Hour * 10000 + dt.Minute * 100 + dt.Second;
Bar bar = new Bar((decimal)open, (decimal)high, (decimal)low, (decimal)close,
volume, ndate, ntime,
_historicalBarRequests[reqId].FullSymbol, _historicalBarRequests[reqId].Interval);
bar.TradesInBar = count;
// bar.WAP = (decimal)average;
if (bar.IsValid)
{
OnGotHistoricalBar(bar);
}
}
void OnGotHistoricalBar(Bar b)
{
if (GotHistoricalBarDelegate != null)
GotHistoricalBarDelegate(b);
}
public static Tick[] ToTick(Bar bar)
{
List<Tick> list = new List<Tick>();
list.Add(Tick.NewTrade(bar.FullSymbol, bar.Date, bar.BarStartTime, bar.Open,
(int)((double)bar.Volume / 4)));
list.Add(Tick.NewTrade(bar.FullSymbol, bar.Date, bar.BarStartTime, bar.High,
(int)((double)bar.Volume / 4)));
list.Add(Tick.NewTrade(bar.FullSymbol, bar.Date, bar.BarStartTime, bar.Low,
(int)((double)bar.Volume / 4)));
list.Add(Tick.NewTrade(bar.FullSymbol, bar.Date, bar.BarStartTime, bar.Close,
(int)((double)bar.Volume / 4)));
return list.ToArray();
}
public static Tick[] ToTick2(Bar bar)
{
List<Tick> list = new List<Tick>();
DateTime dt = Util.ToDateTime(bar.Date, bar.BarStartTime).AddSeconds(bar.Interval); // close at bartime+interval
list.Add(Tick.NewTrade(bar.FullSymbol, Util.ToIntDate(dt), Util.ToIntTime(dt),
bar.Close, (int)bar.Volume));
return list.ToArray();
}
/// <summary>
/// called when historical bar arrives.
/// </summary>
public virtual void GotHistoricalBar(Bar b)
{
}
internal static void AddBar(BarList b, Bar mybar, int instdataidx)
{
b._intervaldata[instdataidx].AddBar(mybar);
}
/// <summary>
/// insert a bar at particular place in the list.
/// REMEMBER YOU MUST REHANDLE GOTNEWBAR EVENT AFTER CALLING THIS.
/// </summary>
public static BarList InsertBar(BarList bl, Bar b, int position)
{
BarList copy = new BarList(bl.FullSymbol, bl.AvailableIntervals);
for (int j = 0; j < bl.AvailableIntervals.Length; j++)
{
if (bl.AvailableIntervals[j] != b.Interval)
continue;
int count = bl.IntervalCount(b.Interval);
if (count > 0)
{
for (int i = 0; i < count; i++)
{
if (i == position)
{
AddBar(copy, b, j);
}
AddBar(copy, bl[i, b.Interval], j);
}
}
else
AddBar(copy, b, 0);
}
return copy;
}
private void ProcessPreviousClose(Bar b)
{
_quoteupdateservice.InitTickerAndPreClose(new string[] { b.FullSymbol }, new decimal[] { b.Close });
}
public override void GotHistoricalBar(Bar b)
{
if (_precloseDict.ContainsKey(b.FullSymbol))
{
_precloseDict[b.FullSymbol] = b.Close;
}
else
{
_precloseDict.Add(b.FullSymbol, b.Close);
}
}
