public decimal?GetLastPrice(Instrument inst, out decimal fxRate, string currency = "USD")
{
_logger.Log(LogLevel.Info, string.Format("Last price request for {0} and currency {1}", inst, currency));
DateTime lastLocalDate;
decimal? lastLocalPrice = GetLocalLastPrice(inst, out fxRate, out lastLocalDate);
if (!_useExternalDataSource || !ExternalDataSource.Connected)
{
return(lastLocalPrice);
}
else
{
DateTime lastExternalDate;
decimal? lastExternalPrice = ExternalDataSource.GetLastPrice(inst, out lastExternalDate);
if (lastExternalPrice.HasValue && lastExternalDate >= lastLocalDate)
{
fxRate = GetLastFXRate(currency);
return(lastExternalPrice.Value);
}
else
{
return(lastLocalPrice);
}
}
}
/// <summary>
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
/// </summary>
public void Dispose()
{
if (ExternalDataSource != null)
{
ExternalDataSource.Dispose();
ExternalDataSource = null;
}
}
/// <summary>
/// Used for benchmarking.
/// </summary>
public List <OHLCBar> GetExternalData(int externalInstrumentID, DateTime startTime, DateTime endTime)
{
if (!_useExternalDataSource)
{
_logger.Log(LogLevel.Info, string.Format("Request for external data on instrument with external ID {0} not fulfilled, external data not allowed.", externalInstrumentID));
return(new List <OHLCBar>());
}
return(ExternalDataSource.GetData(externalInstrumentID, startTime, endTime));
}
/// <summary>
/// Used for the instrument chart.
/// </summary>
public List <OHLCBar> GetAllExternalData(Instrument inst)
{
if (!_useExternalDataSource)
{
_logger.Log(LogLevel.Info, string.Format("Request for all external data on instrument {0} not fulfilled, external data not allowed.", inst));
return(new List <OHLCBar>());
}
_logger.Log(LogLevel.Info, string.Format("Request for all external data on instrument {0}", inst));
return(ExternalDataSource.GetAllData(inst));
}
public List <OHLCBar> GetData(Instrument inst, DateTime startTime, DateTime endTime, BarSize frequency = BarSize.OneDay)
{
_logger.Log(LogLevel.Info, string.Format("Data request for {0} from {1} to {2} @ {3}", inst, startTime, endTime, frequency));
//Check the cache
lock (_dataCacheLock)
{
if (_dataCache.ContainsKey(inst.ID) &&
_dataCache[inst.ID].First().DT <= startTime &&
_dataCache[inst.ID].Last().DT >= endTime)
{
_logger.Log(LogLevel.Info, "Found data in cache");
return(_dataCache[inst.ID].Where(x => x.DT >= startTime && x.DT <= endTime).ToList());
}
}
//if external data is not allowed, just grab the prior positions data
if (!_useExternalDataSource)
{
return(GetLocalData(inst, startTime, endTime));
}
//If the cache is not enough, go to the external datasource
var data = ExternalDataSource.GetData(inst, startTime, endTime);
//External datasource didn't have anything, get data from prior positions
if (data == null || data.Count == 0)
{
_logger.Log(LogLevel.Info, "Data was not available externally, getting it form prior positions");
return(GetLocalData(inst, startTime, endTime));
}
//QDMS data does NOT cover the entire period requested.
//Try to supplement the data with the prices from prior positions
if (frequency == BarSize.OneDay && (data.First().DT.Date > startTime.Date || data.Last().DT.Date < endTime))
{
SupplementWithLocalData(inst, startTime, endTime, ref data);
}
AddToCache(data, inst.ID);
return(data);
}