public List <ITickDataQuery> GetTickDataQueries(ITickDataQuery queryParms)
{
paramsChecks(queryParms);
var queries = new List <ITickDataQuery>();
if (queryParms.EndDate <= queryParms.StartDate)
{
return(queries);
}
if (queryParms.EndDate - queryParms.StartDate <= new TimeSpan(24, 0, 0))
{
queries.Add(GenerateSingleQuery(queryParms, queryParms.StartDate, queryParms.EndDate));
return(queries);
}
for (var dt = queryParms.StartDate; dt.Date <= queryParms.EndDate; dt = dt.AddDays(1))
{
var start = new DateTime(dt.Year, dt.Month, dt.Day, 0, 0, 0); // first tick of the day
var end = start.AddDays(1).AddTicks(-1); // last tick of the day
queries.Add(GenerateSingleQuery(queryParms, start, end));
}
return(trimFirstAndLastQueries(queryParms, queries));
}
private TickData BBEventToTickData(Element bbElement, ITickDataQuery tickDateQuery)
{
var dataPoint = new TickData()
{
Security = tickDateQuery.Security,
SecurityObj = tickDateQuery.CorrelationIdObj
};
if (bbElement.HasElement("time") &&
bbElement.HasElement("type") &&
bbElement.HasElement("value") &&
bbElement.HasElement("size"))
{
// tick field data
dataPoint.TimeStamp = bbElement.GetElementAsTime("time").ToSystemDateTime();
//dataPoint.TimeStamp = Convert.ToDateTime(bbElement.GetElementAsString("time"));//.ToUniversalTime();
dataPoint.Price = bbElement.GetElementAsFloat64("value");
dataPoint.Size = (uint)bbElement.GetElementAsInt32("size");
string msgType = bbElement.GetElementAsString("type");
Enum.TryParse(msgType, true, out dataPoint.Type);
}
return(dataPoint);
}
private void paramsChecks(ITickDataQuery queryParms)
{
if (queryParms.Fields == null || queryParms.Fields.Count == 0)
{
queryParms.Fields = GetDefaultFields();
}
if (queryParms.Fields.Contains(null))
{
throw new ArgumentNullException("ITickDataQuery.FieldList", "FieldList contains nulls");
}
if (queryParms.StartDate == default(DateTime))
{
throw new ArgumentNullException("StartDate", "StartDate Property cannot be default (DateTime.MinValue)");
}
if (queryParms.EndDate == default(DateTime))
{
throw new ArgumentNullException("EndDate", "EndDate Property cannot be default (DateTime.MinValue)");
}
if (queryParms.Security == default(string))
{
throw new ArgumentNullException("Security", "Security Property cannot Empty");
}
}
private Request getBBRequest(ITickDataQuery query)
{
Service refDataService = Session.GetService("//blp/refdata");
Request request = refDataService.CreateRequest("IntradayTickRequest");
request.Set("security", query.Security);
Element eventTypes = request.GetElement("eventTypes");
foreach (string field in query.Fields)
{
eventTypes.AppendValue(field);
}
request.Set("includeConditionCodes", query.IncludeConditionCode);
request.Set("includeExchangeCodes", query.IncludeExchangeCode);
request.Set("startDateTime",
new BDateTime(query.StartDate));
request.Set("endDateTime",
new BDateTime(query.EndDate));
return(request);
}
private bool sendRequest(ITickDataQuery tickDataQuery)
{
if (!ConnectAndOpenSession())
{
return(false);
}
Request request = getBBRequest(tickDataQuery);
CorrelationID cID = new CorrelationID(tickDataQuery);
Session.Cancel(cID);
Session.SendRequest(request, cID);
var msg = String.Format("Submitted request: {0} ({1} ~ {2}) ...",
tickDataQuery.Security,
tickDataQuery.StartDate.ToString("yy/MM/dd HH:mm:ss"),
tickDataQuery.EndDate.ToString("yy/MM/dd HH:mm:ss"));
OnBBHTDUpdate(new BBHTDEventArgs(EventType.StatusMsg, msg));
if (!Asynchronous)
{
return(synchronousProcessing());
}
return(true);
}
private static TickData DataRowToTickData(ITickDataQuery tdQuery, DataRow row)
{
DataWrangler.Structures.Type type;
DateTime timeStamp;
Double price;
uint size;
Dictionary <string, string> codes = null;
TickData tick = null;
bool successfulParse = false;
// try parse dataRow for tick data values
if (Enum.TryParse(row[0].ToString(), out type))
{
if (DateTime.TryParse(row[1].ToString(), out timeStamp))
{
if (Double.TryParse(row[2].ToString(), out price))
{
if (uint.TryParse(row[3].ToString(), out size))
{
if ((price > 0) || (price < 0))
{
// if there are any codes, add to the tickData event
if ((row[4].ToString() != String.Empty) || (row[5].ToString() != String.Empty))
{
codes = GetCodes(row[4].ToString(), row[5].ToString(), type);
}
// create a new tick data event
tick = new TickData
{
Type = type,
TimeStamp = timeStamp,
Price = price,
Size = size,
Codes = codes,
Security = tdQuery.Security,
SecurityObj = tdQuery.CorrelationIdObj,
};
successfulParse = true;
}
}
}
}
}
if (!successfulParse)
{
Console.WriteLine("Bad data row: type = {0}, time {1}, price {2}, size {3}, CCs = {4}, ECs = {5}",
row[0].ToString(), row[1].ToString(), row[2].ToString(), row[3].ToString(), row[4].ToString(), row[5].ToString());
}
return(tick);
}
private void playBackAndWriteOut(ITickDataQuery query)
{
responded[query.Security] = true;
bool allDone = true;
foreach (var received in responded)
{
if (!received.Value)
{
allDone = false;
}
}
if (allDone)
{
//query.Security
Console.WriteLine("Download Completed");
appendToTextBox("Download Completed. Playback started ...");
System.Diagnostics.Stopwatch sw = new System.Diagnostics.Stopwatch();
sw.Start();
_histFeed.PlayBackData();
sw.Stop();
_histFeed.Reset();
appendToTextBox(String.Format("Playback Completed in {0} secs", sw.Elapsed.ToString()));
appendToTextBox("Writing to file");
const string filePath = @"C:\Users\Andre\Documents\BBDataSource\Market Aggregator OutPut\";
// use PM suffix on evening session files
string fileNameSuffix = (query.EndDate.Hour < 7) ? fileNameSuffix = "" : fileNameSuffix = "_PM";
sw.Reset();
sw.Start();
_markets.BatchWriteOutData(MarketAggregator.OutPutType.FlatFile, MarketAggregator.OutPutMktMode.SeperateAndAggregated, filePath, 25, fileNameSuffix);
sw.Stop();
appendToTextBox(String.Format("Completed file writeout in {0} secs", sw.Elapsed.ToString()));
_markets.Reset();
_histFeed.Reset();
foreach (var factory in _factories)
{
responded[factory.SecurityName] = false;
}
foreach (var bbHist in _histFeed.HistoricalAdapters)
{
if (bbHist.ConnectAndOpenSession())
{
bbHist.SendNextRequest();
}
}
}
}
private TickDataQuery GenerateSingleQuery(ITickDataQuery queryParms, DateTime start, DateTime end)
{
return(new TickDataQuery()
{
Security = queryParms.Security,
CorrelationIdObj = queryParms.CorrelationIdObj,
StartDate = start,
EndDate = end,
IncludeConditionCode = queryParms.IncludeConditionCode,
IncludeExchangeCode = queryParms.IncludeExchangeCode,
Fields = queryParms.Fields
});
}
private List <ITickDataQuery> trimFirstAndLastQueries(ITickDataQuery queryParms, List <ITickDataQuery> queries)
{
if (queries[0].StartDate < queryParms.StartDate)
{
queries[0].StartDate = queryParms.StartDate;
}
if (queries[queries.Count - 1].EndDate > queryParms.EndDate)
{
queries[queries.Count - 1].EndDate = queryParms.EndDate;
}
return(queries);
}
private List <TickData> ConvertToTickData(ITickDataQuery tdQuery, DataTable dt)
{
OnHistTDUpdate(new HistTDEventArgs(EventType.StatusMsg,
String.Format("{0}: Converting SQL to DataTable({1} rows)", tdQuery.Security, dt.Rows.Count.ToString())));
var tickData = new List <TickData>();
foreach (DataRow row in dt.Rows)
{
TickData tick = DataRowToTickData(tdQuery, row);
if (tick != null)
{
tickData.Add(tick);
}
}
return(tickData);
}
private void sendRequest(ITickDataQuery tdQuery, bool useBatching = true)
{
requestPointer++;
List <ITickDataQuery> batchedQueries = new List <ITickDataQuery>();
batchedQueries.Add(tdQuery);
if (useBatching)
{
batchedQueries.Clear();
TimeSpan timeInterval = new TimeSpan(0, 60, 0);
batchedQueries = generateBatchedQueries(getBatchedTimes(tdQuery.StartDate, tdQuery.EndDate, timeInterval), tdQuery, timeInterval);
}
int partialCnt = 1;
foreach (var query in batchedQueries)
{
DataTable data = _histDs.getTickDataSeries(query.Security, query.StartDate, query.EndDate);
OnHistTDUpdate(new HistTDEventArgs(EventType.StatusMsg,
String.Format("{0}: SQL Partial Response ({1} of {2})", query.Security, partialCnt.ToString(), batchedQueries.Count.ToString())));
if (data.Rows.Count > 0)
{
List <TickData> tickData = ConvertToTickData(tdQuery, data);
DataHandler.ParseTickDataList(tdQuery.CorrelationIdObj, tickData);
}
partialCnt++;
}
OnHistTDUpdate(new HistTDEventArgs(EventType.StatusMsg,
String.Format("{0}: SQL Response ({1} of {2}) received", tdQuery.Security, requestPointer.ToString(), _queries.Count.ToString())));
OnHistTDUpdate(new HistTDEventArgs(EventType.DataMsg,
String.Format("Completed ({0} of {1})", requestPointer.ToString(), _queries.Count.ToString()), tdQuery));
}
private List <ITickDataQuery> generateBatchedQueries(List <DateTime> batchedTimes, ITickDataQuery baseQuery, TimeSpan timeInterval)
{
List <ITickDataQuery> queries = new List <ITickDataQuery>();
foreach (var nextstart in batchedTimes)
{
queries.Add(new TickDataQuery()
{
Security = baseQuery.Security,
StartDate = nextstart,
EndDate = nextstart.AddTicks(-1) + timeInterval,
Fields = baseQuery.Fields,
CorrelationIdObj = baseQuery.CorrelationIdObj,
IncludeConditionCode = baseQuery.IncludeConditionCode,
IncludeExchangeCode = baseQuery.IncludeExchangeCode,
});
}
return(queries);
}
