public RowData(double price, long liquidity, MarketDataType dataType, bool active)
{
Liquidity = liquidity;
Price = price;
DataType = dataType;
Active = active;
}
internal MarketDataTypeTick(ResponseReader r)
{
r.IgnoreVersion();
RequestId = r.ReadInt();
TickType = TickType.MarketDataType;
MarketDataType = r.ReadEnum <MarketDataType>();
}
/// <summary>
/// Argument Constructor
/// </summary>
/// <param name="security">Contains Symbol information</param>
/// <param name="provider">Market Data Provider details</param>
/// <param name="marketDataType">Type of Market Data to subscribe</param>
/// <param name="subscriptionType">Subscription category e.g. Subscribe, Un-Subscribe</param>
public SubscriptionRequest(Security security, MarketDataProvider provider, MarketDataType marketDataType, SubscriptionType subscriptionType)
{
_security = security;
_provider = provider;
_marketDataType = marketDataType;
_subscriptionType = subscriptionType;
}
internal MarketDataSubscription(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType, int count)
{
this.Provider = provider;
this.Instrument = instrument;
this.MDType = mdType;
this.Count = count;
}
/// <summary>
/// Creates Missing Directories and place returns proper
/// path of file depending on dataType and symbol
/// </summary>
/// <param name="symbol"></param>
/// <param name="dataType"> </param>
/// <param name="dataProvider"> </param>
/// <returns></returns>
private string CreateDirectoryPath(string symbol, MarketDataType dataType, string dataProvider)
{
try
{
string[] directories =
{
_specificFolder + "\\" + dataProvider,
_specificFolder + "\\" + dataProvider + "\\" + symbol,
_specificFolder + "\\" + dataProvider + "\\" + symbol + "\\" + dataType,
_specificFolder + "\\" + dataProvider + "\\" + symbol + "\\" + dataType + "\\" + DateTime.Now.Year.ToString(CultureInfo.InvariantCulture),
_specificFolder + "\\" + dataProvider + "\\" + symbol + "\\" + dataType + "\\" + DateTime.Now.Year.ToString(CultureInfo.InvariantCulture) + "\\" + DateTime.Now.Month.ToString(CultureInfo.InvariantCulture)
};
foreach (string path in directories)
{
if (!Directory.Exists(path))
{
Directory.CreateDirectory(path);
}
}
if (Logger.IsInfoEnabled)
{
Logger.Info(directories[directories.Length - 1] + "\\" + DateTime.Now.ToString("yyyyMMdd"),
_oType.FullName,
"CreateDirectoryPath");
}
return(directories[directories.Length - 1] + "\\" + DateTime.Now.ToString("yyyyMMdd"));
}
catch (Exception exception)
{
Logger.Error(exception, _oType.FullName, "CreateDirectoryPath");
return(null);
}
}
internal TickMarketDataType(ResponseComposer c)
{
c.IgnoreVersion();
RequestId = c.ReadInt();
TickType = TickType.MarketDataType; //
MarketDataType = c.ReadEnum <MarketDataType>();
}
/// <summary>
/// Construct a MarketDataDescription item.
/// </summary>
/// <param name="ticker">The ticker symbol to use.</param>
/// <param name="dataType">The data type needed.</param>
/// <param name="type">The normalization type.</param>
/// <param name="activationFunction"> The activation function to apply to this data, can be null.</param>
/// <param name="input">Is this field used for input?</param>
/// <param name="predict">Is this field used for prediction?</param>
public MarketDataDescription(TickerSymbol ticker,
MarketDataType dataType, Type type,
IActivationFunction activationFunction, bool input,
bool predict)
: base(activationFunction, type, input, predict)
{
_ticker = ticker;
_dataType = dataType;
}
/// <summary>
/// Construct a MarketDataDescription item.
/// </summary>
/// <param name="ticker">The ticker symbol to use.</param>
/// <param name="dataType">The data type needed.</param>
/// <param name="type">The normalization type.</param>
/// <param name="activationFunction"> The activation function to apply to this data, can be null.</param>
/// <param name="input">Is this field used for input?</param>
/// <param name="predict">Is this field used for prediction?</param>
public MarketDataDescription(TickerSymbol ticker,
MarketDataType dataType, Type type,
IActivationFunction activationFunction, bool input,
bool predict)
: base(activationFunction, type, input, predict)
{
this.ticker = ticker;
this.dataType = dataType;
}
private void CancelMarketData(Instrument[] array, MarketDataType mdType)
{
ThreadPool.QueueUserWorkItem((WaitCallback)(objects =>
{
foreach (Instrument item_0 in (Instrument[])objects)
{
Global.ProviderHelper.CancelMarketData(this.provider, item_0, mdType);
}
}), array);
}
public void OnSecuritiesChangeDoesNotThrow(
Language language,
double[] historicalPrices,
MarketDataType marketDataType)
{
var time = new DateTime(2018, 8, 2, 16, 0, 0);
Func <double, int, BaseData> func = (x, i) =>
{
var price = Convert.ToDecimal(x);
switch (marketDataType)
{
case MarketDataType.TradeBar:
return(new TradeBar(time.AddMinutes(i), Symbols.AAPL, price, price, price, price, 100m));
case MarketDataType.QuoteBar:
var bar = new Bar(price, price, price, price);
return(new QuoteBar(time.AddMinutes(i), Symbols.AAPL, bar, 10m, bar, 10m));
default:
throw new ArgumentException($"Invalid MarketDataType: {marketDataType}");
}
};
var historyProvider = new Mock <IHistoryProvider>();
historyProvider.Setup(m => m.GetHistory(It.IsAny <IEnumerable <HistoryRequest> >(), It.IsAny <DateTimeZone>()))
.Returns(historicalPrices.Select((x, i) => new Slice(time.AddMinutes(i), new List <BaseData> {
func(x, i)
})));
var algorithm = new QCAlgorithm();
algorithm.SetPandasConverter();
algorithm.SetHistoryProvider(historyProvider.Object);
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.SetDateTime(time.AddMinutes(5));
var security = algorithm.AddEquity(Symbols.AAPL.Value);
security.SetMarketPrice(new TradeBar {
Value = 250
});
algorithm.SetFinishedWarmingUp();
var model = GetExecutionModel(language);
algorithm.SetExecution(model);
var changes = new SecurityChanges(new[] { security }, Enumerable.Empty <Security>());
Assert.DoesNotThrow(() => model.OnSecuritiesChanged(algorithm, changes));
}
public Mantle.Fix44.MarketDataRequest MarketDataRequest(string symbol, MarketDataType type)
{
var res = new Mantle.Fix44.MarketDataRequest();
res = new Mantle.Fix44.MarketDataRequest()
{
StandardHeader = StandardHeader()
};
var instrument = new Mantle.Fix44.Instrument();
instrument.Symbol.Value = symbol;
res.RelatedSym.Add(instrument);
// It's important for huobi that MDReqID has symbol as its prefix. Otherwise they'll
// silently ignore our request. This is undocumented.
res.MDReqID.Value = symbol + Guid.NewGuid().ToString();
// '0' - snapshot only
// '1' - snapshot followed by incremental refresh
res.SubscriptionRequestType.Value = '1';
if (_cfg.Extensions == Extensions.OkCoin && type == MarketDataType.Order)
{
// OkCoin sends incremental refresh for the first 20 rows only, which isn't enough for us.
// We have to periodically request the full snapshot instead.
res.SubscriptionRequestType.Value = '0';
}
res.MarketDepth.Value = 0;
res.MDUpdateType.Value = 1;
switch (type)
{
case MarketDataType.Order:
// Bids.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType()
{
Value = '0'
});
// Asks.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType()
{
Value = '1'
});
break;
case MarketDataType.Trade:
// Live trades.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType()
{
Value = '2'
});
break;
}
return(res);
}
public void AlwaysReturnTheLastData(MarketDataType marketDataType, int quantity, bool sameTime)
{
// Arrange
var securityCache = new SecurityCache();
var quotes = GenerateData(marketDataType, quantity, sameTime);
// Act
foreach (var quoteBar in quotes)
{
securityCache.AddData(quoteBar);
}
// Assert
Assert.True(securityCache.GetData().Equals(quotes.Last()));
}
public data_response Data(string exchange_code, string exchange_market, MarketDataType type)
{
var url = "data";
var typename = Enum.GetName(typeof(MarketDataType), type);
var pd = new List <KeyValuePair <string, string> >
{
new KeyValuePair <string, string>("exchange_code", exchange_code),
new KeyValuePair <string, string>("exchange_market", exchange_market),
new KeyValuePair <string, string>("type", typename)
};
var gr = HttpPostRequest(url, User_Agent, pd);
return(JsonConvert.DeserializeObject <data_response>(gr));
}
private MarketDataType GetMarketDataType()
{
MarketDataType marketDataType = (MarketDataType)0;
if (this.cbxTrades.Checked)
{
marketDataType = (MarketDataType)(int)(byte)(marketDataType | MarketDataType.Trade);
}
if (this.cbxQuotes.Checked)
{
marketDataType = (MarketDataType)(int)(byte)(marketDataType | MarketDataType.Quote);
}
if (this.cbxMarketDepth.Checked)
{
marketDataType = (MarketDataType)(int)(byte)(marketDataType | MarketDataType.MarketDepth);
}
return(marketDataType);
}
public void OnSecuritiesChangeDoesNotThrow(
Language language,
MarketDataType marketDataType)
{
var time = new DateTime(2018, 8, 2, 16, 0, 0);
Func <double, int, BaseData> func = (x, i) =>
{
var price = Convert.ToDecimal(x);
switch (marketDataType)
{
case MarketDataType.TradeBar:
return(new TradeBar(time.AddMinutes(i), Symbols.AAPL, price, price, price, price, 100m));
case MarketDataType.QuoteBar:
var bar = new Bar(price, price, price, price);
return(new QuoteBar(time.AddMinutes(i), Symbols.AAPL, bar, 10m, bar, 10m));
default:
throw new ArgumentException($"Invalid MarketDataType: {marketDataType}");
}
};
var algorithm = new QCAlgorithm();
algorithm.SetPandasConverter();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.SetDateTime(time.AddMinutes(5));
var security = algorithm.AddEquity(Symbols.AAPL.Value);
security.SetMarketPrice(new TradeBar {
Value = 250
});
algorithm.SetFinishedWarmingUp();
var model = GetExecutionModel(language);
algorithm.SetExecution(model);
var changes = new SecurityChanges(new[] { security }, Enumerable.Empty <Security>());
Assert.DoesNotThrow(() => model.OnSecuritiesChanged(algorithm, changes));
}
public void AlwaysReturnTheLastData(MarketDataType marketDataType, int quantity, bool sameTime)
{
// Arrange
var securityCache = new SecurityCache();
var quotes = GenerateData(marketDataType, quantity, sameTime);
// Act
foreach (var quoteBar in quotes)
{
quoteBar.Symbol = Symbols.SPY;
securityCache.AddData(quoteBar);
}
var lastData = securityCache.GetData();
if (marketDataType == MarketDataType.QuoteBar)
{
Assert.IsNull(lastData);
}
else
{
Assert.True(lastData.Equals(quotes.Last()));
}
}
private static void DoFixRequest(IMarketDataProvider provider, Instrument instrument, MarketDataType type, char subCh, string suffix)
{
FIXMarketDataRequest request = new FIXMarketDataRequest();
request.MDReqID = DataManager.GetRequestId();
request.SubscriptionRequestType = subCh;
switch (type)
{
case MarketDataType.Trade:
request.AddGroup(new FIXMDEntryTypesGroup('2'));
break;
case MarketDataType.Quote:
request.AddGroup(new FIXMDEntryTypesGroup('0'));
request.AddGroup(new FIXMDEntryTypesGroup('1'));
request.MarketDepth = 1; // Top of Book
break;
case MarketDataType.MarketDepth:
request.AddGroup(new FIXMDEntryTypesGroup('0'));
request.AddGroup(new FIXMDEntryTypesGroup('1'));
request.MarketDepth = 0; // Full Book
break;
}
if (!instrument.ContainsField(15))
instrument.Currency = Framework.Configuration.DefaultCurrency;
FIXRelatedSymGroup symGrp = new FIXRelatedSymGroup();
request.AddGroup(symGrp);
symGrp.Symbol = instrument.Symbol;
symGrp.SecurityType = instrument.SecurityType;
symGrp.SecurityExchange = instrument.SecurityExchange;
symGrp.Currency = instrument.Currency;
symGrp.SecurityID = instrument.SecurityID;
symGrp.SecurityIDSource = instrument.SecurityIDSource;
symGrp.MaturityDate = instrument.MaturityDate;
symGrp.MaturityMonthYear = instrument.MaturityMonthYear;
symGrp.StrikePrice = instrument.StrikePrice;
symGrp.PutOrCall = ((FIXInstrument)instrument).PutOrCall;
foreach (FIXSecurityAltIDGroup group2 in instrument.SecurityAltIDGroup)
symGrp.AddGroup(group2);
symGrp.SetStringValue(10001, suffix);
if (provider == ProviderManager.MarketDataSimulator)
{
provider.SendMarketDataRequest(request);
}
else
{
switch (subCh)
{
case MARKET_DATA_SUBSCRIBE:
bool flag1 = false;
lock (DataManager.providers)
{
Hashtable local_4 = DataManager.providers[provider] as Hashtable;
if (local_4 == null)
{
local_4 = new Hashtable();
DataManager.providers.Add(provider, local_4);
}
Hashtable local_5 = local_4[instrument] as Hashtable;
if (local_5 == null)
{
local_5 = new Hashtable();
local_4.Add(instrument, local_5);
}
RequestItem local_6 = local_5[type] as RequestItem;
if (local_6 == null)
{
local_6 = new RequestItem(request);
local_5.Add(type, local_6);
flag1 = true;
}
RequestItem temp_91 = local_6;
int temp_94 = temp_91.GetRequestId() + 1;
temp_91.SetRequestId(temp_94);
}
if (!flag1)
break;
provider.SendMarketDataRequest(request);
break;
case MARKET_DATA_UNSUBSCRIBE:
bool canSend = false;
string msg = null;
lock (DataManager.providers)
{
Hashtable local_10 = DataManager.providers[provider] as Hashtable;
if (local_10 != null)
{
Hashtable local_11 = local_10[instrument] as Hashtable;
if (local_11 != null)
{
RequestItem local_12 = local_11[type] as RequestItem;
if (local_12 != null)
{
RequestItem temp_152 = local_12;
int temp_155 = temp_152.GetRequestId() - 1;
temp_152.SetRequestId(temp_155);
if (local_12.GetRequestId() == 0)
{
local_11.Remove(type);
if (local_11.Count == 0)
{
local_10.Remove(instrument);
if (local_10.Count == 0)
DataManager.providers.Remove(provider);
}
canSend = true;
}
}
else
msg = "No this RequestItem";
}
else
msg = "No Request for this instrument";
}
else
msg = "No Request for this provider";
}
if (msg != null)
DataManager.LogRequestMessage(provider, instrument, type, msg);
if (!canSend)
break;
provider.SendMarketDataRequest(request);
break;
}
}
}
public static bool IsSubscribed(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType)
{
lock (DataManager.providers)
{
Hashtable local_0 = DataManager.providers[provider] as Hashtable;
if (local_0 == null)
return false;
Hashtable local_1 = local_0[instrument] as Hashtable;
if (local_1 == null)
return false;
else
return local_1.ContainsKey(mdType);
}
}
public static void CancelMarketData(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType, string suffix)
{
DataManager.DoRequest(provider, instrument, mdType, MARKET_DATA_UNSUBSCRIBE, suffix);
}
/// <summary>
/// Construct a MarketDataDescription item.
/// </summary>
/// <param name="ticker">The ticker symbol to use.</param>
/// <param name="dataType">The data type needed.</param>
/// <param name="input">Is this field used for input?</param>
/// <param name="predict">Is this field used for prediction?</param>
public MarketDataDescription(TickerSymbol ticker,
MarketDataType dataType, bool input,
bool predict)
: this(ticker, dataType, Type.PercentChange, null, input, predict)
{
}
/// <summary>
/// Get the specified data type.
/// </summary>
/// <param name="t">The type of data to get.</param>
/// <returns>The value.</returns>
public double GetData(MarketDataType t)
{
return(this.data[t]);
}
public void RequestMarketData(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType, string suffix)
{
if (this.useMessageLoop)
this.form.Invoke((Action)(() => instrument.RequestMarketData(provider, mdType, suffix)));
else
instrument.RequestMarketData(provider, mdType, suffix);
}
public virtual void marketDataType(int reqId, int marketDataType)
{
MarketDataType?.Invoke(this, new MarketDataTypeArgs(reqId, marketDataType));
}
public bool IsSubscribed(IMarketDataProvider provider, MarketDataType mdType)
{
return DataManager.IsSubscribed(provider, this, mdType);
}
// FIXME: seriesSuffix = ?
public void CancelMarketData(IMarketDataProvider provider, MarketDataType mdType)
{
this.CancelMarketData(provider, mdType, "ALL");
}
public void CancelMarketData(IMarketDataProvider provider, MarketDataType mdType, string seriesSuffix)
{
DataManager.CancelMarketData(provider, this, mdType, seriesSuffix);
}
// FIXME: seriesSuffix = ?
public void RequestMarketData(IMarketDataProvider provider, MarketDataType mdType)
{
this.RequestMarketData(provider, mdType, "ALL");
}
/// <summary>
/// Constructor
/// </summary>
/// <param name="requestId">The requestId.</param>
/// <param name="marketDataType">Real-time only or frozen.</param>
public MarketDataTypeEventArgs(int requestId, MarketDataType marketDataType)
{
_requestId = requestId;
_marketDataType = marketDataType;
}
public Task <DataResponse> DataAsync(string exchange_code, string exchange_market, MarketDataType type) => RequestAsync <DataResponse>(_data,
new KeyValuePair <string, string>[] {
KVP("exchange_code", exchange_code),
KVP("exchange_market", exchange_market),
KVP("type", Enum.GetName(typeof(MarketDataType), type))
});
private static void DoFixRequest(IMarketDataProvider provider, Instrument instrument, MarketDataType type, char subCh, string suffix)
{
FIXMarketDataRequest request = new FIXMarketDataRequest();
request.MDReqID = DataManager.GetRequestId();
request.SubscriptionRequestType = subCh;
switch (type)
{
case MarketDataType.Trade:
request.AddGroup(new FIXMDEntryTypesGroup('2'));
break;
case MarketDataType.Quote:
request.AddGroup(new FIXMDEntryTypesGroup('0'));
request.AddGroup(new FIXMDEntryTypesGroup('1'));
request.MarketDepth = 1; // Top of Book
break;
case MarketDataType.MarketDepth:
request.AddGroup(new FIXMDEntryTypesGroup('0'));
request.AddGroup(new FIXMDEntryTypesGroup('1'));
request.MarketDepth = 0; // Full Book
break;
}
if (!instrument.ContainsField(15))
{
instrument.Currency = Framework.Configuration.DefaultCurrency;
}
FIXRelatedSymGroup symGrp = new FIXRelatedSymGroup();
request.AddGroup(symGrp);
symGrp.Symbol = instrument.Symbol;
symGrp.SecurityType = instrument.SecurityType;
symGrp.SecurityExchange = instrument.SecurityExchange;
symGrp.Currency = instrument.Currency;
symGrp.SecurityID = instrument.SecurityID;
symGrp.SecurityIDSource = instrument.SecurityIDSource;
symGrp.MaturityDate = instrument.MaturityDate;
symGrp.MaturityMonthYear = instrument.MaturityMonthYear;
symGrp.StrikePrice = instrument.StrikePrice;
symGrp.PutOrCall = ((FIXInstrument)instrument).PutOrCall;
foreach (FIXSecurityAltIDGroup group2 in instrument.SecurityAltIDGroup)
{
symGrp.AddGroup(group2);
}
symGrp.SetStringValue(10001, suffix);
if (provider == ProviderManager.MarketDataSimulator)
{
provider.SendMarketDataRequest(request);
}
else
{
switch (subCh)
{
case MARKET_DATA_SUBSCRIBE:
bool flag1 = false;
lock (DataManager.providers)
{
Hashtable local_4 = DataManager.providers[provider] as Hashtable;
if (local_4 == null)
{
local_4 = new Hashtable();
DataManager.providers.Add(provider, local_4);
}
Hashtable local_5 = local_4[instrument] as Hashtable;
if (local_5 == null)
{
local_5 = new Hashtable();
local_4.Add(instrument, local_5);
}
RequestItem local_6 = local_5[type] as RequestItem;
if (local_6 == null)
{
local_6 = new RequestItem(request);
local_5.Add(type, local_6);
flag1 = true;
}
RequestItem temp_91 = local_6;
int temp_94 = temp_91.GetRequestId() + 1;
temp_91.SetRequestId(temp_94);
}
if (!flag1)
{
break;
}
provider.SendMarketDataRequest(request);
break;
case MARKET_DATA_UNSUBSCRIBE:
bool canSend = false;
string msg = null;
lock (DataManager.providers)
{
Hashtable local_10 = DataManager.providers[provider] as Hashtable;
if (local_10 != null)
{
Hashtable local_11 = local_10[instrument] as Hashtable;
if (local_11 != null)
{
RequestItem local_12 = local_11[type] as RequestItem;
if (local_12 != null)
{
RequestItem temp_152 = local_12;
int temp_155 = temp_152.GetRequestId() - 1;
temp_152.SetRequestId(temp_155);
if (local_12.GetRequestId() == 0)
{
local_11.Remove(type);
if (local_11.Count == 0)
{
local_10.Remove(instrument);
if (local_10.Count == 0)
{
DataManager.providers.Remove(provider);
}
}
canSend = true;
}
}
else
{
msg = "No this RequestItem";
}
}
else
{
msg = "No Request for this instrument";
}
}
else
{
msg = "No Request for this provider";
}
}
if (msg != null)
{
DataManager.LogRequestMessage(provider, instrument, type, msg);
}
if (!canSend)
{
break;
}
provider.SendMarketDataRequest(request);
break;
}
}
}
private static void DoRequest(IMarketDataProvider provider, Instrument instrument, MarketDataType type, char subCh, string suffix)
{
if ((type & MarketDataType.Trade) == MarketDataType.Trade)
{
DataManager.DoFixRequest(provider, instrument, MarketDataType.Trade, subCh, suffix);
}
if ((type & MarketDataType.Quote) == MarketDataType.Quote)
{
DataManager.DoFixRequest(provider, instrument, MarketDataType.Quote, subCh, suffix);
}
if ((type & MarketDataType.MarketDepth) != MarketDataType.MarketDepth)
{
return;
}
DataManager.DoFixRequest(provider, instrument, MarketDataType.MarketDepth, subCh, suffix);
}
/// <summary>
/// Construct a MarketDataDescription item.
/// </summary>
/// <param name="ticker">The ticker symbol to use.</param>
/// <param name="dataType">The data type needed.</param>
/// <param name="input">Is this field used for input?</param>
/// <param name="predict">Is this field used for prediction?</param>
public MarketDataDescription(TickerSymbol ticker,
MarketDataType dataType, bool input,
bool predict)
: this(ticker, dataType, Type.PERCENT_CHANGE, null, input, predict)
{
}
/// <summary>
/// Get the specified data type.
/// </summary>
/// <param name="t">The type of data to get.</param>
/// <returns>The value.</returns>
public double GetData(MarketDataType t)
{
return _data[t];
}
public void CancelMarketData(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType)
{
if (this.useMessageLoop)
this.form.Invoke((Action)(() => instrument.CancelMarketData(provider, mdType)));
else
instrument.CancelMarketData(provider, mdType);
}
public void marketDataType(int reqId, int marketDataType)
{
MarketDataType?.Invoke(new MarketDataTypeMessage(reqId, marketDataType));
}
public Mantle.Fix44.MarketDataRequest MarketDataRequest(string symbol, MarketDataType type)
{
var res = new Mantle.Fix44.MarketDataRequest();
res = new Mantle.Fix44.MarketDataRequest() { StandardHeader = StandardHeader() };
var instrument = new Mantle.Fix44.Instrument();
instrument.Symbol.Value = symbol;
res.RelatedSym.Add(instrument);
// It's important for huobi that MDReqID has symbol as its prefix. Otherwise they'll
// silently ignore our request. This is undocumented.
res.MDReqID.Value = symbol + Guid.NewGuid().ToString();
// '0' - snapshot only
// '1' - snapshot followed by incremental refresh
res.SubscriptionRequestType.Value = '1';
if (_cfg.Extensions == Extensions.OkCoin && type == MarketDataType.Order)
{
// OkCoin sends incremental refresh for the first 20 rows only, which isn't enough for us.
// We have to periodically request the full snapshot instead.
res.SubscriptionRequestType.Value = '0';
}
res.MarketDepth.Value = 0;
res.MDUpdateType.Value = 1;
switch (type)
{
case MarketDataType.Order:
// Bids.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType() { Value = '0' });
// Asks.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType() { Value = '1' });
break;
case MarketDataType.Trade:
// Live trades.
res.MDEntryTypes.Add(new Mantle.Fix44.MDEntryType() { Value = '2' });
break;
}
return res;
}
/// <summary>
/// Construct a MarketDataDescription item.
/// </summary>
/// <param name="ticker">The ticker symbol to use.</param>
/// <param name="dataType">The data type needed.</param>
/// <param name="input">Is this field used for input?</param>
/// <param name="predict">Is this field used for prediction?</param>
public MarketDataDescription(TickerSymbol ticker,
MarketDataType dataType, bool input,
bool predict)
: this(ticker, dataType, Type.PercentChange, null, input, predict)
{
}
/// <summary>
/// Set the specified type of data.
/// </summary>
/// <param name="t">The type of data to set.</param>
/// <param name="d">The value to set.</param>
public void SetData(MarketDataType t, double d)
{
_data[t] = d;
}
/// <summary>
/// Construct a MarketDataDescription item.
/// </summary>
/// <param name="ticker">The ticker symbol to use.</param>
/// <param name="dataType">The data type needed.</param>
/// <param name="input">Is this field used for input?</param>
/// <param name="predict">Is this field used for prediction?</param>
public MarketDataDescription(TickerSymbol ticker,
MarketDataType dataType, bool input,
bool predict)
: this(ticker, dataType, Type.PERCENT_CHANGE, null, input, predict)
{
}
private IReadOnlyCollection <BaseData> GenerateData(MarketDataType type, int quantity, bool sameTime, DateTime?firstTimeStamp = null)
{
var time = firstTimeStamp ?? DateTime.Now;
var outputTradeBars = new List <BaseData>();
for (var i = 0; i < quantity; i++)
{
var rnd = _rng.Next(minValue: 50, maxValue: 150);
var ask = new Bar {
Close = 1m * rnd, High = 1.2m * rnd, Low = 0.9m * rnd, Open = 1.1m * rnd
};
var bid = new Bar {
Close = 0.9m * rnd, High = 1.1m * rnd, Low = 0.8m * rnd, Open = 1m * rnd
};
BaseData data = new TradeBar();
switch (type)
{
case MarketDataType.TradeBar:
data = new TradeBar
{
Close = (ask.Close + bid.Close) / 2,
Open = (ask.Open + bid.Open) / 2,
High = (ask.High + bid.High) / 2,
Low = (ask.Low + bid.Low) / 2,
Volume = 1,
DataType = type
};
break;
case MarketDataType.Tick:
data = new Tick
{
AskPrice = ask.Close,
BidPrice = bid.Close,
AskSize = 1,
BidSize = 1
};
break;
case MarketDataType.QuoteBar:
data = new QuoteBar
{
Ask = ask,
Bid = bid,
LastAskSize = 1,
LastBidSize = 1,
DataType = type,
Value = (ask.Close + bid.Close) / 2
};
break;
case MarketDataType.Auxiliary:
case MarketDataType.OptionChain:
case MarketDataType.FuturesChain:
case MarketDataType.Base:
throw new NotImplementedException("Cases not tested yet");
}
data.Time = time;
data.EndTime = time.AddSeconds(value: 1);
time = sameTime ? time : time.AddSeconds(value: 1);
outputTradeBars.Add(data);
}
return(outputTradeBars);
}
private void CancelMarketData(Instrument[] array, MarketDataType mdType)
{
ThreadPool.QueueUserWorkItem((WaitCallback) (objects =>
{
foreach (Instrument item_0 in (Instrument[]) objects)
Global.ProviderHelper.CancelMarketData(this.provider, item_0, mdType);
}), array);
}
void IEWrapper.MarketDataType(int reqId, int marketDataType)
{
MarketDataType?.Invoke(new MarketDataTypeMessage(reqId, marketDataType));
}
public void SetMarketDataUsingKrxData(InPacket iPacket, MarketDataType type)
{
switch (type)
{
case MarketDataType.KOSPI_FUTURE:
{
SetKospiFutureDataUsingKrxData(iPacket);
break;
}
case MarketDataType.CALL:
{
SetOptionDataUsingKrxData(iPacket);
break;
}
case MarketDataType.PUT:
{
SetOptionDataUsingKrxData(iPacket);
break;
}
case MarketDataType.ELW:
{
SetElwDataUsingKrxData(iPacket);
break;
}
case MarketDataType.BOND:
{
SetBondDataUsingKrxData(iPacket);
break;
}
case MarketDataType.STOCK:
{
SetStockDataUsingKrxData(iPacket);
break;
}
case MarketDataType.USD_FUTURE:
{
SetUsdFutureDataUsingInfomaxData(iPacket);
break;
}
default:
{
logger.Warn("Invalid type.");
break;
}
}
}
public static void CancelMarketData(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType)
{
DataManager.CancelMarketData(provider, instrument, mdType, SERIES_SEPARATOR + "UNSUBSCRIBE");
}
public void SetMarketDataUsingYulchonData(InPacket iPacket, MarketDataType type)
{
++this.PacketCount;
switch (type)
{
case MarketDataType.KOSPI_FUTURE:
{
SetIndexFutureDataUsingYulchonData(iPacket);
break;
}
case MarketDataType.CALL:
{
SetIndexOptionDataUsingYulchonData(iPacket);
break;
}
case MarketDataType.PUT:
{
SetIndexOptionDataUsingYulchonData(iPacket);
break;
}
case MarketDataType.ELW:
{
SetIndexElwDataUsingYulchonData(iPacket);
break;
}
default:
{
HandleDefaultData(iPacket);
break;
}
}
}
private static void DoRequest(IMarketDataProvider provider, Instrument instrument, MarketDataType type, char subCh, string suffix)
{
if ((type & MarketDataType.Trade) == MarketDataType.Trade)
DataManager.DoFixRequest(provider, instrument, MarketDataType.Trade, subCh, suffix);
if ((type & MarketDataType.Quote) == MarketDataType.Quote)
DataManager.DoFixRequest(provider, instrument, MarketDataType.Quote, subCh, suffix);
if ((type & MarketDataType.MarketDepth) != MarketDataType.MarketDepth)
return;
DataManager.DoFixRequest(provider, instrument, MarketDataType.MarketDepth, subCh, suffix);
}
public MarketDataDescription(TickerSymbol ticker, MarketDataType dataType, TemporalDataDescription.Type type, bool input, bool predict)
: this(ticker, dataType, type, null, input, predict)
{
}
private static void LogRequestMessage(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType, string obj3)
{
if (Trace.IsLevelEnabled(TraceLevel.Warning))
{
Trace.WriteLine("" + Environment.NewLine + "" + provider.Name + Environment.NewLine + "Symbol" + instrument.Symbol + Environment.NewLine + "Type:" + mdType.ToString() + Environment.NewLine + "" + obj3);
}
}
public MarketDataDescription(TickerSymbol ticker, MarketDataType dataType, TemporalDataDescription.Type type, IActivationFunction activationFunction, bool input, bool predict)
: base(activationFunction, type, input, predict)
{
this._x96e4701dec47675e = ticker;
this._xd2f3d36b96df4542 = dataType;
}
public void SetMarketDataType(MarketDataType _marketDataType)
{
clientSocket.reqMarketDataType((int)_marketDataType);
}
private static void LogRequestMessage(IMarketDataProvider provider, Instrument instrument, MarketDataType mdType, string obj3)
{
if (Trace.IsLevelEnabled(TraceLevel.Warning))
{
Trace.WriteLine("" + Environment.NewLine + "" + provider.Name + Environment.NewLine + "Symbol" + instrument.Symbol + Environment.NewLine + "Type:" + mdType.ToString() + Environment.NewLine + "" + obj3);
}
}
void EWrapper.marketDataType(int reqId, int marketDataType)
{
MarketDataType?.Invoke(reqId, marketDataType);
}
public void HandleMarketDataTypeMessage(MarketDataTypeMessage dataMessage)
{
DataGridView grid = (DataGridView)uiControl;
grid[MARKET_DATA_TYPE_INDEX, GetIndex(dataMessage.RequestId)].Value = MarketDataType.get(dataMessage.MarketDataType).Name;
}
