/// <summary>
/// Get the contract for the historical data request for a specified start date
/// </summary>
/// <param name="startDate"></param>
///
/// <returns></returns>
private Contract GetCurrentContract(DateTime startDate)
{
Contract contract;
if (TickerData.SymbolParts.IsContinuous)
{
string exStr = startDate.ToString("yyyyMMdd");
int i = 0;
for (; i < TickerData.contractDetailsList.Count - 1; i++)
{
if (TickerData.contractDetailsList[i].Contract.LastTradeDateOrContractMonth.CompareTo(exStr) >= 0)
{
break;
}
}
contract = TickerData.contractDetailsList[i].Contract;
}
else
{
contract = TickerData.ContractDetails.Contract;
}
contract.IncludeExpired = IBClientHelper.IsContractExpired(contract);
// TODO: Do we need it? Does not hurt...
if (string.IsNullOrEmpty(contract.LocalSymbol))
{
LogAndMessage.Log(MessageType.Trace, "No valid security for continuous contract.");
return(null);
}
return(contract);
}
// callback (from controller) to indicate no more contracts
private void SearchContractReady()
{
try
{
// limit result list
if (securityDatas.Count > maxDisplayedContract)
{
securityDatas.RemoveRange(maxDisplayedContract, securityDatas.Count - maxDisplayedContract);
}
// InvokeRequired did not always work! May be called back on UI thread as well.
// However, there can be a lengthy operation to do it on background thread.
sorting = true;
if (securityDatas.Count > 1)
{
securityDatas.Sort(new SecurityDataComparer(SecurityDataField.LocalSymbol, SortOrder.Ascending));
}
// if window is not shown, we cannot invoke a method through window message loop
if (IsHandleCreated)
{
BeginInvoke(new MethodInvoker(ShowContracts));
}
}
catch (Exception ex)
{
LogAndMessage.Log(MessageType.Error, "Search form could not collect contracts: " + ex);
MessageBox.Show("Error while retrieving contracts:" + ex, "Search form error", MessageBoxButtons.OK, MessageBoxIcon.Stop);
}
}
internal void HeadTimestampReceived(string headTimestamp)
{
DateTime date;
bool result = DateTime.TryParseExact(headTimestamp, "yyyyMMdd HH:mm:ss", CultureInfo.InvariantCulture, DateTimeStyles.None, out date);
lock (TickerData) // event handling
{
if (result)
{
TickerData.EarliestDataPoint = date;
TickerData.HeadTimestampStatus = HeadTimestampStatus.Ok;
}
else
{
TickerData.EarliestDataPoint = DateTime.MinValue;
TickerData.HeadTimestampStatus = HeadTimestampStatus.Failed;
}
}
if (result)
{
LogAndMessage.Log(TickerData, MessageType.Info, "Earliest data point value is updated. " + ToString(true, LogAndMessage.VerboseLog));
}
else
{
LogAndMessage.Log(TickerData, MessageType.Error, "Invalid earliest data point value received: " + headTimestamp + " " + ToString(true, LogAndMessage.VerboseLog));
}
}
private void buttonAdd_Click(object sender, EventArgs e)
{
if (dataGridViewResult.SelectedRows.Count == 0)
{
return;
}
try
{
Type appType = Type.GetTypeFromProgID("Broker.Application");
object abApp = Activator.CreateInstance(appType);
object abStocks = appType.InvokeMember("Stocks", System.Reflection.BindingFlags.GetProperty, null, abApp, null);
Type stocksType = abStocks.GetType();
for (int i = 0; i < dataGridViewResult.SelectedRows.Count; i++)
{
SecurityData sd = (SecurityData)dataGridViewResult.SelectedRows[i].DataBoundItem;;
SymbolParts ibTicker = new SymbolParts(sd.LocalSymbol, sd.Exchange, sd.SecType, sd.Currency, "");
object stock = stocksType.InvokeMember("Add", System.Reflection.BindingFlags.InvokeMethod, null,
abStocks, new object[] { ibTicker.Ticker });
if (stock != null)
{
Type stockType = stock.GetType();
stockType.InvokeMember("Alias", System.Reflection.BindingFlags.SetProperty, null, stock,
new object[] { sd.Symbol });
stockType.InvokeMember("Currency", System.Reflection.BindingFlags.SetProperty, null, stock,
new object[] { sd.Currency });
stockType.InvokeMember("FullName", System.Reflection.BindingFlags.SetProperty, null, stock,
new object[] { sd.LongName });
stockType.InvokeMember("PointValue", System.Reflection.BindingFlags.SetProperty, null, stock,
new object[] { sd.PriceMagnifier });
stockType.InvokeMember("TickSize", System.Reflection.BindingFlags.SetProperty, null, stock,
new object[] { sd.MinTick });
stockType.InvokeMember("WebID", System.Reflection.BindingFlags.SetProperty, null, stock,
new object[] { sd.ContractId });
}
if (checkBoxAddContinuous.Checked && sd.SecType.ToUpper() == "FUT")
{
string localNamePart = sd.LocalSymbol.Substring(0, sd.LocalSymbol.Length - 2);
SymbolParts contTicker = new SymbolParts(localNamePart + "~/" + sd.Symbol, sd.Exchange, sd.SecType, sd.Currency, "");
stock = stocksType.InvokeMember("Add", System.Reflection.BindingFlags.InvokeMethod, null,
abStocks, new object[] { contTicker.Ticker });
}
}
}
catch (Exception ex)
{
LogAndMessage.Log(MessageType.Error, "Search form could not add tickers: " + ex);
MessageBox.Show("Error while adding tickers: " + ex, "Search form error", MessageBoxButtons.OK, MessageBoxIcon.Stop);
}
}
private void mUpdateSymbolInfo_Click(object sender, EventArgs e)
{
if (currentSI == null)
{
return;
}
LogAndMessage.Log(MessageType.Info, currentTicker + ": Symbol info manually updated.");
controller.UpdateSymbolInfo(currentTicker);
}
private void Listener_MessageReceived(object sender, XDMessageEventArgs e)
{
if (e.DataGram.Message == "reconnect")
{
LogAndMessage.Log(MessageType.Info, "Reconencting...");
//manuallyDisconnected = true;
//if (controller.IsIbConnected)
controller.Disconnect();
controller.Connect(false);
}
}
private void SaveQuote(Quotation quote)
{
DateTime quoteDate = (DateTime)quote.DateTime;
// get the trading day
//DateTime tradingDay = DateTime.MinValue;
//tradingDay = tickerData.LiquidHours.GetTradeDate(quoteDate);
//if (!IBDataSource.RthOnly && tradingDay == DateTime.MinValue)
//tradingDay = tickerData.TradingDays.GetTradeDate(quoteDate);
// if no trading day found and RTH only
//if (tradingDay == DateTime.MinValue)
// if (IBDataSource.RthOnly)
// return;
// else
// tradingDay = DateTime.Now.Date;
DateTime tradingDay = tickerData.TradingDays.GetTradeDate(quoteDate);
if (tradingDay == DateTime.MinValue)
{
tradingDay = DateTime.Now.Date;
}
try
{
lock (tickerData.Quotes)
{
// Merge quote into last intraday quote in QuotationList
if (tickerData.Quotes.Periodicity != Periodicity.EndOfDay)
{
tickerData.Quotes.Merge(quote);
}
// Merge quote into last EOD quote in QuotationList
if (tickerData.Quotes.Periodicity == Periodicity.EndOfDay || FTDataSource.AllowMixedEODIntra)
{
tickerData.Quotes.MergeEod(quote, (AmiDate)tradingDay);
}
}
}
catch (Exception ex)
{
LogAndMessage.Log(tickerData, MessageType.Error, "Error while merging received quote: " + ex);
}
}
internal virtual bool ProcessQueuedRequests(FTController ibController, bool allowNewRequest, bool writeLog)
{
int cntAtStart;
int cntAtEnd;
bool savedAllowNewRequest = allowNewRequest;
lock (requestList)
{
cntAtStart = requestList.Count;
for (int i = cntAtStart - 1; i >= 0; i--)
{
noTimeOuts &= requestList.Values[i].RequestTimeouts == 0;
if (requestList.Values[i].IsFinished)
{
requestList.RemoveAt(i);
}
}
cntAtEnd = requestList.Count;
}
// we must limit the open requests to 5
for (int i = 0; i < cntAtEnd && i < 5; i++)
{
allowNewRequest &= requestList.Values[i].Process(ibController, allowNewRequest);
}
if (cntAtEnd == 0)
{
noTimeOuts = true;
}
#if DEBUG
if (writeLog)
{
LogAndMessage.Log(MessageType.Trace, queueName + ": Allow new request: " + (savedAllowNewRequest ? "1" : "0") + "/" + (allowNewRequest ? "1" : "0") + " Requests: " + cntAtStart.ToString("#0") + "/" + cntAtEnd.ToString("#0"));
}
#endif
return(allowNewRequest);
}
/// <summary>
/// Start processing the list of contract details in the event of ContractDetailsEnd
/// </summary>
internal void ContractDetailsReceived(List <ContractDetails> list)
{
bool result = false;
lock (TickerData) // event handling
{
result = ProcessContractDetailsList(list);
TickerData.ContractStatus = result ? ContractStatus.Ok : ContractStatus.Failed;
}
if (result)
{
LogAndMessage.Log(TickerData, MessageType.Info, "Contract is updated. " + ToString(true, LogAndMessage.VerboseLog));
}
else
{
LogAndMessage.Log(TickerData, MessageType.Error, "Failed to update contract. " + ToString(true, LogAndMessage.VerboseLog));
}
}
public static FTConfiguration GetConfigObject(string config)
{
// if no config string, set default values
if (string.IsNullOrEmpty(config) || config.Trim().Length == 0)
{
return(GetDefaultConfigObject());
}
try
{
XmlSerializer serializer = new XmlSerializer(typeof(FTConfiguration));
Stream stream = new MemoryStream(ASCIIEncoding.Default.GetBytes(config));
return((FTConfiguration)serializer.Deserialize(stream));
}
catch (Exception ex)
{
LogAndMessage.Log(MessageType.Error, "Configuration error:" + ex);
return(GetDefaultConfigObject());
}
}
internal override bool ProcessQueuedRequests(FTController ibController, bool allowNewRequest, bool writeLog)
{
int cntAtStart;
int cntAtEnd;
bool savedAllowNewRequest = allowNewRequest;
//
// we must limit the open requests to 1
//
lock (requestList)
{
cntAtStart = requestList.Count;
if (cntAtStart > 0)
{
if (requestList.Values[0].IsFinished)
{
requestList.RemoveAt(0);
}
}
cntAtEnd = requestList.Count;
}
if (cntAtEnd > 0)
{
allowNewRequest &= requestList.Values[0].Process(ibController, allowNewRequest);
}
#if DEBUG
if (writeLog)
{
LogAndMessage.Log(MessageType.Trace, queueName + ": Allow new request: " + (savedAllowNewRequest ? "1" : "0") + "/" + (allowNewRequest ? "1" : "0") + " Requests: " + cntAtStart.ToString("#0") + "/" + cntAtEnd.ToString("#0"));
}
#endif
return(allowNewRequest);
}
private void mFindIBContract_Click(object sender, EventArgs e)
{
try
{
if (searchForm == null)
{
searchForm = new SearchForm(controller);
}
searchForm.ShowDialog();
PostMessage(MainWindowHandle, 0x001C, new IntPtr(1), new IntPtr(0)); // WM_ACTIVATEAPP = 0x001C
PostMessage(MainWindowHandle, 0x0086, new IntPtr(1), new IntPtr(0)); // WM_NCACTIVATE = 0x0086
PostMessage(MainWindowHandle, 0x0006, new IntPtr(1), new IntPtr(0)); // WM_ACTIVATE = 0x0006
PostMessage(MainWindowHandle, 0x36E, new IntPtr(1), new IntPtr(0)); // WM_ACTIVATETOPLEVEL = 0x36E
PostMessage(MainWindowHandle, 0x2862, new IntPtr(0xb6d), new IntPtr(0)); //WM_USER + 9314
PostMessage(MainWindowHandle, 0x0111, new IntPtr(0xb6d), new IntPtr(0)); //WM_COMMAND = 0x0111;
}
catch (Exception ex)
{
LogAndMessage.Log(MessageType.Error, "Error while opening Search window:" + ex);
}
}
private void mBackfill_Click(object sender, EventArgs e)
{
if (firstGetQuotesExCall) // db periodicity not known yet
{
return;
}
if (string.IsNullOrEmpty(currentTicker)) // no selected ticker
{
return;
}
DateTime refreshStartDate = GetRefreshStartDate(sender);
refreshStartDate = IBClientHelper.GetAdjustedStartDate(refreshStartDate, Periodicity, DateTime.MinValue, false);
LogAndMessage.Log(MessageType.Info, currentTicker + ": Manual backfill from " + refreshStartDate.ToShortDateString() + ".");
StringCollection tickerToBackfill = new StringCollection();
tickerToBackfill.Add(currentTicker);
StartBackfills(refreshStartDate, tickerToBackfill);
}
internal override bool Process(FTController ibController, bool allowNewRequest)
{
// if no contract received yet
if (TickerData.ContractStatus == ContractStatus.SendRequest || TickerData.ContractStatus == ContractStatus.WaitForResponse)
{
return(allowNewRequest);
}
// if GetQuotesEx was not yet called (stockInfo is not ready yet), symbol data cannot be updated
if (TickerData.StockInfo == null)
{
IsFinished = true;
return(allowNewRequest);
}
// if not waiting for response
switch (TickerData.SymbolStatus)
{
// if marked to update AB symbol's data
case SymbolStatus.WaitForContractUpdate:
// if no contract found
if (TickerData.ContractStatus != ContractStatus.Ok)
{
LogAndMessage.LogAndQueue(TickerData, MessageType.Error, "Getting contract info failed, AmiBroker symbol data cannot be updated.");
TickerData.SymbolStatus = SymbolStatus.Failed;
goto case SymbolStatus.Failed;
}
// plugin may call it when StockInfo is not available (E.g. start watchlist backfill)
if (TickerData.StockInfo == null)
{
LogAndMessage.Log(TickerData, MessageType.Trace, "StockInfo data is not available. AmiBroker symbol data is not updated.");
return(false);
}
try
{
// update AB's information
TickerData.StockInfo.AliasName = TickerData.ContractDetails.Contract.LocalSymbol + '/' + TickerData.ContractDetails.Contract.Symbol;
TickerData.StockInfo.FullName = TickerData.ContractDetails.LongName;
TickerData.StockInfo.PointValue = TickerData.ContractDetails.PriceMagnifier;
TickerData.StockInfo.TickSize = (float)TickerData.ContractDetails.MinTick;
TickerData.StockInfo.WebId = TickerData.ContractDetails.Contract.ConId.ToString();
TickerData.StockInfo.Currency = TickerData.ContractDetails.Contract.Currency;
TickerData.SymbolStatus = SymbolStatus.Ok;
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "AmiBroker symbol data is updated.");
}
catch (Exception ex)
{
TickerData.SymbolStatus = SymbolStatus.Failed;
LogAndMessage.LogAndQueue(TickerData, MessageType.Error, "AmiBroker symbol data update failed:" + ex);
return(false);
}
goto case SymbolStatus.Ok;
// if new ticker
case SymbolStatus.Offline:
// AB symbol's data are updated
case SymbolStatus.Ok:
// AB symbol's data NOT updated, e.g: no contract found
case SymbolStatus.Failed:
IsFinished = true;
return(allowNewRequest);
default:
TickerData.SymbolStatus = SymbolStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
}
/// <summary>
/// Timer event handler
/// </summary>
/// <param name="sender"></param>
/// <remarks>
/// If connection is broken, it tries to reconnect in every 30 secs.
/// If it reconnects, it starts a backfill of all tickers
/// If status is ready and autorefresh is configured, it starts the scheduled refresh
/// </remarks>
private void timer_Tick(object sender)
{
if (controller == null)
{
return;
}
// check and indicate thread entry
if (Interlocked.CompareExchange(ref inTimerTick, 1, 0) != 0)
{
return;
}
IBPluginState currPluginState = IBPluginState.Disconnected;
try
{
currPluginState = controller.GetIBPluginState();
if (currPluginState != prevPluginState)
{
LogAndMessage.Log(MessageType.Info, "Plugin status: " + currPluginState);
}
// if no connection between the data plugin and the TWS client
if (currPluginState == IBPluginState.Disconnected)
{
// if not manually disconnected, try to reconnect
if (manuallyDisconnected == false)
{
// if retry period has elapsed
if (connectionRetryTime < DateTime.Now)
{
// if connection has just got broken (prevent repeated log entries)
if (prevPluginState != IBPluginState.Disconnected)
{
LogAndMessage.LogAndQueue(MessageType.Warning, "Data plugin has been disconnected from TWS. Trying to reconnect in every " + ConnectionRetryInterval + " sec.");
}
// set new retry time and increase interval up to 30 secs
connectionRetryTime = DateTime.Now.AddSeconds(ConnectionRetryInterval);
// try to reconnect
controller.Connect(true);
}
}
}
// data plugin is connected to TWS
else
{
// reset connection retrying
connectionRetryTime = DateTime.MinValue;
// if an existing connection was disconnected
if (prevPluginState == IBPluginState.Disconnected && !firstConnection || controller.RestartStreaming)
{
LogAndMessage.LogAndQueue(MessageType.Warning, "TWS has been reconnected. Starting database refresh.");
// request refresh of all tickers, restart subscriptions, etc.
controller.RestartAfterReconnect(lastUptodateTime);
return;
}
// clear flag of first connection
firstConnection = false;
// check if it's time to run AutoRefresh
if (prevPluginState == IBPluginState.Ready) // Plugin works with up to date data
{
lastUptodateTime = DateTime.Now;
if (IBConfiguration != null && IBConfiguration.AutoRefreshEnabled && // Auto refresh is enabled
nextAutoRefreshTime < DateTime.Now) // The time of auto refresh has passed
{
DateTime refreshStartDate = DateTime.Now.Date.AddDays(-IBConfiguration.AutoRefreshDays);
LogAndMessage.LogAndQueue(MessageType.Warning, "Starting automatic database refresh (" + refreshStartDate.ToShortDateString() + ").");
controller.RefreshAllUsed(refreshStartDate);
CalcNextAutoRefreshTime();
}
}
}
}
catch (Exception ex)
{
LogAndMessage.Log(MessageType.Error, "Error in data source timer event handler: " + ex);
}
finally
{
// update plugin state
prevPluginState = currPluginState;
// indicate thread exit
Interlocked.Exchange(ref inTimerTick, 0);
}
}
/// <summary>
/// Event handler called when all bar are collected for a request
/// </summary>
/// <param name="bars"></param>
internal void QuoteReceived(List <Bar> bars)
{
lock (TickerData) // event handling
{
foreach (Bar bar in bars)
{
DateTime date;
if (bar.Time.Length == 8)
{
date = DateTime.ParseExact(bar.Time, "yyyyMMdd", CultureInfo.InvariantCulture);
}
else
{
date = DateTime.ParseExact(bar.Time, "yyyyMMdd HH:mm:ss", CultureInfo.InvariantCulture);
}
if (downloadStart.CompareTo(date) <= 0) // if newer data (may overlap w/ prev request)
{
Quotation quoteData = new Quotation();
quoteData.DateTime = (AmiDate)date;
quoteData.Open = (float)bar.Open;
quoteData.High = (float)bar.High;
quoteData.Low = (float)bar.Low;
quoteData.Price = (float)bar.Close;
quoteData.Volume = bar.Volume;
if (TickerData.SymbolParts.IsContinuous)
{
if (FTDataSource.Periodicity == Periodicity.EndOfDay || TickerData.QuoteDataStatus == QuotationStatus.DownloadingEod)
{
TickerData.ContinuousQuotesDictionary[downloadContract.LocalSymbol].MergeEod(quoteData, quoteData.DateTime);
}
else
{
TickerData.ContinuousQuotesDictionary[downloadContract.LocalSymbol].Merge(quoteData);
}
}
else
{
lock (TickerData.Quotes)
{ // store in the list directly only for non contiguous contracts
if (FTDataSource.Periodicity == Periodicity.EndOfDay || TickerData.QuoteDataStatus == QuotationStatus.DownloadingEod)
{
TickerData.Quotes.MergeEod(quoteData, quoteData.DateTime);
}
else
{
TickerData.Quotes.Merge(quoteData);
}
}
}
}
}
// it is finished with succes
WaitingForResponse = false;
LogAndMessage.Log(TickerData, MessageType.Info, "Received " + bars.Count + " bars. " + ToString(true, LogAndMessage.VerboseLog));
}
}
private void mBackfillAll_Click(object sender, EventArgs e)
{
if (firstGetQuotesExCall) // db periodicity not known yet
{
return;
}
if (string.IsNullOrEmpty(currentTicker)) // no selected ticker
{
return;
}
DateTime refreshStartDate = GetRefreshStartDate(sender);
refreshStartDate = IBClientHelper.GetAdjustedStartDate(refreshStartDate, Periodicity, DateTime.MinValue, false);
//
// collecting all tickers
//
int stockCount = 0;
StringCollection tickersInDatabase = new StringCollection();
LogAndMessage.Log(MessageType.Info, "Manual backfill of all tickers from " + refreshStartDate.ToShortDateString() + ".");
try
{
Type abAppType = Type.GetTypeFromProgID("Broker.Application");
object abApp = Activator.CreateInstance(abAppType);
// access AB COM interface to get current ticker
if (abAppType != null && abApp != null)
{
object abStocks = abAppType.InvokeMember("Stocks", BindingFlags.GetProperty, null, abApp, null);
Type abStocksType = abStocks.GetType();
// get the number of stocks in the db
stockCount = (int)abStocksType.InvokeMember("Count", BindingFlags.GetProperty, null, abStocks, null);
if (stockCount > 0)
{
Type abStockType = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { 0 }).GetType();
for (int i = 0; i < stockCount; i++)
{
object abStock = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { i });
if (abStock != null)
{
string ticker = (string)abStockType.InvokeMember("Ticker", BindingFlags.GetProperty, null, abStock, null);
if (!tickersInDatabase.Contains(ticker))
{
tickersInDatabase.Add(ticker);
}
}
}
}
else
{
LogAndMessage.Log(MessageType.Trace, "Manual backfill of all symbols failed. Database has no symbols.");
}
}
else
{
LogAndMessage.Log(MessageType.Warning, "Manual backfill of all symbols failed. ActiveX interface error.");
}
}
catch (Exception ex)
{
LogAndMessage.LogAndQueue(MessageType.Error, "Manual backfill of all symbols failed. Exception: " + ex);
}
StartBackfills(refreshStartDate, tickersInDatabase);
}
private void mCancel_Click(object sender, EventArgs e)
{
LogAndMessage.Log(MessageType.Info, "All backfill operations are manually cancelled.");
controller.CancelAllRefreshes();
}
internal void RegisterHstPacingViolation()
{
ibHstThrottlingEndTime = DateTime.Now.AddSeconds(30);
LogAndMessage.Log(MessageType.Warning, "Throttling historical data requests until " + ibHstThrottlingEndTime.ToShortTimeString() + ".");
}
private void mBackfillWL_Click(object sender, EventArgs e)
{
if (firstGetQuotesExCall) // db periodicity not known yet
{
return;
}
if (string.IsNullOrEmpty(currentTicker)) // no selected ticker
{
return;
}
DateTime refreshStartDate = GetRefreshStartDate(sender);
refreshStartDate = IBClientHelper.GetAdjustedStartDate(refreshStartDate, Periodicity, DateTime.MinValue, false);
WatchlistForm watchlistForm = new WatchlistForm(DatabasePath);
if (DialogResult.OK != watchlistForm.ShowDialog() || watchlistForm.SelectedWatchlistIndices == null)
{
return;
}
int[] selectedWatchlistIndices = watchlistForm.SelectedWatchlistIndices;
watchlistForm.Dispose();
StringCollection tickersInWatchlists = new StringCollection();
ulong watchlistBits = 0;
foreach (int watchlistId in selectedWatchlistIndices)
{
watchlistBits |= (ulong)1 << watchlistId;
}
LogAndMessage.Log(MessageType.Info, "Manual backfill of watchlists (" + watchlistBits.ToString("0x") + ") from " + refreshStartDate.ToShortDateString() + ".");
try
{
Type abAppType = Type.GetTypeFromProgID("Broker.Application");
object abApp = Activator.CreateInstance(abAppType);
// access AB COM interface to get current ticker
if (abAppType != null && abApp != null)
{
object abStocks = abAppType.InvokeMember("Stocks", BindingFlags.GetProperty, null, abApp, null);
Type abStocksType = abStocks.GetType();
// get the number of stocks in the db
int stockCount = (int)abStocksType.InvokeMember("Count", BindingFlags.GetProperty, null, abStocks, null);
if (stockCount > 0)
{
Type abStockType = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { 0 }).GetType();
for (int i = 0; i < stockCount; i++)
{
object abStock = abStocksType.InvokeMember("Item", BindingFlags.GetProperty, null, abStocks, new object[] { i });
if (abStock != null)
{
string ticker = (string)abStockType.InvokeMember("Ticker", BindingFlags.GetProperty, null, abStock, null);
uint watchlistBits1 = (uint)(int)abStockType.InvokeMember("WatchListBits", BindingFlags.GetProperty, null, abStock, null);
uint watchlistBits2 = (uint)(int)abStockType.InvokeMember("WatchListBits2", BindingFlags.GetProperty, null, abStock, null);
ulong watchlistBitsCombined = (watchlistBits2 << 32) + watchlistBits1;
if ((watchlistBitsCombined & watchlistBits) != 0)
{
if (!tickersInWatchlists.Contains(ticker))
{
tickersInWatchlists.Add(ticker);
}
}
}
}
}
else
{
LogAndMessage.Log(MessageType.Trace, "Manual backfill of watchlists failed. Database has no symbols.");
}
}
else
{
LogAndMessage.Log(MessageType.Warning, "Manual backfill of watchlists failed. ActiveX interface error.");
}
}
catch (Exception ex)
{
LogAndMessage.LogAndQueue(MessageType.Error, "Manual backfill of watchlists failed. Exception: " + ex);
}
if (tickersInWatchlists.Count == 0)
{
LogAndMessage.Log(MessageType.Trace, "Manual backfill of watchlists failed. Selected watchlists have no symbols.");
}
else
{
StartBackfills(refreshStartDate, tickersInWatchlists);
}
}
internal override bool Process(FTController ibController, bool allowNewRequest)
{
const int requestTimeoutPeriod = 20;
// if no contract received yet
if (TickerData.ContractStatus == ContractStatus.SendRequest || TickerData.ContractStatus == ContractStatus.WaitForResponse)
{
return(allowNewRequest);
}
// if no contract found
if (TickerData.ContractStatus != ContractStatus.Ok)
{
TickerData.HeadTimestampStatus = HeadTimestampStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
lock (TickerData) // request handling
{
// if not waiting for response
switch (TickerData.HeadTimestampStatus)
{
// if marked to get headtimestamp
case HeadTimestampStatus.SendRequest:
if (allowNewRequest)
{
LogAndMessage.Log(TickerData, MessageType.Trace, "Requesting earliest data point. " + ToString(false, LogAndMessage.VerboseLog));
TickerData.HeadTimestampStatus = HeadTimestampStatus.WaitForResponse;
RequestTime = DateTime.Now;
ibController.SendHeadTimestampRequest(Id, TickerData);
}
return(false);
// if request is sent, but response has not arrived yet
// see ibClient_HeadTimestamp event handler
case HeadTimestampStatus.WaitForResponse:
// if no answer in time
if (RequestTime.AddSeconds(requestTimeoutPeriod) < DateTime.Now)
{
if (RequestTimeouts == 0)
{
LogAndMessage.LogAndQueue(TickerData, MessageType.Error, "Request of earliest data point timed out. Retrying. " + ToString(true, LogAndMessage.VerboseLog));
RequestTimeouts++;
TickerData.HeadTimestampStatus = HeadTimestampStatus.SendRequest;
Id = IBClientHelper.GetNextReqId();
goto case HeadTimestampStatus.SendRequest;
}
LogAndMessage.LogAndQueue(TickerData, MessageType.Error, "Request of earliest data point timed out. " + ToString(true, LogAndMessage.VerboseLog));
TickerData.HeadTimestampStatus = HeadTimestampStatus.Failed;
goto case HeadTimestampStatus.Failed;
}
return(allowNewRequest);
// if new, offline ticker
case HeadTimestampStatus.Offline:
// ticker's HeadTimestamp is updated
case HeadTimestampStatus.Ok:
// ticker's HeadTimestamp is NOT updated (we do not mark ticker as failed. it still may work!)
case HeadTimestampStatus.Failed:
IsFinished = true;
return(allowNewRequest);
// this is program error
default:
TickerData.HeadTimestampStatus = HeadTimestampStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
}
}
/// <summary>
/// Process the list of contract details received from TWS, and selects the current front month contract
/// </summary>
/// <param name="TickerData"></param>
/// <returns></returns>
private bool ProcessContractDetailsList(List <ContractDetails> list)
{
try
{
TickerData.contractDetailsList = list;
// if no contract found
if (TickerData.contractDetailsList.Count == 0)
{
return(false);
}
// not a continuos contract there must be exactly 1 found contract
if (TickerData.contractDetailsList.Count == 1 && !TickerData.SymbolParts.IsContinuous)
{
TickerData.ContractDetails = TickerData.contractDetailsList[0];
return(true);
}
// continuos contract
if (TickerData.SymbolParts.IsContinuous)
{
//
// only expired and the nearest expiration may remain in the list
//
// sort contract details on expiry
TickerData.contractDetailsList.Sort(new ContractDetailsComparer());
// current date in the format of contract expiry
string frontMonthExpiry = DateTime.Now.ToString("yyyyMMdd");
// this may be an already expired contract or a contract that will expire in the far future
ContractDetails temp = TickerData.contractDetailsList[0];
// find the contract that ...
for (int i = 1; i < TickerData.contractDetailsList.Count; i++)
{
if (TickerData.contractDetailsList[i].Contract.LastTradeDateOrContractMonth.CompareTo(frontMonthExpiry) >= 0) // expires in the future or today
{
temp = TickerData.contractDetailsList[i];
break;
}
}
// setting the found CURRENT (front month) contract as the contractdetails
TickerData.ContractDetails = temp;
frontMonthExpiry = temp.Contract.LastTradeDateOrContractMonth;
// remove all future contract with later expiry then current front month
for (int i = TickerData.contractDetailsList.Count - 1; i >= 0; i--)
{
if (TickerData.contractDetailsList[i].Contract.LastTradeDateOrContractMonth.CompareTo(frontMonthExpiry) > 0)
{
TickerData.contractDetailsList.RemoveAt(i);
}
}
return(true);
}
return(false);
}
finally
{
try
{
// update trading days using current contract details
if (TickerData.ContractDetails != null)
{
//tickerData.LiquidHours = new TradingDayList(tickerData.ContractDetails.LiquidHours, true);
//if (IBDataSource.RthOnly && string.IsNullOrEmpty(tickerData.ContractDetails.LiquidHours))
// LogAndMessage.LogAndQueue(tickerData, MessageType.Warning, "No liquid hours data is available.");
//else
// LogAndMessage.Log(tickerData, MessageType.Trace, "Liquid hour:" + tickerData.ContractDetails.LiquidHours);
TickerData.TradingDays = new TradingDayList(TickerData.ContractDetails.TradingHours, false);
if ((FTDataSource.AllowMixedEODIntra || FTDataSource.Periodicity == Periodicity.EndOfDay) && string.IsNullOrEmpty(TickerData.ContractDetails.TradingHours))
{
LogAndMessage.Log(TickerData, MessageType.Warning, "No trading hours data is available. Daily quotation data may not be correct.");
}
//else
// LogAndMessage.Log(tickerData, MessageType.Trace, "Trading hour:" + tickerData.ContractDetails.TradingHours);
}
else
{
//tickerData.LiquidHours = new TradingDayList(null, true);
TickerData.TradingDays = new TradingDayList(null, false);
}
}
catch (Exception e)
{
LogAndMessage.Log(TickerData, MessageType.Error, "Failed to parse (" + TickerData.ContractDetails.TradingHours + ") and update trading hours:" + e.ToString());
}
}
}
public override bool Notify(ref PluginNotification notifyData)
{
bool result = true;
switch (notifyData.Reason)
{
case Reason.DatabaseLoaded:
// if database is loaded
if (controller != null)
{
// disconnect from TWS and reset all data
controller.Disconnect();
((IDisposable)controller).Dispose();
controller = null;
}
Workspace = notifyData.Workspace;
DatabasePath = notifyData.DatabasePath;
MainWindowHandle = notifyData.MainWnd;
AllowMixedEODIntra = Workspace.AllowMixedEODIntra != 0;
// start logging the opening of the database
LogAndMessage.Log(MessageType.Info, "Database: " + DatabasePath);
LogAndMessage.Log(MessageType.Info, "Mixed EOD/Intra: " + (Workspace.AllowMixedEODIntra != 0));
LogAndMessage.Log(MessageType.Info, "Number of bars: " + Workspace.NumBars);
LogAndMessage.Log(MessageType.Info, "Database config: " + Settings);
// create the config object
IBConfiguration = FTConfiguration.GetConfigObject(Settings);
LogAndMessage.VerboseLog = IBConfiguration.VerboseLog;
RthOnly = IBConfiguration.RthOnly;
CalcNextAutoRefreshTime();
// create new controller
connectionRetryTime = DateTime.Now.AddSeconds(ConnectionRetryInterval);
prevPluginState = IBPluginState.Disconnected;
firstConnection = true;
controller = new FTController();
// connect database to tws
controller.Connect(false);
if (rtWindowTickersBck.Count > 0)
{
for (int i = 0; i < rtWindowTickersBck.Count; i++)
{
controller.GetRecentInfo(rtWindowTickersBck[i]);
}
}
break;
// user changed the db
case Reason.DatabaseUnloaded:
// disconnect from TWS
if (controller != null)
{
controller.Disconnect();
((IDisposable)controller).Dispose();
controller = null;
}
// clean up
Workspace = new Workspace();
DatabasePath = null;
MainWindowHandle = IntPtr.Zero;
searchForm = null;
break;
// seams to be obsolete
case Reason.SettingsChanged:
break;
// user right clicks data plugin area in AB
case Reason.RightMouseClick:
if (controller != null)
{
currentSI = notifyData.CurrentSI;
if (currentSI != null)
{
currentTicker = currentSI.ShortName;
if (currentTicker.Length > 10)
{
currentTickerShortend = currentTicker.Substring(0, 7) + "...";
}
else
{
currentTickerShortend = currentTicker;
}
}
else
{
currentTicker = null;
currentTickerShortend = null;
}
}
SetContextMenuState();
ShowContextMenu(mContextMenu);
break;
default:
result = false;
break;
}
return(result);
}
/// <summary>
/// Processing all queues/request
/// </summary>
/// <returns>true, if any request was sent</returns>
private bool ProcessQueues()
{
try
{
#if DEBUG
bool traceMode = backfillQueue.IsBusy || subscriptionQueue.IsBusy ||
symbolQueue.IsBusy || headTimestampQueue.IsBusy || contractQueue.IsBusy;
traceMode = false;
if (traceMode)
{
LogAndMessage.Log(MessageType.Trace, "Start of ProcessAllQueues");
}
#else
bool traceMode = false;
#endif
//
// sending notificaton to AB to get quotes from the plugin (GetQuotesEx will be called)
//
SendQuoteNotificationToAB();
if (!ibController.IsIbConnected())
{
return(true);
}
// remove timed out entries from request throlling queue and check if any request can be sent
bool throttling = ibAllRequestTimeQueue.IsThrottled();
if (throttling)
{
LogAndMessage.LogAndQueue(MessageType.Info, "Throttling all requests.");
}
// remove timed out entries from hist request throlling queue and check if historical request can be sent
bool histThrottling = ibHstRequestTimeQueue.IsThrottled() || ibHstThrottlingEndTime >= DateTime.Now;
//
// main queue processing logic
//
// check if general request can be sent
bool allowNewRequest = !throttling;
if (!histThrottling)
{
allowNewRequest &= backfillQueue.ProcessQueuedRequests(ibController, allowNewRequest, traceMode);
}
allowNewRequest &= subscriptionQueue.ProcessQueuedRequests(ibController, allowNewRequest, traceMode);
allowNewRequest &= headTimestampQueue.ProcessQueuedRequests(ibController, allowNewRequest, traceMode);
allowNewRequest &= contractQueue.ProcessQueuedRequests(ibController, allowNewRequest, traceMode);
allowNewRequest &= symbolQueue.ProcessQueuedRequests(ibController, allowNewRequest, traceMode);
if (allowNewRequest)
{
allowNewRequest &= ibController.SendCurrentTimeRequest();
}
#if DEBUG
if (traceMode)
{
LogAndMessage.Log(MessageType.Trace, "End of ProcessAllQueues");
}
#endif
// other scheduled jobs
ibController.StartContractRefresh();
ibController.UpdateFailedTickers();
return(!allowNewRequest); // indicate newly sent request -> longer wait time
}
catch (Exception ex)
{
LogAndMessage.LogAndQueue(MessageType.Error, "Program error. ProcessQueues exception: " + ex);
return(true);
}
}
internal void MergePrice(int tickerId, int field, float price, DateTime time)
{
//
// if price is 0 or less (no live data)
//
if (price <= 0.0f)
{
return;
}
decimal p = (decimal)price;
//
// save BID and ASK prices
//
if (field == TickType.ASK)
{
lastAsk = p;
}
else if (field == TickType.BID)
{
lastBid = p;
}
//
// calc MID price if data is available
//
if (lastAsk > 0m && lastBid > 0m)
{
lastMid = (lastAsk + lastBid) / 2m;
}
//
// check if we need to use this price tick or it is irrelevant
//
if (tickerData.SymbolParts.DataType == IBHistoricalDataType.Midpoint || tickerData.SymbolParts.DataType == IBHistoricalDataType.BidAsk)
{
if (field != TickType.BID && field != TickType.ASK && field != TickType.LAST)
{
return;
}
}
else if (tickerData.SymbolParts.DataType == IBHistoricalDataType.Trades || tickerData.SymbolParts.DataType == IBHistoricalDataType.Adjusted)
{
if (field != TickType.LAST)
{
return;
}
}
else if (tickerData.SymbolParts.DataType == IBHistoricalDataType.Bid)
{
if (field != TickType.BID)
{
return;
}
}
else if (tickerData.SymbolParts.DataType == IBHistoricalDataType.Ask)
{
if (field != TickType.ASK)
{
return;
}
}
else if (tickerData.SymbolParts.DataType == IBHistoricalDataType.HistoricalVolatility)
{
if (field != TickType.OPTION_HISTORICAL_VOL)
{
return;
}
}
else if (tickerData.SymbolParts.DataType == IBHistoricalDataType.ImpliedVolatility)
{
if (field != TickType.OPTION_IMPLIED_VOL)
{
return;
}
}
else
{
return;
}
//
// check if tick is in acceptable range
//
if (filter)
{
//
// filter #1
//
// it is a simple filter to remove bad price ticks
// it works only during high volume, continuously traded period, fell free to improve it
if (lastMid != 0.0m && // there is a midpoint price already
(DateTime.Now.Ticks - date.Ticks) / TimeSpan.TicksPerSecond < 5 && // time elapsed since last tick event is less then 5 second
Math.Abs(p - lastMid) / lastMid > 0.03m) // price change is greater then 3 %
{
// This may impose 5 sec delay and loss of some ticks in higly volatily and thin market (not in Forex)
LogAndMessage.Log(tickerData, MessageType.Trace, "Bad tick has been rejected. Price:" + price.ToString() + " MidPoint:" + lastMid.ToString());
return;
}
//
// filter #2
//
//
//
//
// it is a "round robin" array store
// check if index points behind last element of the array
if (sampleIdx == MaxSampleNo)
{
sampleIdx = 0;
sampleOk = true;
}
// if there is enough data yet
if (sampleOk)
{
// calc avg prior to this tick
decimal avg = 0;
for (int i = 0; i < MaxSampleNo; i++)
{
avg += sample[i];
}
// calc price move compared to avg price
decimal rate = avg / MaxSampleNo / p;
// if to big, reject tick
if (rate > 1.02M || rate < 0.98M)
{
LogAndMessage.Log(tickerData, MessageType.Trace, "Bad tick has been rejected. Price:" + price.ToString() + " Avg of last " + MaxSampleNo + " ticks:" + (avg / MaxSampleNo).ToString());
return;
}
// store current price in sample array
sample[sampleIdx] = p;
sampleIdx++;
}
// if there is NOT enough data yet
else
{
// store current price in sample array
sample[sampleIdx] = p;
sampleIdx++;
}
}
// storing the tick into a Quote to merge
if (tickerData.SymbolParts.DataType == IBHistoricalDataType.Midpoint)
{
if (lastMid == 0.0m)
{
return;
}
lastPrice = (float)lastMid;
}
else
{
lastPrice = price;
}
date = time;
Quotation quote = new Quotation();
quote.DateTime = (AmiDate)date;
quote.Price = lastPrice;
quote.Low = lastPrice;
quote.High = lastPrice;
quote.Open = prevPrice != 0 ? prevPrice : lastPrice;
quote.Volume = 0;
prevPrice = lastPrice;
SaveQuote(quote);
}
internal override bool Process(FTController ibController, bool allowNewRequest)
{
const int requestTimeoutPeriod = 10;
lock (TickerData) // request handling
{
// if not waiting for response
switch (TickerData.ContractStatus)
{
// if marked to get contract details
case ContractStatus.SendRequest:
if (allowNewRequest)
{
LogAndMessage.Log(TickerData, MessageType.Trace, "Getting contract. " + ToString(false, LogAndMessage.VerboseLog));
Contract contract = new Contract();
contract.Exchange = TickerData.SymbolParts.Exchange;
contract.SecType = TickerData.SymbolParts.SecurityType;
contract.Currency = TickerData.SymbolParts.Currency;
contract.IncludeExpired = true;
if (TickerData.SymbolParts.IsContinuous)
{
if (!string.IsNullOrEmpty(TickerData.SymbolParts.Underlying))
{
contract.Symbol = TickerData.SymbolParts.Underlying;
}
else
{
contract.Symbol = TickerData.SymbolParts.Symbol;
}
}
else
{
contract.LocalSymbol = TickerData.SymbolParts.Symbol;
}
TickerData.contractDetailsList.Clear();
TickerData.ContractStatus = ContractStatus.WaitForResponse;
RequestTime = DateTime.Now;
ibController.SendContractDetailsRequest(Id, contract);
}
return(false);
// if request is sent, but response has not arrived yet
// see ibclient_ContractDetails and ibclient_ContractDetailsEnd event handlers
case ContractStatus.WaitForResponse:
// if no answer in Time
if (RequestTime.AddSeconds(requestTimeoutPeriod) < DateTime.Now)
{
LogAndMessage.LogAndQueue(TickerData, MessageType.Error, "Getting contract info timed out, symbol is offline. " + ToString(true, LogAndMessage.VerboseLog));
TickerData.ContractStatus = ContractStatus.Failed;
goto case ContractStatus.Failed;
}
return(allowNewRequest);
// if new, offline ticker
case ContractStatus.Offline:
goto case ContractStatus.Failed;
// contract found
case ContractStatus.Ok:
goto case ContractStatus.Failed;
// no contract found
case ContractStatus.Failed:
IsFinished = true;
return(allowNewRequest);
default:
throw new ArgumentOutOfRangeException();
}
}
}
private void mDisconnect_Click(object sender, EventArgs e)
{
LogAndMessage.Log(MessageType.Info, "TWS is manually disconnected.");
manuallyDisconnected = true;
controller.Disconnect();
}
private void mReconnect_Click(object sender, EventArgs e)
{
LogAndMessage.Log(MessageType.Info, "TWS is manually reconnected.");
manuallyDisconnected = false;
controller.Connect(false);
}
internal override bool Process(FTController ibController, bool allowNewRequest)
{
int requestTimeoutPeriod = 75;
// if contract of the ticker is still being retrieved or headtimestamp of the ticker is needed (not Offline) AND not yet retrieved
if (TickerData.ContractStatus <= ContractStatus.WaitForResponse ||
((FTDataSource.Periodicity == Periodicity.EndOfDay || FTDataSource.AllowMixedEODIntra) && TickerData.HeadTimestampStatus <= HeadTimestampStatus.WaitForResponse))
{
return(allowNewRequest);
}
if (TickerData.ContractStatus == ContractStatus.Failed || TickerData.ContractStatus == ContractStatus.Offline ||
TickerData.HeadTimestampStatus == HeadTimestampStatus.Failed || (TickerData.HeadTimestampStatus == HeadTimestampStatus.Offline && (FTDataSource.Periodicity == Periodicity.EndOfDay || FTDataSource.AllowMixedEODIntra)))
{
TickerData.QuoteDataStatus = QuotationStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
lock (TickerData) // request handling
{
// if reqHistoricalData is send to IB and we are waiting for answer
if (WaitingForResponse)
{
// request is not yet timed out...
if (RequestTime.AddSeconds(requestTimeoutPeriod) > DateTime.Now)
{
return(allowNewRequest);
}
// no response arrived in time, request is timed out...
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Historical data request has timed out. " + ToString(true, LogAndMessage.VerboseLog));
RequestTimeouts++;
WaitingForResponse = false;
// if there were too many reqHistoricalData timeouts
if (RequestTimeouts > 2)
{
// drop this ticker...
TickerData.QuoteDataStatus = QuotationStatus.Failed;
IsFinished = true;
return(allowNewRequest);
}
}
// if no new request can be sent (request pacing)
bool histThrottling = !allowNewRequest || TickerData.QuoteDataStatus > QuotationStatus.New && RequestTime.AddSeconds(6.5) > DateTime.Now;
// process the ticker depending on its state
switch (TickerData.QuoteDataStatus)
{
case QuotationStatus.Offline:
LogAndMessage.Log(MessageType.Error, "Program error. Offline ticker cannot get historical update.");
IsFinished = true;
return(allowNewRequest);
// All historical data requests are processed for the ticker
// (the last CalcNextHistoricalDataRequest call sets this state)
case QuotationStatus.DownloadedEod:
#region Merging and backadjusting downloaded quotes of different contracts/expiry into a simgle QuotationList of the continuous contract
if (TickerData.SymbolParts.IsContinuous)
{
QuotationList mergedQuotes = new QuotationList(FTDataSource.Periodicity);
int newQuoteIndex;
foreach (ContractDetails cd in TickerData.contractDetailsList)
{
// if there were no quotes receiced for this contract...
if (!TickerData.ContinuousQuotesDictionary.ContainsKey(cd.Contract.LocalSymbol))
{
continue;
}
newQuoteIndex = 0;
if (mergedQuotes.Count > 0)
{
int mergedQuoteIndex = mergedQuotes.Count - 1;
AmiDate mergedQuoteDateTime = mergedQuotes[mergedQuoteIndex].DateTime;
// move forward to the first quote not overlqapping with prev contract
while (newQuoteIndex < TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol].Count - 1 && TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date < mergedQuoteDateTime.Date)
{
newQuoteIndex++;
}
// at this point newQuoteIndex points to a quote of the "same" date as mergedQuoteDateTime (if there are quotes for the same day, if not, then the next day)
// if daily database then we look for a day where volume on older contract is greater (switch over day)
if (FTDataSource.Periodicity == Periodicity.EndOfDay)
{
// find the quote that has a lower volume
while (newQuoteIndex > 0 && mergedQuoteIndex > 0 &&
TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date == mergedQuotes[mergedQuoteIndex].DateTime.Date && // quotes are of same date
TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].Volume > mergedQuotes[mergedQuoteIndex].Volume) // new contract's volume is higher then old contract's volume
{
newQuoteIndex--;
mergedQuoteIndex--;
}
// at this point newQuoteIndex and lastQuoteDateTime point to quote at which contract is replaced
}
if (TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime.Date != mergedQuotes[mergedQuoteIndex].DateTime.Date)
{
LogAndMessage.Log(MessageType.Info, TickerData.ToString(cd.Contract) + ": No overlapping quote found. Used dates to change contracts: " + mergedQuotes[mergedQuoteIndex].DateTime + " and " + TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].DateTime + ".");
}
else
{
LogAndMessage.Log(MessageType.Info, TickerData.ToString(cd.Contract) + ": Switching to new contract on " + mergedQuotes[mergedQuoteIndex].DateTime + ".");
}
// get "closing prices" of the contract on the same day
float closeOfNewer = TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex].Price;
float closeOfOlder = mergedQuotes[mergedQuoteIndex].Price;
double priceMult = closeOfNewer / closeOfOlder;
// back-adjust prev contracts' prices
QuotationList tempList = new QuotationList(FTDataSource.Periodicity);
for (int i = 0; i < mergedQuoteIndex; i++)
{
Quotation quote = mergedQuotes[i];
quote.Open = (float)(quote.Open * priceMult);
quote.High = (float)(quote.High * priceMult);
quote.Low = (float)(quote.Low * priceMult);
quote.Price = (float)(quote.Price * priceMult);
tempList.Merge(quote);
}
mergedQuotes.Clear();
mergedQuotes = tempList;
}
// add quotes of newer contract
for (; newQuoteIndex < TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol].Count; newQuoteIndex++)
{
mergedQuotes.Merge(TickerData.ContinuousQuotesDictionary[cd.Contract.LocalSymbol][newQuoteIndex]);
}
}
TickerData.Quotes = mergedQuotes;
}
#endregion
// this is not THROTTLED, but counted in general throttling queue
ibController.SendSubscriptionRequest(0, TickerData, false);
TickerData.QuoteDataStatus = QuotationStatus.Online;
return(allowNewRequest);
// this should never happen (ticker with online status should not be in the queue...)
case QuotationStatus.Online:
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Backfill finished, symbol is ready. ");
IsFinished = true;
return(allowNewRequest);
// if any error happend
case QuotationStatus.Failed:
// if intraday download received no data response
if (errorCode == 162 && FTDataSource.Periodicity < Periodicity.EndOfDay && FTDataSource.Periodicity > Periodicity.FifteenSeconds)
{
errorCode = 0;
// move forward 4 periods to speed up download/find first valid period with available data
CalcNextBackfillRequest();
CalcNextBackfillRequest();
CalcNextBackfillRequest();
LogAndMessage.Log(TickerData, MessageType.Trace, "No data returned, fast forward download period.");
// start next download
TickerData.QuoteDataStatus = QuotationStatus.DownloadingIntra;
return(allowNewRequest);
}
else
{
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Backfill failed, symbol is offline.");
IsFinished = true;
return(allowNewRequest);
}
// start historical data refresh
case QuotationStatus.New:
if (histThrottling)
{
return(false);
}
// calc download properties
downloadPeriodicity = FTDataSource.Periodicity;
downloadStep = IBClientHelper.GetDownloadStep(FTDataSource.Periodicity);
downloadInterval = IBClientHelper.GetDownloadInterval(FTDataSource.Periodicity);
downloadStart = IBClientHelper.GetAdjustedStartDate(TickerData.RefreshStartDate, FTDataSource.Periodicity, GetEarliestDownloadDate(), true);
downloadEnd = downloadStart.AddMinutes(downloadInterval);
downloadContract = GetCurrentContract(downloadStart);
// remove quotes already stored
TickerData.Quotes.Clear();
// set next state
if (FTDataSource.Periodicity == Periodicity.EndOfDay)
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadingEod;
}
else
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadingIntra;
}
// not to wait to send next request
RequestTime = DateTime.MinValue;
// download historical data
SendBackfillRequest(ibController);
return(false);
case QuotationStatus.DownloadingEod:
case QuotationStatus.DownloadingIntra:
if (histThrottling)
{
return(false);
}
// if previous request timed out
if (RequestTimeouts != 0)
{
SendBackfillRequest(ibController);
}
// download historical data
else if (CalcNextBackfillRequest())
{
SendBackfillRequest(ibController);
}
return(false);
// last CalcNextHistoricalDataRequest call for intraday bars should have set this state
case QuotationStatus.DownloadedIntra:
// if we need EOD data as well
if (FTDataSource.AllowMixedEODIntra)
{
if (histThrottling)
{
return(false);
}
// calc download properties for EOD
downloadPeriodicity = Periodicity.EndOfDay;
downloadStep = IBClientHelper.GetDownloadStep(Periodicity.EndOfDay);
downloadInterval = IBClientHelper.GetDownloadInterval(Periodicity.EndOfDay);
downloadStart = IBClientHelper.GetAdjustedStartDate(TickerData.RefreshStartDate, Periodicity.EndOfDay, GetEarliestDownloadDate(), true);
downloadEnd = downloadStart.AddMinutes(downloadInterval);
downloadContract = GetCurrentContract(downloadStart);
SendBackfillRequest(ibController);
TickerData.QuoteDataStatus = QuotationStatus.DownloadingEod;
}
else
{
TickerData.QuoteDataStatus = QuotationStatus.DownloadedEod;
}
return(false);
default:
LogAndMessage.LogAndQueue(TickerData, MessageType.Info, "Program error in backfill logic.");
IsFinished = true;
return(true);
}
}
}
