/// <summary>
/// Create a tick from the tradier stream data:
/// </summary>
/// <param name="tsd">Tradier stream data obejct</param>
/// <returns>LEAN Tick object</returns>
private Tick CreateTick(TradierStreamData tsd)
{
var symbol = _subscriptions.FirstOrDefault(x => x.Value == tsd.Symbol).Key;
// Not subscribed to this symbol.
if (symbol == null) return null;
// Occassionally Tradier sends trades with 0 volume?
if (tsd.TradeSize == 0) return null;
// Tradier trades are US NY time only. Convert local server time to NY Time:
var unix = tsd.UnixDate.ConvertInvariant<long>() / 1000;
var utc = Time.UnixTimeStampToDateTime(unix);
// Occassionally Tradier sends old ticks every 20sec-ish if no trading?
if (DateTime.UtcNow - utc > TimeSpan.FromSeconds(10)) return null;
//Convert the to security timezone and pass into algorithm
var time = utc.ConvertTo(DateTimeZone.Utc, TimeZones.NewYork);
return new Tick
{
Exchange = tsd.TradeExchange,
TickType = TickType.Trade,
Quantity = (int) tsd.TradeSize,
Time = time,
EndTime = time,
Symbol = symbol,
DataType = MarketDataType.Tick,
Suspicious = false,
Value = tsd.TradePrice
};
}
/// <summary>
/// Create an IEnumerable simulated data stream for "live" testing after hours and weekends.
/// </summary>
/// <param name="symbols">Symbols to return the simulated stream</param>
/// <returns>Tradier data:</returns>
public IEnumerable <TradierStreamData> SimulatedStream(List <string> symbols)
{
//Initialize:
var rand = new Random((int)DateTime.Now.TimeOfDay.TotalMilliseconds);
var prices = new Dictionary <string, decimal>();
if (symbols.Count == 0)
{
yield break;
}
//Setup prices: always sends a bunch of last trades.
foreach (var symbol in symbols)
{
//Random starting price from $5 - $100
prices.Add(symbol, ((decimal)rand.Next(500, 10000)) / 100m);
var data = new TradierStreamData();
//Set back to the Tradier Object:
data.Symbol = symbol;
data.TradePrice = prices[symbol];
data.TradeSize = rand.Next(10, 1000);
data.Type = "trade";
yield return(data);
}
while (true)
{
//Initialize
var data = new TradierStreamData();
//Randomly pick a symbol:
var symbol = symbols[rand.Next(0, symbols.Count - 1)];
//Randomly walk a price change:
var price = prices[symbol];
price += (rand.Next(-1, 1)) * price * 0.001m;
prices[symbol] = price;
//Set back to the Tradier Object:
data.Symbol = symbol;
data.TradePrice = price;
data.TradeSize = rand.Next(10, 1000);
data.Type = "trade";
//Randomly pick a delay:
Thread.Sleep(rand.Next(200, 700));
yield return(data);
}
}
/// <summary>
/// Create a tick from the tradier stream data
/// </summary>
/// <param name="tsd">Tradier stream data object</param>
/// <returns>LEAN Tick object</returns>
private Tick CreateTick(TradierStreamData tsd)
{
Symbol symbol;
if (!_subscribedTickers.TryGetValue(tsd.Symbol, out symbol))
{
// Not subscribed to this symbol.
return(null);
}
if (tsd.Type == "trade")
{
// Occasionally Tradier sends trades with 0 volume?
if (tsd.TradeSize == 0)
{
return(null);
}
}
// Tradier trades are US NY time only. Convert local server time to NY Time:
var utc = tsd.GetTickTimestamp();
// Occasionally Tradier sends old ticks every 20sec-ish if no trading?
if (DateTime.UtcNow - utc > TimeSpan.FromSeconds(10))
{
return(null);
}
// Convert the timestamp to exchange timezone and pass into algorithm
var time = utc.ConvertTo(DateTimeZone.Utc, TimeZones.NewYork);
switch (tsd.Type)
{
case "trade":
return(new Tick(time, symbol, "", tsd.TradeExchange, (int)tsd.TradeSize, tsd.TradePrice));
case "quote":
return(new Tick(time, symbol, "", "", tsd.BidSize, tsd.BidPrice, tsd.AskSize, tsd.AskPrice));
}
return(null);
}
/// <summary>
/// Connect to tradier API strea:
/// </summary>
/// <param name="symbols">symbol list</param>
/// <returns></returns>
public IEnumerable <TradierStreamData> Stream(List <string> symbols)
{
var stream = new List <TradierStreamData>();
var symbolJoined = String.Join(",", symbols);
var success = true;
var session = CreateStreamSession();
if (session == null || session.SessionId == null || session.Url == null)
{
Log.Error("Tradier.Stream(): Failed to Created Stream Session", true);
yield break;
}
Log.Trace("Tradier.Stream(): Created Stream Session Id: " + session.SessionId + " Url:" + session.Url, true);
var request = (HttpWebRequest)WebRequest.Create((string)session.Url);
do
{
//Connect to URL:
success = true;
request = (HttpWebRequest)WebRequest.Create((string)session.Url);
//Authenticate a request:
request.Accept = "application/json";
request.Headers.Add("Authorization", "Bearer " + _accessToken);
//Add the desired data:
var postData = "symbols=" + symbolJoined + "&sessionid=" + session.SessionId;;
var encodedData = Encoding.ASCII.GetBytes(postData);
//Set post:
request.Method = "POST";
request.ContentType = "application/x-www-form-urlencoded";
request.ContentLength = encodedData.Length;
//Send request:
try
{
using (var postStream = request.GetRequestStream())
{
postStream.Write(encodedData, 0, encodedData.Length);
}
}
catch (Exception err)
{
Log.Error("Tradier.Stream(): Failed to write session parameters to URL: " + err.Message + " >> ST >>" + err.StackTrace, true);
success = false;
}
}while (!success);
//Get response as a stream:
Log.Trace("Tradier.Stream(): Session Created, Reading Stream...", true);
var response = (HttpWebResponse)request.GetResponse();
var tradierStream = response.GetResponseStream();
using (var sr = new StreamReader(tradierStream))
using (var jsonReader = new JsonTextReader(sr))
{
var serializer = new JsonSerializer();
jsonReader.SupportMultipleContent = true;
var successfulRead = true;
while (successfulRead)
{
try
{
//Read the jsonSocket in a safe manner: might close and so need handlers, but can't put handlers around a yield.
successfulRead = jsonReader.Read();
}
catch (Exception err)
{
Console.Write(err.Message);
successfulRead = false;
}
if (successfulRead)
{
//Have a Tradier JSON Object:
var tsd = new TradierStreamData();
try {
tsd = serializer.Deserialize <TradierStreamData>(jsonReader);
} catch (Exception err) {
// Do nothing for now. Can come back later to fix. Errors are from Tradier not properly json encoding values E.g. "NaN" string.
Console.Write(err.Message);
}
yield return(tsd);
}
else
{
//Error in stream or market has closed, neatly exit the stream
yield break;
}
}
}
}
/// <summary>
/// Connect to tradier API strea:
/// </summary>
/// <param name="symbols">symbol list</param>
/// <returns></returns>
private IEnumerable <TradierStreamData> Stream(List <string> symbols)
{
bool success;
var symbolJoined = String.Join(",", symbols);
var session = CreateStreamSession();
if (session == null || session.SessionId == null || session.Url == null)
{
Log.Error("Tradier.Stream(): Failed to Created Stream Session", true);
yield break;
}
Log.Trace("Tradier.Stream(): Created Stream Session Id: " + session.SessionId + " Url:" + session.Url, true);
HttpWebRequest request;
do
{
//Connect to URL:
success = true;
request = (HttpWebRequest)WebRequest.Create(session.Url);
//Authenticate a request:
request.Accept = "application/json";
request.Headers.Add("Authorization", "Bearer " + AccessToken);
//Add the desired data:
var postData = "symbols=" + symbolJoined + "&filter=trade&sessionid=" + session.SessionId;
var encodedData = Encoding.ASCII.GetBytes(postData);
//Set post:
request.Method = "POST";
request.ContentType = "application/x-www-form-urlencoded";
request.ContentLength = encodedData.Length;
//Send request:
try
{
using (var postStream = request.GetRequestStream())
{
postStream.Write(encodedData, 0, encodedData.Length);
}
}
catch (Exception err)
{
Log.Error(err, "Failed to write session parameters to URL", true);
success = false;
}
}while (!success);
//Get response as a stream:
Log.Trace("Tradier.Stream(): Session Created, Reading Stream...", true);
var response = (HttpWebResponse)request.GetResponse();
_tradierStream = response.GetResponseStream();
if (_tradierStream == null)
{
yield break;
}
using (var sr = new StreamReader(_tradierStream))
using (var jsonReader = new JsonTextReader(sr))
{
var serializer = new JsonSerializer();
jsonReader.SupportMultipleContent = true;
// keep going until we fail to read more from the stream
while (true)
{
bool successfulRead;
try
{
//Read the jsonSocket in a safe manner: might close and so need handlers, but can't put handlers around a yield.
successfulRead = jsonReader.Read();
}
catch (Exception err)
{
Log.Trace("TradierBrokerage.DataQueueHandler.Stream(): Handled breakout / socket close from jsonRead operation: " + err.Message);
break;
}
if (!successfulRead)
{
// if we couldn't get a successful read just end the enumerable
yield break;
}
//Have a Tradier JSON Object:
TradierStreamData tsd = null;
try
{
tsd = serializer.Deserialize <TradierStreamData>(jsonReader);
}
catch (Exception err)
{
// Do nothing for now. Can come back later to fix. Errors are from Tradier not properly json encoding values E.g. "NaN" string.
Log.Trace("TradierBrokerage.DataQueueHandler.Stream(): Handled breakout / socket close from jsonRead operation: " + err.Message);
}
// don't yield garbage, just wait for the next one
if (tsd != null)
{
yield return(tsd);
}
}
}
}
/// <summary>
/// Create a tick from the tradier stream data:
/// </summary>
/// <param name="tsd">Tradier stream data obejct</param>
/// <returns>LEAN Tick object</returns>
private Tick CreateTick(TradierStreamData tsd)
{
var symbol = _subscriptions.FirstOrDefault(x => x.Value == tsd.Symbol).Key;
// Not subscribed to this symbol.
if (symbol == null) return null;
// Occassionally Tradier sends trades with 0 volume?
if (tsd.TradeSize == 0) return null;
// Tradier trades are US NY time only. Convert local server time to NY Time:
var unix = Convert.ToInt64(tsd.UnixDate) / 1000;
var utc = Time.UnixTimeStampToDateTime(unix);
// Occassionally Tradier sends old ticks every 20sec-ish if no trading?
if (DateTime.UtcNow - utc > TimeSpan.FromSeconds(10)) return null;
//Convert the to security timezone and pass into algorithm
var time = utc.ConvertTo(DateTimeZone.Utc, TimeZones.NewYork);
return new Tick
{
Exchange = tsd.TradeExchange,
TickType = TickType.Trade,
Quantity = (int) tsd.TradeSize,
Time = time,
EndTime = time,
Symbol = symbol,
DataType = MarketDataType.Tick,
Suspicious = false,
Value = tsd.TradePrice
};
}
