/// <summary>
/// Populate request data
/// </summary>
public IEnumerable<Slice> ProcessHistoryRequests(HistoryRequest request)
{
// we can only process equity/forex types here
if (request.SecurityType != SecurityType.Forex && request.SecurityType != SecurityType.Equity)
{
yield break;
}
// Set this process status
_inProgress = true;
var symbol = request.Symbol.Value;
if (request.SecurityType == SecurityType.Forex)
{
symbol = symbol + ".FXCM";
}
var start = request.StartTimeUtc.ConvertFromUtc(TimeZones.NewYork);
DateTime? end = request.EndTimeUtc.ConvertFromUtc(TimeZones.NewYork);
// if we're within a minute of now, don't set the end time
if (request.EndTimeUtc >= DateTime.UtcNow.AddMinutes(-1))
{
end = null;
}
Log.Trace(string.Format("HistoryPort.ProcessHistoryJob(): Submitting request: {0}-{1}: {2} {3}->{4}", request.SecurityType, symbol, request.Resolution, start, end ?? DateTime.UtcNow.AddMinutes(-1)));
int id;
var reqid = string.Empty;
switch (request.Resolution)
{
case Resolution.Tick:
id = RequestTickData(symbol, start, end, true);
reqid = CreateRequestID(LookupType.REQ_HST_TCK, id);
break;
case Resolution.Daily:
id = RequestDailyData(symbol, start, end, true);
reqid = CreateRequestID(LookupType.REQ_HST_DWM, id);
break;
default:
var interval = new Interval(GetPeriodType(request.Resolution), 1);
id = RequestIntervalData(symbol, interval, start, end, true);
reqid = CreateRequestID(LookupType.REQ_HST_INT, id);
break;
}
_requestDataByRequestId[reqid] = request;
while (_inProgress)
{
continue;
}
// After all data arrive, we pass it to the algorithm through memory and write to a file
foreach (var key in _currentRequest.Keys)
{
List<BaseData> tradeBars;
if (_currentRequest.TryRemove(key, out tradeBars))
{
foreach (var tradeBar in tradeBars)
{
// Returns IEnumerable<Slice> object
yield return new Slice(tradeBar.EndTime, new[] { tradeBar });
}
}
}
}
/// <summary>
/// Populate request data
/// </summary>
public IEnumerable <Slice> ProcessHistoryRequests(HistoryRequest request)
{
// skipping universe and canonical symbols
if (!CanHandle(request.Symbol) ||
(request.Symbol.ID.SecurityType == SecurityType.Option && request.Symbol.IsCanonical()) ||
(request.Symbol.ID.SecurityType == SecurityType.Future && request.Symbol.IsCanonical()))
{
yield break;
}
// Set this process status
_inProgress = true;
var ticker = _symbolUniverse.GetBrokerageSymbol(request.Symbol);
var start = request.StartTimeUtc.ConvertFromUtc(TimeZones.NewYork);
DateTime?end = request.EndTimeUtc.ConvertFromUtc(TimeZones.NewYork);
// if we're within a minute of now, don't set the end time
if (request.EndTimeUtc >= DateTime.UtcNow.AddMinutes(-1))
{
end = null;
}
Log.Trace(string.Format("HistoryPort.ProcessHistoryJob(): Submitting request: {0}-{1}: {2} {3}->{4}", request.SecurityType, ticker, request.Resolution, start, end ?? DateTime.UtcNow.AddMinutes(-1)));
int id;
var reqid = string.Empty;
switch (request.Resolution)
{
case Resolution.Tick:
id = RequestTickData(ticker, start, end, true);
reqid = CreateRequestID(LookupType.REQ_HST_TCK, id);
break;
case Resolution.Daily:
id = RequestDailyData(ticker, start, end, true);
reqid = CreateRequestID(LookupType.REQ_HST_DWM, id);
break;
default:
var interval = new Interval(GetPeriodType(request.Resolution), 1);
id = RequestIntervalData(ticker, interval, start, end, true);
reqid = CreateRequestID(LookupType.REQ_HST_INT, id);
break;
}
_requestDataByRequestId[reqid] = request;
while (_inProgress)
{
continue;
}
// After all data arrive, we pass it to the algorithm through memory and write to a file
foreach (var key in _currentRequest.Keys)
{
List <BaseData> tradeBars;
if (_currentRequest.TryRemove(key, out tradeBars))
{
foreach (var tradeBar in tradeBars)
{
// Returns IEnumerable<Slice> object
yield return(new Slice(tradeBar.EndTime, new[] { tradeBar }));
}
}
}
}
public int RequestIntervalData(string symbol, Interval interval, int days, bool oldToNew, Time timeStartInDay = null, Time timeEndInDay = null)
{
_lastRequestNumber++;
var reqNo = LookupType.REQ_HST_INT.ToString() + _lastRequestNumber.ToString("0000000");
if (timeStartInDay == null) timeStartInDay = _timeMarketOpen;
if (timeEndInDay == null) timeEndInDay = _timeMarketClose;
var reqString = string.Format("HID,{0},{1},{2},{3},{4},{5},{6},{7},{8}\r\n", symbol, interval.Seconds.ToString("0000000"),
days.ToString("0000000"), _histMaxDataPoints.ToString("0000000"), timeStartInDay.IQFeedFormat, timeEndInDay.IQFeedFormat,
oldToNew ? "1" : "0", reqNo, _histDataPointsPerSend.ToString("0000000"));
Send(reqString);
OnLookupEvent(new LookupEventArgs(reqNo, LookupType.REQ_HST_INT, LookupSequence.MessageStart));
return _lastRequestNumber;
}
public int RequestIntervalData(string symbol, Interval interval, DateTime start, DateTime? end, bool oldToNew, Time timeStartInDay = null, Time timeEndInDay = null)
{
_lastRequestNumber++;
var reqNo = LookupType.REQ_HST_INT.ToString() + _lastRequestNumber.ToString("0000000");
//if (timeStartInDay == null) timeStartInDay = _timeMarketOpen;
//if (timeEndInDay == null) timeEndInDay = _timeMarketClose;
var reqString = string.Format("HIT,{0},{1},{2},{3},{4},{5},{6},{7},{8},{9}\r\n", symbol, interval.Seconds.ToString("0000000"),
start.ToString("yyyyMMdd HHmmss"), end.HasValue ? end.Value.ToString("yyyyMMdd HHmmss") : "",
"", timeStartInDay == null ? "" : timeStartInDay.IQFeedFormat, timeEndInDay == null ? "" : timeEndInDay.IQFeedFormat, oldToNew ? "1" : "0",
reqNo, _histDataPointsPerSend.ToString("0000000"));
Send(reqString);
OnLookupEvent(new LookupEventArgs(reqNo, LookupType.REQ_HST_INT, LookupSequence.MessageStart));
return _lastRequestNumber;
}
public int RequestIntervalData(string symbol, Interval interval, int dataPoints, bool oldToNew)
{
_lastRequestNumber++;
var reqNo = LookupType.REQ_HST_INT.ToString() + _lastRequestNumber.ToString("0000000");
var reqString = string.Format("HIX,{0},{1},{2},{3},{4},{5}\r\n", symbol, interval.Seconds.ToString("0000000"),
dataPoints.ToString("0000000"), oldToNew ? "1" : "0", reqNo, _histDataPointsPerSend.ToString("0000000"));
Send(reqString);
OnLookupEvent(new LookupEventArgs(reqNo, LookupType.REQ_HST_INT, LookupSequence.MessageStart));
return _lastRequestNumber;
}