/// <summary>
/// Transform received data into BaseData object
/// </summary>
/// <param name="e">Received data</param>
/// <param name="requestData">Request information</param>
/// <returns>BaseData object</returns>
private BaseData GetData(LookupEventArgs e, HistoryRequest requestData)
{
var isEquity = requestData.SecurityType == SecurityType.Equity;
var scale = isEquity ? 1000m : 1m;
try
{
switch (e.Type)
{
case LookupType.REQ_HST_TCK:
var t = (LookupTickEventArgs)e;
var time = isEquity ? t.DateTimeStamp : t.DateTimeStamp.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
return(new Tick(time, requestData.Symbol, (decimal)t.Last * scale, (decimal)t.Bid * scale, (decimal)t.Ask * scale));
case LookupType.REQ_HST_INT:
var i = (LookupIntervalEventArgs)e;
if (i.DateTimeStamp == DateTime.MinValue)
{
return(null);
}
var istartTime = i.DateTimeStamp - requestData.Resolution.ToTimeSpan();
if (!isEquity)
{
istartTime = istartTime.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
}
return(new TradeBar(istartTime, requestData.Symbol, (decimal)i.Open * scale, (decimal)i.High * scale, (decimal)i.Low * scale, (decimal)i.Close * scale, i.PeriodVolume));
case LookupType.REQ_HST_DWM:
var d = (LookupDayWeekMonthEventArgs)e;
if (d.DateTimeStamp == DateTime.MinValue)
{
return(null);
}
var dstartTime = d.DateTimeStamp - requestData.Resolution.ToTimeSpan();
if (!isEquity)
{
dstartTime = dstartTime.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
}
return(new TradeBar(dstartTime, requestData.Symbol, (decimal)d.Open * scale, (decimal)d.High * scale, (decimal)d.Low * scale, (decimal)d.Close * scale, d.PeriodVolume));
// we don't need to handle these other types
case LookupType.REQ_SYM_SYM:
case LookupType.REQ_SYM_SIC:
case LookupType.REQ_SYM_NAC:
case LookupType.REQ_TAB_MKT:
case LookupType.REQ_TAB_SEC:
case LookupType.REQ_TAB_MKC:
case LookupType.REQ_TAB_SIC:
case LookupType.REQ_TAB_NAC:
default:
return(null);
}
}
catch (Exception err)
{
Log.Error("Encountered error while processing request: " + e.Id);
Log.Error(err);
return(null);
}
}
/// <summary>
/// Method called when a new Lookup event is fired
/// </summary>
/// <param name="e">Received data</param>
protected override void OnLookupEvent(LookupEventArgs e)
{
try
{
switch (e.Sequence)
{
case LookupSequence.MessageStart:
_currentRequest.AddOrUpdate(e.Id, new List <BaseData>());
break;
case LookupSequence.MessageDetail:
List <BaseData> current;
if (_currentRequest.TryGetValue(e.Id, out current))
{
HandleMessageDetail(e, current);
}
break;
case LookupSequence.MessageEnd:
_inProgress = false;
break;
default:
throw new ArgumentOutOfRangeException();
}
}
catch (Exception err)
{
Log.Error(err);
}
}
protected virtual void OnLookupEvent(LookupEventArgs e)
{
if (LookupEvent != null)
{
LookupEvent(this, e);
}
}
/// <summary>
/// Put received data into current list of BaseData object
/// </summary>
/// <param name="e">Received data</param>
/// <param name="current">Current list of BaseData object</param>
private void HandleMessageDetail(LookupEventArgs e, List <BaseData> current)
{
var requestData = _requestDataByRequestId[e.Id];
var data = GetData(e, requestData);
if (data != null && data.Time != DateTime.MinValue)
{
current.Add(data);
}
}
/// <summary>
/// Transform received data into BaseData object
/// </summary>
/// <param name="e">Received data</param>
/// <param name="requestData">Request information</param>
/// <returns>BaseData object</returns>
private BaseData GetData(LookupEventArgs e, HistoryRequest requestData)
{
var isEquity = requestData.SecurityType == SecurityType.Equity;
var scale = isEquity ? 1000m : 1m;
try
{
switch (e.Type)
{
case LookupType.REQ_HST_TCK:
var t = (LookupTickEventArgs) e;
var time = isEquity ? t.DateTimeStamp : t.DateTimeStamp.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
return new Tick(time, requestData.Symbol, (decimal) t.Last*scale, (decimal) t.Bid*scale, (decimal) t.Ask*scale);
case LookupType.REQ_HST_INT:
var i = (LookupIntervalEventArgs) e;
if (i.DateTimeStamp == DateTime.MinValue) return null;
var istartTime = i.DateTimeStamp - requestData.Resolution.ToTimeSpan();
if (!isEquity) istartTime = istartTime.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
return new TradeBar(istartTime, requestData.Symbol, (decimal) i.Open*scale, (decimal) i.High*scale, (decimal) i.Low*scale, (decimal) i.Close*scale, i.PeriodVolume);
case LookupType.REQ_HST_DWM:
var d = (LookupDayWeekMonthEventArgs) e;
if (d.DateTimeStamp == DateTime.MinValue) return null;
var dstartTime = d.DateTimeStamp - requestData.Resolution.ToTimeSpan();
if (!isEquity) dstartTime = dstartTime.ConvertTo(TimeZones.NewYork, TimeZones.EasternStandard);
return new TradeBar(dstartTime, requestData.Symbol, (decimal) d.Open*scale, (decimal) d.High*scale, (decimal) d.Low*scale, (decimal) d.Close*scale, d.PeriodVolume);
// we don't need to handle these other types
case LookupType.REQ_SYM_SYM:
case LookupType.REQ_SYM_SIC:
case LookupType.REQ_SYM_NAC:
case LookupType.REQ_TAB_MKT:
case LookupType.REQ_TAB_SEC:
case LookupType.REQ_TAB_MKC:
case LookupType.REQ_TAB_SIC:
case LookupType.REQ_TAB_NAC:
default:
return null;
}
}
catch (Exception err)
{
Log.Error("Encountered error while processing request: " + e.Id);
Log.Error(err);
return null;
}
}
/// <summary>
/// Put received data into current list of BaseData object
/// </summary>
/// <param name="e">Received data</param>
/// <param name="current">Current list of BaseData object</param>
private void HandleMessageDetail(LookupEventArgs e, List<BaseData> current)
{
var requestData = _requestDataByRequestId[e.Id];
var data = GetData(e, requestData);
if (data != null && data.Time != DateTime.MinValue)
{
current.Add(data);
}
}
/// <summary>
/// Method called when a new Lookup event is fired
/// </summary>
/// <param name="e">Received data</param>
protected override void OnLookupEvent(LookupEventArgs e)
{
try
{
switch (e.Sequence)
{
case LookupSequence.MessageStart:
_currentRequest.AddOrUpdate(e.Id, new List<BaseData>());
break;
case LookupSequence.MessageDetail:
List<BaseData> current;
if (_currentRequest.TryGetValue(e.Id, out current))
{
HandleMessageDetail(e, current);
}
break;
case LookupSequence.MessageEnd:
_inProgress = false;
break;
default:
throw new ArgumentOutOfRangeException();
}
}
catch (Exception err)
{
Log.Error(err);
}
}
protected virtual void OnLookupEvent(LookupEventArgs e)
{
if (LookupEvent != null) LookupEvent(this, e);
}