hmunz@icloud.com
19 Nov 2020, 12:31

Same thing for Commissions

As for Swaps there should also be an API to get the Commissions which will be charged on the next opening position

hmunz@icloud.com
19 Nov 2017, 23:30

RE:

hmunz@icloud.com said:

Hanky

 

Problem solved!

Here is a little test program to read in an original tdbc file, generate an own tdbc file and change some Bids just for testing. So it is now possible to generate self made history files on tick level.

Here are my mistakes/answers from previous post:
1. the class TickDataResult contains Coint as a int, not as a bool
2. The IsBids booleans indicatey if the Bid is different from the prvious Bid 

Good Luck 

Hanky

using System;
using System.Runtime.Serialization;
using System.Runtime.Serialization.Formatters.Binary;
using System.IO;
using System.IO.Compression;

namespace Frontend
{
   namespace CrossDomain
   {
      namespace TicksGenerating
      {
         //https://stackoverflow.com/questions/3052202/how-to-analyse-contents-of-binary-serialization-stream
         //https://docs.microsoft.com/en-us/dotnet/standard/serialization/basic-serialization

         [Serializable]
         public class TickDataResult
         {
            public bool[] IsBids { get; set; }
            public double[] Bids { get; set; }
            public double[] Asks { get; set; }
            public DateTime[] DateTimes { get; set; }
            public int Count { get; set; }
         }

         public class Program
         {
            static void generate(string filename, TickDataResult obj)
            {
               // Delete old file, if exists
               string monitorFilename = filename + ".bin";
               if (File.Exists(filename)) File.Delete(filename);
               if (File.Exists(filename)) File.Delete(monitorFilename);

               // 1st serialize it
               MemoryStream sourceStream = new MemoryStream();
               IFormatter formatter = new BinaryFormatter();
               formatter.Serialize(sourceStream, obj);
               sourceStream.Position = 0;
               byte[] targetBa = sourceStream.ToArray();

               using (FileStream targetFs = File.Create(filename))   // 2nd create output file
               using (GZipStream compressor = new GZipStream(targetFs, CompressionMode.Compress))  //3rd compress it
                  compressor.Write(targetBa, 0, targetBa.Length);
#if true
               // create file for monitoring
               File.WriteAllBytes(monitorFilename, targetBa);
#endif
            }

            static void Main(string[] args)
            {
               string filename = "2017.11.12.org.tdbc";
               TickDataResult readObj;
               using (FileStream fs = new FileStream(filename, FileMode.Open))   // open file
               using (GZipStream decompressor = new GZipStream(fs, CompressionMode.Decompress)) // decompress
               {
                  BinaryFormatter bf = new BinaryFormatter();
                  readObj = (TickDataResult)bf.Deserialize(decompressor);  // deserialize
               }

               TickDataResult writeObj = new TickDataResult();
               writeObj.Bids = new double[readObj.Count];
               writeObj.Asks = new double[readObj.Count];
               writeObj.IsBids = new bool[readObj.Count];
               writeObj.DateTimes = new DateTime[readObj.Count];
               writeObj.Count = readObj.Count;

               double prevBids = default(double);
               for (int i = 0; i < readObj.Count; i++)
               {
                  writeObj.Bids[i] = readObj.Bids[i];
                  writeObj.Asks[i] = readObj.Asks[i];
                  writeObj.DateTimes[i] = readObj.DateTimes[i];
                  writeObj.IsBids[i] = prevBids != readObj.Bids[i];
                  if (writeObj.IsBids[i] != readObj.IsBids[i]) Console.WriteLine("IsBids Error");
                  prevBids = readObj.Bids[i];
               }

               writeObj.Bids[0] = 1.11111;
               writeObj.Bids[1] = 1.15555;
               writeObj.Bids[2] = 1.16666;

               string newFile = filename.Replace(".org", "");
               generate(newFile, writeObj);
            }
         }
      }
   }
}

hmunz@icloud.com
19 Nov 2017, 21:35