Hello everyone,

I've developed and released to the open source community with the aim to be the more efficient, a C# IQFeed socket client. Have a look at the project. I'll develop all the features needed to support all the IQFeed functionalities.

https://github.com/mathpaquette/IQFeed.CSharpApiClient

Your feedbacks are welcome!
Mathieu

Hi Mathieu,

Really appreciate your work. As a C# noob, I have a question:

In your historical example, you conclude with making a request and assigning it to ticksMessages. How can I view this in a data table format? I tried just viewing it via Console.WriteLine but it just seems to show the var like below:

System.Collections.Generic.List`1[IQFeed.CSharpApiClient.Lookup.Historical.Messages.TickMessage]


Thank you,
T

Hi T,

Well, if you wish to see the result as a data table, I suggest you to use the Raw facade, i.e. lookupClient.Historical.Raw.ReqHistoryTickDatapointsAsync method and then open up the return filename in Excel as a CSV file.

The reason you it in that format its because I didnt override the ToString in the TickMessage class.

Please dont forget to star the project on github and you can also ask question over there!

Thank you,
Mathieu

data_collector, here is something i did to parse out the code from Matt P. I am storing Flat Files - you can write all teh data to a C# datatable object.

His code is awesome and has saved me 50+ hours - higher performance than the IQFeed examples IMO.

Also if there is bug, he serves us by fixing it in just a few hours if you send him an email


var tickData = await lookupClient.Historical.ReqHistoryTickTimeframeAsync(symbol, requestStartDate, requestEndDate, null, null, null, DataDirection.Oldest);

CreateTaskStoreTickMessages(symbol, tickData);



void CreateTaskStoreTickMessages(string symbol, IEnumerable<TickMessage> tickMessages)
{

Task.Factory.StartNew(() => StoreTickMessages(symbol, tickMessages, TickDirectory));
}

List<double> tickMessagesStoreRunTime = new List<double>();
object tickMessagesStoreLockObject = new object();
static string TickFileHeader = "Timestamp,Last,LastSize,TotalVolume,Bid,Ask,TickId,BasisForLast,TradeMarketCenter,TradeConditions";
void StoreTickMessages(string symbol, IEnumerable<TickMessage> tickMessages, string baseTickDirectory)
{
DateTime storeTickMessagesStartTime = DateTime.Now;

// All the Tick Data gets stored into "Date" Created Files By Symbol Name
List<TickMessage> tickMessagesCurrentDate = new List<TickMessage>();

DateTime previousDate = DateTime.MaxValue;
List<DateTime> datesProcessing = new List<DateTime>();

foreach (TickMessage message in tickMessages)
{
DateTime dateTime = message.Timestamp;
DateTime date = message.Timestamp.Date;

// New Date in Tick Messages
if (!datesProcessing.Contains(date))
{
datesProcessing.Add(date);

// Record Previous Date for the First Time
if (previousDate == DateTime.MaxValue)
{
previousDate = date;
}
else // Store the Previous Dates Data once New TimeStamp is triggered
{
StoreTickMessagesByDate(baseTickDirectory, previousDate, symbol, tickMessagesCurrentDate);

// Reset Data Structures
tickMessagesCurrentDate = new List<TickMessage>();

previousDate = date;
}
}

tickMessagesCurrentDate.Add(message);
}

// Store Data from Last Date
StoreTickMessagesByDate(baseTickDirectory, previousDate, symbol, tickMessagesCurrentDate);

TimeSpan storeTickMessagesRunTime = DateTime.Now.Subtract(storeTickMessagesStartTime);
double runTimeSeconds = Math.Round(storeTickMessagesRunTime.TotalSeconds, 4);
double avgRunTimeSeconds = 0;

lock (tickMessagesStoreLockObject)
{
tickMessagesStoreRunTime.Add(runTimeSeconds);

avgRunTimeSeconds = Math.Round(GetAverage(tickMessagesStoreRunTime), 2);
}

logger.Trace("StoreTickMessages: " + " Symbol: " + symbol + " Run Secs: " + runTimeSeconds + " Avg Run Secs: " + avgRunTimeSeconds);
}



void StoreTickMessagesByDate(string TickDirectory, DateTime date, string symbol, List<TickMessage> tickMessages)
{
string TickDirectoryDate = TickDirectory + date.ToString(SystemInfrastructure.DateFormat) + "\\";

// Create Date Directory only once
if (false == Directory.Exists(TickDirectoryDate))
{
Directory.CreateDirectory(TickDirectoryDate);
}

string symbolFileName = TickDirectoryDate + symbol + ".csv";

using (StreamWriter sw = new StreamWriter(symbolFileName))
{
sw.WriteLine(TickFileHeader);

foreach (TickMessage tickMessage in tickMessages)
{
string timeStamp = tickMessage.Timestamp.ToString(IQFeed.CSharpApiClient.Lookup.Historical.Messages.TickMessage.TickDateTimeFormat);
double Last = Math.Round(tickMessage.Last, 4);
int LastSize = tickMessage.LastSize;
long TotalVolume = tickMessage.TotalVolume;
double Bid = Math.Round(tickMessage.Bid, 2);
double Ask = Math.Round(tickMessage.Ask, 2);
long TickId = tickMessage.TickId;
char BasisForLast = tickMessage.BasisForLast;
int TradeMarketCenter = tickMessage.TradeMarketCenter;
string TradeConditions = tickMessage.TradeConditions;

string tickMessageCSV = TickMessageCSV(timeStamp, Last, LastSize, TotalVolume, Bid, Ask, TickId, BasisForLast, TradeMarketCenter, TradeConditions);

sw.WriteLine(tickMessageCSV);
}
}
}

---

AK786

Haven't gotten around to playing around your code more but getting around to it now.

Thank you both and agree that it's been a huge help!

AK786, I'm going through your code -- do you have def to the TickMessageCSV() function you use at the end, just before sw.WriteLine?

Sorry, I'm completely new to C# so taking a while for me to understand all of Mathieu's and your code but thank you for your help.

string TickMessageCSV(string timeStamp, double last, int lastSize, long totalVolume, double bid, double ask, long tickId, char basisForLast, int tradeMarketCenter, string tradeConditions)
{
StringBuilder sb = new StringBuilder(1000);

sb.Append(timeStamp).Append(",");
sb.Append(last).Append(",");
sb.Append(lastSize).Append(",");
sb.Append(totalVolume).Append(",");
sb.Append(bid).Append(",");
sb.Append(ask).Append(",");
sb.Append(tickId).Append(",");
sb.Append(basisForLast).Append(",");
sb.Append(tradeMarketCenter).Append(",");
sb.Append(tradeConditions).Append(",");

return sb.ToString();
}

I will post all my code here soon. I am in the process of Writing my Data Collection and storage handlers.

---

AK786

Guys, dont hesitate to open an issue on GitHub rather than posting on this site.... I think its more related to the project itself.

Will always happy to help you out with that.
Mathieu

@AK, THANK YOU!

Mathieur, will post if I come across more questions. Thank you.