public void ReturnsCorrectBrokerageSymbol()
{
var mapper = new FxcmSymbolMapper();
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, Market.FXCM);
var brokerageSymbol = mapper.GetBrokerageSymbol(symbol);
Assert.AreEqual("EUR/USD", brokerageSymbol);
symbol = Symbol.Create("DE30EUR", SecurityType.Cfd, Market.FXCM);
brokerageSymbol = mapper.GetBrokerageSymbol(symbol);
Assert.AreEqual("GER30", brokerageSymbol);
}
public void ReturnsCorrectBrokerageSymbol()
{
var mapper = new FxcmSymbolMapper();
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, Market.FXCM);
var brokerageSymbol = mapper.GetBrokerageSymbol(symbol);
Assert.AreEqual("EUR/USD", brokerageSymbol);
symbol = Symbol.Create("DE30EUR", SecurityType.Cfd, Market.FXCM);
brokerageSymbol = mapper.GetBrokerageSymbol(symbol);
Assert.AreEqual("GER30", brokerageSymbol);
}
public void ThrowsOnNullOrEmptySymbol()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol(null, SecurityType.Forex, Market.FXCM));
Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol("", SecurityType.Forex, Market.FXCM));
var symbol = Symbol.Empty;
Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = null;
Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = Symbol.Create("", SecurityType.Forex, Market.FXCM);
Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void ThrowsOnUnknownSymbol()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol("ABC/USD", SecurityType.Forex, Market.FXCM));
var symbol = Symbol.Create("ABCUSD", SecurityType.Forex, Market.FXCM);
Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void ThrowsOnNullOrEmptySymbol()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol(null, SecurityType.Forex, Market.FXCM));
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol("", SecurityType.Forex, Market.FXCM));
var symbol = Symbol.Empty;
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = null;
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = Symbol.Create("", SecurityType.Forex, Market.FXCM);
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void ThrowsOnInvalidSecurityType()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol("AAPL", SecurityType.Equity, Market.FXCM));
var symbol = Symbol.Create("AAPL", SecurityType.Equity, Market.FXCM);
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void ThrowsOnUnknownSymbol()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol("ABC/USD", SecurityType.Forex, Market.FXCM));
var symbol = Symbol.Create("ABCUSD", SecurityType.Forex, Market.FXCM);
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void ThrowsOnInvalidSecurityType()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol("AAPL", SecurityType.Equity, Market.FXCM));
var symbol = Symbol.Create("AAPL", SecurityType.Equity, Market.FXCM);
Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="symbol">Symbol for the data we're looking for.</param>
/// <param name="resolution">Resolution of the data request</param>
/// <param name="startUtc">Start time of the data in UTC</param>
/// <param name="endUtc">End time of the data in UTC</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable <BaseData> Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
if (!_symbolMapper.IsKnownLeanSymbol(symbol))
{
throw new ArgumentException("Invalid symbol requested: " + symbol.Value);
}
if (symbol.ID.SecurityType != SecurityType.Forex && symbol.ID.SecurityType != SecurityType.Cfd)
{
throw new NotSupportedException("SecurityType not available: " + symbol.ID.SecurityType);
}
if (endUtc <= startUtc)
{
throw new ArgumentException("The end date must be greater than the start date.");
}
Console.WriteLine("Logging in...");
// create the gateway
_gateway = GatewayFactory.createGateway();
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// create local login properties
var loginProperties = new FXCMLoginProperties(_userName, _password, _terminal, _server);
// log in
_gateway.login(loginProperties);
// initialize session
RequestTradingSessionStatus();
Console.WriteLine("Downloading {0} data from {1} to {2}...", resolution, startUtc.ToString("yyyyMMdd HH:mm:ss"), endUtc.ToString("yyyyMMdd HH:mm:ss"));
// Find best FXCM parameters
var interval = FxcmBrokerage.ToFxcmInterval(resolution);
var totalTicks = (endUtc - startUtc).Ticks;
// download data
var totalBaseData = new List <BaseData>();
var end = endUtc;
do //
{
//show progress
progressBar(Math.Abs((end - endUtc).Ticks), totalTicks, Console.WindowWidth / 2, '█');
_currentBaseData.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(interval);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(FxcmBrokerage.ToJavaDateUtc(startUtc)));
mdr.setFXCMStartTime(new UTCTimeOnly(FxcmBrokerage.ToJavaDateUtc(startUtc)));
mdr.setFXCMEndDate(new UTCDate(FxcmBrokerage.ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(FxcmBrokerage.ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(symbol)]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(1000 * 5))
{
// no response, exit
break;
}
// Add data
totalBaseData.InsertRange(0, _currentBaseData.Where(x => x.Time.Date >= startUtc.Date));
if (end != _currentBaseData[0].Time)
{
// new end date = first datapoint date.
end = _currentBaseData[0].Time;
}
else
{
break;
}
} while (end > startUtc);
Console.WriteLine("\nLogging out...");
// log out
_gateway.logout();
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
return(totalBaseData.ToList());
}