/// <summary>
/// Connects the client to the broker's remote servers
/// </summary>
public override void Connect()
{
if (IsConnected)
{
return;
}
Log.Trace("FxcmBrokerage.Connect()");
_cancellationTokenSource = new CancellationTokenSource();
// create new thread to fire order events in queue
_orderEventThread = new Thread(() =>
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
OrderEvent orderEvent;
if (!_orderEventQueue.TryDequeue(out orderEvent))
{
Thread.Sleep(1);
continue;
}
OnOrderEvent(orderEvent);
}
});
_orderEventThread.Start();
while (!_orderEventThread.IsAlive)
{
Thread.Sleep(1);
}
// 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);
// load instruments, accounts, orders, positions
LoadInstruments();
LoadAccounts();
LoadOpenOrders();
LoadOpenPositions();
}
/// <summary>
/// Connects the client to the broker's remote servers
/// </summary>
public override void Connect()
{
if (IsConnected)
{
return;
}
Log.Trace("FxcmBrokerage.Connect()");
_cancellationTokenSource = new CancellationTokenSource();
// create new thread to fire order events in queue
if (!EnableOnlyHistoryRequests)
{
_orderEventThread = new Thread(() =>
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
try
{
OrderEvent orderEvent;
if (!_orderEventQueue.TryDequeue(out orderEvent))
{
Thread.Sleep(1);
continue;
}
OnOrderEvent(orderEvent);
}
catch (Exception exception)
{
Log.Error(exception);
}
}
})
{
IsBackground = true
};
_orderEventThread.Start();
while (!_orderEventThread.IsAlive)
{
Thread.Sleep(1);
}
}
// 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);
loginProperties.addProperty(IConnectionManager.APP_INFO, "QuantConnect");
// log in
try
{
_gateway.login(loginProperties);
}
catch (Exception err)
{
var message =
err.Message.Contains("ORA-20101") ? "Incorrect login credentials" :
err.Message.Contains("ORA-20003") ? "API connections are not available on Mini accounts. If you have a standard account contact [email protected] to enable API access" :
err.Message;
_cancellationTokenSource.Cancel();
throw new BrokerageException(message, err.InnerException);
}
// create new thread to manage disconnections and reconnections
if (!EnableOnlyHistoryRequests)
{
_connectionMonitorThread = new Thread(() =>
{
_lastReadyMessageTime = DateTime.UtcNow;
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
TimeSpan elapsed;
lock (_lockerConnectionMonitor)
{
elapsed = DateTime.UtcNow - _lastReadyMessageTime;
}
if (!_connectionLost && elapsed > TimeSpan.FromSeconds(10))
{
_connectionLost = true;
OnMessage(BrokerageMessageEvent.Disconnected("Connection with FXCM server lost. " +
"This could be because of internet connectivity issues. "));
}
else if (_connectionLost && IsWithinTradingHours())
{
Log.Trace("FxcmBrokerage.ConnectionMonitorThread(): Attempting reconnection...");
try
{
// log out
try
{
_gateway.logout();
}
catch (Exception)
{
// ignored
}
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// log in
_gateway.login(loginProperties);
// load instruments, accounts, orders, positions
LoadInstruments();
if (!EnableOnlyHistoryRequests)
{
LoadAccounts();
LoadOpenOrders();
LoadOpenPositions();
}
_connectionLost = false;
OnMessage(BrokerageMessageEvent.Reconnected("Connection with FXCM server restored."));
}
catch (Exception exception)
{
Log.Trace("FxcmBrokerage.ConnectionMonitorThread(): reconnect failed.");
Log.Error(exception);
}
}
Thread.Sleep(5000);
}
}
catch (Exception exception)
{
Log.Error(exception);
}
})
{
IsBackground = true
};
_connectionMonitorThread.Start();
while (!_connectionMonitorThread.IsAlive)
{
Thread.Sleep(1);
}
}
// load instruments, accounts, orders, positions
LoadInstruments();
if (!EnableOnlyHistoryRequests)
{
LoadAccounts();
LoadOpenOrders();
LoadOpenPositions();
}
}
/// <summary>
/// Connects the client to the broker's remote servers
/// </summary>
public override void Connect()
{
if (IsConnected)
{
return;
}
Log.Trace("FxcmBrokerage.Connect()");
_cancellationTokenSource = new CancellationTokenSource();
// create new thread to fire order events in queue
_orderEventThread = new Thread(() =>
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
OrderEvent orderEvent;
if (!_orderEventQueue.TryDequeue(out orderEvent))
{
Thread.Sleep(1);
continue;
}
OnOrderEvent(orderEvent);
}
});
_orderEventThread.Start();
while (!_orderEventThread.IsAlive)
{
Thread.Sleep(1);
}
// 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);
// create new thread to manage disconnections and reconnections
_connectionMonitorThread = new Thread(() =>
{
_lastReadyMessageTime = DateTime.UtcNow;
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
TimeSpan elapsed;
lock (_lockerConnectionMonitor)
{
elapsed = DateTime.UtcNow - _lastReadyMessageTime;
}
if (!_connectionLost && elapsed > TimeSpan.FromSeconds(5))
{
_connectionLost = true;
OnMessage(BrokerageMessageEvent.Disconnected("Connection with FXCM server lost. " +
"This could be because of internet connectivity issues. "));
}
else if (_connectionLost && elapsed <= TimeSpan.FromSeconds(5))
{
try
{
_gateway.relogin();
_connectionLost = false;
OnMessage(BrokerageMessageEvent.Reconnected("Connection with FXCM server restored."));
}
catch (Exception exception)
{
Log.Error(exception);
}
}
else if (_connectionError)
{
try
{
// log out
_gateway.logout();
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// log in
_gateway.login(loginProperties);
// load instruments, accounts, orders, positions
LoadInstruments();
LoadAccounts();
LoadOpenOrders();
LoadOpenPositions();
_connectionError = false;
_connectionLost = false;
OnMessage(BrokerageMessageEvent.Reconnected("Connection with FXCM server restored."));
}
catch (Exception exception)
{
Log.Error(exception);
}
}
Thread.Sleep(5000);
}
}
catch (Exception exception)
{
Log.Error(exception);
}
});
_connectionMonitorThread.Start();
while (!_connectionMonitorThread.IsAlive)
{
Thread.Sleep(1);
}
// load instruments, accounts, orders, positions
LoadInstruments();
LoadAccounts();
LoadOpenOrders();
LoadOpenPositions();
}
public void Run()
{
_gateway = GatewayFactory.createGateway();
// register the generic message listener with the gateway
_gateway.registerGenericMessageListener(this);
// register the status message listener with the gateway
_gateway.registerStatusMessageListener(this);
// attempt to login with the local login properties
Console.WriteLine("Logging in...");
var loginProperties = new FXCMLoginProperties(UserName, Password, Terminal, Server);
// disable the streaming rates (default automatic subscriptions)
loginProperties.addProperty(IConnectionManager.__Fields.MSG_FLAGS, IFixDefs.__Fields.CHANNEL_MARKET_DATA.ToString());
_gateway.login(loginProperties);
Console.WriteLine("Logged in.\n");
// get instrument list
Console.WriteLine("Requesting trading session status...");
lock (_locker)
{
_currentRequest = _gateway.requestTradingSessionStatus();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestTradingSessionStatusEvent.WaitOne();
Console.WriteLine("Instruments: {0}\n", _securities.Count);
foreach (var pair in _securities)
{
var security = pair.Value;
Console.WriteLine(security.getSymbol() + " " +
security.getCurrency() + " " +
security.getFXCMSubscriptionStatus() + " " +
security.getRoundLot() + " " +
security.getContractMultiplier() + " " +
security.getFXCMMinQuantity() + " " +
security.getFXCMMaxQuantity() + " " +
security.getFXCMSymPointSize() + " " +
security.getFactor() + " " +
security.getFXCMSymPrecision() + " " +
security.getProduct() + " " +
security.getFXCMProductID() + " " +
(security.getFXCMProductID() == IFixValueDefs.__Fields.FXCMPRODUCTID_FOREX ? "Forex" : "CFD"));
}
Console.WriteLine();
// get account list
Console.WriteLine("Requesting account list...");
lock (_locker)
{
_currentRequest = _gateway.requestAccounts();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestAccountListEvent.WaitOne();
Console.WriteLine("Accounts: {0}\n", _accounts.Count);
// use first account
var accountId = _accounts.Keys.First();
// we are unable to continue if Hedging enabled
if (_accounts[accountId].getParties().getFXCMPositionMaintenance() == "Y")
{
throw new NotSupportedException("The Lean engine does not support accounts with Hedging enabled. Please contact FXCM support to disable Hedging and try again.");
}
// get open order list
Console.WriteLine("Requesting open order list...");
lock (_locker)
{
_currentRequest = _gateway.requestOpenOrders();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Open orders: {0}\n", _orders.Keys.Count);
// cancel all open orders
if (_orders.Keys.Count > 0)
{
Console.WriteLine("Cancelling open orders...");
foreach (var order in _orders.Values.ToList())
{
Console.WriteLine("Cancelling order {0}...", order.getOrderID());
var request = MessageGenerator.generateOrderCancelRequest("", order.getOrderID(), order.getSide(), order.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Order {0} cancelled.", order.getOrderID());
}
_orders.Clear();
Console.WriteLine("Open orders cancelled.\n");
}
// get open position list
Console.WriteLine("Requesting open position list...");
lock (_locker)
{
_currentRequest = _gateway.requestOpenPositions();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestPositionListEvent.WaitOne();
Console.WriteLine("Open position list complete.\n");
// get closed position list
Console.WriteLine("Requesting closed position list...");
lock (_currentRequest)
{
_currentRequest = _gateway.requestClosedPositions();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestPositionListEvent.WaitOne();
Console.WriteLine("Closed position list complete.\n");
// get current quotes for the instrument
if (_securities.ContainsKey(Symbol))
{
Console.WriteLine("Requesting market data for " + Symbol + "...");
var request = new MarketDataRequest();
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
request.addRelatedSymbol(_securities[Symbol]);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestMarketDataEvent.WaitOne();
Console.WriteLine(Symbol + " - Bid: {0} Ask: {1}\n", _rates[Symbol].getBidClose(), _rates[Symbol].getAskClose());
}
// submit limit order
Console.WriteLine("Submitting limit order...");
var limitOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.BUY, Symbol, "");
limitOrderRequest.setOrdType(OrdTypeFactory.LIMIT);
limitOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(limitOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order submitted.\n");
var limitOrder = _orderRequests[_currentRequest];
// update limit order
Console.WriteLine("Updating limit order...");
var orderReplaceRequest = MessageGenerator.generateOrderReplaceRequest("", limitOrder.getOrderID(), limitOrder.getSide(), limitOrder.getOrdType(), 0.8, limitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderReplaceRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order updated.\n");
// cancel limit order
Console.WriteLine("Cancelling limit order...");
var orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", limitOrder.getOrderID(), limitOrder.getSide(), limitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order cancelled.\n");
// submit stop market order
Console.WriteLine("Submitting stop market order...");
var stopMarketOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.SELL, Symbol, "");
stopMarketOrderRequest.setOrdType(OrdTypeFactory.STOP);
stopMarketOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(stopMarketOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop market order submitted.\n");
var stopMarketOrder = _orderRequests[_currentRequest];
// cancel stop market order
Console.WriteLine("Cancelling stop market order...");
orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", stopMarketOrder.getOrderID(), stopMarketOrder.getSide(), stopMarketOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop market order cancelled.\n");
// submit stop limit order
Console.WriteLine("Submitting stop limit order...");
var stopLimitOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.SELL, Symbol, "");
stopLimitOrderRequest.setOrdType(OrdTypeFactory.STOP_LIMIT);
stopLimitOrderRequest.setStopPx(0.695);
stopLimitOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(stopLimitOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop limit order submitted.\n");
var stopLimitOrder = _orderRequests[_currentRequest];
// cancel stop limit order
Console.WriteLine("Cancelling stop limit order...");
orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", stopLimitOrder.getOrderID(), stopLimitOrder.getSide(), stopLimitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop limit order cancelled.\n");
// submit market order (buy)
Console.WriteLine("Submitting buy market order...");
var buyOrder = MessageGenerator.generateMarketOrder(accountId, 10000, SideFactory.BUY, Symbol, "");
lock (_locker)
{
_currentRequest = _gateway.sendMessage(buyOrder);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Buy market order submitted.\n");
// submit market order (sell)
Console.WriteLine("Submitting sell market order...");
var sellOrder = MessageGenerator.generateMarketOrder(accountId, 10000, SideFactory.SELL, Symbol, "");
lock (_locker)
{
_currentRequest = _gateway.sendMessage(sellOrder);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Sell market order submitted.\n");
Console.WriteLine();
Console.WriteLine("Press Return to Logout and exit.\n");
Console.ReadKey();
// log out
Console.WriteLine("Logging out...");
_gateway.logout();
Console.WriteLine("Logged out.");
// remove the generic message listener, stop listening to updates
_gateway.removeGenericMessageListener(this);
// remove the status message listener, stop listening to status changes
_gateway.removeStatusMessageListener(this);
}
/// <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());
}
/// <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="type">Security type</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, SecurityType type, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
if (!_instruments.ContainsKey(symbol.Value))
{
throw new ArgumentException("Invalid symbol requested: " + symbol.Value);
}
if (resolution == Resolution.Tick)
{
throw new NotSupportedException("Resolution not available: " + resolution);
}
if (type != SecurityType.Forex && type != SecurityType.Cfd)
{
throw new NotSupportedException("SecurityType not available: " + type);
}
if (endUtc < startUtc)
{
throw new ArgumentException("The end date must be greater or equal 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 data from {0} to {1}...", startUtc.ToShortDateString(), endUtc.ToShortDateString());
// download bars
var totalBars = new List <TradeBar>();
// calculate the maximum time span for one request (using 10-second bars)
const int maxBarsPerRequest = 300;
var timeSpanPerRequest = TimeSpan.FromSeconds(maxBarsPerRequest * 10);
var start = startUtc;
var end = startUtc + timeSpanPerRequest;
// request loop
while (start < endUtc.AddDays(1))
{
_currentBars.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(FXCMTimingIntervalFactory.SEC10);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(ToJavaDateUtc(start)));
mdr.setFXCMStartTime(new UTCTimeOnly(ToJavaDateUtc(start)));
mdr.setFXCMEndDate(new UTCDate(ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_mapInstrumentSymbols[symbol]]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(1000))
{
// no response, continue loop
start = end.AddSeconds(10);
// if saturday, fast-forward to sunday
if (start.DayOfWeek == DayOfWeek.Saturday)
{
start = start.AddDays(1);
}
end = start + timeSpanPerRequest;
continue;
}
var lastBarTime = _currentBars[_currentBars.Count - 1].Time;
if (lastBarTime < start)
{
// no more data available, exit loop
break;
}
// add bars received
totalBars.AddRange(_currentBars.Where(x => x.Time.Date <= endUtc.Date));
// calculate time span for next request
start = lastBarTime.AddSeconds(10);
end = start + timeSpanPerRequest;
if (start >= DateTime.UtcNow)
{
// data in the future not available, exit loop
break;
}
}
Console.WriteLine("Logging out...");
// log out
_gateway.logout();
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
switch (resolution)
{
case Resolution.Second:
foreach (var bar in totalBars)
{
yield return(bar);
}
break;
case Resolution.Minute:
case Resolution.Hour:
case Resolution.Daily:
foreach (var bar in AggregateBars(symbol, totalBars, resolution.ToTimeSpan()))
{
yield return(bar);
}
break;
}
}