public void GetsTickData()
{
InteractiveBrokersGatewayRunner.StartFromConfiguration();
var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider());
ib.Connect();
ib.Subscribe(null, new List <Symbol> {
Symbols.USDJPY, Symbols.EURGBP
});
Thread.Sleep(1000);
var gotUsdData = false;
var gotEurData = false;
for (int i = 0; i < 20; i++)
{
foreach (var tick in ib.GetNextTicks())
{
Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
gotUsdData |= tick.Symbol == Symbols.USDJPY;
gotEurData |= tick.Symbol == Symbols.EURGBP;
}
}
Assert.IsTrue(gotUsdData);
Assert.IsTrue(gotEurData);
InteractiveBrokersGatewayRunner.Stop();
}
public void GetsTickData()
{
InteractiveBrokersGatewayRunner.StartFromConfiguration();
var ib = new InteractiveBrokersBrokerage(new OrderProvider());
ib.Connect();
ib.Subscribe(null, new Dictionary <SecurityType, List <string> >
{
{ SecurityType.Forex, new List <string> {
"USDJPY", "EURGBP"
} }
});
Thread.Sleep(1000);
for (int i = 0; i < 10; i++)
{
foreach (var tick in ib.GetNextTicks())
{
Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
}
}
InteractiveBrokersGatewayRunner.Stop();
}
/// <summary>
/// Primary entry point to the program. This program only supports FOREX for now.
/// </summary>
static void Main(string[] args)
{
if (args.Length != 5)
{
Console.WriteLine("Usage: QuantConnect.ToolBox SYMBOLS RESOLUTION FROMDATE TODATE");
Console.WriteLine("SYMBOLS = eg EURUSD,USDJPY");
Console.WriteLine("RESOLUTION = Second/Minute/Hour/Daily/All");
Console.WriteLine("FROMDATE = yyyymmdd");
Console.WriteLine("TODATE = yyyymmdd");
Environment.Exit(1);
}
try
{
// Load settings from command line
var tickers = args[1].Split(',');
var allResolutions = args[2].ToLower() == "all";
var resolution = allResolutions ? Resolution.Second : (Resolution)Enum.Parse(typeof(Resolution), args[2]);
var startDate = DateTime.ParseExact(args[3], "yyyyMMdd", CultureInfo.InvariantCulture).ConvertToUtc(TimeZones.NewYork);
var endDate = DateTime.ParseExact(args[4], "yyyyMMdd", CultureInfo.InvariantCulture).ConvertToUtc(TimeZones.NewYork);
// fix end date
endDate = new DateTime(Math.Min(endDate.Ticks, DateTime.Now.AddDays(-1).Ticks));
// Max number of histoy days
int maxDays = 1;
if (!allResolutions)
{
switch (resolution)
{
case Resolution.Daily:
maxDays = 365;
break;
case Resolution.Hour:
maxDays = 30;
break;
case Resolution.Minute:
maxDays = 10;
break;
}
}
// Load settings from config.json
var dataDirectory = Config.Get("data-folder", "../../../Data");
// Create IB Broker Gateway Runner
InteractiveBrokersGatewayRunner.StartFromConfiguration();
// Only FOREX for now
SecurityType securityType = SecurityType.Forex;
string market = Market.FXCM;
using (var downloader = new IBDataDownloader())
{
foreach (var ticker in tickers)
{
// Download the data
var symbol = Symbol.Create(ticker, securityType, market);
var auxEndDate = startDate.AddDays(maxDays);
auxEndDate = new DateTime(Math.Min(auxEndDate.Ticks, endDate.Ticks));
while (startDate < auxEndDate)
{
var data = downloader.Get(symbol, resolution, startDate, auxEndDate);
var bars = data.Cast <QuoteBar>().ToList();
if (allResolutions)
{
// Save the data (second resolution)
var writer = new LeanDataWriter(resolution, symbol, dataDirectory);
writer.Write(bars);
// Save the data (other resolutions)
foreach (var res in new[] { Resolution.Minute, Resolution.Hour, Resolution.Daily })
{
var resData = downloader.AggregateBars(symbol, bars, res.ToTimeSpan());
writer = new LeanDataWriter(res, symbol, dataDirectory);
writer.Write(resData);
}
}
else
{
// Save the data (single resolution)
var writer = new LeanDataWriter(resolution, symbol, dataDirectory);
writer.Write(data);
}
startDate = auxEndDate;
auxEndDate = auxEndDate.AddDays(maxDays);
auxEndDate = new DateTime(Math.Min(auxEndDate.Ticks, endDate.Ticks));
}
}
}
}
catch (Exception err)
{
Log.Error(err);
}
finally
{
if (InteractiveBrokersGatewayRunner.IsRunning())
{
InteractiveBrokersGatewayRunner.Stop();
}
}
}
/// <summary>
/// Primary entry point to the program. This program only supports FOREX for now.
/// </summary>
public static void IBDownloader(IList <string> tickers, string resolution, DateTime fromDate, DateTime toDate)
{
if (resolution.IsNullOrEmpty() || tickers.IsNullOrEmpty())
{
Console.WriteLine("IBDownloader ERROR: '--tickers=' or '--resolution=' parameter is missing");
Console.WriteLine("--tickers=eg EURUSD,USDJPY");
Console.WriteLine("--resolution=Second/Minute/Hour/Daily/All");
Environment.Exit(1);
}
try
{
var allResolutions = resolution.ToLower() == "all";
var castResolution = allResolutions ? Resolution.Second : (Resolution)Enum.Parse(typeof(Resolution), resolution);
var startDate = fromDate.ConvertToUtc(TimeZones.NewYork);
var endDate = toDate.ConvertToUtc(TimeZones.NewYork);
// fix end date
endDate = new DateTime(Math.Min(endDate.Ticks, DateTime.Now.AddDays(-1).Ticks));
// Max number of histoy days
int maxDays = 1;
if (!allResolutions)
{
switch (castResolution)
{
case Resolution.Daily:
maxDays = 365;
break;
case Resolution.Hour:
maxDays = 30;
break;
case Resolution.Minute:
maxDays = 10;
break;
}
}
// Load settings from config.json
var dataDirectory = Config.Get("data-folder", "../../../Data");
// Create IB Broker Gateway Runner
InteractiveBrokersGatewayRunner.StartFromConfiguration();
// Only FOREX for now
SecurityType securityType = SecurityType.Forex;
string market = Market.FXCM;
using (var downloader = new IBDataDownloader())
{
foreach (var ticker in tickers)
{
// Download the data
var symbol = Symbol.Create(ticker, securityType, market);
var auxEndDate = startDate.AddDays(maxDays);
auxEndDate = new DateTime(Math.Min(auxEndDate.Ticks, endDate.Ticks));
while (startDate < auxEndDate)
{
var data = downloader.Get(symbol, castResolution, startDate, auxEndDate);
var bars = data.Cast <QuoteBar>().ToList();
if (allResolutions)
{
// Save the data (second resolution)
var writer = new LeanDataWriter(castResolution, symbol, dataDirectory);
writer.Write(bars);
// Save the data (other resolutions)
foreach (var res in new[] { Resolution.Minute, Resolution.Hour, Resolution.Daily })
{
var resData = downloader.AggregateBars(symbol, bars, res.ToTimeSpan());
writer = new LeanDataWriter(res, symbol, dataDirectory);
writer.Write(resData);
}
}
else
{
// Save the data (single resolution)
var writer = new LeanDataWriter(castResolution, symbol, dataDirectory);
writer.Write(data);
}
startDate = auxEndDate;
auxEndDate = auxEndDate.AddDays(maxDays);
auxEndDate = new DateTime(Math.Min(auxEndDate.Ticks, endDate.Ticks));
}
}
}
}
catch (Exception err)
{
Log.Error(err);
}
finally
{
if (InteractiveBrokersGatewayRunner.IsRunning())
{
InteractiveBrokersGatewayRunner.Stop();
}
}
}