/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="dataDownloaderGetParameters">model class for passing in parameters for historical data</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable <BaseData> Get(DataDownloaderGetParameters dataDownloaderGetParameters)
{
var symbol = dataDownloaderGetParameters.Symbol;
var resolution = dataDownloaderGetParameters.Resolution;
var startUtc = dataDownloaderGetParameters.StartUtc;
var endUtc = dataDownloaderGetParameters.EndUtc;
var tickType = dataDownloaderGetParameters.TickType;
if (tickType != TickType.Quote)
{
yield break;
}
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 or equal to the start date.");
}
// set the starting date
DateTime date = startUtc;
// loop until last date
while (date <= endUtc)
{
// request all ticks for a specific date
var ticks = DownloadTicks(symbol, date);
switch (resolution)
{
case Resolution.Tick:
foreach (var tick in ticks)
{
yield return(new Tick(tick.Time, symbol, tick.BidPrice, tick.AskPrice));
}
break;
case Resolution.Second:
case Resolution.Minute:
case Resolution.Hour:
case Resolution.Daily:
foreach (var bar in LeanData.AggregateTicks(ticks, symbol, resolution.ToTimeSpan()))
{
yield return(bar);
}
break;
}
date = date.AddDays(1);
}
}
/// <summary>
/// Primary entry point to the program
/// </summary>
public static void DukascopyDownloader(IList <string> tickers, string resolution, DateTime startDate, DateTime endDate)
{
if (resolution.IsNullOrEmpty() || tickers.IsNullOrEmpty())
{
Console.WriteLine("DukascopyDownloader ERROR: '--tickers=' or '--resolution=' parameter is missing");
Console.WriteLine("--tickers=eg EURUSD,USDJPY");
Console.WriteLine("--resolution=Tick/Second/Minute/Hour/Daily/All");
Environment.Exit(1);
}
try
{
// Load settings from command line
var allResolutions = resolution.ToLowerInvariant() == "all";
var castResolution = allResolutions ? Resolution.Tick : (Resolution)Enum.Parse(typeof(Resolution), resolution);
// Load settings from config.json
var dataDirectory = Config.Get("data-directory", "../../../Data");
// Download the data
var downloader = new DukascopyDataDownloader();
foreach (var ticker in tickers)
{
if (!downloader.HasSymbol(ticker))
{
throw new ArgumentException("The ticker " + ticker + " is not available.");
}
}
foreach (var ticker in tickers)
{
var securityType = downloader.GetSecurityType(ticker);
var symbolObject = Symbol.Create(ticker, securityType, Market.Dukascopy);
var data = downloader.Get(symbolObject, castResolution, startDate, endDate);
if (allResolutions)
{
var ticks = data.Cast <Tick>().ToList();
// Save the data (tick resolution)
var writer = new LeanDataWriter(castResolution, symbolObject, dataDirectory);
writer.Write(ticks);
// Save the data (other resolutions)
foreach (var res in new[] { Resolution.Second, Resolution.Minute, Resolution.Hour, Resolution.Daily })
{
var resData = LeanData.AggregateTicks(ticks, symbolObject, res.ToTimeSpan());
writer = new LeanDataWriter(res, symbolObject, dataDirectory);
writer.Write(resData);
}
}
else
{
// Save the data (single resolution)
var writer = new LeanDataWriter(castResolution, symbolObject, dataDirectory);
writer.Write(data);
}
}
}
catch (Exception err)
{
Log.Error(err);
}
}