public List<BarData> RetrieveData(Symbol symbol, int frequency, DateTime startDate, DateTime endDate, BarConstructionType barConstruction)
{
ClearError();
if (iqFeed == null)
{
if (!CreateIQFeed())
{
lastError = "Unable to connect to IQFeed";
hadError = true;
return null;
}
}
ReturnValue<List<BarData>> ret = iqFeed.GetHistoricalBarData(symbol, frequency, startDate, endDate);
if (!ret.Success)
{
lastError = ret.ReturnCode.Message;
hadError = true;
return null;
}
// Filter out bars outside of the time frame we requested.
List<BarData> bars = new List<BarData>(ret.Value.Count);
foreach (BarData bar in ret.Value)
{
if (bar.BarStartTime >= startDate && bar.BarStartTime <= endDate)
{
bars.Add(bar);
}
}
if (dropLastHistBar && bars.Count > 0)
{
bars.RemoveAt(bars.Count - 1);
}
return bars;
}
public List <BarData> RetrieveData(Symbol symbol, int frequency, DateTime startDate, DateTime endDate, BarConstructionType barConstruction)
{
if (frequency != (int)BarFrequency.Daily && frequency != (int)BarFrequency.FiveMinute && frequency != (int)BarFrequency.OneMinute)
{
return(new List <BarData>());
}
if (startDate == DateTime.MinValue)
{
// I think this is about as far back as Yahoo will go
startDate = new DateTime(1960, 1, 1);
}
int startMonth = startDate.Month - 1;
int endMonth = endDate.Month - 1;
// Alphavantage API Demo
// https://www.alphavantage.co/query?function=TIME_SERIES_DAILY&symbol=MSFT&apikey=XXPUTYOURKEYHERE
string baseURL = "https://www.alphavantage.co/query?";
string url = baseURL + "function=TIME_SERIES_DAILY&symbol=" + symbol.Name + "&apikey=XXPUTYOURKEYHERE";
if (frequency == (int)BarFrequency.Daily)
{
// Use Above
}
if (startDate.Date == DateTime.Today)
{
// Alphavantage
// https://www.alphavantage.co/query?function=GLOBAL_QUOTE&symbol=GSAT&apikey=XXPUTYOURKEYHERE
baseURL = "https://www.alphavantage.co/query?";
url = baseURL + "function=GLOBAL_QUOTE&symbol=" + symbol.Name + "&apikey=XXPUTYOURKEYHERE";
}
if (frequency == (int)BarFrequency.FiveMinute)
{
// Alphavantage
// https://www.alphavantage.co/query?function=TIME_SERIES_INTRADAY&symbol=MSFT&interval=5min&apikey=XXPUTYOURKEYHERE
baseURL = "https://www.alphavantage.co/query?";
url = baseURL + "function=TIME_SERIES_INTRADAY&symbol=" + symbol.Name + "&interval=5min&outputsize=full&apikey=XXPUTYOURKEYHERE";
}
if (frequency == (int)BarFrequency.OneMinute)
{
// Alphavantage
// https://www.alphavantage.co/query?function=TIME_SERIES_INTRADAY&symbol=MSFT&interval=1min&apikey=XXPUTYOURKEYHERE
baseURL = "https://www.alphavantage.co/query?";
url = baseURL + "function=TIME_SERIES_INTRADAY&symbol=" + symbol.Name + "&interval=1min&outputsize=full&apikey=XXPUTYOURKEYHERE";
}
WebResponse result = null;
WebRequest req = WebRequest.Create(url);
result = req.GetResponse();
Stream receiveStream = result.GetResponseStream();
Encoding encode = System.Text.Encoding.GetEncoding("utf-8");
StreamReader sr = new StreamReader(receiveStream, encode);
List <BarData> bars = new List <BarData>();
if (frequency == (int)BarFrequency.OneMinute)
{
PutRawDataInBarCollectionIntra1m(sr, bars);
}
else
if (frequency == (int)BarFrequency.FiveMinute)
{
PutRawDataInBarCollectionIntra5m(sr, bars);
}
else if (startDate.Date == DateTime.Today)
{
PutRawDataInBarCollectionRT(sr, bars);
}
else
{
PutRawDataInBarCollectionJSON(sr, bars);
}
sr.Close();
List <BarData> ret = new List <BarData>();
// Sort bars and remove duplicates
foreach (BarData bar in bars.OrderBy(b => b.BarStartTime))
{
if (ret.Count > 0 && ret[ret.Count - 1].BarStartTime == bar.BarStartTime)
{
// Avoid duplicate bars (but take the "later" one)
ret[ret.Count - 1] = bar;
}
else
{
ret.Add(bar);
}
}
return(ret);
//return bars.OrderBy(b => b.BarStartTime).ToList();
}
public List<BarData> RetrieveData(Symbol symbol, int frequency, DateTime startDate, DateTime endDate, BarConstructionType barConstruction)
{
if (_histRetrieval != null)
{
lastError = "Historical data retrieval already in progress.";
return null;
}
if (Thread.CurrentThread.Name == null)
{
Thread.CurrentThread.Name = "RetrieveData thread";
}
Trace.WriteLine("RetrieveData: " + startDate.ToString() + "-" + endDate.ToString() + " Thread: " +
Thread.CurrentThread.ManagedThreadId.ToString("x"));
ClearError();
if (!_connected)
{
if (!Connect(ServiceConnectOptions.HistoricalData))
{
return null;
}
}
EventHandler<HistoricalDataEventArgs> handler = null;
try
{
BarSize barSize;
//string TWSFreq;
// Legal ones are: 1 secs, 5 secs, 15 secs, 30 secs, 1 min, 2 mins, 3 mins, 5 mins, 15 mins, 30 mins, 1 hour, 1 day, 1 week, 1 month, 3 months, 1 year
if (frequency == (int)BarFrequency.OneMinute)
{
//TWSFreq = "1 min";
barSize = BarSize.OneMinute;
}
else if (frequency == 2)
{
//TWSFreq = "2 mins";
barSize = BarSize.TwoMinutes;
}
else if (frequency == 3)
{
//TWSFreq = "3 mins";
barSize = BarSize.ThreeMinutes;
}
else if (frequency == (int)BarFrequency.FiveMinute)
{
//TWSFreq = "5 mins";
barSize = BarSize.FiveMinutes;
}
else if (frequency == (int)BarFrequency.FifteenMinute)
{
//TWSFreq = "15 mins";
barSize = BarSize.FifteenMinutes;
}
else if (frequency == (int)BarFrequency.ThirtyMinute)
{
//TWSFreq = "30 mins";
barSize = BarSize.ThirtyMinutes;
}
else if (frequency == (int)BarFrequency.SixtyMinute)
{
//TWSFreq = "1 hour";
barSize = BarSize.OneHour;
}
else if (frequency == (int)BarFrequency.Daily)
{
//TWSFreq = "1 day";
barSize = BarSize.OneDay;
}
else if (frequency == (int)BarFrequency.Weekly)
{
//TWSFreq = "1 week";
barSize = BarSize.OneWeek;
}
else if (frequency == (int)BarFrequency.Monthly)
{
//TWSFreq = "1 month";
barSize = BarSize.OneMonth;
}
else if (frequency == (int)BarFrequency.Yearly)
{
//TWSFreq = "1 year";
barSize = BarSize.OneYear;
}
else
{
lastError = "Frequency not supported for historical data retrieval.";
return null;
}
DateTime accountTime = GetAccountTime("RetrieveData call");
if (endDate > accountTime || endDate == DateTime.MinValue)
{
endDate = accountTime.AddHours(12);
}
_histRetrieval = new HistRetrieval();
_histRetrieval.client = client;
_histRetrieval.twsPlugin = this;
_histRetrieval.symbol = symbol;
_histRetrieval.barSize = barSize;
_histRetrieval.startDate = startDate;
_histRetrieval.endDate = endDate;
_histRetrieval.RTHOnly = _useRTH;
_histRetrieval.BarConstruction = barConstruction;
_histRetrieval.waitEvent = new ManualResetEvent(false);
//if (_firstHistRequest)
//{
// // The first request for historical data seems to fail. So we will submit a small request first and then wait a bit
// _histRetrieval.barSize = BarSize.OneDay;
// _histRetrieval.Duration = new TimeSpan(5, 0, 0, 0);
// _histRetrieval.SendRequest();
// Trace.WriteLine("TWS Plugin sleeping...");
// Thread.Sleep(2500);
// Trace.WriteLine("TWS Plugin done sleeping.");
// if (hadError)
// {
// return null;
// }
// _firstHistRequest = false;
//}
_histRetrieval.barSize = barSize;
// Requesting a duration which will return more than 2000 bars gives an "invalid step" error message
// See http://www.interactivebrokers.com/cgi-bin/discus/board-auth.pl?file=/2/39164.html
// So we need to find the largest duration which will return less than 2000 bars
// Since the trading day is from 9:30 to 4:00, there are 6.5 hours, or 390 minutes per trading day
// This means that 5 days will have a bit less than 2000 bars.
if (frequency < (int)BarFrequency.Daily)
{
_histRetrieval.Duration = new TimeSpan(5, 0, 0, 0);
}
else
{
//_histRetrieval.Duration = new TimeSpan(7, 0, 0, 0);
// Can only request up to 52 weeks at once
// Requesting data that is more than a year old will reject the whole request
_histRetrieval.Duration = new TimeSpan(360, 0, 0, 0);
}
handler = new EventHandler<HistoricalDataEventArgs>(
delegate(object sender, HistoricalDataEventArgs args)
{
_histRetrieval.GotData(args);
});
client.HistoricalData += handler;
int pacingPause = 1000;
while (!_histRetrieval.Done)
{
_histRetrieval.waitEvent.Reset();
_histRetrieval.SendRequest();
_histRetrieval.waitEvent.WaitOne();
if (!CheckError())
{
return null;
}
if (_histRetrieval.bPaused)
{
Trace.WriteLine("Waiting " + pacingPause + " ms.");
Thread.Sleep(pacingPause);
Trace.WriteLine("Attempting to resume data collection.");
_histRetrieval.bPaused = false;
if (pacingPause < 30000)
{
pacingPause *= 2;
}
}
else
{
pacingPause = 1000;
}
}
if (!CheckError())
return null;
_histRetrieval.ret.Reverse();
if (dropLastHistBar && _histRetrieval.ret.Count > 0)
{
_histRetrieval.ret.RemoveAt(_histRetrieval.ret.Count - 1);
}
return _histRetrieval.ret;
}
finally
{
if (handler != null)
{
client.HistoricalData -= handler;
}
_histRetrieval = null;
}
}
