/// <summary>
/// This event is raised when historical data arrives from TWS
/// </summary>
private void _client_HistoricalData(object sender, QDMSIBClient.HistoricalDataEventArgs e)
{
int id;
lock (_subReqMapLock)
{
//if the data is arriving for a sub-request, we must get the id of the original request first
//otherwise it's just the same id
id = _subRequestIDMap.ContainsKey(e.RequestId)
? _subRequestIDMap[e.RequestId]
: e.RequestId;
}
if (!_historicalDataRequests.ContainsKey(id))
{
//this means we don't have a request with this key. If all works well,
//it should mean that this is actually a realtime data request using the new system
return;
}
var bar = TWSUtils.HistoricalDataEventArgsToOHLCBar(e);
//stocks need to have their volumes multiplied by 100, I think all other instrument types do not
if (_historicalDataRequests[id].Instrument.Type == InstrumentType.Stock)
{
bar.Volume *= 100;
}
_arrivedHistoricalData[id].Add(bar);
}
/// <summary>
/// This event is raised when historical data arrives from TWS
/// </summary>
private void _client_HistoricalData(object sender, Krs.Ats.IBNet.HistoricalDataEventArgs e)
{
//convert the bar and add it to the Dictionary of arrived data
var bar = TWSUtils.HistoricalDataEventArgsToOHLCBar(e);
int id;
lock (_subReqMapLock)
{
//if the data is arriving for a sub-request, we must get the id of the original request first
//otherwise it's just the same id
id = _subRequestIDMap.ContainsKey(e.RequestId)
? _subRequestIDMap[e.RequestId]
: e.RequestId;
}
//stocks need to have their volumes multiplied by 100, I think all other instrument types do not
if (_historicalDataRequests[id].Instrument.Type == InstrumentType.Stock)
{
bar.Volume *= 100;
}
_arrivedHistoricalData[id].Add(bar);
if (e.RecordNumber >= e.RecordTotal - 1) //this was the last item to receive for this request, send it to the broker
{
bool requestComplete = true;
lock (_subReqMapLock)
{
if (_subRequestIDMap.ContainsKey(e.RequestId))
{
_subRequestIDMap.Remove(e.RequestId);
_subRequestCount[id]--;
if (_subRequestCount[id] > 0)
{
//What happens here: this is a subrequest.
//We check how many sub-requests in this group have been delivered.
//if this is the last one, we want to call HistoricalDataRequestComplete()
//otherwise there's more data to come, so we have to wait for it
requestComplete = false;
}
else
{
//if it is complete, we'll need to sort the data because subrequests may not come in in order
_arrivedHistoricalData[id] = _arrivedHistoricalData[id].OrderBy(x => x.DTOpen).ToList();
}
}
}
if (requestComplete)
{
HistoricalDataRequestComplete(id);
}
}
}
/// <summary>
/// This event is raised when historical data arrives from TWS
/// </summary>
private void _client_HistoricalData(object sender, Krs.Ats.IBNet.HistoricalDataEventArgs e)
{
//convert the bar and add it to the Dictionary of arrived data
var bar = TWSUtils.HistoricalDataEventArgsToOHLCBar(e);
int id;
lock (_subReqMapLock)
{
//if the data is arriving for a sub-request, we must get the id of the original request first
//otherwise it's just the same id
id = _subRequestIDMap.ContainsKey(e.RequestId)
? _subRequestIDMap[e.RequestId]
: e.RequestId;
}
//stocks need to have their volumes multiplied by 100, I think all other instrument types do not
if (_historicalDataRequests[id].Instrument.Type == InstrumentType.Stock)
{
bar.Volume *= 100;
}
_arrivedHistoricalData[id].Add(bar);
if (e.RecordNumber >= e.RecordTotal - 1) //this was the last item to receive for this request, send it to the broker
{
bool requestComplete = true;
lock (_subReqMapLock)
{
if (_subRequestIDMap.ContainsKey(e.RequestId))
{
//If there are sub-requests, here we check if this is the last one
requestComplete = ControlSubRequest(e.RequestId);
if (requestComplete)
{
//If it was the last one, we need to order the data because sub-requests can arrive out of order
_arrivedHistoricalData[id] = _arrivedHistoricalData[id].OrderBy(x => x.DTOpen).ToList();
}
}
}
if (requestComplete)
{
HistoricalDataRequestComplete(id);
}
}
}
