/// <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 (resolution == Resolution.Tick || resolution == Resolution.Second)
{
throw new ArgumentException($"Resolution not available: {resolution}");
}
if (!_symbolMapper.IsKnownLeanSymbol(symbol))
{
throw new ArgumentException($"The ticker {symbol.Value} is not available.");
}
if (endUtc < startUtc)
{
throw new ArgumentException("The end date must be greater or equal than the start date.");
}
var historyRequest = new HistoryRequest(
startUtc,
endUtc,
typeof(TradeBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.EasternStandard),
DateTimeZone.Utc,
resolution,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Quote);
var data = _brokerage.GetHistory(historyRequest);
return(data);
}
private bool CanSubscribe(Symbol symbol)
{
if (symbol.Value.Contains("UNIVERSE") || !_symbolMapper.IsKnownLeanSymbol(symbol))
{
return(false);
}
return(symbol.ID.Market == Market.Bitfinex);
}
/// <summary>
/// Creates websocket message subscriptions for the supplied symbols
/// </summary>
public override void Subscribe(IEnumerable <Symbol> symbols)
{
var fullList = GetSubscribed().Union(symbols);
var pendingSymbols = new List <Symbol>();
foreach (var item in fullList)
{
if (_symbolMapper.IsKnownLeanSymbol(item))
{
pendingSymbols.Add(item);
}
else if (item.SecurityType == SecurityType.Crypto)
{
Log.Error($"Unknown GDAX symbol: {item.Value}");
}
else
{
//todo: refactor this outside brokerage
//alternative service: http://openexchangerates.org/latest.json
PollTick(item);
}
}
var products = pendingSymbols
.Select(s => _symbolMapper.GetBrokerageSymbol(s))
.ToArray();
var payload = new
{
type = "subscribe",
product_ids = products,
channels = ChannelNames
};
if (payload.product_ids.Length == 0)
{
return;
}
var token = GetAuthenticationToken(string.Empty, "GET", "/users/self/verify");
var json = JsonConvert.SerializeObject(new
{
type = payload.type,
channels = payload.channels,
product_ids = payload.product_ids,
timestamp = token.Timestamp,
key = ApiKey,
passphrase = _passPhrase,
signature = token.Signature,
});
WebSocket.Send(json);
Log.Trace("GDAXBrokerage.Subscribe: Sent subscribe.");
}
/// <summary>
/// Subscribe to the specified configuration
/// </summary>
/// <param name="dataConfig">defines the parameters to subscribe to a data feed</param>
/// <param name="newDataAvailableHandler">handler to be fired on new data available</param>
/// <returns>The new enumerator for this subscription request</returns>
public IEnumerator <BaseData> Subscribe(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
{
var symbol = dataConfig.Symbol;
if (symbol.Value.Contains("UNIVERSE") ||
!_symbolMapper.IsKnownLeanSymbol(symbol))
{
return(Enumerable.Empty <BaseData>().GetEnumerator());
}
var enumerator = _aggregator.Add(dataConfig, newDataAvailableHandler);
SubscriptionManager.Subscribe(dataConfig);
return(enumerator);
}
/// <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.Trade)
{
return(Enumerable.Empty <BaseData>());
}
if (resolution == Resolution.Tick || resolution == Resolution.Second)
{
throw new ArgumentException($"Resolution not available: {resolution}");
}
if (!_symbolMapper.IsKnownLeanSymbol(symbol))
{
throw new ArgumentException($"The ticker {symbol.Value} is not available.");
}
if (endUtc < startUtc)
{
throw new ArgumentException("The end date must be greater or equal than the start date.");
}
var historyRequest = new HistoryRequest(
startUtc,
endUtc,
typeof(TradeBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.EasternStandard),
DateTimeZone.Utc,
resolution,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Trade);
var data = _brokerage.GetHistory(historyRequest);
return(data);
}
