/// <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
{
var 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.DateTimeOpen).ToList();
}
}
}
if (requestComplete)
{
HistoricalDataRequestComplete(id);
}
}
}
