/// <summary>
/// Gets the history for the requested security
/// </summary>
/// <param name="request">The historical data request</param>
/// <returns>An enumerable of bars covering the span specified in the request</returns>
public override IEnumerable <BaseData> GetHistory(HistoryRequest request)
{
if (!_symbolMapper.IsKnownLeanSymbol(request.Symbol))
{
Log.Trace("OandaBrokerage.GetHistory(): Invalid symbol: {0}, no history returned", request.Symbol.Value);
yield break;
}
var exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.Oanda, request.Symbol, request.Symbol.SecurityType).TimeZone;
// Oanda only has 5-second bars, we return these for Resolution.Second
var period = request.Resolution == Resolution.Second ? TimeSpan.FromSeconds(5) : request.Resolution.ToTimeSpan();
// set the starting date/time
var startDateTime = request.StartTimeUtc;
// loop until last date
while (startDateTime <= request.EndTimeUtc)
{
// request blocks of bars at the requested resolution with a starting date/time
var quoteBars = _api.DownloadQuoteBars(request.Symbol, startDateTime, request.EndTimeUtc, request.Resolution, exchangeTimeZone).ToList();
if (quoteBars.Count == 0)
{
break;
}
foreach (var quoteBar in quoteBars)
{
yield return(quoteBar);
}
// calculate the next request datetime
startDateTime = quoteBars[quoteBars.Count - 1].Time.ConvertToUtc(exchangeTimeZone).Add(period);
}
}
public void ChecksForKnownSymbols()
{
#pragma warning disable 0618 // This test requires implicit operators
var mapper = new OandaSymbolMapper();
Assert.IsFalse(mapper.IsKnownBrokerageSymbol(null));
Assert.IsFalse(mapper.IsKnownBrokerageSymbol(""));
Assert.IsTrue(mapper.IsKnownBrokerageSymbol("EUR_USD"));
Assert.IsTrue(mapper.IsKnownBrokerageSymbol("DE30_EUR"));
Assert.IsFalse(mapper.IsKnownBrokerageSymbol("ABC_USD"));
Assert.IsFalse(mapper.IsKnownLeanSymbol(null));
Assert.IsFalse(mapper.IsKnownLeanSymbol(""));
Assert.IsFalse(mapper.IsKnownLeanSymbol(Symbol.Empty));
Assert.IsTrue(mapper.IsKnownLeanSymbol(Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda)));
Assert.IsFalse(mapper.IsKnownLeanSymbol(Symbol.Create("ABCUSD", SecurityType.Forex, Market.Oanda)));
Assert.IsFalse(mapper.IsKnownLeanSymbol(Symbol.Create("EURUSD", SecurityType.Cfd, Market.Oanda)));
Assert.IsFalse(mapper.IsKnownLeanSymbol(Symbol.Create("DE30EUR", SecurityType.Forex, Market.Oanda)));
#pragma warning restore 0618
}
/// <summary>
/// Gets the history for the requested security
/// </summary>
/// <param name="request">The historical data request</param>
/// <returns>An enumerable of bars covering the span specified in the request</returns>
public override IEnumerable <BaseData> GetHistory(HistoryRequest request)
{
if (!_symbolMapper.IsKnownLeanSymbol(request.Symbol))
{
Log.Trace("OandaBrokerage.GetHistory(): Invalid symbol: {0}, no history returned", request.Symbol.Value);
yield break;
}
var granularity = ToGranularity(request.Resolution);
// Oanda only has 5-second bars, we return these for Resolution.Second
var period = request.Resolution == Resolution.Second ?
TimeSpan.FromSeconds(5) : request.Resolution.ToTimeSpan();
// set the starting date/time
var startDateTime = request.StartTimeUtc;
// loop until last date
while (startDateTime <= request.EndTimeUtc)
{
var start = startDateTime.ToString("yyyy-MM-ddTHH:mm:ssZ");
// request blocks of bars at the requested resolution with a starting date/time
var oandaSymbol = _symbolMapper.GetBrokerageSymbol(request.Symbol);
var candles = DownloadBars(oandaSymbol, start, MaxBarsPerRequest, granularity, ECandleFormat.bidask);
if (candles.Count == 0)
{
break;
}
foreach (var candle in candles)
{
var time = GetDateTimeFromString(candle.time);
if (time > request.EndTimeUtc)
{
break;
}
var quoteBar = new QuoteBar(
time,
request.Symbol,
new Bar(
Convert.ToDecimal(candle.openBid),
Convert.ToDecimal(candle.highBid),
Convert.ToDecimal(candle.lowBid),
Convert.ToDecimal(candle.closeBid)
),
0,
new Bar(
Convert.ToDecimal(candle.openAsk),
Convert.ToDecimal(candle.highAsk),
Convert.ToDecimal(candle.lowAsk),
Convert.ToDecimal(candle.closeAsk)
),
0,
period);
yield return(quoteBar);
}
// calculate the next request datetime
startDateTime = GetDateTimeFromString(candles[candles.Count - 1].time).Add(period);
}
}
