/// <summary>
/// Sends a request for the history
/// </summary>
public string RequestHistory(TransportHistoryRequest request)
{
O2GRequestFactory factory = mSession.getRequestFactory();
O2GTimeframeCollection timeframes = factory.Timeframes;
O2GTimeframe timeframe = timeframes[request.Timeframe];
int count = request.Count > 300 ? 300 : request.Count;
O2GRequest rq = factory.createMarketDataSnapshotRequestInstrument(request.Instrument, timeframe, count);
if (request.From != factory.ZERODATE || request.To != factory.ZERODATE)
{
DateTime from, to;
from = request.From;
to = request.To;
/*
* if (request.From != factory.ZERODATE)
* from = mTimeConverter.convert(request.From, O2GTimeConverterTimeZone.EST, O2GTimeConverterTimeZone.UTC);
* else
* from = factory.ZERODATE;
*
* if (request.To != factory.ZERODATE)
* to = mTimeConverter.convert(request.To, O2GTimeConverterTimeZone.EST, O2GTimeConverterTimeZone.UTC);
* else
* to = factory.ZERODATE;
*/
factory.fillMarketDataSnapshotRequestTime(rq, from, to, false);
}
mHistoryRequests[rq.RequestID] = request;
mSession.sendRequest(rq);
return(rq.RequestID);
}
/// <summary>
/// Request historical prices for the specified timeframe of the specified period
/// </summary>
/// <param name="session"></param>
/// <param name="sInstrument"></param>
/// <param name="sTimeframe"></param>
/// <param name="dtFrom"></param>
/// <param name="dtTo"></param>
/// <param name="responseListener"></param>
public void GetHistoryPrices(O2GSession session, string sInstrument, string sTimeframe, DateTime dtFrom, DateTime dtTo, ResponseListener responseListener)
{
O2GRequestFactory factory = session.getRequestFactory();
O2GTimeframe timeframe = factory.Timeframes[sTimeframe];
if (timeframe == null)
{
throw new Exception(string.Format("Timeframe '{0}' is incorrect!", sTimeframe));
}
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(sInstrument, timeframe, 300);
DateTime dtFirst = dtTo;
do // cause there is limit for returned candles amount
{
factory.fillMarketDataSnapshotRequestTime(request, dtFrom, dtFirst, false);
responseListener.SetRequestID(request.RequestID);
session.sendRequest(request);
if (!responseListener.WaitEvents())
{
throw new Exception("Response waiting timeout expired");
}
// shift "to" bound to oldest datetime of returned data
O2GResponse response = responseListener.GetResponse();
if (response != null && response.Type == O2GResponseType.MarketDataSnapshot)
{
O2GResponseReaderFactory readerFactory = session.getResponseReaderFactory();
if (readerFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
if (DateTime.Compare(dtFirst, reader.getDate(0)) != 0)
{
dtFirst = reader.getDate(0); // earliest datetime of returned data
}
else
{
break;
}
}
else
{
// Console.WriteLine("0 rows received");
updateLogDelegate(string.Format("0 rows received"));
break;
}
}
// PrintPrices(session, response);
storeHistoryPriceToDataTable(session, response, sInstrument);
// DateTime.Subtraction(dtTo, dtFirst)/ Subtraction
long percent = (dtTo.Ticks - dtFirst.Ticks) * 100 / (dtTo.Ticks - dtFrom.Ticks);
updateProcessDelegate((int)percent, this.InstrumentDT.Rows.Count);
}
else
{
break;
}
} while (dtFirst > dtFrom);
}
/// <summary>
/// Request historical prices for the specified timeframe of the specified period
/// </summary>
/// <param name="session"></param>
/// <param name="sInstrument"></param>
/// <param name="sTimeframe"></param>
/// <param name="dtFrom"></param>
/// <param name="dtTo"></param>
/// <param name="responseListener"></param>
public static void GetHistoryPrices(O2GSession session, string sInstrument, string sTimeframe, DateTime dtFrom, DateTime dtTo, ResponseListener responseListener)
{
O2GRequestFactory factory = session.getRequestFactory();
O2GTimeframe timeframe = factory.Timeframes[sTimeframe];
if (timeframe == null)
{
throw new Exception(string.Format("Timeframe '{0}' is incorrect!", sTimeframe));
}
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(sInstrument, timeframe, 300);
DateTime dtFirst = dtTo;
do // cause there is limit for returned candles amount
{
factory.fillMarketDataSnapshotRequestTime(request, dtFrom, dtFirst, false, O2GCandleOpenPriceMode.PreviousClose);
responseListener.SetRequestID(request.RequestID);
session.sendRequest(request);
if (!responseListener.WaitEvents())
{
throw new Exception("Response waiting timeout expired");
}
// shift "to" bound to oldest datetime of returned data
O2GResponse response = responseListener.GetResponse();
if (response != null && response.Type == O2GResponseType.MarketDataSnapshot)
{
O2GResponseReaderFactory readerFactory = session.getResponseReaderFactory();
if (readerFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
if (DateTime.Compare(dtFirst, reader.getDate(0)) != 0)
{
dtFirst = reader.getDate(0); // earliest datetime of returned data
}
else
{
break;
}
}
else
{
Console.WriteLine("0 rows received");
break;
}
}
PrintPrices(session, response);
}
else
{
break;
}
} while (dtFirst > dtFrom);
}
private List <FxBar> getHistoryPrices(O2GSession session, string instrument, Resolution resolution, DateTime startDateTime, DateTime endDateTime, int maxBars, GetHistoricalDataResponseListener responseListener)
{
O2GRequestFactory factory = session.getRequestFactory();
var tf = convert_Resolution_To_string(resolution);
O2GTimeframe timeframe = factory.Timeframes[tf];
if (timeframe == null)
{
throw new TimeframeNotFoundException($"Timeframe '{resolution.TimeFrame}:{resolution.Size}' is incorrect!");
}
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(instrument, timeframe, maxBars);
factory.fillMarketDataSnapshotRequestTime(request, startDateTime, endDateTime, false);
responseListener.SetRequestID(request.RequestID);
session.sendRequest(request);
if (!responseListener.WaitEvents())
{
throw new Exception($"{responseListener.Error}");
}
O2GResponse response = responseListener.GetResponse();
List <FxBar> barList = new List <FxBar>();
if (response != null && response.Type == O2GResponseType.MarketDataSnapshot)
{
O2GResponseReaderFactory readerFactory = session.getResponseReaderFactory();
if (readerFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
for (int i = 0; i < reader.Count; i++)
{
barList.Add(new FxBar
{
Open = reader.getBidOpen(i),
High = reader.getBidHigh(i),
Low = reader.getBidLow(i),
Close = reader.getBidClose(i),
Volume = reader.getVolume(i),
DateTime = reader.getDate(i)
});
}
}
}
}
return(barList);
}
// Request
public void GetHistoryPrices(DateTime timeFrom, DateTime timeTo)
{
O2GRequestFactory factory = mSession.getRequestFactory();
O2GTimeframeCollection timeframes = factory.Timeframes;
O2GTimeframe tfo = timeframes["D1"];
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument("GBP/NZD", tfo, 7);
timeFrom = today;
timeTo = DateTime.Today;
factory.fillMarketDataSnapshotRequestTime(request, timeFrom, timeTo, false);
mSession.sendRequest(request);
Thread.Sleep(5000);
}
public void GetLongHistoricPrices(string symbol, string timeframe, int ticks)
{
_mktData = new Quantum();
Symbol = new Symbol(symbol);
session.AttachHandler(mHandler);
DateTime dateNow = DateTime.Now;
TimeSpan time = Timeframe.StringToTimeSpan(timeframe);
DateTime startDate = dateNow.AddMinutes(-ticks * Timeframe.TimeframeToMinutes(timeframe));
O2GRequestFactory factory = session.Session.getRequestFactory();
O2GTimeframeCollection timeframes = factory.Timeframes;
O2GTimeframe tfo = timeframes[timeframe];
int counter = ticks;
lock (locker)
{
while (counter > 0)
{
_completeCounter++;
int subticks = (counter >= QSConstants.MAX_FXCM_API_TICKS)
? QSConstants.MAX_FXCM_API_TICKS
: counter;
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(symbol, tfo, subticks);
factory.fillMarketDataSnapshotRequestTime(request, startDate,
startDate.AddMinutes(2 * subticks * Timeframe.TimeframeToMinutes(timeframe)));
session.Session.sendRequest(request);
startDate = startDate.AddMinutes(subticks * Timeframe.TimeframeToMinutes(timeframe));
counter -= (counter >= QSConstants.MAX_FXCM_API_TICKS) ? QSConstants.MAX_FXCM_API_TICKS : counter;
}
}
int timeCounter = 0;
while (!Complete || timeCounter++ < 3000) //max timeout 30 seconds
{
Thread.Sleep(100);
}
}
/// <summary>
/// Send request to API for data
/// </summary>
/// <param name="adjustedStartDate"></param>
/// <param name="endDate"></param>
/// <param name="dataSetup"></param>
public void sendRequest(DateTime adjustedStartDate, DateTime endDate, DataSetup dataSetup)
{
try
{
O2GRequestFactory factory = tss.Session.getRequestFactory();
O2GTimeframeCollection timeframes = factory.Timeframes;
O2GTimeframe tfo = timeframes[timeInterval];
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(currency, tfo, 300);
factory.fillMarketDataSnapshotRequestTime(request, adjustedStartDate, endDate, true);
Console.WriteLine("Requesting from " + adjustedStartDate.ToString("MM/dd/yyyy HH:mm:ss") + " to " + endDate.ToString("MM/dd/yyyy HH:mm:ss"));
logger.Debug("Requesting from " + adjustedStartDate.ToString("MM/dd/yyyy HH:mm:ss") + " to " + endDate.ToString("MM/dd/yyyy HH:mm:ss"));
tss.Session.sendRequest(request);
threadDictionary.Add(request.RequestID, dataSetup);
}
catch (Exception e)
{
MessageBox.Show("Error: " + e.Message);
}
}
private static void GetHistoryPrices(O2GSession session, string sInstrument, string sTimeframe, DateTime dtFrom, DateTime dtTo, ResponseListener responseListener)
{
try
{
StreamWriter m_data = new StreamWriter(OutData);
string m_string_to_write = "";
O2GRequestFactory factory = session.getRequestFactory();
O2GTimeframe timeframe = factory.Timeframes[sTimeframe];
if (timeframe == null)
{
throw new Exception(string.Format("Timeframe '{0}' is incorrect!", sTimeframe));
}
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(sInstrument, timeframe, 300);
DateTime dtFirst = dtTo;
do // cause there is limit for returned candles amount
{
factory.fillMarketDataSnapshotRequestTime(request, dtFrom, dtFirst, false);
responseListener.SetRequestID(request.RequestID);
session.sendRequest(request);
if (!responseListener.WaitEvents())
{
throw new Exception("Response waiting timeout expired");
}
// shift "to" bound to oldest datetime of returned data
O2GResponse response = responseListener.GetResponse();
if (response != null && response.Type == O2GResponseType.MarketDataSnapshot)
{
O2GResponseReaderFactory readerFactory = session.getResponseReaderFactory();
if (readerFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
if (DateTime.Compare(dtFirst, reader.getDate(0)) != 0)
{
dtFirst = reader.getDate(0); // earliest datetime of returned data
for (int nData = reader.Count - 1; nData > -1; nData--)
{
// reader.getDate(0);
m_string_to_write = reader.getDate(nData).ToString() + ";" +
reader.getAsk(nData).ToString() + ";" +
reader.getAskOpen(nData).ToString() + ";" +
reader.getAskClose(nData).ToString() + ";" +
reader.getAskLow(nData).ToString() + ";" +
reader.getAskHigh(nData).ToString() + ";" +
reader.getBid(nData).ToString() + ";" +
reader.getBidOpen(nData).ToString() + ";" +
reader.getBidClose(nData).ToString() + ";" +
reader.getBidLow(nData).ToString() + ";" +
reader.getBidHigh(nData).ToString() + ";" +
reader.getVolume(nData).ToString() + ";" +
reader.getLastBarTime().ToString() + ";" +
reader.getLastBarVolume().ToString();
m_data.WriteLine(m_string_to_write);
}
}
else
{
break;
}
}
else
{
Console.WriteLine("0 rows received");
break;
}
}
// PrintPrices(session, response);
}
else
{
break;
}
} while (dtFirst > dtFrom);
m_data.Close();
}
catch (Exception e)
{
int ErrorCounter = 0;
if (ErrorCounter > 5)
{
LogDirector.DoAction(4, e);
}
else
{
ErrorCounter++;
LogDirector.DoAction(2, e);
GetHistoryPrices(session, sInstrument, sTimeframe, dtFrom, dtTo, responseListener);
}
}
}
private void GetHistoryPrices(O2GSession O2GSession, string Instrument, string Interval, DateTime DtFrom, DateTime DtTo)
{
m_responseListener = new ResponseListener(O2GSession);
O2GSession.subscribeResponse(m_responseListener);
O2GRequestFactory factory = O2GSession.getRequestFactory();
O2GTimeframeCollection timeframecollection = factory.Timeframes;
O2GTimeframe Timeframe = timeframecollection[Interval];
if (Timeframe == null)
{
throw new Exception(string.Format("Timeframe '{0}' is incorrect!", Timeframe));
}
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(Instrument, Timeframe, 300);
DateTime DtFirst = DtTo;
DateTime DatePrec = System.DateTime.MinValue;
//TimeSpan PricesTimeSpan = System.TimeSpan.MinValue;
//if (Interval == "m5")
//{
// PricesTimeSpan = new TimeSpan(0, 0, 5, 0, 0);
//}
do // cause there is limit for returned candles amount
{
factory.fillMarketDataSnapshotRequestTime(request, DtFrom, DtFirst, false);
m_responseListener.SetRequestID(request.RequestID);
O2GSession.sendRequest(request);
if (!m_responseListener.WaitEvents())
{
throw new Exception("Response waiting timeout expired");
}
// shift "to" bound to oldest datetime of returned data
O2GResponse response = m_responseListener.GetResponse();
if (response != null && response.Type == O2GResponseType.MarketDataSnapshot)
{
O2GResponseReaderFactory readerFactory = O2GSession.getResponseReaderFactory();
if (readerFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
if (DateTime.Compare(DtFirst, reader.getDate(0)) != 0)
{
DtFirst = reader.getDate(0); // earliest datetime of returned data
for (int nData = reader.Count - 1; nData > -1; nData--)
{
if (reader.getDate(nData) != DatePrec)
{
m_datetime.Add(reader.getDate(nData));
m_ask.Add(reader.getAsk(nData));
m_askopen.Add(reader.getAskOpen(nData));
m_askclose.Add(reader.getAskClose(nData));
m_askhigh.Add(reader.getAskHigh(nData));
m_asklow.Add(reader.getAskLow(nData));
m_bid.Add(reader.getBid(nData));
m_bidopen.Add(reader.getBidOpen(nData));
m_bidclose.Add(reader.getBidClose(nData));
m_bidhigh.Add(reader.getBidHigh(nData));
m_bidlow.Add(reader.getBidLow(nData));
}
//else
//{
// break;
//}
DatePrec = reader.getDate(nData);
}
}
else
{
break;
}
}
else
{
Console.WriteLine("0 rows received");
break;
}
}
// PrintPrices(session, response);
}
else
{
break;
}
} while (DtFirst > DtFrom);
m_datetime.Reverse();
m_ask.Reverse();
m_askopen.Reverse();
m_askclose.Reverse();
m_askhigh.Reverse();
m_asklow.Reverse();
m_bid.Reverse();
m_bidopen.Reverse();
m_bidclose.Reverse();
m_bidhigh.Reverse();
m_bidlow.Reverse();
}
/// <summary>
/// Fetches historical data from FXCM server
/// </summary>
/// <param name="historicDataRequest"></param>
public void GetHistoricalData(HistoricDataRequest historicDataRequest)
{
// Create a new factory
O2GRequestFactory factory = _session.getRequestFactory();
// Get time frame
O2GTimeframe timeframe = factory.Timeframes[GetFxcmTimeFrame(historicDataRequest)];
if (timeframe == null)
{
_logger.Error("Invalid time format", _type.FullName, "GetHistoricalData");
return;
}
// Clear any existing data
_barCollection.Clear();
// Request historical snapshot
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(historicDataRequest.Security.Symbol, timeframe, 300);
DateTime endTime = historicDataRequest.EndTime;
do // cause there is limit for returned candles amount
{
factory.fillMarketDataSnapshotRequestTime(request, historicDataRequest.StartTime, endTime, false);
SetRequestId(request.RequestID);
_session.sendRequest(request);
if (!WaitEvents())
{
_logger.Error("Response waiting timeout expired", _type.FullName, "GetHistoricalData");
return;
}
// Shift "to" bound to oldest datetime of returned data
O2GResponse response = GetResponse();
if (response != null && response.Type == O2GResponseType.MarketDataSnapshot)
{
O2GResponseReaderFactory readerFactory = _session.getResponseReaderFactory();
if (readerFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
if (DateTime.Compare(endTime, reader.getDate(0)) != 0)
{
endTime = reader.getDate(0); // earliest datetime of returned data
}
else
{
break;
}
}
else
{
if (_logger.IsInfoEnabled)
{
_logger.Info("Response waiting timeout expired", _type.FullName, "GetHistoricalData");
}
break;
}
}
ExtractPrices(_session, response, historicDataRequest);
}
else
{
break;
}
} while (endTime > historicDataRequest.StartTime);
if (_barCollection.Count > 0)
{
if (_historicalDataEvent != null)
{
_barCollection.Reverse();
// Create historical data object
var historicalData = new HistoricBarData(historicDataRequest.Security, historicDataRequest.MarketDataProvider, DateTime.UtcNow);
historicalData.Bars = _barCollection.ToArray();
historicalData.ReqId = historicDataRequest.Id;
// Raise Event
_historicalDataEvent(historicalData);
}
_barCollection.Clear();
}
}
