public async Task RunAsync()
{
// *************************************
// Step 1 - !!! Configure your credentials for IQConnect in user environment variable or app.config !!!
// Check the documentation for more information.
// Step 2 - Run IQConnect launcher
IQFeedLauncher.Start();
// Step 3 - Use the appropriate factory to create the client
var lookupClient = LookupClientFactory.CreateNew();
// Step 4 - Connect it
lookupClient.Connect();
var tmpFilename = await lookupClient.Historical.File.GetHistoryTickDatapointsAsync(Symbol, 1000);
// Step 5 - Make file request!
// Step 6 - Move the file
var basePath = Path.Combine(AppDomain.CurrentDomain.BaseDirectory, DownloadBasePath);
var fullPath = Path.Combine(basePath, $"{DateTime.Now:yyyyMMddHHmmss}-{Symbol}.csv");
Directory.CreateDirectory(basePath);
File.Move(tmpFilename, fullPath);
// Step 7 - Parse TickMessages from saved file
var ticks = TickMessage.ParseFromFile(fullPath).ToList();
Console.WriteLine($"Saved {Symbol} ticks in {fullPath}");
}
public void Should_Resample_Bars_From_Ticks()
{
// Arrange
var ticks = TickMessage.ParseFromFile(TestData.TestData.GetFileName(TestDataType.Ticks, DataDirection.Oldest)).ToList();
var intervals = IntervalMessage.ParseFromFile(TestData.TestData.GetFileName(TestDataType.Intervals_1s, DataDirection.Oldest)).ToList();
// Act
var bars = ticks.ToHistoricalBars(TimeSpan.FromSeconds(1), DataDirection.Oldest).ToList().ToList();
// Assert
Assert.IsNotEmpty(intervals);
Assert.AreEqual(intervals.Count, bars.Count);
for (var i = 0; i < intervals.Count; i++)
{
var interval = intervals[i];
var bar = bars[i];
// TODO: create comparable
if (interval.Timestamp == bar.Timestamp &&
interval.Open == bar.Open &&
interval.High == bar.High &&
interval.Low == bar.Low &&
interval.Close == bar.Close &&
interval.PeriodVolume == bar.PeriodVolume &&
interval.TotalVolume == bar.TotalVolume)
{
continue;
}
throw new Exception();
}
}
public void Should_Load_And_Parse_Protocol60_Data_From_File()
{
// Arrange
var ticks = TickMessage.ParseFromFile(TestData.TestData.GetFileName(TestDataType.Ticks, DataDirection.Oldest, true)).ToList();
// Assert
Assert.IsNotEmpty(ticks);
}
/// <summary>
/// Stream IQFeed TickMessages from disk to Lean Tick
/// </summary>
/// <param name="filename"></param>
/// <param name="request"></param>
/// <param name="tickFunc"></param>
/// <param name="delete"></param>
/// <returns>Converted Tick</returns>
private IEnumerable <BaseData> GetDataFromTickMessages(string filename, HistoryRequest request, Func <DateTime, Symbol, TickMessage, Tick> tickFunc, bool delete)
{
var dataTimeZone = _marketHoursDatabase.GetDataTimeZone(request.Symbol.ID.Market, request.Symbol, request.Symbol.SecurityType);
// We need to discard ticks which are not impacting the price, i.e those having BasisForLast = O
// To get a better understanding how IQFeed is resampling ticks, have a look to this algorithm:
// https://github.com/mathpaquette/IQFeed.CSharpApiClient/blob/1b33250e057dfd6cd77e5ee35fa16aebfc8fbe79/src/IQFeed.CSharpApiClient.Extensions/Lookup/Historical/Resample/TickMessageExtensions.cs#L41
foreach (var tick in TickMessage.ParseFromFile(filename).Where(t => t.BasisForLast != 'O'))
{
var timestamp = tick.Timestamp.ConvertTo(TimeZones.NewYork, dataTimeZone);
yield return(tickFunc(timestamp, request.Symbol, tick));
}
if (delete)
{
File.Delete(filename);
}
}
/// <summary>
/// Stream IQFeed TickMessages from disk to Lean Tick
/// </summary>
/// <param name="filename"></param>
/// <param name="request"></param>
/// <param name="isEquity"></param>
/// <returns>Converted Tick</returns>
private IEnumerable <BaseData> GetDataFromTickMessages(string filename, HistoryRequest request)
{
var dataTimeZone = _marketHoursDatabase.GetDataTimeZone(request.Symbol.ID.Market, request.Symbol, request.Symbol.SecurityType);
// We need to discard ticks which are not impacting the price, i.e those having BasisForLast = O
// To get a better understanding how IQFeed is resampling ticks, have a look to this algorithm:
// https://github.com/mathpaquette/IQFeed.CSharpApiClient/blob/1b33250e057dfd6cd77e5ee35fa16aebfc8fbe79/src/IQFeed.CSharpApiClient.Extensions/Lookup/Historical/Resample/TickMessageExtensions.cs#L41
foreach (var tick in TickMessage.ParseFromFile(filename).Where(t => t.BasisForLast != 'O'))
{
var timestamp = tick.Timestamp.ConvertTo(TimeZones.NewYork, dataTimeZone);
// trade
yield return(new Tick(
timestamp,
request.Symbol,
tick.TradeConditions,
tick.TradeMarketCenter.ToStringInvariant(),
tick.LastSize,
(decimal)tick.Last
));
// quote
yield return(new Tick(
timestamp,
request.Symbol,
tick.TradeConditions,
tick.TradeMarketCenter.ToStringInvariant(),
0, // not provided by IQFeed on history
(decimal)tick.Bid,
0, // not provided by IQFeed on history
(decimal)tick.Ask
));
}
File.Delete(filename);
}