/// <summary>
/// Arguments are GOOG/IB, rundate, basketfile, datapath
/// </summary>
static void Main(string[] args)
{
#region parameters
string _client = "IB"; // IB or GOOG
IClient _iclient;
string _enddate = DateTime.Today.ToString("yyyyMMdd");
string _basketfile = @"c:\QuantTrading\Config\basket.xml";
string _datapath = @"c:\QuantTrading\HistData\";
Basket _basket;
if (args.Length > 0)
{
_client = args[0];
}
if (args.Length > 1)
{
_enddate = args[1];
}
if (args.Length > 2)
{
_basketfile = args[2];
}
if (args.Length > 3)
{
_datapath = args[3];
}
_datapath = _datapath + _client + @"\";
_basket = Basket.DeserializeFromXML(_basketfile);
#endregion
_sec2bars = new Dictionary <string, List <string> >(_basket.Count);
Dictionary <string, string> _outfiles = new Dictionary <string, string>(_basket.Count);
Dictionary <string, long> _totalBars = new Dictionary <string, long>(_basket.Count);
_processedBars = new Dictionary <string, long>(_basket.Count);
DateTime _startTime = DateTime.SpecifyKind(DateTime.ParseExact(_enddate, "yyyyMMdd", null), DateTimeKind.Local);
DateTime _endTime = _startTime + new TimeSpan(1, 0, 0, 0); // one day later
double sec = _endTime.Subtract(_startTime).TotalSeconds; // should be 24 hours or 86,400 secs
foreach (string s in _basket.Securities)
{
// set up bar counts
_totalBars.Add(s, (long)sec); // one bar is one sec; if one minute, divide it by 60
_processedBars.Add(s, 0); // initialize processed to 0
// set up out filenames
string filename = _datapath + s + "_" + _startTime.Date.ToString("yyyyMMdd") + ".csv";
_outfiles.Add(s, filename);
List <string> lines = new List <string>(90000); // set something greater than 86,4000
lines.Add("DateTime,Open,High,Low,Close,Volume");
_sec2bars.Add(s, lines);
}
if (_client == "IB")
{
_iclient = new IBClient(); // currently it uses default ip:port
_iclient.SendDebugEventDelegate += _iclient_SendDebugEventDelegate;
_iclient.GotHistoricalBarDelegate += _iclient_GotHistoricalBarDelegate;
_iclient.Connect();
long totalRequests = (long)sec / 1800; // one request is 30 min, totalRequests = 48
TimeSpan thirtyMin = new TimeSpan(0, 30, 0);
foreach (string sym in _basket.Securities)
{
DateTime s = _startTime;
DateTime t = _startTime + thirtyMin;
Console.WriteLine("Requesting historical bars for :" + sym);
for (int i = 0; i < totalRequests; i++)
{
Console.WriteLine("Request #: " + (i + 1).ToString() + "/" + totalRequests);
// 1 = 1 second
BarRequest br = new BarRequest(sym, 1, Util.ToIntDate(s.Date), Util.ToIntTime(s.Hour, s.Minute, s.Second),
Util.ToIntDate(t.Date), Util.ToIntTime(t.Hour, t.Minute, t.Second), _client);
_iclient.RequestHistoricalData(br, true);
// Do not make more than 60 historical data requests in any ten-minute period.
// If I have 10 names, each can only make 6 requests in ten minute;
// I use 5 minute for a pause; Then 24 hours takes 120 min or 1.5hour
// Thread.Sleep(new TimeSpan(0, 5, 0));
// wait 10 secs
Thread.Sleep(10000);
s += thirtyMin;
t += thirtyMin;
}
}
}
else if (_client == "GOOG")
{
_iclient = new GoogleClient(1);
_iclient.SendDebugEventDelegate += _iclient_SendDebugEventDelegate;
_iclient.GotHistoricalBarDelegate += _iclient_GotHistoricalBarDelegate;
foreach (string sym in _basket.Securities)
{
Console.WriteLine("Requesting historical bars for :" + sym);
BarRequest br = new BarRequest(sym, 60, Util.ToIntDate(DateTime.Today), Util.ToIntTime(DateTime.Today),
Util.ToIntDate(DateTime.Today), Util.ToIntTime(DateTime.Today), _client);
_iclient.RequestHistoricalData(br);
}
}
// write to files
Console.WriteLine("Wait three minutes for bars being processed.....");
Thread.Sleep(new TimeSpan(0, 3, 0)); // wait three minutes for all hist bar to be processed.
foreach (string s in _basket.Securities)
{
List <string> noDups = _sec2bars[s].Distinct().ToList();
//_sec2bars[s].Insert(0, _processedBars[s].ToString());
File.WriteAllLines(_outfiles[s], noDups);
}
}