/// <summary>
/// Called ona reply to a historical data request
/// </summary>
private void HandleHistoricalDataRequestReply()
{
using (var ms = new MemoryStream())
{
// 2nd message part: the HistoricalDataRequest object that was used to make the request
bool hasMore;
var requestBuffer = _historicalDataSocket.ReceiveFrameBytes(out hasMore);
if (!hasMore)
{
return;
}
var request = MyUtils.ProtoBufDeserialize <HistoricalDataRequest>(requestBuffer, ms);
// 3rd message part: the size of the uncompressed, serialized data. Necessary for decompression.
var sizeBuffer = _historicalDataSocket.ReceiveFrameBytes(out hasMore);
if (!hasMore)
{
return;
}
var outputSize = BitConverter.ToInt32(sizeBuffer, 0);
// 4th message part: the compressed serialized data.
var dataBuffer = _historicalDataSocket.ReceiveFrameBytes();
var decompressed = LZ4Codec.Decode(dataBuffer, 0, dataBuffer.Length, outputSize);
var data = MyUtils.ProtoBufDeserialize <List <OHLCBar> >(decompressed, ms);
// Remove from pending requests
lock (_pendingHistoricalRequestsLock)
{
PendingHistoricalRequests.RemoveAll(x => x.RequestID == request.RequestID);
}
RaiseEvent(HistoricalDataReceived, this, new HistoricalDataEventArgs(request, data));
}
}
/// <summary>
/// Request historical data. Data will be delivered through the HistoricalDataReceived event.
/// </summary>
/// <returns>An ID uniquely identifying this historical data request. -1 if there was an error.</returns>
public int RequestHistoricalData(HistoricalDataRequest request)
{
if (request == null)
{
RaiseEvent(Error, this, new ErrorArgs(-1, "Historical Data Request Failed: Request cannot be null."));
return(-1);
}
if (request.EndingDate < request.StartingDate)
{
RaiseEvent(Error, this,
new ErrorArgs(-1, "Historical Data Request Failed: Starting date must be after ending date."));
return(-1);
}
if (request.Instrument == null)
{
RaiseEvent(Error, this, new ErrorArgs(-1, "Historical Data Request Failed: Instrument cannot be null."));
return(-1);
}
if (!ClientRunningAndIsConnected)
{
RaiseEvent(Error, this, new ErrorArgs(-1, "Could not request historical data - not connected."));
return(-1);
}
if (!request.RTHOnly && request.Frequency >= BarSize.OneDay &&
request.DataLocation != DataLocation.ExternalOnly)
{
RaiseEvent(
Error,
this,
new ErrorArgs(
-1,
"Warning: Requesting low-frequency data outside RTH should be done with DataLocation = ExternalOnly, data from local storage will be incorrect."));
}
request.RequestID = Interlocked.Increment(ref requestCount);
lock (pendingHistoricalRequestsLock)
{
PendingHistoricalRequests.Add(request);
}
historicalDataRequests.Enqueue(request);
return(request.RequestID);
}
/// <summary>
/// Called when we get some sort of error reply
/// </summary>
private void HandleErrorReply()
{
// The request ID
byte[] buffer = historicalDataSocket.ReceiveFrameBytes(out bool hasMore);
if (!hasMore)
{
return;
}
int requestId = BitConverter.ToInt32(buffer, 0);
// Remove from pending requests
lock (pendingHistoricalRequestsLock)
{
PendingHistoricalRequests.RemoveAll(x => x.RequestID == requestId);
}
// Finally the error message
string message = historicalDataSocket.ReceiveFrameString();
// Raise the error event
RaiseEvent(Error, this, new ErrorArgs(-1, message, requestId));
}
/// <summary>
/// Called when we get some sort of error reply
/// </summary>
private void HandleErrorReply()
{
//the request ID
bool hasMore;
byte[] buffer = _dealerSocket.Receive(out hasMore);
if (!hasMore)
{
return;
}
int requestID = BitConverter.ToInt32(buffer, 0);
//remove from pending requests
lock (_pendingHistoricalRequestsLock)
{
PendingHistoricalRequests.RemoveAll(x => x.RequestID == requestID);
}
//finally the error message
string message = _dealerSocket.ReceiveString();
//raise the error event
RaiseEvent(Error, this, new ErrorArgs(-1, message, requestID));
}
/// <summary>
/// Request historical data. Data will be delivered through the HistoricalDataReceived event.
/// </summary>
/// <returns>An ID uniquely identifying this historical data request. -1 if there was an error.</returns>
public int RequestHistoricalData(HistoricalDataRequest request)
{
//make sure the request is valid
if (request.EndingDate < request.StartingDate)
{
RaiseEvent(Error, this, new ErrorArgs(-1, "Historical Data Request Failed: Starting date must be after ending date."));
return(-1);
}
if (request.Instrument == null)
{
RaiseEvent(Error, this, new ErrorArgs(-1, "Historical Data Request Failed: null Instrument."));
return(-1);
}
if (!Connected)
{
RaiseEvent(Error, this, new ErrorArgs(-1, "Could not request historical data - not connected."));
return(-1);
}
if (!request.RTHOnly && request.Frequency >= BarSize.OneDay && request.DataLocation != DataLocation.ExternalOnly)
{
RaiseEvent(Error, this, new ErrorArgs(-1, "Warning: Requesting low-frequency data outside RTH should be done with DataLocation = ExternalOnly, data from local storage will be incorrect."));
}
request.RequestID = _requestCount++;
lock (_pendingHistoricalRequestsLock)
{
PendingHistoricalRequests.Add(request);
}
_historicalDataRequests.Enqueue(request);
return(request.RequestID);
}
