public static int BarRequest(DateTime timestamp, double count, string symbol, string periodicity,
string priceType)
{
if (count < 0)
{
count *= -1;
if (count <= 5000)
{
_barList =
_client.QueryQuoteHistoryBars(
new DateTime(timestamp.Ticks, DateTimeKind.Utc), -(int)count, symbol, periodicity,
priceType.Equals("Ask") ? PriceType.Ask : PriceType.Bid);
}
else
{
_barList = new List <Bar>();
while (count >= 0)
{
_barList.AddRange(_client.QueryQuoteHistoryBars(
new DateTime(timestamp.Ticks, DateTimeKind.Utc), -(int)(count > 5000 ? 5000 : count), symbol, periodicity,
priceType.Equals("Ask") ? PriceType.Ask : PriceType.Bid));
count -= 5000;
timestamp = _barList.Last().Time;
}
}
}
else
{
if (count <= 5000)
{
_barList =
_client.QueryQuoteHistoryBars(
new DateTime(timestamp.Ticks, DateTimeKind.Utc), (int)count, symbol, periodicity,
priceType.Equals("Ask") ? PriceType.Ask : PriceType.Bid);
}
else
{
_barList = new List <Bar>();
while (count >= 0)
{
_barList.InsertRange(0, _client.QueryQuoteHistoryBars(
new DateTime(timestamp.Ticks, DateTimeKind.Utc), (int)(count > 5000 ? 5000 : count), symbol, periodicity,
priceType.Equals("Ask") ? PriceType.Ask : PriceType.Bid));
count -= 5000;
timestamp = periodicity.Equals("M1") ? _barList.First().Time.AddMinutes(-1) :
_barList.First().Time.AddHours(-1);
}
}
}
return(0);
}
static void RequestBars(QuoteHistoryClient client, DateTime timestamp, int count, string symbol, string periodicity, PriceType priceType, bool verbose)
{
Stopwatch sw = new Stopwatch();
sw.Start();
bool backward = count >= 0;
count = Math.Abs(count);
List <Bar> result;
for (int i = 0; i < count / 5000; i++)
{
// Request for the bars history
result = client.QueryQuoteHistoryBars(timestamp, backward ? 5000 : -5000, symbol, periodicity, priceType);
if (result.Count > 0)
{
timestamp = backward ? result[result.Count - 1].Time : result[0].Time;
}
if (verbose)
{
foreach (var bar in result)
{
Console.WriteLine(bar);
}
}
}
int remain = count % 5000;
if (remain > 0)
{
result = client.QueryQuoteHistoryBars(timestamp, backward ? remain : -remain, symbol, periodicity, priceType);
if (verbose)
{
foreach (var bar in result)
{
Console.WriteLine(bar);
}
}
}
long elapsed = sw.ElapsedMilliseconds;
Console.WriteLine($"Elapsed = {elapsed}ms");
Console.WriteLine($"Throughput = {((double)count/(double)elapsed)*1000.0:0.#####} bars per second");
}
protected override List <HistoryBar> RequestHistory(DateTime timestamp, int count)
{
var result = new List <HistoryBar>(Math.Abs(count));
if (count == 0)
{
return(result);
}
try
{
var report = _historyClient.QueryQuoteHistoryBars(timestamp, count, Symbol, Periodicity.ToString(), (PriceType.HasValue && (PriceType.Value == FxPriceType.Ask)) ? TTQuoteHistoryClient.PriceType.Ask : TTQuoteHistoryClient.PriceType.Bid);
var bars = report.Select(srcBar =>
{
var dstBar = new HistoryBar
{
Time = srcBar.Time,
Open = srcBar.Open,
Hi = srcBar.High,
Low = srcBar.Low,
Close = srcBar.Close
};
return(dstBar);
});
result.AddRange(bars);
}
catch (Exception) {}
return(result);
}
