private void SendHistoricalRequest(int id, HistoricalDataRequest request)
{
Log(LogLevel.Info, string.Format("Sent historical data request to TWS. ID: {0}, Symbol: {1}, {2} back from {3}",
id,
request.Instrument.Symbol,
TWSUtils.TimespanToDurationString((request.EndingDate - request.StartingDate), request.Frequency),
request.EndingDate.ToString("yyyy-MM-dd hh:mm:ss")));
TimeZoneInfo exchangeTZ = request.Instrument.GetTZInfo();
//we need to convert time from the exchange TZ to Local...the ib client then converts it to UTC
var startingDate = TimeZoneInfo.ConvertTime(request.StartingDate, exchangeTZ, TimeZoneInfo.Local);
var endingDate = TimeZoneInfo.ConvertTime(request.EndingDate, exchangeTZ, TimeZoneInfo.Local);
try
{
_client.RequestHistoricalData
(
id,
TWSUtils.InstrumentToContract(request.Instrument),
endingDate,
TWSUtils.TimespanToDurationString((endingDate - startingDate), request.Frequency),
TWSUtils.BarSizeConverter(request.Frequency),
GetDataType(request.Instrument),
request.RTHOnly ? 1 : 0
);
}
catch (Exception ex)
{
Log(LogLevel.Error, "IB: Could not send historical data request: " + ex.Message);
RaiseEvent(Error, this, new ErrorArgs(-1, "Could not send historical data request: " + ex.Message, id));
}
}
/// <summary>
/// real time data request
/// </summary>
public int RequestRealTimeData(RealTimeDataRequest request)
{
lock (_requestIDMapLock)
{
_requestCounter++;
_realTimeDataRequests.Add(_requestCounter, request);
_requestIDMap.Add(_requestCounter, request.AssignedID);
}
try
{
Contract contract = TWSUtils.InstrumentToContract(request.Instrument);
_client.RequestRealTimeBars(
_requestCounter,
contract,
(int)TWSUtils.BarSizeConverter(request.Frequency),
RealTimeBarType.Trades, request.RTHOnly);
}
catch (Exception ex)
{
Log(LogLevel.Error, "IB: Could not send real time data request: " + ex.Message);
RaiseEvent(Error, this, new ErrorArgs(-1, "Could not send real time data request: " + ex.Message));
}
return(_requestCounter);
}
/// <summary>
/// real time data request
/// </summary>
public void RequestRealTimeData(RealTimeDataRequest request)
{
var id = _requestCounter++;
lock (_requestIDMapLock)
{
_realTimeDataRequests.Add(id, request);
_requestIDMap.Add(id, request.AssignedID);
if (_reverseRequestIDMap.ContainsKey(request.AssignedID))
{
_reverseRequestIDMap[request.AssignedID] = id;
}
else
{
_reverseRequestIDMap.Add(request.AssignedID, id);
}
}
try
{
Contract contract = TWSUtils.InstrumentToContract(request.Instrument);
if (_ibUseNewRealTimeDataSystem)
{
//the new system uses the historical data update endpoint instead of realtime data
_client.RequestHistoricalData(id, contract, "",
"60 S", QDMSIBClient.BarSize.FiveSeconds, HistoricalDataType.Trades, request.RTHOnly, true);
//todo: write test
}
else
{
_client.RequestRealTimeBars(
id,
contract,
"TRADES",
request.RTHOnly);
}
}
catch (Exception ex)
{
Log(LogLevel.Error, "IB: Could not send real time data request: " + ex.Message);
RaiseEvent(Error, this, new ErrorArgs(-1, "Could not send real time data request: " + ex.Message));
}
}