/// <summary>
/// Event handler for streaming ticks
/// </summary>
/// <param name="data">The data object containing the received tick</param>
private void OnDataReceived(RateStreamResponse data)
{
if (data.IsHeartbeat())
{
PricingConnectionHandler.KeepAlive(DateTime.UtcNow);
return;
}
if (data.tick == null)
{
return;
}
var securityType = SymbolMapper.GetBrokerageSecurityType(data.tick.instrument);
var symbol = SymbolMapper.GetLeanSymbol(data.tick.instrument, securityType, Market.Oanda);
var time = OandaBrokerage.GetDateTimeFromString(data.tick.time);
// live ticks timestamps must be in exchange time zone
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.Oanda, symbol, securityType).TimeZone;
_symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
}
time = time.ConvertFromUtc(exchangeTimeZone);
var bidPrice = Convert.ToDecimal(data.tick.bid);
var askPrice = Convert.ToDecimal(data.tick.ask);
var tick = new Tick(time, symbol, bidPrice, askPrice);
EmitTick(tick);
}
/// <summary>
/// Creates the brokerage under test and connects it
/// </summary>
/// <returns>A connected brokerage instance</returns>
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, IHoldingsProvider holdingsProvider)
{
var oandaBrokerage = new OandaBrokerage(orderProvider, 0);
var tokens = OandaBrokerageFactory.GetTokens();
var environment = Config.Get("oanda-environment");
if (environment == "sandbox")
{
var requestString = EndpointResolver.ResolveEndpoint(Environment.Sandbox, Server.Account) + "accounts";
var accountResponse = oandaBrokerage.MakeRequest<AccountResponse>(requestString, "POST");
oandaBrokerage.SetAccountId(accountResponse.accountId);
oandaBrokerage.SetEnvironment("sandbox");
oandaBrokerage.SetUserName(accountResponse.username);
}
else
{
oandaBrokerage.SetAccountId(Convert.ToInt32(Config.Get("oanda-account-id")));
oandaBrokerage.SetEnvironment(Config.Get("oanda-environment"));
}
var qcUserId = OandaBrokerageFactory.Configuration.QuantConnectUserId;
oandaBrokerage.SetTokens(qcUserId, tokens.AccessToken, tokens.IssuedAt,
TimeSpan.FromSeconds(tokens.ExpiresIn));
oandaBrokerage.InitializeInstrumentSecurityTypeMap();
// keep the tokens up to date in the event of a refresh
oandaBrokerage.SessionRefreshed +=
(sender, args) =>
{
File.WriteAllText(OandaBrokerageFactory.TokensFile,
JsonConvert.SerializeObject(args, Formatting.Indented));
};
return oandaBrokerage;
}
/// <summary>
/// Downloads a list of TradeBars at the requested resolution
/// </summary>
/// <param name="symbol">The symbol</param>
/// <param name="startTimeUtc">The starting time (UTC)</param>
/// <param name="endTimeUtc">The ending time (UTC)</param>
/// <param name="resolution">The requested resolution</param>
/// <param name="requestedTimeZone">The requested timezone for the data</param>
/// <returns>The list of bars</returns>
public override IEnumerable <TradeBar> DownloadTradeBars(Symbol symbol, DateTime startTimeUtc, DateTime endTimeUtc, Resolution resolution, DateTimeZone requestedTimeZone)
{
var oandaSymbol = SymbolMapper.GetBrokerageSymbol(symbol);
var startUtc = startTimeUtc.ToString("yyyy-MM-ddTHH:mm:ssZ");
var candles = GetCandles(oandaSymbol, startUtc, OandaBrokerage.MaxBarsPerRequest, resolution, ECandleFormat.midpoint);
foreach (var candle in candles)
{
var time = OandaBrokerage.GetDateTimeFromString(candle.time);
if (time > endTimeUtc)
{
break;
}
yield return(new TradeBar(
time.ConvertFromUtc(requestedTimeZone),
symbol,
Convert.ToDecimal(candle.openMid),
Convert.ToDecimal(candle.highMid),
Convert.ToDecimal(candle.lowMid),
Convert.ToDecimal(candle.closeMid),
0,
resolution.ToTimeSpan()));
}
}
/// <summary>
/// Creates a new <see cref="IBrokerage"/> instance
/// </summary>
/// <param name="job">The job packet to create the brokerage for</param>
/// <param name="algorithm">The algorithm instance</param>
/// <returns>A new brokerage instance</returns>
public override IBrokerage CreateBrokerage(LiveNodePacket job, IAlgorithm algorithm)
{
var errors = new List <string>();
// read values from the brokerage data
var environment = Read <Environment>(job.BrokerageData, "oanda-environment", errors);
var accessToken = Read <string>(job.BrokerageData, "oanda-access-token", errors);
var accountId = Read <string>(job.BrokerageData, "oanda-account-id", errors);
var agent = Read <string>(job.BrokerageData, "oanda-agent", errors);
if (errors.Count != 0)
{
// if we had errors then we can't create the instance
throw new Exception(string.Join(System.Environment.NewLine, errors));
}
var brokerage = new OandaBrokerage(
algorithm.Transactions,
algorithm.Portfolio,
Composer.Instance.GetExportedValueByTypeName <IDataAggregator>(Config.Get("data-aggregator", "QuantConnect.Lean.Engine.DataFeeds.AggregationManager"), forceTypeNameOnExisting: false),
environment,
accessToken,
accountId,
agent);
Composer.Instance.AddPart <IDataQueueHandler>(brokerage);
return(brokerage);
}
public void GetsHistory(Symbol symbol, Resolution resolution, TimeSpan period, bool throwsException)
{
TestDelegate test = () =>
{
var environment = Config.Get("oanda-environment").ConvertTo<Environment>();
var accessToken = Config.Get("oanda-access-token");
var accountId = Config.Get("oanda-account-id");
var brokerage = new OandaBrokerage(null, null, environment, accessToken, accountId);
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest
{
Symbol = symbol,
Resolution = resolution,
StartTimeUtc = now.Add(-period),
EndTimeUtc = now
}
};
var history = brokerage.GetHistory(requests, TimeZones.Utc);
foreach (var slice in history)
{
if (resolution == Resolution.Tick)
{
foreach (var tick in slice.Ticks[symbol])
{
Log.Trace("{0}: {1} - {2} / {3}", tick.Time, tick.Symbol, tick.BidPrice, tick.AskPrice);
}
}
else
{
var bar = slice.Bars[symbol];
Log.Trace("{0}: {1} - O={2}, H={3}, L={4}, C={5}", bar.Time, bar.Symbol, bar.Open, bar.High, bar.Low, bar.Close);
}
}
Log.Trace("Data points retrieved: " + brokerage.DataPointCount);
};
if (throwsException)
{
Assert.Throws<ArgumentException>(test);
}
else
{
Assert.DoesNotThrow(test);
}
}
/// <summary>
/// Creates a new <see cref="IBrokerage"/> instance
/// </summary>
/// <param name="job">The job packet to create the brokerage for</param>
/// <param name="algorithm">The algorithm instance</param>
/// <returns>A new brokerage instance</returns>
public override IBrokerage CreateBrokerage(LiveNodePacket job, IAlgorithm algorithm)
{
var errors = new List <string>();
// read values from the brokerage data
var environment = Read <Environment>(job.BrokerageData, "oanda-environment", errors);
var accessToken = Read <string>(job.BrokerageData, "oanda-access-token", errors);
var accountId = Read <string>(job.BrokerageData, "oanda-account-id", errors);
if (errors.Count != 0)
{
// if we had errors then we can't create the instance
throw new Exception(string.Join(System.Environment.NewLine, errors));
}
var brokerage = new OandaBrokerage(algorithm.Transactions, algorithm.Portfolio, environment, accessToken, accountId);
Composer.Instance.AddPart <IDataQueueHandler>(brokerage);
return(brokerage);
}
/// <summary>
/// Downloads a list of QuoteBars at the requested resolution
/// </summary>
/// <param name="symbol">The symbol</param>
/// <param name="startTimeUtc">The starting time (UTC)</param>
/// <param name="endTimeUtc">The ending time (UTC)</param>
/// <param name="resolution">The requested resolution</param>
/// <param name="requestedTimeZone">The requested timezone for the data</param>
/// <returns>The list of bars</returns>
public override IEnumerable <QuoteBar> DownloadQuoteBars(Symbol symbol, DateTime startTimeUtc, DateTime endTimeUtc, Resolution resolution, DateTimeZone requestedTimeZone)
{
var oandaSymbol = SymbolMapper.GetBrokerageSymbol(symbol);
var startUtc = startTimeUtc.ToString("yyyy-MM-ddTHH:mm:ssZ");
// Oanda only has 5-second bars, we return these for Resolution.Second
var period = resolution == Resolution.Second ? TimeSpan.FromSeconds(5) : resolution.ToTimeSpan();
var candles = GetCandles(oandaSymbol, startUtc, OandaBrokerage.MaxBarsPerRequest, resolution, ECandleFormat.bidask);
foreach (var candle in candles)
{
var time = OandaBrokerage.GetDateTimeFromString(candle.time);
if (time > endTimeUtc)
{
break;
}
yield return(new QuoteBar(
time.ConvertFromUtc(requestedTimeZone),
symbol,
new Bar(
Convert.ToDecimal(candle.openBid),
Convert.ToDecimal(candle.highBid),
Convert.ToDecimal(candle.lowBid),
Convert.ToDecimal(candle.closeBid)
),
0,
new Bar(
Convert.ToDecimal(candle.openAsk),
Convert.ToDecimal(candle.highAsk),
Convert.ToDecimal(candle.lowAsk),
Convert.ToDecimal(candle.closeAsk)
),
0,
period));
}
}
/// <summary>
/// Creates a new IBrokerage instance
/// </summary>
/// <param name="job">The job packet to create the brokerage for</param>
/// <param name="algorithm">The algorithm instance</param>
/// <returns>A new brokerage instance</returns>
public override IBrokerage CreateBrokerage(LiveNodePacket job, IAlgorithm algorithm)
{
var errors = new List <string>();
var accountId = Read <int>(job.BrokerageData, "oanda-account-id", errors);
var accessToken = Read <string>(job.BrokerageData, "oanda-access-token", errors);
var issuedAt = Read <DateTime>(job.BrokerageData, "oanda-issued-at", errors);
var lifeSpan = TimeSpan.FromSeconds(Read <double>(job.BrokerageData, "oanda-lifespan", errors));
var environment = Read <string>(job.BrokerageData, "oanda-environment", errors);
var brokerage = new OandaBrokerage(algorithm.Transactions, accountId);
// if we're running live locally we'll want to save any new tokens generated so that they can easily be retrieved
if (Config.GetBool("local"))
{
brokerage.SessionRefreshed += (sender, args) =>
{
File.WriteAllText(TokensFile, JsonConvert.SerializeObject(args, Formatting.Indented));
};
}
brokerage.SetTokens(job.UserId, accessToken, issuedAt, lifeSpan);
brokerage.SetEnvironment(environment);
return(brokerage);
}
/// <summary>
/// Returns a DateTime from an RFC3339 string (with high resolution)
/// </summary>
/// <param name="time">The time string</param>
private static DateTime GetTickDateTimeFromString(string time)
{
// remove nanoseconds, DateTime.ParseExact will throw with 9 digits after seconds
return(OandaBrokerage.GetDateTimeFromString(time.Remove(25, 3)));
}
/// <summary>
/// Creates a new <see cref="IBrokerage"/> instance
/// </summary>
/// <param name="job">The job packet to create the brokerage for</param>
/// <param name="algorithm">The algorithm instance</param>
/// <returns>A new brokerage instance</returns>
public override IBrokerage CreateBrokerage(LiveNodePacket job, IAlgorithm algorithm)
{
var errors = new List<string>();
// read values from the brokerage data
var environment = Read<Environment>(job.BrokerageData, "oanda-environment", errors);
var accessToken = Read<string>(job.BrokerageData, "oanda-access-token", errors);
var accountId = Read<int>(job.BrokerageData, "oanda-account-id", errors);
if (errors.Count != 0)
{
// if we had errors then we can't create the instance
throw new Exception(string.Join(System.Environment.NewLine, errors));
}
var brokerage = new OandaBrokerage(algorithm.Transactions, algorithm.Portfolio, environment, accessToken, accountId);
Composer.Instance.AddPart<IDataQueueHandler>(brokerage);
return brokerage;
}
/// <summary>
/// Creates a new IBrokerage instance
/// </summary>
/// <param name="job">The job packet to create the brokerage for</param>
/// <param name="algorithm">The algorithm instance</param>
/// <returns>A new brokerage instance</returns>
public override IBrokerage CreateBrokerage(LiveNodePacket job, IAlgorithm algorithm)
{
var errors = new List<string>();
var accountId = Read<int>(job.BrokerageData, "oanda-account-id", errors);
var accessToken = Read<string>(job.BrokerageData, "oanda-access-token", errors);
var issuedAt = Read<DateTime>(job.BrokerageData, "oanda-issued-at", errors);
var lifeSpan = TimeSpan.FromSeconds(Read<double>(job.BrokerageData, "oanda-lifespan", errors));
var environment = Read<string>(job.BrokerageData, "oanda-environment", errors);
var brokerage = new OandaBrokerage(algorithm.Transactions, accountId);
// if we're running live locally we'll want to save any new tokens generated so that they can easily be retrieved
if (Config.GetBool("local"))
{
brokerage.SessionRefreshed += (sender, args) =>
{
File.WriteAllText(TokensFile, JsonConvert.SerializeObject(args, Formatting.Indented));
};
}
brokerage.SetTokens(job.UserId, accessToken, issuedAt, lifeSpan);
brokerage.SetEnvironment(environment);
return brokerage;
}
/// <summary>
/// Initializes a new instance of the <see cref="OandaDataDownloader"/> class
/// </summary>
public OandaDataDownloader(string accessToken, string accountId)
{
// Set Oanda account credentials
_brokerage = new OandaBrokerage(null, null, Environment.Practice, accessToken, accountId);
}
