public static string TimespanToDurationString(TimeSpan t, QDMS.BarSize minFreq)
{
// duration:
// This is the time span the request will cover, and is specified using the
// format: , i.e., 1 D, where valid units are: S (seconds) D (days) W (weeks)
// M (months) Y (years) If no unit is specified, seconds are used. "years" is
// currently limited to one.
if (minFreq > QDMS.BarSize.OneMonth)
return Math.Ceiling(Math.Max(1, t.TotalDays / 365)).ToString("0") + " Y";
if(minFreq >= QDMS.BarSize.OneMonth)
return Math.Ceiling(Math.Max(1, t.TotalDays / 29)).ToString("0") + " M";
if(minFreq >= QDMS.BarSize.OneWeek)
return Math.Ceiling(Math.Max(1, t.TotalDays / 7)).ToString("0") + " W";
if (minFreq >= QDMS.BarSize.OneDay || t.TotalSeconds > 86400)
{
if (t.TotalDays > 14)
{
//This is a ridiculous hack made necessary by the incredibly bad TWS API
//For longer periods, if we specify the period as a # of days, the request is rejected!
//so instead we do it as the number of weeks and everything is A-OK
return Math.Ceiling(t.TotalDays / 7).ToString("0") + " W";
}
else
{
return Math.Ceiling(Math.Max(1, t.TotalDays)).ToString("0") + " D";
}
}
return Math.Ceiling(t.TotalSeconds).ToString("0") + " S";
}
public JobFactory(IHistoricalDataBroker hdb,
string host,
int port,
string username,
string password,
string sender,
string email,
UpdateJobSettings updateJobSettings,
QDMS.IDataStorage localStorage,
IInstrumentSource instrumentSource,
IEconomicReleaseBroker erb) : base()
{
_hdb = hdb;
_host = host;
_port = port;
_username = username;
_password = password;
_sender = sender;
_email = email;
_updateJobSettings = updateJobSettings;
_localStorage = localStorage;
_instrumentSource = instrumentSource;
_erb = erb;
}
/// <summary>
/// Returns the maximum period length of a historical data request, in seconds, depending on the data frequency.
/// </summary>
/// <param name="frequency"></param>
/// <returns>Maximum allowed length in </returns>
public static int MaxRequestLength(QDMS.BarSize frequency)
{
//The limitations are laid out here: https://www.interactivebrokers.com/en/software/api/apiguide/api/historical_data_limitations.htm
if (frequency <= QDMS.BarSize.OneSecond) return 1800;
if (frequency <= QDMS.BarSize.FiveSeconds) return 7200;
if (frequency <= QDMS.BarSize.FifteenSeconds) return 14400;
if (frequency <= QDMS.BarSize.ThirtySeconds) return 24 * 3600;
if (frequency <= QDMS.BarSize.OneMinute) return 2 * 24 * 3600;
if (frequency <= QDMS.BarSize.ThirtyMinutes) return 7 * 24 * 3600;
if (frequency <= QDMS.BarSize.OneHour) return 29 * 24 * 3600;
return 365 * 24 * 3600;
}
public static Krs.Ats.IBNet.BarSize BarSizeConverter(QDMS.BarSize freq)
{
switch (freq)
{
case QDMS.BarSize.Tick:
throw new Exception("Bar size conversion impossible, TWS does not suppor tick BarSize");
case QDMS.BarSize.OneSecond:
return Krs.Ats.IBNet.BarSize.OneSecond;
case QDMS.BarSize.FiveSeconds:
return Krs.Ats.IBNet.BarSize.FiveSeconds;
case QDMS.BarSize.FifteenSeconds:
return Krs.Ats.IBNet.BarSize.FifteenSeconds;
case QDMS.BarSize.ThirtySeconds:
return Krs.Ats.IBNet.BarSize.ThirtySeconds;
case QDMS.BarSize.OneMinute:
return Krs.Ats.IBNet.BarSize.OneMinute;
case QDMS.BarSize.TwoMinutes:
return Krs.Ats.IBNet.BarSize.TwoMinutes;
case QDMS.BarSize.FiveMinutes:
return Krs.Ats.IBNet.BarSize.FiveMinutes;
case QDMS.BarSize.FifteenMinutes:
return Krs.Ats.IBNet.BarSize.FifteenMinutes;
case QDMS.BarSize.ThirtyMinutes:
return Krs.Ats.IBNet.BarSize.ThirtyMinutes;
case QDMS.BarSize.OneHour:
return Krs.Ats.IBNet.BarSize.OneHour;
case QDMS.BarSize.OneDay:
return Krs.Ats.IBNet.BarSize.OneDay;
case QDMS.BarSize.OneWeek:
return Krs.Ats.IBNet.BarSize.OneWeek;
case QDMS.BarSize.OneMonth:
return Krs.Ats.IBNet.BarSize.OneMonth;
case QDMS.BarSize.OneQuarter:
throw new Exception("Bar size conversion impossible, TWS does not suppor quarter BarSize.");
case QDMS.BarSize.OneYear:
return Krs.Ats.IBNet.BarSize.OneYear;
default:
return Krs.Ats.IBNet.BarSize.OneDay;
}
}
public static Krs.Ats.IBNet.BarSize BarSizeConverter(QDMS.BarSize freq)
{
if (freq == QDMS.BarSize.Tick) throw new Exception("Bar size conversion impossible, TWS does not suppor tick size");
return (Krs.Ats.IBNet.BarSize)(int)freq;
}
public static string TimespanToDurationString(TimeSpan t, QDMS.BarSize minFreq)
{
// duration:
// This is the time span the request will cover, and is specified using the
// format: , i.e., 1 D, where valid units are: S (seconds) D (days) W (weeks)
// M (months) Y (years) If no unit is specified, seconds are used. "years" is
// currently limited to one.
if (minFreq > QDMS.BarSize.OneMonth)
return Math.Ceiling(t.TotalDays / 365).ToString("0") + " Y";
if(minFreq >= QDMS.BarSize.OneMonth)
return Math.Ceiling(t.TotalDays / 29).ToString("0") + " M";
if(minFreq >= QDMS.BarSize.OneWeek)
return Math.Ceiling(t.TotalDays / 7).ToString("0") + " W";
if (minFreq >= QDMS.BarSize.OneDay)
return Math.Ceiling(t.TotalDays).ToString("0") + " D";
return Math.Ceiling(t.TotalSeconds).ToString("0") + " S";
}
