/// <summary>
/// historical data request
/// </summary>
public void RequestHistoricalData(HistoricalDataRequest request)
{
//Historical data limitations: https://www.interactivebrokers.com/en/software/api/apiguide/api/historical_data_limitations.htm
//the issue here is that the request may not be fulfilled...so we need to keep track of the request
//and if we get an error regarding its failure, send it again using a timer
var originalReqID = ++requestCounter;
historicalDataRequests.TryAdd(originalReqID, request);
arrivedHistoricalData.TryAdd(originalReqID, new List <OHLCBar>());
//if necessary, chop up the request into multiple chunks so as to abide
//the historical data limitations
if (TwsUtils.RequestObeysLimits(request))
{
//send the request, no need for subrequests
SendHistoricalRequest(originalReqID, request);
}
else
{
//create subrequests, add them to the ID map, and send them to TWS
var subRequests = SplitRequest(request);
subRequestCount.Add(originalReqID, subRequests.Count);
foreach (var subReq in subRequests)
{
lock (subReqMapLock)
{
requestCounter++;
historicalDataRequests.TryAdd(requestCounter, subReq);
subRequestIDMap.Add(requestCounter, originalReqID);
SendHistoricalRequest(requestCounter, subReq);
}
}
}
}
private void SendHistoricalRequest(int id, HistoricalDataRequest request)
{
Log(LogLevel.Info,
$"Sent historical data request to TWS. ID: {id}, Symbol: {request.Instrument.Symbol}, {TwsUtils.TimespanToDurationString(request.EndingDate - request.StartingDate, request.Frequency)} back from {request.EndingDate:yyyy-MM-dd hh:mm:ss}");
var exchangeTz = request.Instrument.GetTimeZoneInfo();
//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.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));
}
}