public IBHistoricalDataRequest(
IBAdapter adapter,
IHistoryDataConsumer consumer,
Contract contract,
DateTime begin,
DateTime end,
HistoryProviderSpan span,
string whatToShow,
int useRth,
int formatDate)
{
this.adapter = adapter;
Consumer = consumer;
this.contract = contract;
this.begin = begin;
this.end = end;
this.span = span;
this.whatToShow = whatToShow;
this.useRth = useRth;
this.formatDate = formatDate;
TimeSpan?minDuration, maxDuration;
IBHistoryDataLimits.GetHistoryDataLimits(span, out minDuration, out maxDuration);
var durationTimespan = end - begin;
switch (span)
{
case HistoryProviderSpan.Minute:
case HistoryProviderSpan.Minute5:
case HistoryProviderSpan.Minute10:
case HistoryProviderSpan.Minute15:
case HistoryProviderSpan.Minute30:
if (durationTimespan >= maxDuration || durationTimespan > IBHistoryDataLimits.MaxBarsPerRequest)
{
duration = (int)Math.Ceiling(durationTimespan.TotalDays);
durationSuffix = " D";
}
else
{
duration = (int)Math.Ceiling(durationTimespan.TotalSeconds);
durationSuffix = " S";
}
break;
case HistoryProviderSpan.Hour:
case HistoryProviderSpan.Hour4:
case HistoryProviderSpan.Day:
case HistoryProviderSpan.Week:
case HistoryProviderSpan.Month:
duration = (int)Math.Ceiling(durationTimespan.TotalDays);
durationSuffix = " D";
break;
default:
throw new ArgumentOutOfRangeException(nameof(span), span, null);
}
}
private static void ApplyHistoryDataLimits(HistoryProviderSpan span, ref DateTime begin, ref DateTime end)
{
// SEE https://www.interactivebrokers.com/en/software/api/apiguide/tables/historical_data_limitations.htm
// В IB есть ограничения по историческим данным. Если их превысить, то данные не придут.
// Применяем эти ограничения, чтобы не было ошибок
TimeSpan?min, max;
IBHistoryDataLimits.GetHistoryDataLimits(span, out min, out max);
ClampHistoryDataDuration(ref begin, ref end, min, max);
}
/// <summary>
/// Определить оптимальную длину блока для запроса исторических данных
/// </summary>
/// <param name="instrument">
/// Инструмент
/// </param>
/// <param name="span">
/// Интервал свечей для исторических данных
/// </param>
/// <returns>
/// Оптимальная длина блока либо null
/// </returns>
public TimeSpan?GetBestFetchBlockLength(Instrument instrument, HistoryProviderSpan span)
{
var size = IBHistoryDataLimits.GetFetchBlockSize(span);
return(size);
}