/// <summary>
/// Sets the appropriate closing time for each bar, since IB only gives us the opening time.
/// </summary>
private void GenerateIntradayBarClosingTimes(List <OHLCBar> bars, BarSize frequency)
{
TimeSpan freqTS = frequency.ToTimeSpan();
for (int i = 0; i < bars.Count; i++)
{
var bar = bars[i];
if (i == bars.Count - 1)
{
//if it's the last bar we are basically just guessing the
//closing time by adding the duration of the frequency
bar.DT = bar.DTOpen.Value + freqTS;
}
else
{
//if it's not the last bar, we set the closing time to the
//earliest of the open of the next bar and the period of the frequency
//e.g. if hourly bar opens at 9:30 and the next bar opens at 10:00
//we set the close at the earliest of 10:00 and 10:30
DateTime openPlusBarSize = bar.DTOpen.Value + freqTS;
bar.DT = bars[i + 1].DTOpen.Value < openPlusBarSize ? bars[i + 1].DTOpen.Value : openPlusBarSize;
}
}
}
/// <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/tables/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 QDMSIBClient.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(QDMSIBClient.BarSize.OneSecond);
case QDMS.BarSize.FiveSeconds:
return(QDMSIBClient.BarSize.FiveSeconds);
case QDMS.BarSize.FifteenSeconds:
return(QDMSIBClient.BarSize.FifteenSeconds);
case QDMS.BarSize.ThirtySeconds:
return(QDMSIBClient.BarSize.ThirtySeconds);
case QDMS.BarSize.OneMinute:
return(QDMSIBClient.BarSize.OneMinute);
case QDMS.BarSize.TwoMinutes:
return(QDMSIBClient.BarSize.TwoMinutes);
case QDMS.BarSize.FiveMinutes:
return(QDMSIBClient.BarSize.FiveMinutes);
case QDMS.BarSize.FifteenMinutes:
return(QDMSIBClient.BarSize.FifteenMinutes);
case QDMS.BarSize.ThirtyMinutes:
return(QDMSIBClient.BarSize.ThirtyMinutes);
case QDMS.BarSize.OneHour:
return(QDMSIBClient.BarSize.OneHour);
case QDMS.BarSize.OneDay:
return(QDMSIBClient.BarSize.OneDay);
case QDMS.BarSize.OneWeek:
return(QDMSIBClient.BarSize.OneWeek);
case QDMS.BarSize.OneMonth:
return(QDMSIBClient.BarSize.OneMonth);
case QDMS.BarSize.OneQuarter:
throw new Exception("Bar size conversion impossible, TWS does not suppor quarter BarSize.");
case QDMS.BarSize.OneYear:
return(QDMSIBClient.BarSize.OneYear);
default:
return(QDMSIBClient.BarSize.OneDay);
}
}
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");
}
/// <summary>
/// Returns RealTimeDataEventArgs derived from IB's RealTimeBarEventArgs, but not including the symbol
/// </summary>
/// <param name="e">RealTimeBarEventArgs</param>
/// <returns>RealTimeDataEventArgs </returns>
public static RealTimeDataEventArgs RealTimeDataEventArgsConverter(RealTimeBarEventArgs e, QDMS.BarSize frequency)
{
return(new RealTimeDataEventArgs(
0,
frequency,
e.Time,
(decimal)e.Open,
(decimal)e.High,
(decimal)e.Low,
(decimal)e.Close,
e.Volume,
e.Wap,
e.Count,
0));
}
