public HistoricalDataBroker(IDataStorage localStorage = null, IEnumerable <IHistoricalDataSource> additionalSources = null, IContinuousFuturesBroker cfBroker = null)
{
_dataStorage = localStorage ?? DataStorageFactory.Get();
DataSources = new ObservableDictionary <string, IHistoricalDataSource>
{
{ "Interactive Brokers", new IB(Properties.Settings.Default.histClientIBID) },
{ "Yahoo", new Yahoo() },
{ "Quandl", new Quandl() },
{ "FRED", new FRED() },
{ "Google", new Google() }
};
//add the continuous futures broker to the data sources
DataSources.Add("ContinuousFuturesBroker", cfBroker ?? new ContinuousFuturesBroker(clientName: "HDBCFClient"));
//add additional sources
if (additionalSources != null)
{
foreach (IHistoricalDataSource ds in additionalSources)
{
if (!DataSources.ContainsKey(ds.Name))
{
DataSources.Add(ds.Name, ds);
}
}
}
foreach (IHistoricalDataSource ds in DataSources.Values)
{
ds.Error += DatasourceError;
ds.HistoricalDataArrived += ExternalHistoricalDataArrived;
ds.Disconnected += SourceDisconnects;
}
_dataStorage.Error += DatasourceError;
_dataStorage.HistoricalDataArrived += LocalStorageHistoricalDataArrived;
_connectionTimer = new Timer(10000);
_connectionTimer.Elapsed += ConnectionTimerElapsed;
_connectionTimer.Start();
_originalRequests = new ConcurrentDictionary <int, HistoricalDataRequest>();
_subRequests = new ConcurrentDictionary <int, List <HistoricalDataRequest> >();
_usedIDs = new List <int>();
TryConnect();
}
/// <summary>
/// Constructor
/// </summary>
/// <param name="additionalDataSources">Optional. Pass any additional data sources (for testing purposes).</param>
/// <param name="cfBroker">Optional. IContinuousFuturesBroker (for testing purposes).</param>
public RealTimeDataBroker(IEnumerable <IRealTimeDataSource> additionalDataSources = null, IContinuousFuturesBroker cfBroker = null, IDataStorage localStorage = null)
{
_connectionTimer = new Timer(10000);
_connectionTimer.Elapsed += ConnectionTimerElapsed;
_connectionTimer.Start();
DataSources = new ObservableDictionary <string, IRealTimeDataSource>
{
{ "SIM", new RealTimeSim() },
{ "Interactive Brokers", new IB(Properties.Settings.Default.rtdClientIBID) }
};
if (additionalDataSources != null)
{
foreach (IRealTimeDataSource ds in additionalDataSources)
{
DataSources.Add(ds.Name, ds);
}
}
//we need to set the appropriate event methods for every data source
foreach (IRealTimeDataSource s in DataSources.Values)
{
s.DataReceived += RealTimeData;
s.Disconnected += SourceDisconnects;
s.Error += s_Error;
}
ActiveStreams = new ConcurrentNotifierBlockingList <RealTimeStreamInfo>();
_arrivedBars = new BlockingCollection <RealTimeDataEventArgs>();
StreamSubscribersCount = new Dictionary <RealTimeStreamInfo, int>();
_aliases = new Dictionary <int, List <int> >();
_pendingCFRealTimeRequests = new Dictionary <int, RealTimeDataRequest>();
_continuousFuturesIDMap = new Dictionary <int, int>();
_requests = new Dictionary <int, RealTimeDataRequest>();
_usedIDs = new List <int>();
//connect to our data sources
TryConnect();
//local storage
_localStorage = localStorage ?? DataStorageFactory.Get();
//start up the continuous futures broker
_cfBroker = cfBroker ?? new ContinuousFuturesBroker(clientName: "RTDBCFClient");
_cfBroker.FoundFrontContract += _cfBroker_FoundFrontContract;
}
public HistoricalDataBroker(IContinuousFuturesBroker cfBroker, IDataStorage localStorage, IEnumerable <QDMS.IHistoricalDataSource> additionalSources = null)
{
if (cfBroker == null)
{
throw new ArgumentNullException("cfBroker");
}
if (localStorage == null)
{
throw new ArgumentNullException("localStorage");
}
_dataStorage = localStorage;
DataSources = new ObservableDictionary <string, QDMS.IHistoricalDataSource>
{
/*
* { "Interactive Brokers", new IB(Properties.Settings.Default.histClientIBID) },
* { "Yahoo", new Yahoo() },
* { "Quandl", new Quandl() },
* { "FRED", new FRED() },
* { "Google", new Google() }
*/
};
//add the continuous futures broker to the data sources
DataSources.Add("ContinuousFuturesBroker", cfBroker);
//add additional sources
if (additionalSources != null)
{
foreach (IHistoricalDataSource ds in additionalSources)
{
if (!DataSources.ContainsKey(ds.Name))
{
DataSources.Add(ds.Name, ds);
}
}
}
foreach (IHistoricalDataSource ds in DataSources.Values)
{
ds.Error += DatasourceError;
ds.HistoricalDataArrived += ExternalHistoricalDataArrived;
ds.Disconnected += SourceDisconnects;
}
_dataStorage.Error += DatasourceError;
_dataStorage.HistoricalDataArrived += LocalStorageHistoricalDataArrived;
_connectionTimer = new Timer(10000);
_connectionTimer.Elapsed += ConnectionTimerElapsed;
_connectionTimer.Start();
_originalRequests = new ConcurrentDictionary <int, HistoricalDataRequest>();
_subRequests = new ConcurrentDictionary <int, List <HistoricalDataRequest> >();
_usedIDs = new List <int>();
_requestHandlerThread = new Thread(Poll)
{
Name = "HDBPoller"
};
_requestHandlerThread.Start();
TryConnect();
}
