/// <summary>
/// Downloads a list of TradeBars at the requested resolution
/// </summary>
/// <param name="symbol">The symbol</param>
/// <param name="startTimeUtc">The starting time (UTC)</param>
/// <param name="endTimeUtc">The ending time (UTC)</param>
/// <param name="resolution">The requested resolution</param>
/// <param name="requestedTimeZone">The requested timezone for the data</param>
/// <returns>The list of bars</returns>
public override IEnumerable <TradeBar> DownloadTradeBars(Symbol symbol, DateTime startTimeUtc, DateTime endTimeUtc, Resolution resolution, DateTimeZone requestedTimeZone)
{
var oandaSymbol = SymbolMapper.GetBrokerageSymbol(symbol);
var startUtc = startTimeUtc.ToString("yyyy-MM-ddTHH:mm:ssZ");
var candles = GetCandles(oandaSymbol, startUtc, OandaBrokerage.MaxBarsPerRequest, resolution, ECandleFormat.midpoint);
foreach (var candle in candles)
{
var time = OandaBrokerage.GetDateTimeFromString(candle.time);
if (time > endTimeUtc)
{
break;
}
yield return(new TradeBar(
time.ConvertFromUtc(requestedTimeZone),
symbol,
Convert.ToDecimal(candle.openMid),
Convert.ToDecimal(candle.highMid),
Convert.ToDecimal(candle.lowMid),
Convert.ToDecimal(candle.closeMid),
0,
resolution.ToTimeSpan()));
}
}
/// <summary>
/// Event handler for streaming ticks
/// </summary>
/// <param name="data">The data object containing the received tick</param>
private void OnDataReceived(RateStreamResponse data)
{
if (data.IsHeartbeat())
{
PricingConnectionHandler.KeepAlive(DateTime.UtcNow);
return;
}
if (data.tick == null)
{
return;
}
var securityType = SymbolMapper.GetBrokerageSecurityType(data.tick.instrument);
var symbol = SymbolMapper.GetLeanSymbol(data.tick.instrument, securityType, Market.Oanda);
var time = OandaBrokerage.GetDateTimeFromString(data.tick.time);
// live ticks timestamps must be in exchange time zone
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.Oanda, symbol, securityType).TimeZone;
_symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
}
time = time.ConvertFromUtc(exchangeTimeZone);
var bidPrice = Convert.ToDecimal(data.tick.bid);
var askPrice = Convert.ToDecimal(data.tick.ask);
var tick = new Tick(time, symbol, bidPrice, askPrice);
EmitTick(tick);
}
/// <summary>
/// Downloads a list of QuoteBars at the requested resolution
/// </summary>
/// <param name="symbol">The symbol</param>
/// <param name="startTimeUtc">The starting time (UTC)</param>
/// <param name="endTimeUtc">The ending time (UTC)</param>
/// <param name="resolution">The requested resolution</param>
/// <param name="requestedTimeZone">The requested timezone for the data</param>
/// <returns>The list of bars</returns>
public override IEnumerable <QuoteBar> DownloadQuoteBars(Symbol symbol, DateTime startTimeUtc, DateTime endTimeUtc, Resolution resolution, DateTimeZone requestedTimeZone)
{
var oandaSymbol = SymbolMapper.GetBrokerageSymbol(symbol);
var startUtc = startTimeUtc.ToString("yyyy-MM-ddTHH:mm:ssZ");
// Oanda only has 5-second bars, we return these for Resolution.Second
var period = resolution == Resolution.Second ? TimeSpan.FromSeconds(5) : resolution.ToTimeSpan();
var candles = GetCandles(oandaSymbol, startUtc, OandaBrokerage.MaxBarsPerRequest, resolution, ECandleFormat.bidask);
foreach (var candle in candles)
{
var time = OandaBrokerage.GetDateTimeFromString(candle.time);
if (time > endTimeUtc)
{
break;
}
yield return(new QuoteBar(
time.ConvertFromUtc(requestedTimeZone),
symbol,
new Bar(
Convert.ToDecimal(candle.openBid),
Convert.ToDecimal(candle.highBid),
Convert.ToDecimal(candle.lowBid),
Convert.ToDecimal(candle.closeBid)
),
0,
new Bar(
Convert.ToDecimal(candle.openAsk),
Convert.ToDecimal(candle.highAsk),
Convert.ToDecimal(candle.lowAsk),
Convert.ToDecimal(candle.closeAsk)
),
0,
period));
}
}
/// <summary>
/// Returns a DateTime from an RFC3339 string (with high resolution)
/// </summary>
/// <param name="time">The time string</param>
private static DateTime GetTickDateTimeFromString(string time)
{
// remove nanoseconds, DateTime.ParseExact will throw with 9 digits after seconds
return(OandaBrokerage.GetDateTimeFromString(time.Remove(25, 3)));
}