//TODO historical tick data! aggTrades
private async Task <List <OHLCBar> > GetData(HistoricalDataRequest req)
{
string symbol = string.IsNullOrEmpty(req.Instrument.DatasourceSymbol)
? req.Instrument.Symbol
: req.Instrument.DatasourceSymbol;
string interval = BarSizetoInterval(req.Frequency);
long startTime = MyUtils.ConvertToMillisecondTimestamp(DateTime.SpecifyKind(req.StartingDate, DateTimeKind.Utc));
long endTime = MyUtils.ConvertToMillisecondTimestamp(DateTime.SpecifyKind(req.EndingDate, DateTimeKind.Utc));
string url = $"https://www.binance.com/api/v1/klines?symbol={symbol}&interval={interval}&startTime={startTime}&endTime={endTime}";
_logger.Info("Binance filling historical req from URL: " + url);
var result = await _httpClient.GetAsync(url);
if (429 == (int)result.StatusCode)
{
//pacing violation, grab Retry-After, wait, and re-request
var retryHeader = result.Headers.RetryAfter;
await Task.Delay((int)retryHeader.Delta.Value.TotalSeconds * 1000 + 1000);
return(await GetData(req));
}
else
{
result.EnsureSuccessStatusCode();
}
string contents = await result.Content.ReadAsStringAsync();
return(ParseHistoricalData(JArray.Parse(contents)));
}
private async Task <List <OHLCBar> > GetData(HistoricalDataRequest req)
{
string symbol = string.IsNullOrEmpty(req.Instrument.DatasourceSymbol)
? req.Instrument.Symbol
: req.Instrument.DatasourceSymbol;
string interval = BarSizetoInterval(req.Frequency);
long startTime = MyUtils.ConvertToMillisecondTimestamp(DateTime.SpecifyKind(req.StartingDate, DateTimeKind.Utc));
long endTime = MyUtils.ConvertToMillisecondTimestamp(DateTime.SpecifyKind(req.EndingDate, DateTimeKind.Utc));
string url = $"https://www.binance.com/api/v1/klines?symbol={symbol}&interval={interval}&startTime={startTime}&endTime={endTime}";
_logger.Info("Binance filling historical req from URL: " + url);
var result = await _httpClient.GetAsync(url);
if (result.IsSuccessStatusCode)
{
string contents = await result.Content.ReadAsStringAsync();
return(ParseHistoricalData(JArray.Parse(contents)));
}
throw new Exception("Error downloading data from binance: " + result.StatusCode);
}