private void SendHistoricalRequest(int id, HistoricalDataRequest request)
{
Log(LogLevel.Info, string.Format("Sent historical data request to TWS. ID: {0}, Symbol: {1}, {2} back from {3}",
id,
request.Instrument.Symbol,
TWSUtils.TimespanToDurationString((request.EndingDate - request.StartingDate), request.Frequency),
request.EndingDate.ToString("yyyy-MM-dd hh:mm:ss")));
TimeZoneInfo exchangeTZ = request.Instrument.GetTZInfo();
//we need to convert time from the exchange TZ to Local...the ib client then converts it to UTC
var startingDate = TimeZoneInfo.ConvertTime(request.StartingDate, exchangeTZ, TimeZoneInfo.Local);
var endingDate = TimeZoneInfo.ConvertTime(request.EndingDate, exchangeTZ, TimeZoneInfo.Local);
try
{
_client.RequestHistoricalData
(
id,
TWSUtils.InstrumentToContract(request.Instrument),
endingDate,
TWSUtils.TimespanToDurationString((endingDate - startingDate), request.Frequency),
TWSUtils.BarSizeConverter(request.Frequency),
GetDataType(request.Instrument),
request.RTHOnly ? 1 : 0
);
}
catch (Exception ex)
{
Log(LogLevel.Error, "IB: Could not send historical data request: " + ex.Message);
RaiseEvent(Error, this, new ErrorArgs(-1, "Could not send historical data request: " + ex.Message, id));
}
}
/// <summary>
/// real time data request
/// </summary>
public int RequestRealTimeData(RealTimeDataRequest request)
{
lock (_requestIDMapLock)
{
_requestCounter++;
_realTimeDataRequests.Add(_requestCounter, request);
_requestIDMap.Add(_requestCounter, request.AssignedID);
}
try
{
Contract contract = TWSUtils.InstrumentToContract(request.Instrument);
_client.RequestRealTimeBars(
_requestCounter,
contract,
(int)TWSUtils.BarSizeConverter(request.Frequency),
RealTimeBarType.Trades, request.RTHOnly);
}
catch (Exception ex)
{
Log(LogLevel.Error, "IB: Could not send real time data request: " + ex.Message);
RaiseEvent(Error, this, new ErrorArgs(-1, "Could not send real time data request: " + ex.Message));
}
return(_requestCounter);
}
public void HistoricalRequestsAreNotSplitIfNotNecessary()
{
int[] requestCount = { 0 };
_ibClientMock.Setup(
x => x.RequestHistoricalData(
It.IsAny <int>(),
It.IsAny <Contract>(),
It.IsAny <DateTime>(),
It.IsAny <string>(),
It.IsAny <BarSize>(),
It.IsAny <HistoricalDataType>(),
It.IsAny <int>(),
It.IsAny <List <TagValue> >()))
.Callback(() => requestCount[0]++);
var requests = new Dictionary <KeyValuePair <BarSize, int>, int> //left side is barsize/seconds, right side is expected splits
{
{ new KeyValuePair <BarSize, int>(BarSize.OneDay, 300 * 24 * 3600), 1 },
{ new KeyValuePair <BarSize, int>(BarSize.OneHour, 25 * 24 * 3600), 1 },
{ new KeyValuePair <BarSize, int>(BarSize.ThirtyMinutes, 6 * 24 * 3600), 1 },
{ new KeyValuePair <BarSize, int>(BarSize.OneMinute, 1 * 24 * 3600), 1 },
{ new KeyValuePair <BarSize, int>(BarSize.ThirtySeconds, 21 * 3600), 1 },
{ new KeyValuePair <BarSize, int>(BarSize.FifteenSeconds, 13400), 1 },
{ new KeyValuePair <BarSize, int>(BarSize.FiveSeconds, 6900), 1 },
{ new KeyValuePair <BarSize, int>(BarSize.OneSecond, 1500), 1 }
};
var inst = new Instrument();
foreach (var kvp in requests)
{
_ibDatasource.RequestHistoricalData(new HistoricalDataRequest(
inst,
TWSUtils.BarSizeConverter(kvp.Key.Key),
DateTime.Now.AddSeconds(-kvp.Key.Value),
DateTime.Now,
dataLocation: DataLocation.ExternalOnly));
Assert.AreEqual(kvp.Value, requestCount[0], kvp.Key.Key.ToString());
requestCount[0] = 0;
}
}
public void HistoricalRequestsAreSplitToRespectRequestLimits()
{
int[] requestCount = { 0 };
_ibClientMock.Setup(x => x.RequestHistoricalData(
It.IsAny <int>(),
It.IsAny <Contract>(),
It.IsAny <string>(),
It.IsAny <string>(),
It.IsAny <QDMSIBClient.BarSize>(),
It.IsAny <HistoricalDataType>(),
It.IsAny <bool>(),
It.IsAny <bool>(),
It.IsAny <List <TagValue> >()))
.Callback(() => requestCount[0]++);
var requests = new Dictionary <KeyValuePair <BarSize, int>, int> //left side is barsize/seconds, right side is expected splits
{
{ new KeyValuePair <BarSize, int>(BarSize.OneDay, 500 * 24 * 3600), 2 },
{ new KeyValuePair <BarSize, int>(BarSize.OneHour, 75 * 24 * 3600), 3 },
{ new KeyValuePair <BarSize, int>(BarSize.ThirtyMinutes, 22 * 24 * 3600), 4 },
{ new KeyValuePair <BarSize, int>(BarSize.OneMinute, 9 * 24 * 3600), 5 },
{ new KeyValuePair <BarSize, int>(BarSize.ThirtySeconds, 40 * 3600), 2 },
{ new KeyValuePair <BarSize, int>(BarSize.FifteenSeconds, 4 * 14400), 5 },
{ new KeyValuePair <BarSize, int>(BarSize.FiveSeconds, 2 * 7200), 3 },
{ new KeyValuePair <BarSize, int>(BarSize.OneSecond, 10 * 1800), 11 }
};
var inst = new Instrument();
foreach (var kvp in requests)
{
_ibDatasource.RequestHistoricalData(new HistoricalDataRequest(
inst,
TWSUtils.BarSizeConverter(kvp.Key.Key),
DateTime.Now.AddSeconds(-kvp.Key.Value),
DateTime.Now,
dataLocation: DataLocation.ExternalOnly));
Assert.AreEqual(kvp.Value, requestCount[0], kvp.Key.Key.ToString());
requestCount[0] = 0;
}
}
