/// <summary>
/// This event is raised when historical data arrives from TWS
/// </summary>
private void _client_HistoricalData(object sender, Krs.Ats.IBNet.HistoricalDataEventArgs e)
{
//convert the bar and add it to the Dictionary of arrived data
var bar = TWSUtils.HistoricalDataEventArgsToOHLCBar(e);
int id;
lock (_subReqMapLock)
{
//if the data is arriving for a sub-request, we must get the id of the original request first
//otherwise it's just the same id
id = _subRequestIDMap.ContainsKey(e.RequestId)
? _subRequestIDMap[e.RequestId]
: e.RequestId;
}
//stocks need to have their volumes multiplied by 100, I think all other instrument types do not
if (_historicalDataRequests[id].Instrument.Type == InstrumentType.Stock)
{
bar.Volume *= 100;
}
_arrivedHistoricalData[id].Add(bar);
if (e.RecordNumber >= e.RecordTotal - 1) //this was the last item to receive for this request, send it to the broker
{
bool requestComplete = true;
lock (_subReqMapLock)
{
if (_subRequestIDMap.ContainsKey(e.RequestId))
{
_subRequestIDMap.Remove(e.RequestId);
_subRequestCount[id]--;
if (_subRequestCount[id] > 0)
{
//What happens here: this is a subrequest.
//We check how many sub-requests in this group have been delivered.
//if this is the last one, we want to call HistoricalDataRequestComplete()
//otherwise there's more data to come, so we have to wait for it
requestComplete = false;
}
else
{
//if it is complete, we'll need to sort the data because subrequests may not come in in order
_arrivedHistoricalData[id] = _arrivedHistoricalData[id].OrderBy(x => x.DTOpen).ToList();
}
}
}
if (requestComplete)
{
HistoricalDataRequestComplete(id);
}
}
}
public static OHLCBar HistoricalDataEventArgsToOHLCBar(Krs.Ats.IBNet.HistoricalDataEventArgs e)
{
var bar = new OHLCBar
{
DateTimeOpen = e.Date,
Open = e.Open,
High = e.High,
Low = e.Low,
Close = e.Close,
Volume = e.Volume
};
return(bar);
}
/// <summary>
/// This event is raised when historical data arrives from TWS
/// </summary>
private void _client_HistoricalData(object sender, Krs.Ats.IBNet.HistoricalDataEventArgs e)
{
//convert the bar and add it to the Dictionary of arrived data
var bar = TWSUtils.HistoricalDataEventArgsToOHLCBar(e);
int id;
lock (_subReqMapLock)
{
//if the data is arriving for a sub-request, we must get the id of the original request first
//otherwise it's just the same id
id = _subRequestIDMap.ContainsKey(e.RequestId)
? _subRequestIDMap[e.RequestId]
: e.RequestId;
}
//stocks need to have their volumes multiplied by 100, I think all other instrument types do not
if (_historicalDataRequests[id].Instrument.Type == InstrumentType.Stock)
{
bar.Volume *= 100;
}
_arrivedHistoricalData[id].Add(bar);
if (e.RecordNumber >= e.RecordTotal - 1) //this was the last item to receive for this request, send it to the broker
{
bool requestComplete = true;
lock (_subReqMapLock)
{
if (_subRequestIDMap.ContainsKey(e.RequestId))
{
//If there are sub-requests, here we check if this is the last one
requestComplete = ControlSubRequest(e.RequestId);
if (requestComplete)
{
//If it was the last one, we need to order the data because sub-requests can arrive out of order
_arrivedHistoricalData[id] = _arrivedHistoricalData[id].OrderBy(x => x.DTOpen).ToList();
}
}
}
if (requestComplete)
{
HistoricalDataRequestComplete(id);
}
}
}
public void GotData(HistoricalDataEventArgs args)
{
if (Thread.CurrentThread != lastThread)
{
if (Thread.CurrentThread.Name == null)
{
Thread.CurrentThread.Name = "GotData thread";
}
lastThread = Thread.CurrentThread;
Trace.WriteLine("GotData on thread: " + lastThread.ManagedThreadId.ToString("x"));
}
if (args.RequestId != id)
{
Trace.WriteLine("Got historical data for ID " + args.RequestId + " when expecting " + id + ".");
return;
}
DateTime date = args.Date.ToLocalTime();
if (date < cutoffDate)
{
BarData bar = new BarData();
bar.BarStartTime = date;
bar.Open = (double)args.Open;
bar.Close = (double)args.Close;
bar.High = (double)args.High;
bar.Low = (double)args.Low;
if (args.Volume > 0)
{
bar.Volume = TWSPlugin.AdjustVolume(symbol, (ulong)args.Volume);
}
else
{
bar.Volume = 0;
}
curBatchBars.Add(bar);
}
if (args.RecordNumber == args.RecordTotal - 1)
{
// Done with this batch of data
BatchEnded();
}
}
void client_HistoricalData(object sender, HistoricalDataEventArgs e)
{
string[] NewRow = new string[] { e.RequestId.ToString(), e.RecordNumber.ToString(), e.RecordTotal.ToString(), e.Date.ToString(), e.Open.ToString(), e.High.ToString(), e.Low.ToString(), e.Close.ToString(), e.Wap.ToString(), e.Volume.ToString(), e.Trades.ToString(), e.HasGaps.ToString() };
dgvHistoricalData.Invoke((MethodInvoker)delegate { dgvHistoricalData.Rows.Add(NewRow); });
}