/// <summary>
/// Initializes a new instance of the <see cref="IQFeedDataDownloader"/> class
/// </summary>
/// <param name="fileHistoryProvider"></param>
public IQFeedDataDownloader(IQFeedFileHistoryProvider fileHistoryProvider)
{
_fileHistoryProvider = fileHistoryProvider;
}
/// <summary>
/// Initializes a new instance of the <see cref="IQFeedDataDownloader"/> class
/// </summary>
/// <param name="fileHistoryProvider"></param>
/// <param name="tickType"></param>
public IQFeedDataDownloader(IQFeedFileHistoryProvider fileHistoryProvider, TickType tickType)
{
_fileHistoryProvider = fileHistoryProvider;
_tickType = tickType;
}
/// <summary>
/// Primary entry point to the program. This program only supports EQUITY for now.
/// </summary>
public static void IQFeedDownloader(IList <string> tickers, string resolution, DateTime fromDate, DateTime toDate)
{
if (resolution.IsNullOrEmpty() || tickers.IsNullOrEmpty())
{
Console.WriteLine("IQFeedDownloader ERROR: '--tickers=' or '--resolution=' parameter is missing");
Console.WriteLine("--tickers=SPY,AAPL");
Console.WriteLine("--resolution=Tick/Second/Minute/Hour/Daily/All");
Environment.Exit(1);
}
try
{
// Load settings from command line
var allResolution = resolution.ToLowerInvariant() == "all";
var castResolution = allResolution ? Resolution.Tick : (Resolution)Enum.Parse(typeof(Resolution), resolution);
var startDate = fromDate.ConvertToUtc(TimeZones.NewYork);
var endDate = toDate.ConvertToUtc(TimeZones.NewYork);
endDate = endDate.AddDays(1).AddMilliseconds(-1);
// Load settings from config.json
var dataDirectory = Config.Get("data-folder", "../../../Data");
var userName = Config.Get("iqfeed-username", "username");
var password = Config.Get("iqfeed-password", "password");
var productName = Config.Get("iqfeed-productName", "productname");
var productVersion = Config.Get("iqfeed-version", "productversion");
// Create an instance of the downloader
const string market = Market.USA;
// Connect to IQFeed
IQFeedLauncher.Start(userName, password, productName, productVersion);
var lookupClient = LookupClientFactory.CreateNew(NumberOfClients);
lookupClient.Connect();
// Create IQFeed downloader instance
var universeProvider = new IQFeedDataQueueUniverseProvider();
var historyProvider = new IQFeedFileHistoryProvider(lookupClient, universeProvider, MarketHoursDatabase.FromDataFolder());
var downloader = new IQFeedDataDownloader(historyProvider);
var quoteDownloader = new IQFeedDataDownloader(historyProvider);
var resolutions = allResolution ? new List <Resolution> {
Resolution.Tick, Resolution.Second, Resolution.Minute, Resolution.Hour, Resolution.Daily
} : new List <Resolution> {
castResolution
};
var requests = resolutions.SelectMany(r => tickers.Select(t => new { Ticker = t, Resolution = r })).ToList();
var sw = Stopwatch.StartNew();
Parallel.ForEach(requests, new ParallelOptions {
MaxDegreeOfParallelism = NumberOfClients
}, request =>
{
// Download the data
var symbol = Symbol.Create(request.Ticker, SecurityType.Equity, market);
var data = downloader.Get(new DataDownloaderGetParameters(symbol, request.Resolution, startDate, endDate));
// Write the data
var writer = new LeanDataWriter(request.Resolution, symbol, dataDirectory);
writer.Write(data);
if (request.Resolution == Resolution.Tick)
{
var quotes = quoteDownloader.Get(new DataDownloaderGetParameters(symbol, request.Resolution, startDate, endDate, TickType.Quote));
var quoteWriter = new LeanDataWriter(request.Resolution, symbol, dataDirectory, TickType.Quote);
quoteWriter.Write(quotes);
}
});
sw.Stop();
Log.Trace($"IQFeedDownloader: Completed successfully in {sw.Elapsed}!");
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="IQFeedDataDownloader"/> class
/// </summary>
/// <param name="fileHistoryProvider"></param>
public IQFeedDataDownloader(IQFeedFileHistoryProvider fileHistoryProvider)
{
_fileHistoryProvider = fileHistoryProvider;
_tickType = TickType.Trade;
}