/// <summary>
/// Adds the specified symbols to the subscription
/// </summary>
/// <param name="job">Job we're subscribing for:</param>
/// <param name="symbols">The symbols to be added keyed by SecurityType</param>
public void Subscribe(LiveNodePacket job, IEnumerable <Symbol> symbols)
{
var symbolsToSubscribe = (from symbol in symbols
where !_subscribedSymbols.Contains(symbol)
select symbol).ToList();
if (symbolsToSubscribe.Count == 0)
{
return;
}
Log.Trace("FxcmBrokerage.Subscribe(): {0}", string.Join(",", symbolsToSubscribe));
var request = new MarketDataRequest();
foreach (var symbol in symbolsToSubscribe)
{
request.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(symbol)]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
foreach (var symbol in symbolsToSubscribe)
{
_subscribedSymbols.Add(symbol);
}
}
/// <summary>
/// Adds the specified symbols to the subscription
/// </summary>
/// <param name="job">Job we're subscribing for:</param>
/// <param name="symbols">The symbols to be added keyed by SecurityType</param>
public void Subscribe(LiveNodePacket job, IEnumerable<Symbol> symbols)
{
var symbolsToSubscribe = (from symbol in symbols
where !_subscribedSymbols.Contains(symbol) && CanSubscribe(symbol)
select symbol).ToList();
if (symbolsToSubscribe.Count == 0)
return;
Log.Trace("FxcmBrokerage.Subscribe(): {0}", string.Join(",", symbolsToSubscribe));
var request = new MarketDataRequest();
foreach (var symbol in symbolsToSubscribe)
{
TradingSecurity fxcmSecurity;
if (_fxcmInstruments.TryGetValue(_symbolMapper.GetBrokerageSymbol(symbol), out fxcmSecurity))
{
request.addRelatedSymbol(fxcmSecurity);
}
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
foreach (var symbol in symbolsToSubscribe)
{
_subscribedSymbols.Add(symbol);
}
}
/// <summary>
/// Adds the specified symbols to the subscription
/// </summary>
/// <param name="symbols">The symbols to be added keyed by SecurityType</param>
private bool Subscribe(IEnumerable <Symbol> symbols)
{
var request = new MarketDataRequest();
foreach (var symbol in symbols)
{
TradingSecurity fxcmSecurity;
if (_fxcmInstruments.TryGetValue(_symbolMapper.GetBrokerageSymbol(symbol), out fxcmSecurity))
{
request.addRelatedSymbol(fxcmSecurity);
// cache exchange time zone for symbol
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.FXCM, symbol, symbol.SecurityType).TimeZone;
_symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
}
}
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
return(true);
}
/// <summary>
/// Gets the quotes for the symbol
/// </summary>
private List <MarketDataSnapshot> GetQuotes(List <string> fxcmSymbols)
{
// get current quotes for the instrument
var request = new MarketDataRequest();
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
foreach (var fxcmSymbol in fxcmSymbols)
{
request.addRelatedSymbol(_fxcmInstruments[fxcmSymbol]);
}
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(ResponseTimeout))
{
throw new TimeoutException("FxcmBrokerage.GetQuotes(): Operation took longer than " +
$"{((decimal)ResponseTimeout / 1000).ToStringInvariant()} seconds."
);
}
return(_rates.Where(x => fxcmSymbols.Contains(x.Key)).Select(x => x.Value).ToList());
}
/// <summary>
/// Adds the specified symbols to the subscription
/// </summary>
/// <param name="job">Job we're subscribing for:</param>
/// <param name="symbols">The symbols to be added keyed by SecurityType</param>
public void Subscribe(LiveNodePacket job, IDictionary<SecurityType, List<Symbol>> symbols)
{
var symbolsToSubscribe = (from secType in symbols
from symbol in secType.Value
where !_subscribedSymbols.Contains(symbol)
select symbol).ToList();
if (symbolsToSubscribe.Count == 0)
return;
Log.Trace("FxcmBrokerage.Subscribe(): {0}", string.Join(",", symbolsToSubscribe));
var request = new MarketDataRequest();
foreach (var symbol in symbolsToSubscribe)
{
request.addRelatedSymbol(_fxcmInstruments[ConvertSymbolToFxcmSymbol(symbol)]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
foreach (var symbol in symbolsToSubscribe)
{
_subscribedSymbols.Add(symbol);
}
}
/// <summary>
/// Removes the specified symbols to the subscription
/// </summary>
/// <param name="job">Job we're processing.</param>
/// <param name="symbols">The symbols to be removed keyed by SecurityType</param>
public void Unsubscribe(LiveNodePacket job, IDictionary <SecurityType, List <string> > symbols)
{
var symbolsToUnsubscribe = (from secType in symbols
from symbol in secType.Value
where _subscribedSymbols.Contains(symbol)
select symbol).ToList();
if (symbolsToUnsubscribe.Count == 0)
{
return;
}
Log.Trace("FxcmBrokerage.Unsubscribe(): {0}", string.Join(",", symbolsToUnsubscribe));
var request = new MarketDataRequest();
foreach (var symbol in symbolsToUnsubscribe)
{
request.addRelatedSymbol(_fxcmInstruments[ConvertSymbolToFxcmSymbol(symbol)]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.UNSUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
foreach (var symbol in symbolsToUnsubscribe)
{
_subscribedSymbols.Remove(symbol);
}
}
/// <summary>
/// Adds the specified symbols to the subscription
/// </summary>
/// <param name="symbols">The symbols to be added keyed by SecurityType</param>
private void Subscribe(IEnumerable <Symbol> symbols)
{
var symbolsToSubscribe = (from symbol in symbols
where !_subscribedSymbols.Contains(symbol) && CanSubscribe(symbol)
select symbol).ToList();
if (symbolsToSubscribe.Count == 0)
{
return;
}
Log.Trace("FxcmBrokerage.Subscribe(): {0}", string.Join(",", symbolsToSubscribe));
var request = new MarketDataRequest();
foreach (var symbol in symbolsToSubscribe)
{
TradingSecurity fxcmSecurity;
if (_fxcmInstruments.TryGetValue(_symbolMapper.GetBrokerageSymbol(symbol), out fxcmSecurity))
{
request.addRelatedSymbol(fxcmSecurity);
// cache exchange time zone for symbol
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.FXCM, symbol, symbol.SecurityType).TimeZone;
_symbolExchangeTimeZones.Add(symbol, exchangeTimeZone);
}
}
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
foreach (var symbol in symbolsToSubscribe)
{
_subscribedSymbols.Add(symbol);
}
}
/// <summary>
/// Removes the specified symbols to the subscription
/// </summary>
/// <param name="symbols">The symbols to be removed keyed by SecurityType</param>
private bool Unsubscribe(IEnumerable <Symbol> symbols)
{
Log.Trace("FxcmBrokerage.Unsubscribe(): {0}", string.Join(",", symbols));
var request = new MarketDataRequest();
foreach (var symbol in symbols)
{
request.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(symbol)]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.UNSUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
return(true);
}
/// <summary>
/// TradingSessionStatus message handler
/// </summary>
private void OnTradingSessionStatus(TradingSessionStatus message)
{
if (message.getRequestID() == _currentRequest)
{
// load instrument list into a dictionary
var securities = message.getSecurities();
while (securities.hasMoreElements())
{
var security = (TradingSecurity)securities.nextElement();
_fxcmInstruments[security.getSymbol()] = security;
}
// create map from QuantConnect symbols to FXCM symbols
foreach (var kvp in _fxcmInstruments)
{
var fxcmSymbol = kvp.Key;
var tradingSecurity = kvp.Value;
var symbol = ConvertSymbol(tradingSecurity);
_mapInstrumentSymbols[symbol] = fxcmSymbol;
}
// get account base currency
_fxcmAccountCurrency = message.getParameter("BASE_CRNCY").getValue();
_mapRequestsToAutoResetEvents[_currentRequest].Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
// unsubscribe all instruments (only at first logon)
if (_subscribedSymbols.Count == 0)
{
var request = new MarketDataRequest();
foreach (var fxcmSymbol in _fxcmInstruments.Keys)
{
request.addRelatedSymbol(_fxcmInstruments[fxcmSymbol]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.UNSUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
_gateway.sendMessage(request);
}
}
}
/// <summary>
/// Gets the quotes for the symbol
/// </summary>
public List<MarketDataSnapshot> GetQuotes(List<string> fxcmSymbols)
{
// get current quotes for the instrument
var request = new MarketDataRequest();
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
foreach (var fxcmSymbol in fxcmSymbols)
{
request.addRelatedSymbol(_fxcmInstruments[fxcmSymbol]);
}
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(ResponseTimeout))
throw new TimeoutException(string.Format("FxcmBrokerage.GetQuotes(): Operation took longer than {0} seconds.", (decimal)ResponseTimeout / 1000));
return _rates.Where(x => fxcmSymbols.Contains(x.Key)).Select(x => x.Value).ToList();
}
/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="symbol">Symbol for the data we're looking for.</param>
/// <param name="type">Security type</param>
/// <param name="resolution">Resolution of the data request</param>
/// <param name="startUtc">Start time of the data in UTC</param>
/// <param name="endUtc">End time of the data in UTC</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable <BaseData> Get(Symbol symbol, SecurityType type, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
if (!_instruments.ContainsKey(symbol.Value))
{
throw new ArgumentException("Invalid symbol requested: " + symbol.Value);
}
if (resolution == Resolution.Tick)
{
throw new NotSupportedException("Resolution not available: " + resolution);
}
if (type != SecurityType.Forex && type != SecurityType.Cfd)
{
throw new NotSupportedException("SecurityType not available: " + type);
}
if (endUtc < startUtc)
{
throw new ArgumentException("The end date must be greater or equal than the start date.");
}
Console.WriteLine("Logging in...");
// create the gateway
_gateway = GatewayFactory.createGateway();
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// create local login properties
var loginProperties = new FXCMLoginProperties(_userName, _password, _terminal, _server);
// log in
_gateway.login(loginProperties);
// initialize session
RequestTradingSessionStatus();
Console.WriteLine("Downloading data from {0} to {1}...", startUtc.ToShortDateString(), endUtc.ToShortDateString());
// download bars
var totalBars = new List <TradeBar>();
// calculate the maximum time span for one request (using 10-second bars)
const int maxBarsPerRequest = 300;
var timeSpanPerRequest = TimeSpan.FromSeconds(maxBarsPerRequest * 10);
var start = startUtc;
var end = startUtc + timeSpanPerRequest;
// request loop
while (start < endUtc.AddDays(1))
{
_currentBars.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(FXCMTimingIntervalFactory.SEC10);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(ToJavaDateUtc(start)));
mdr.setFXCMStartTime(new UTCTimeOnly(ToJavaDateUtc(start)));
mdr.setFXCMEndDate(new UTCDate(ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_mapInstrumentSymbols[symbol]]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(1000))
{
// no response, continue loop
start = end.AddSeconds(10);
// if saturday, fast-forward to sunday
if (start.DayOfWeek == DayOfWeek.Saturday)
{
start = start.AddDays(1);
}
end = start + timeSpanPerRequest;
continue;
}
var lastBarTime = _currentBars[_currentBars.Count - 1].Time;
if (lastBarTime < start)
{
// no more data available, exit loop
break;
}
// add bars received
totalBars.AddRange(_currentBars.Where(x => x.Time.Date <= endUtc.Date));
// calculate time span for next request
start = lastBarTime.AddSeconds(10);
end = start + timeSpanPerRequest;
if (start >= DateTime.UtcNow)
{
// data in the future not available, exit loop
break;
}
}
Console.WriteLine("Logging out...");
// log out
_gateway.logout();
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
switch (resolution)
{
case Resolution.Second:
foreach (var bar in totalBars)
{
yield return(bar);
}
break;
case Resolution.Minute:
case Resolution.Hour:
case Resolution.Daily:
foreach (var bar in AggregateBars(symbol, totalBars, resolution.ToTimeSpan()))
{
yield return(bar);
}
break;
}
}
/// <summary>
/// Gets the history for the requested security
/// </summary>
/// <param name="request">The historical data request</param>
/// <returns>An enumerable of bars covering the span specified in the request</returns>
public override IEnumerable <BaseData> GetHistory(HistoryRequest request)
{
if (!_symbolMapper.IsKnownLeanSymbol(request.Symbol))
{
Log.Trace("FxcmBrokerage.GetHistory(): Invalid symbol: {0}, no history returned", request.Symbol.Value);
yield break;
}
// cache exchange time zone for symbol
DateTimeZone exchangeTimeZone;
if (!_symbolExchangeTimeZones.TryGetValue(request.Symbol, out exchangeTimeZone))
{
exchangeTimeZone = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.FXCM, request.Symbol, request.Symbol.SecurityType).TimeZone;
_symbolExchangeTimeZones.Add(request.Symbol, exchangeTimeZone);
}
var interval = ToFxcmInterval(request.Resolution);
// download data
var history = new List <BaseData>();
var lastEndTime = DateTime.MinValue;
var end = request.EndTimeUtc;
var attempt = 1;
while (end > request.StartTimeUtc)
{
Log.Debug(string.Format("FxcmBrokerage.GetHistory(): Requesting {0:O} to {1:O}", end, request.StartTimeUtc));
_lastHistoryChunk.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(interval);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(ToJavaDateUtc(request.StartTimeUtc)));
mdr.setFXCMStartTime(new UTCTimeOnly(ToJavaDateUtc(request.StartTimeUtc)));
mdr.setFXCMEndDate(new UTCDate(ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(request.Symbol)]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
_pendingHistoryRequests.Add(_currentRequest);
}
if (!autoResetEvent.WaitOne(HistoryResponseTimeout))
{
// No response can mean genuine timeout or the history data has ended.
// 90% of the time no response because no data; widen the search net to 5m if we don't get a response:
if (request.StartTimeUtc.AddSeconds(300) >= end)
{
break;
}
// 5% of the time its because the data ends at a specific, repeatible time not close to our desired endtime:
if (end == lastEndTime)
{
Log.Trace("FxcmBrokerage.GetHistory(): Request for {0} ended at {1:O}", request.Symbol.Value, end);
break;
}
// 5% of the time its because of an internet / time of day / api settings / timeout: throw if this is the *second* attempt.
if (EnableOnlyHistoryRequests && lastEndTime != DateTime.MinValue)
{
throw new TimeoutException(string.Format("FxcmBrokerage.GetHistory(): History operation ending in {0:O} took longer than {1} seconds. This may be because there is no data, retrying...", end, (decimal)HistoryResponseTimeout / 1000));
}
// Assuming Timeout: If we've already retried quite a few times, lets bail.
if (++attempt > MaximumHistoryRetryAttempts)
{
Log.Trace("FxcmBrokerage.GetHistory(): Maximum attempts reached for: " + request.Symbol.Value);
break;
}
// Assuming Timeout: Save end time and if have the same endtime next time, break since its likely there's no data after that time.
lastEndTime = end;
Log.Trace("FxcmBrokerage.GetHistory(): Attempt " + attempt + " for: " + request.Symbol.Value + " ended at " + lastEndTime.ToString("O"));
continue;
}
// Add data
lock (_locker)
{
history.InsertRange(0, _lastHistoryChunk);
}
var firstDateUtc = _lastHistoryChunk[0].Time.ConvertToUtc(exchangeTimeZone);
if (end != firstDateUtc)
{
// new end date = first datapoint date.
end = request.Resolution == Resolution.Tick ? firstDateUtc.AddMilliseconds(-1) : firstDateUtc.AddSeconds(-1);
if (request.StartTimeUtc.AddSeconds(10) >= end)
{
break;
}
}
else
{
break;
}
}
foreach (var data in history)
{
yield return(data);
}
}
/// <summary>
/// Gets the history for the requested securities
/// </summary>
/// <param name="requests">The historical data requests</param>
/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
public IEnumerable <Slice> GetHistory(IEnumerable <HistoryRequest> requests, DateTimeZone sliceTimeZone)
{
foreach (var request in requests)
{
var interval = ToFxcmInterval(request.Resolution);
// download data
var history = new List <BaseData>();
var end = request.EndTimeUtc;
var attempt = 1;
while (end > request.StartTimeUtc)
{
_lastHistoryChunk.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(interval);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(ToJavaDateUtc(request.StartTimeUtc)));
mdr.setFXCMStartTime(new UTCTimeOnly(ToJavaDateUtc(request.StartTimeUtc)));
mdr.setFXCMEndDate(new UTCDate(ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(request.Symbol)]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
_pendingHistoryRequests.Add(_currentRequest);
}
if (!autoResetEvent.WaitOne(HistoryResponseTimeout))
{
// no response
if (++attempt > MaximumHistoryRetryAttempts)
{
break;
}
continue;
}
// Add data
lock (_locker)
{
history.InsertRange(0, _lastHistoryChunk);
}
var firstDateUtc = _lastHistoryChunk[0].Time.ConvertToUtc(_configTimeZone);
if (end != firstDateUtc)
{
// new end date = first datapoint date.
end = request.Resolution == Resolution.Tick ? firstDateUtc.AddMilliseconds(-1) : firstDateUtc.AddSeconds(-1);
if (request.StartTimeUtc.AddSeconds(1) >= end)
{
break;
}
}
else
{
break;
}
}
DataPointCount += history.Count;
foreach (var data in history)
{
yield return(new Slice(data.EndTime, new[] { data }));
}
}
}
/// <summary>
/// Removes the specified symbols to the subscription
/// </summary>
/// <param name="job">Job we're processing.</param>
/// <param name="symbols">The symbols to be removed keyed by SecurityType</param>
public void Unsubscribe(LiveNodePacket job, IEnumerable<Symbol> symbols)
{
var symbolsToUnsubscribe = (from symbol in symbols
where _subscribedSymbols.Contains(symbol)
select symbol).ToList();
if (symbolsToUnsubscribe.Count == 0)
return;
Log.Trace("FxcmBrokerage.Unsubscribe(): {0}", string.Join(",", symbolsToUnsubscribe));
var request = new MarketDataRequest();
foreach (var symbol in symbolsToUnsubscribe)
{
request.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(symbol)]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.UNSUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
lock (_locker)
{
_gateway.sendMessage(request);
}
foreach (var symbol in symbolsToUnsubscribe)
{
_subscribedSymbols.Remove(symbol);
}
}
public void Run()
{
_gateway = GatewayFactory.createGateway();
// register the generic message listener with the gateway
_gateway.registerGenericMessageListener(this);
// register the status message listener with the gateway
_gateway.registerStatusMessageListener(this);
// attempt to login with the local login properties
Console.WriteLine("Logging in...");
var loginProperties = new FXCMLoginProperties(UserName, Password, Terminal, Server);
// disable the streaming rates (default automatic subscriptions)
loginProperties.addProperty(IConnectionManager.__Fields.MSG_FLAGS, IFixDefs.__Fields.CHANNEL_MARKET_DATA.ToString());
_gateway.login(loginProperties);
Console.WriteLine("Logged in.\n");
// get instrument list
Console.WriteLine("Requesting trading session status...");
lock (_locker)
{
_currentRequest = _gateway.requestTradingSessionStatus();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestTradingSessionStatusEvent.WaitOne();
Console.WriteLine("Instruments: {0}\n", _securities.Count);
foreach (var pair in _securities)
{
var security = pair.Value;
Console.WriteLine(security.getSymbol() + " " +
security.getCurrency() + " " +
security.getFXCMSubscriptionStatus() + " " +
security.getRoundLot() + " " +
security.getContractMultiplier() + " " +
security.getFXCMMinQuantity() + " " +
security.getFXCMMaxQuantity() + " " +
security.getFXCMSymPointSize() + " " +
security.getFactor() + " " +
security.getFXCMSymPrecision() + " " +
security.getProduct() + " " +
security.getFXCMProductID() + " " +
(security.getFXCMProductID() == IFixValueDefs.__Fields.FXCMPRODUCTID_FOREX ? "Forex" : "CFD"));
}
Console.WriteLine();
// get account list
Console.WriteLine("Requesting account list...");
lock (_locker)
{
_currentRequest = _gateway.requestAccounts();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestAccountListEvent.WaitOne();
Console.WriteLine("Accounts: {0}\n", _accounts.Count);
// use first account
var accountId = _accounts.Keys.First();
// we are unable to continue if Hedging enabled
if (_accounts[accountId].getParties().getFXCMPositionMaintenance() != "N")
throw new NotSupportedException("The Lean engine does not support accounts with Hedging enabled. Please contact FXCM support to disable Hedging and try again.");
// get open order list
Console.WriteLine("Requesting open order list...");
lock (_locker)
{
_currentRequest = _gateway.requestOpenOrders();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Open orders: {0}\n", _orders.Keys.Count);
// cancel all open orders
if (_orders.Keys.Count > 0)
{
Console.WriteLine("Cancelling open orders...");
foreach (var order in _orders.Values.ToList())
{
Console.WriteLine("Cancelling order {0}...", order.getOrderID());
var request = MessageGenerator.generateOrderCancelRequest("", order.getOrderID(), order.getSide(), order.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Order {0} cancelled.", order.getOrderID());
}
_orders.Clear();
Console.WriteLine("Open orders cancelled.\n");
}
// get open position list
Console.WriteLine("Requesting open position list...");
lock (_locker)
{
_currentRequest = _gateway.requestOpenPositions();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestPositionListEvent.WaitOne();
Console.WriteLine("Open position list complete.\n");
// get closed position list
Console.WriteLine("Requesting closed position list...");
lock (_currentRequest)
{
_currentRequest = _gateway.requestClosedPositions();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestPositionListEvent.WaitOne();
Console.WriteLine("Closed position list complete.\n");
// get current quotes for the instrument
if (_securities.ContainsKey(Symbol))
{
Console.WriteLine("Requesting market data for " + Symbol + "...");
var request = new MarketDataRequest();
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
request.addRelatedSymbol(_securities[Symbol]);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestMarketDataEvent.WaitOne();
Console.WriteLine(Symbol + " - Bid: {0} Ask: {1}\n", _rates[Symbol].getBidClose(), _rates[Symbol].getAskClose());
}
// submit limit order
Console.WriteLine("Submitting limit order...");
var limitOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.BUY, Symbol, "");
limitOrderRequest.setOrdType(OrdTypeFactory.LIMIT);
limitOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(limitOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order submitted.\n");
var limitOrder = _orderRequests[_currentRequest];
// update limit order
Console.WriteLine("Updating limit order...");
var orderReplaceRequest = MessageGenerator.generateOrderReplaceRequest("", limitOrder.getOrderID(), limitOrder.getSide(), limitOrder.getOrdType(), 0.8, limitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderReplaceRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order updated.\n");
// cancel limit order
Console.WriteLine("Cancelling limit order...");
var orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", limitOrder.getOrderID(), limitOrder.getSide(), limitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order cancelled.\n");
// submit stop market order
Console.WriteLine("Submitting stop market order...");
var stopMarketOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.SELL, Symbol, "");
stopMarketOrderRequest.setOrdType(OrdTypeFactory.STOP);
stopMarketOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(stopMarketOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop market order submitted.\n");
var stopMarketOrder = _orderRequests[_currentRequest];
// cancel stop market order
Console.WriteLine("Cancelling stop market order...");
orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", stopMarketOrder.getOrderID(), stopMarketOrder.getSide(), stopMarketOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop market order cancelled.\n");
// submit stop limit order
Console.WriteLine("Submitting stop limit order...");
var stopLimitOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.SELL, Symbol, "");
stopLimitOrderRequest.setOrdType(OrdTypeFactory.STOP_LIMIT);
stopLimitOrderRequest.setStopPx(0.695);
stopLimitOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(stopLimitOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop limit order submitted.\n");
var stopLimitOrder = _orderRequests[_currentRequest];
// cancel stop limit order
Console.WriteLine("Cancelling stop limit order...");
orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", stopLimitOrder.getOrderID(), stopLimitOrder.getSide(), stopLimitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop limit order cancelled.\n");
// submit market order (buy)
Console.WriteLine("Submitting buy market order...");
var buyOrder = MessageGenerator.generateMarketOrder(accountId, 10000, SideFactory.BUY, Symbol, "");
lock (_locker)
{
_currentRequest = _gateway.sendMessage(buyOrder);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Buy market order submitted.\n");
// submit market order (sell)
Console.WriteLine("Submitting sell market order...");
var sellOrder = MessageGenerator.generateMarketOrder(accountId, 10000, SideFactory.SELL, Symbol, "");
lock (_locker)
{
_currentRequest = _gateway.sendMessage(sellOrder);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Sell market order submitted.\n");
Console.WriteLine();
Console.WriteLine("Press Return to Logout and exit.\n");
Console.ReadKey();
// log out
Console.WriteLine("Logging out...");
_gateway.logout();
Console.WriteLine("Logged out.");
// remove the generic message listener, stop listening to updates
_gateway.removeGenericMessageListener(this);
// remove the status message listener, stop listening to status changes
_gateway.removeStatusMessageListener(this);
}
public void Run()
{
_gateway = GatewayFactory.createGateway();
// register the generic message listener with the gateway
_gateway.registerGenericMessageListener(this);
// register the status message listener with the gateway
_gateway.registerStatusMessageListener(this);
// attempt to login with the local login properties
Console.WriteLine("Logging in...");
var loginProperties = new FXCMLoginProperties(UserName, Password, Terminal, Server);
// disable the streaming rates (default automatic subscriptions)
loginProperties.addProperty(IConnectionManager.__Fields.MSG_FLAGS, IFixDefs.__Fields.CHANNEL_MARKET_DATA.ToString());
_gateway.login(loginProperties);
Console.WriteLine("Logged in.\n");
// get instrument list
Console.WriteLine("Requesting trading session status...");
lock (_locker)
{
_currentRequest = _gateway.requestTradingSessionStatus();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestTradingSessionStatusEvent.WaitOne();
Console.WriteLine("Instruments: {0}\n", _securities.Count);
foreach (var pair in _securities)
{
var security = pair.Value;
Console.WriteLine(security.getSymbol() + " " +
security.getCurrency() + " " +
security.getFXCMSubscriptionStatus() + " " +
security.getRoundLot() + " " +
security.getContractMultiplier() + " " +
security.getFXCMMinQuantity() + " " +
security.getFXCMMaxQuantity() + " " +
security.getFXCMSymPointSize() + " " +
security.getFactor() + " " +
security.getFXCMSymPrecision() + " " +
security.getProduct() + " " +
security.getFXCMProductID() + " " +
(security.getFXCMProductID() == IFixValueDefs.__Fields.FXCMPRODUCTID_FOREX ? "Forex" : "CFD"));
}
Console.WriteLine();
// get account list
Console.WriteLine("Requesting account list...");
lock (_locker)
{
_currentRequest = _gateway.requestAccounts();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestAccountListEvent.WaitOne();
Console.WriteLine("Accounts: {0}\n", _accounts.Count);
// use first account
var accountId = _accounts.Keys.First();
// we are unable to continue if Hedging enabled
if (_accounts[accountId].getParties().getFXCMPositionMaintenance() == "Y")
{
throw new NotSupportedException("The Lean engine does not support accounts with Hedging enabled. Please contact FXCM support to disable Hedging and try again.");
}
// get open order list
Console.WriteLine("Requesting open order list...");
lock (_locker)
{
_currentRequest = _gateway.requestOpenOrders();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Open orders: {0}\n", _orders.Keys.Count);
// cancel all open orders
if (_orders.Keys.Count > 0)
{
Console.WriteLine("Cancelling open orders...");
foreach (var order in _orders.Values.ToList())
{
Console.WriteLine("Cancelling order {0}...", order.getOrderID());
var request = MessageGenerator.generateOrderCancelRequest("", order.getOrderID(), order.getSide(), order.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Order {0} cancelled.", order.getOrderID());
}
_orders.Clear();
Console.WriteLine("Open orders cancelled.\n");
}
// get open position list
Console.WriteLine("Requesting open position list...");
lock (_locker)
{
_currentRequest = _gateway.requestOpenPositions();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestPositionListEvent.WaitOne();
Console.WriteLine("Open position list complete.\n");
// get closed position list
Console.WriteLine("Requesting closed position list...");
lock (_currentRequest)
{
_currentRequest = _gateway.requestClosedPositions();
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestPositionListEvent.WaitOne();
Console.WriteLine("Closed position list complete.\n");
// get current quotes for the instrument
if (_securities.ContainsKey(Symbol))
{
Console.WriteLine("Requesting market data for " + Symbol + "...");
var request = new MarketDataRequest();
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
request.addRelatedSymbol(_securities[Symbol]);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(request);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestMarketDataEvent.WaitOne();
Console.WriteLine(Symbol + " - Bid: {0} Ask: {1}\n", _rates[Symbol].getBidClose(), _rates[Symbol].getAskClose());
}
// submit limit order
Console.WriteLine("Submitting limit order...");
var limitOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.BUY, Symbol, "");
limitOrderRequest.setOrdType(OrdTypeFactory.LIMIT);
limitOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(limitOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order submitted.\n");
var limitOrder = _orderRequests[_currentRequest];
// update limit order
Console.WriteLine("Updating limit order...");
var orderReplaceRequest = MessageGenerator.generateOrderReplaceRequest("", limitOrder.getOrderID(), limitOrder.getSide(), limitOrder.getOrdType(), 0.8, limitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderReplaceRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order updated.\n");
// cancel limit order
Console.WriteLine("Cancelling limit order...");
var orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", limitOrder.getOrderID(), limitOrder.getSide(), limitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Limit order cancelled.\n");
// submit stop market order
Console.WriteLine("Submitting stop market order...");
var stopMarketOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.SELL, Symbol, "");
stopMarketOrderRequest.setOrdType(OrdTypeFactory.STOP);
stopMarketOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(stopMarketOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop market order submitted.\n");
var stopMarketOrder = _orderRequests[_currentRequest];
// cancel stop market order
Console.WriteLine("Cancelling stop market order...");
orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", stopMarketOrder.getOrderID(), stopMarketOrder.getSide(), stopMarketOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop market order cancelled.\n");
// submit stop limit order
Console.WriteLine("Submitting stop limit order...");
var stopLimitOrderRequest = MessageGenerator.generateOpenOrder(0.7, accountId, 10000, SideFactory.SELL, Symbol, "");
stopLimitOrderRequest.setOrdType(OrdTypeFactory.STOP_LIMIT);
stopLimitOrderRequest.setStopPx(0.695);
stopLimitOrderRequest.setTimeInForce(TimeInForceFactory.GOOD_TILL_CANCEL);
lock (_locker)
{
_currentRequest = _gateway.sendMessage(stopLimitOrderRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop limit order submitted.\n");
var stopLimitOrder = _orderRequests[_currentRequest];
// cancel stop limit order
Console.WriteLine("Cancelling stop limit order...");
orderCancelRequest = MessageGenerator.generateOrderCancelRequest("", stopLimitOrder.getOrderID(), stopLimitOrder.getSide(), stopLimitOrder.getAccount());
lock (_locker)
{
_currentRequest = _gateway.sendMessage(orderCancelRequest);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Stop limit order cancelled.\n");
// submit market order (buy)
Console.WriteLine("Submitting buy market order...");
var buyOrder = MessageGenerator.generateMarketOrder(accountId, 10000, SideFactory.BUY, Symbol, "");
lock (_locker)
{
_currentRequest = _gateway.sendMessage(buyOrder);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Buy market order submitted.\n");
// submit market order (sell)
Console.WriteLine("Submitting sell market order...");
var sellOrder = MessageGenerator.generateMarketOrder(accountId, 10000, SideFactory.SELL, Symbol, "");
lock (_locker)
{
_currentRequest = _gateway.sendMessage(sellOrder);
Console.WriteLine("\tRequestId = {0}\n", _currentRequest);
}
_requestOrderEvent.WaitOne();
Console.WriteLine("Sell market order submitted.\n");
Console.WriteLine();
Console.WriteLine("Press Return to Logout and exit.\n");
Console.ReadKey();
// log out
Console.WriteLine("Logging out...");
_gateway.logout();
Console.WriteLine("Logged out.");
// remove the generic message listener, stop listening to updates
_gateway.removeGenericMessageListener(this);
// remove the status message listener, stop listening to status changes
_gateway.removeStatusMessageListener(this);
}
/// <summary>
/// TradingSessionStatus message handler
/// </summary>
private void OnTradingSessionStatus(TradingSessionStatus message)
{
if (message.getRequestID() == _currentRequest)
{
// load instrument list into a dictionary
var securities = message.getSecurities();
while (securities.hasMoreElements())
{
var security = (TradingSecurity)securities.nextElement();
_fxcmInstruments[security.getSymbol()] = security;
}
// create map from QuantConnect symbols to FXCM symbols
foreach (var fxcmSymbol in _fxcmInstruments.Keys)
{
var symbol = ConvertFxcmSymbolToSymbol(fxcmSymbol);
_mapInstrumentSymbols[symbol] = fxcmSymbol;
}
// get account base currency
_fxcmAccountCurrency = message.getParameter("BASE_CRNCY").getValue();
_mapRequestsToAutoResetEvents[_currentRequest].Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
// unsubscribe all instruments
var request = new MarketDataRequest();
foreach (var fxcmSymbol in _fxcmInstruments.Keys)
{
request.addRelatedSymbol(_fxcmInstruments[fxcmSymbol]);
}
request.setSubscriptionRequestType(SubscriptionRequestTypeFactory.UNSUBSCRIBE);
request.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
_gateway.sendMessage(request);
}
}
/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="symbol">Symbol for the data we're looking for.</param>
/// <param name="resolution">Resolution of the data request</param>
/// <param name="startUtc">Start time of the data in UTC</param>
/// <param name="endUtc">End time of the data in UTC</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable<BaseData> Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
if (!_symbolMapper.IsKnownLeanSymbol(symbol))
throw new ArgumentException("Invalid symbol requested: " + symbol.Value);
if (symbol.ID.SecurityType != SecurityType.Forex && symbol.ID.SecurityType != SecurityType.Cfd)
throw new NotSupportedException("SecurityType not available: " + symbol.ID.SecurityType);
if (endUtc <= startUtc)
throw new ArgumentException("The end date must be greater than the start date.");
Console.WriteLine("Logging in...");
// create the gateway
_gateway = GatewayFactory.createGateway();
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// create local login properties
var loginProperties = new FXCMLoginProperties(_userName, _password, _terminal, _server);
// log in
_gateway.login(loginProperties);
// initialize session
RequestTradingSessionStatus();
Console.WriteLine("Downloading {0} data from {1} to {2}...", resolution, startUtc.ToString("yyyyMMdd HH:mm:ss"), endUtc.ToString("yyyyMMdd HH:mm:ss"));
// Find best FXCM parameters
var interval = FxcmBrokerage.ToFxcmInterval(resolution);
var totalTicks = (endUtc - startUtc).Ticks;
// download data
var totalBaseData = new List<BaseData>();
var end = endUtc;
do //
{
//show progress
progressBar(Math.Abs((end - endUtc).Ticks), totalTicks, Console.WindowWidth / 2,'█');
_currentBaseData.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(interval);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(FxcmBrokerage.ToJavaDateUtc(startUtc)));
mdr.setFXCMStartTime(new UTCTimeOnly(FxcmBrokerage.ToJavaDateUtc(startUtc)));
mdr.setFXCMEndDate(new UTCDate(FxcmBrokerage.ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(FxcmBrokerage.ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(symbol)]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(1000 * 5))
{
// no response, exit
break;
}
// Add data
totalBaseData.InsertRange(0, _currentBaseData.Where(x => x.Time.Date >= startUtc.Date));
if (end != _currentBaseData[0].Time)
{
// new end date = first datapoint date.
end = _currentBaseData[0].Time;
}
else
{
break;
}
} while (end > startUtc);
Console.WriteLine("\nLogging out...");
// log out
_gateway.logout();
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
return totalBaseData.ToList();
}
/// <summary>
/// Gets the history for the requested securities
/// </summary>
/// <param name="requests">The historical data requests</param>
/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
public IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
{
foreach (var request in requests)
{
var interval = ToFxcmInterval(request.Resolution);
// download data
var history = new List<BaseData>();
var end = request.EndTimeUtc;
var attempt = 1;
while (end > request.StartTimeUtc)
{
_lastHistoryChunk.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(interval);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(ToJavaDateUtc(request.StartTimeUtc)));
mdr.setFXCMStartTime(new UTCTimeOnly(ToJavaDateUtc(request.StartTimeUtc)));
mdr.setFXCMEndDate(new UTCDate(ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(request.Symbol)]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
_pendingHistoryRequests.Add(_currentRequest);
}
if (!autoResetEvent.WaitOne(HistoryResponseTimeout))
{
// no response
if (++attempt > MaximumHistoryRetryAttempts)
{
break;
}
continue;
}
// Add data
lock (_locker)
{
history.InsertRange(0, _lastHistoryChunk);
}
var firstDateUtc = _lastHistoryChunk[0].Time.ConvertToUtc(_configTimeZone);
if (end != firstDateUtc)
{
// new end date = first datapoint date.
end = request.Resolution == Resolution.Tick ? firstDateUtc.AddMilliseconds(-1) : firstDateUtc.AddSeconds(-1);
if (request.StartTimeUtc.AddSeconds(1) >= end)
break;
}
else
{
break;
}
}
DataPointCount += history.Count;
foreach (var data in history)
{
yield return new Slice(data.EndTime, new[] { data });
}
}
}
/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="symbol">Symbol for the data we're looking for.</param>
/// <param name="resolution">Resolution of the data request</param>
/// <param name="startUtc">Start time of the data in UTC</param>
/// <param name="endUtc">End time of the data in UTC</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable <BaseData> Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
if (!_symbolMapper.IsKnownLeanSymbol(symbol))
{
throw new ArgumentException("Invalid symbol requested: " + symbol.Value);
}
if (symbol.ID.SecurityType != SecurityType.Forex && symbol.ID.SecurityType != SecurityType.Cfd)
{
throw new NotSupportedException("SecurityType not available: " + symbol.ID.SecurityType);
}
if (endUtc <= startUtc)
{
throw new ArgumentException("The end date must be greater than the start date.");
}
Console.WriteLine("Logging in...");
// create the gateway
_gateway = GatewayFactory.createGateway();
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// create local login properties
var loginProperties = new FXCMLoginProperties(_userName, _password, _terminal, _server);
// log in
_gateway.login(loginProperties);
// initialize session
RequestTradingSessionStatus();
Console.WriteLine("Downloading {0} data from {1} to {2}...", resolution, startUtc.ToString("yyyyMMdd HH:mm:ss"), endUtc.ToString("yyyyMMdd HH:mm:ss"));
// Find best FXCM parameters
var interval = FxcmBrokerage.ToFxcmInterval(resolution);
var totalTicks = (endUtc - startUtc).Ticks;
// download data
var totalBaseData = new List <BaseData>();
var end = endUtc;
do //
{
//show progress
progressBar(Math.Abs((end - endUtc).Ticks), totalTicks, Console.WindowWidth / 2, '█');
_currentBaseData.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(interval);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(FxcmBrokerage.ToJavaDateUtc(startUtc)));
mdr.setFXCMStartTime(new UTCTimeOnly(FxcmBrokerage.ToJavaDateUtc(startUtc)));
mdr.setFXCMEndDate(new UTCDate(FxcmBrokerage.ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(FxcmBrokerage.ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(symbol)]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(1000 * 5))
{
// no response, exit
break;
}
// Add data
totalBaseData.InsertRange(0, _currentBaseData.Where(x => x.Time.Date >= startUtc.Date));
if (end != _currentBaseData[0].Time)
{
// new end date = first datapoint date.
end = _currentBaseData[0].Time;
}
else
{
break;
}
} while (end > startUtc);
Console.WriteLine("\nLogging out...");
// log out
_gateway.logout();
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
return(totalBaseData.ToList());
}
/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="symbol">Symbol for the data we're looking for.</param>
/// <param name="resolution">Resolution of the data request</param>
/// <param name="startUtc">Start time of the data in UTC</param>
/// <param name="endUtc">End time of the data in UTC</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable<BaseData> Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
if (!_symbolMapper.IsKnownLeanSymbol(symbol))
throw new ArgumentException("Invalid symbol requested: " + symbol.Value);
if (resolution == Resolution.Tick)
throw new NotSupportedException("Resolution not available: " + resolution);
if (symbol.ID.SecurityType != SecurityType.Forex && symbol.ID.SecurityType != SecurityType.Cfd)
throw new NotSupportedException("SecurityType not available: " + symbol.ID.SecurityType);
if (endUtc < startUtc)
throw new ArgumentException("The end date must be greater or equal than the start date.");
Console.WriteLine("Logging in...");
// create the gateway
_gateway = GatewayFactory.createGateway();
// register the message listeners with the gateway
_gateway.registerGenericMessageListener(this);
_gateway.registerStatusMessageListener(this);
// create local login properties
var loginProperties = new FXCMLoginProperties(_userName, _password, _terminal, _server);
// log in
_gateway.login(loginProperties);
// initialize session
RequestTradingSessionStatus();
Console.WriteLine("Downloading data from {0} to {1}...", startUtc.ToShortDateString(), endUtc.ToShortDateString());
// download bars
var totalBars = new List<TradeBar>();
// calculate the maximum time span for one request (using 10-second bars)
const int maxBarsPerRequest = 300;
var timeSpanPerRequest = TimeSpan.FromSeconds(maxBarsPerRequest * 10);
var start = startUtc;
var end = startUtc + timeSpanPerRequest;
// request loop
while (start < endUtc.AddDays(1))
{
_currentBars.Clear();
var mdr = new MarketDataRequest();
mdr.setSubscriptionRequestType(SubscriptionRequestTypeFactory.SNAPSHOT);
mdr.setResponseFormat(IFixMsgTypeDefs.__Fields.MSGTYPE_FXCMRESPONSE);
mdr.setFXCMTimingInterval(FXCMTimingIntervalFactory.SEC10);
mdr.setMDEntryTypeSet(MarketDataRequest.MDENTRYTYPESET_ALL);
mdr.setFXCMStartDate(new UTCDate(ToJavaDateUtc(start)));
mdr.setFXCMStartTime(new UTCTimeOnly(ToJavaDateUtc(start)));
mdr.setFXCMEndDate(new UTCDate(ToJavaDateUtc(end)));
mdr.setFXCMEndTime(new UTCTimeOnly(ToJavaDateUtc(end)));
mdr.addRelatedSymbol(_fxcmInstruments[_symbolMapper.GetBrokerageSymbol(symbol)]);
AutoResetEvent autoResetEvent;
lock (_locker)
{
_currentRequest = _gateway.sendMessage(mdr);
autoResetEvent = new AutoResetEvent(false);
_mapRequestsToAutoResetEvents[_currentRequest] = autoResetEvent;
}
if (!autoResetEvent.WaitOne(1000))
{
// no response, continue loop
start = end.AddSeconds(10);
// if saturday, fast-forward to sunday
if (start.DayOfWeek == DayOfWeek.Saturday) start = start.AddDays(1);
end = start + timeSpanPerRequest;
continue;
}
var lastBarTime = _currentBars[_currentBars.Count - 1].Time;
if (lastBarTime < start)
{
// no more data available, exit loop
break;
}
// add bars received
totalBars.AddRange(_currentBars.Where(x => x.Time.Date <= endUtc.Date));
// calculate time span for next request
start = lastBarTime.AddSeconds(10);
end = start + timeSpanPerRequest;
if (start >= DateTime.UtcNow)
{
// data in the future not available, exit loop
break;
}
}
Console.WriteLine("Logging out...");
// log out
_gateway.logout();
// remove the message listeners
_gateway.removeGenericMessageListener(this);
_gateway.removeStatusMessageListener(this);
switch (resolution)
{
case Resolution.Second:
foreach (var bar in totalBars)
yield return bar;
break;
case Resolution.Minute:
case Resolution.Hour:
case Resolution.Daily:
foreach (var bar in AggregateBars(symbol, totalBars, resolution.ToTimeSpan()))
yield return bar;
break;
}
}
