/// <summary>
/// Download all available historical data for a given contract from TWS server
/// </summary>
/// <param name="c"></param>
public static void GetHistoricalData(GooContract c)
{
// Historical data is retrieved using a state machine
var e = new FSM_EventArgs.GooContract_With_Payload(c);
c.FSM.DownloadHistoricalData.Start(e);
}
// Received final packet of data for the duration requested in the current historical data request.
private static void Ibclient_HistoricalDataEnd(messages.HistoricalDataEndMessage hDataEnd)
{
// Data request is now completed = delete
GooContract c = GetDataRequestContract(hDataEnd.RequestId, true);
var e = new FSM_EventArgs.GooContract_With_Payload(c);
c.FSM.DownloadHistoricalData.FireEvent(FSM_DownloadHistoricalData.Events.HistoricalDataEnd, e);
}
private void DataReceived(FSM_EventArgs.GooContract_With_Payload e)
{
OHLCQuote dataBar = e.Payload as OHLCQuote;
if (e.Contract.HistoricalData.Data.ContainsKey(dataBar.Date) == false)
{
e.Contract.HistoricalData.Data.Add(dataBar.Date, dataBar);
}
}
// TWS message response to request for how much data is available. Returns timestamp of furthest out data.
private static void Ibclient_HeadTimestamp(messages.HeadTimestampMessage headTimeStamp)
{
// Get contract. This request is finished, so don't need any more.
GooContract c = GetDataRequestContract(headTimeStamp.ReqId, true);
// Send event to the download FSM to tell it the head time stamp has been received from TWS.
var e = new FSM_EventArgs.GooContract_With_Payload(c, headTimeStamp.HeadTimestamp);
c.FSM.DownloadHistoricalData.FireEvent(FSM_DownloadHistoricalData.Events.HeadTimeStamp, e);
}
// Received packet of historical data from TWS
private static void Ibclient_HistoricalData(messages.HistoricalDataMessage hData)
{
// Data request is valid until HistoricalDataEnd is received.
GooContract c = GetDataRequestContract(hData.RequestId, false);
// Package the quote and send the data received event to the state machine.
OHLCQuote quote = new OHLCQuote(hData.Date, hData.Open, hData.High, hData.Low, hData.Close);
var e = new FSM_EventArgs.GooContract_With_Payload(c, quote);
c.FSM.DownloadHistoricalData.FireEvent(FSM_DownloadHistoricalData.Events.HistoricalData, e);
}
private void TimeStampReceived(FSM_EventArgs.GooContract_With_Payload e)
{
// Convert head time stamp to DateTime for processing convenience later on.
var headTimeStampString = e.Payload as string;
DateTime dt = DateTime.ParseExact(headTimeStampString, TWSInfo.TimeStampStringFormat, CultureInfo.InvariantCulture);
e.Contract.HeadTimeStamp = dt;
// We'll work backwards to the headtimestamp from current time
e.Contract.HistRequestTimeStamp = DateTime.Now;
// Transition to start historical download. Can reuse the event args as they'll be the same.
FireEvent(FSM_DownloadHistoricalData.Events.StartDownload, e);
}
private void DataRequestDone(FSM_EventArgs.GooContract_With_Payload e)
{
var c = e.Contract;
// Skip to next day
e.Contract.HistRequestTimeStamp = e.Contract.HistRequestTimeStamp.AddDays(-1);
if (DateTime.Compare(c.HeadTimeStamp, c.HistRequestTimeStamp) < 0)
{
FireEvent(FSM_DownloadHistoricalData.Events.DownloadNextDay, e);
string msg = String.Format("{0}: {1}", e.Contract.Symbol, e.Contract.HistRequestTimeStamp.ToString());
MessageLogger.LogMessage(msg);
}
else
{
FireEvent(FSM_DownloadHistoricalData.Events.Finished);
}
}
private void DownloadHistoricalData(FSM_EventArgs.GooContract_With_Payload e)
{
// Submit a request for 24 hours of 1-min data
TWS.RequestHistoricalData(e.Contract, e.Contract.HistRequestTimeStamp, TWSInfo.HistoricalDataStepSizes.Day_1, TWSInfo.BarSizeSetting.Min_1);
}
// Methods for individual states. Should be private or protected to hide them since they don't need to be called directly.
// NOTE: NAMES NEED TO MATCH STATES EXACTLY OR EXCEPTIONS WILL BE GENERATED!
#region State Methods
private void GetHeadTimeStamp(FSM_EventArgs.GooContract_With_Payload e)
{
TWS.RequestHeadTimeStamp(e.Contract);
}
