/// <summary>
/// This event is raised when historical data arrives from TWS
/// </summary>
private void _client_HistoricalData(object sender, QDMSIBClient.HistoricalDataEventArgs 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;
}
if (!_historicalDataRequests.ContainsKey(id))
{
//this means we don't have a request with this key. If all works well,
//it should mean that this is actually a realtime data request using the new system
return;
}
var bar = TWSUtils.HistoricalDataEventArgsToOHLCBar(e);
//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);
}
private void _client_HistoricalDataUpdate(object sender, QDMSIBClient.HistoricalDataEventArgs e)
{
if (e.Bar.Volume < 0)
{
return;
}
var originalRequest = _realTimeDataRequests[e.RequestId];
var args = TWSUtils.HistoricalDataEventArgsToRealTimeDataEventArgs(e, originalRequest.Instrument.ID.Value, _requestIDMap[e.RequestId]);
RaiseEvent(DataReceived, this, args);
}
public static OHLCBar HistoricalDataEventArgsToOHLCBar(QDMSIBClient.HistoricalDataEventArgs e)
{
var bar = new OHLCBar
{
DTOpen = e.Bar.Time,
Open = (decimal)e.Bar.Open,
High = (decimal)e.Bar.High,
Low = (decimal)e.Bar.Low,
Close = (decimal)e.Bar.Close,
Volume = e.Bar.Volume,
};
return(bar);
}
public static RealTimeDataEventArgs HistoricalDataEventArgsToRealTimeDataEventArgs(QDMSIBClient.HistoricalDataEventArgs e, int instrumentId, int reqId)
{
var rtdea = new RealTimeDataEventArgs(instrumentId,
QDMS.BarSize.FiveSeconds,
MyUtils.ConvertToTimestamp(e.Bar.Time),
(decimal)e.Bar.Open,
(decimal)e.Bar.High,
(decimal)e.Bar.Low,
(decimal)e.Bar.Close,
e.Bar.Volume,
e.Bar.WAP,
e.Bar.Count,
reqId);
return(rtdea);
}
