public void RequestsAreGivenAUniqueAssignedIDGreaterThanZero()
{
var request = new HistoricalDataRequest(_instrument, BarSize.OneDay, new DateTime(2012, 1, 1), new DateTime(2013, 1, 1),
dataLocation: DataLocation.ExternalOnly,
saveToLocalStorage: false,
rthOnly: true);
var req2 = (HistoricalDataRequest)request.Clone();
var req3 = (HistoricalDataRequest)request.Clone();
var assignedIDs = new List <int>();
_dataSourceMock
.Setup(x => x.RequestHistoricalData(It.IsAny <HistoricalDataRequest>()))
.Callback <HistoricalDataRequest>(req => assignedIDs.Add(req.AssignedID));
_broker.RequestHistoricalData(request);
_broker.RequestHistoricalData(req2);
_broker.RequestHistoricalData(req3);
Thread.Sleep(50);
Assert.AreEqual(3, assignedIDs.Count);
Assert.AreEqual(3, assignedIDs.Distinct().Count());
Assert.AreEqual(0, assignedIDs.Count(x => x < 0));
}
/// <summary>
/// Splits a historical data request into multiple pieces so that they obey the request limits
/// </summary>
private List <HistoricalDataRequest> SplitRequest(HistoricalDataRequest request)
{
var requests = new List <HistoricalDataRequest>();
//start at the end, and work backward in increments
int step = 495; //max bars returned per request
var freqInterval = request.Frequency.ToTimeSpan().TotalSeconds *step;
DateTime currentDate = request.EndingDate;
while (currentDate > request.StartingDate)
{
var newReq = (HistoricalDataRequest)request.Clone();
newReq.EndingDate = currentDate;
newReq.StartingDate = newReq.EndingDate.AddSeconds(-freqInterval);
if (newReq.StartingDate < request.StartingDate)
{
newReq.StartingDate = request.StartingDate;
}
currentDate = newReq.StartingDate;
requests.Add(newReq);
}
requests.Reverse();
return(requests);
}
/// <summary>
/// When a data request can be partly filled by the local db,
/// we need to split it into one or two sub-requests for the parts that
/// are not locally available. This method does that and forwards the sub-requests.
/// </summary>
private void GenerateSubRequests(HistoricalDataRequest request, StoredDataInfo localDataInfo)
{
_subRequests.TryAdd(request.AssignedID, new List <HistoricalDataRequest>());
//earlier data that may be needed
HistoricalDataRequest newBackRequest = null;
if (localDataInfo.EarliestDate > request.StartingDate)
{
newBackRequest = (HistoricalDataRequest)request.Clone();
newBackRequest.EndingDate = localDataInfo.EarliestDate.AddMilliseconds(-request.Frequency.ToTimeSpan().TotalMilliseconds / 2);
newBackRequest.IsSubrequestFor = request.AssignedID;
newBackRequest.AssignedID = GetUniqueRequestID();
_subRequests[newBackRequest.IsSubrequestFor.Value].Add(newBackRequest);
}
//later data that may be needed
HistoricalDataRequest newForwardRequest = null;
if (localDataInfo.LatestDate < request.EndingDate)
{
//the local storage is insufficient, so we save the original request, make a copy,
//modify it, and pass it to the external data source
newForwardRequest = (HistoricalDataRequest)request.Clone();
newForwardRequest.StartingDate = localDataInfo.LatestDate.AddMilliseconds(request.Frequency.ToTimeSpan().TotalMilliseconds / 2);
newForwardRequest.IsSubrequestFor = request.AssignedID;
newForwardRequest.AssignedID = GetUniqueRequestID();
_subRequests[newForwardRequest.IsSubrequestFor.Value].Add(newForwardRequest);
}
//we send these together, because too large of a delay between the two requests can cause problems
if (newBackRequest != null)
{
ForwardHistoricalRequest(newBackRequest);
}
if (newForwardRequest != null)
{
ForwardHistoricalRequest(newForwardRequest);
}
}
/// <summary>
/// Splits a historical data request into multiple pieces so that they obey the request limits
/// </summary>
private List <HistoricalDataRequest> SplitRequest(HistoricalDataRequest request)
{
var requests = new List <HistoricalDataRequest>();
//start at the end, and work backward in increments slightly lower than the max allowed time
int step = (int)(TWSUtils.MaxRequestLength(request.Frequency) * .95);
DateTime currentDate = request.EndingDate;
while (currentDate > request.StartingDate)
{
var newReq = (HistoricalDataRequest)request.Clone();
newReq.EndingDate = currentDate;
newReq.StartingDate = newReq.EndingDate.AddSeconds(-step);
if (newReq.StartingDate < request.StartingDate)
{
newReq.StartingDate = request.StartingDate;
}
currentDate = currentDate.AddSeconds(-step);
requests.Add(newReq);
}
return(requests);
}