/// <summary>
/// Get historical time-series data from IB
/// </summary>
public async Task <List <HistoricalDataMessage> > GetHistoricalData(
Contract Contract, DateTime EndTime, BarSize BarSize,
int DurationDays = 1, HistoricalDataType DataType = HistoricalDataType.TRADES, bool UseRTH = false
)
{
return(await GetHistoricalData(Contract, EndTime, BarSize, DurationDays + " D", DataType, UseRTH));
}
private async Task <List <HistoricalDataMessage> > GetHistoricalData(
Contract Contract, DateTime EndTime, BarSize BarSize,
string Duration = "1 D", HistoricalDataType DataType = HistoricalDataType.TRADES, bool UseRTH = false
)
{
var dataBars = await this.Dispatch <HistoricalDataMessage>((requestId) =>
{
this.Log("Requesting Historical Data for {0} ending on {1}...", Contract.LocalSymbol, EndTime);
_ibClient.ClientSocket.reqHistoricalData(
requestId,
Contract,
EndTime.ToString("yyyyMMdd HH:mm:ss"),
Duration,
BarSize.ToDescription(),
DataType.ToString(),
UseRTH ? 1 : 0,
1,
false,
new List <TagValue>()
);
return(true);
});
dataBars.All((bar) =>
{
//convert the datetime from IB format into normalized ISO time format
bar.Date = Framework.ParseDateTz(bar.Date, DateTime.Now).Value.ToISOString();
return(true);
});
return(dataBars.OrderBy(bar => bar.Date).ToList());
}
public static HistoricalData ParseCsv(string filePath, string Ticker, string Name, HistoricalDataType DataType)
{
HistoricalData result = new HistoricalData();
result.Ticker = Ticker;
result.Name = Name;
result.Stocks = new List<Stock>();
using (StreamReader reader = new StreamReader(File.OpenRead(filePath)))
{
// skip first line which is date,open,high,low,close,volumn,adj close
reader.ReadLine();
string line;
while ((line = reader.ReadLine()) != null)
{
Stock price = Stock.ParsePrice(line, Ticker, Name);
result.Stocks.Add(price);
}
// filter according to daily, weekly or monthly
result.ProcessPrices(result.Stocks, DataType);
result.Stocks.Reverse();
}
return result;
}
/// <summary>
/// 获取某个证券的某段时间的历史数据
/// </summary>
/// <param name="instrument"></param>
/// <param name="dataType"></param>
/// <param name="barSize"></param>
/// <param name="startTime"></param>
/// <param name="endTime"></param>
/// <returns></returns>
public List <ISeriesObject> GetHistoricalData(Instrument instrument, HistoricalDataType dataType, int barSize, string beginTime, string endTime)
{
switch (dataType)
{
case HistoricalDataType.Bar:
List <GMSDK.Bar> gskBars = new List <GMSDK.Bar>();
gskBars = _md.GetBars(instrument.Symbol, barSize, beginTime, endTime);
return(GSKToGM.ConvertBars(gskBars));
case HistoricalDataType.Daily:
List <GMSDK.DailyBar> gskDailys = new List <GMSDK.DailyBar>();
gskDailys = _md.GetDailyBars(instrument.Symbol, beginTime, endTime);
return(GSKToGM.ConvertDailys(gskDailys));
case HistoricalDataType.Trade:
this.gskTicksCache = _md.GetTicks(instrument.Symbol, beginTime, endTime);
return(GSKToGM.ConvertTrades(this.gskTicksCache));
case HistoricalDataType.Quote:
this.gskTicksCache = _md.GetTicks(instrument.Symbol, beginTime, endTime);
return(GSKToGM.ConvertQuotes(this.gskTicksCache));
default:
throw new ArgumentException("Unknown data type: " + dataType.ToString());
}
}
public void RequestHistoricalData2(int requestId, Contract contract, DateTime endDateTime, string duration,
BarSize barSizeSetting, HistoricalDataType whatToShow, int useRth, int formatDate, bool keepUpToDate, List <TagValue> chartOptions)
{
string endDT = endDateTime.ToUniversalTime().ToString("yyyyMMdd HH:mm:ss", CultureInfo.InvariantCulture) + " UTC";
string barSize = barSizeSetting.Value;
string wts = whatToShow.Value;
lock (this)
ClientSocket.reqHistoricalData(requestId, contract, endDT, duration, barSize, wts, useRth, formatDate, keepUpToDate, chartOptions);
}
/// <summary>
/// Call the reqHistoricalData() method to start receiving historical data results through the historicalData() EWrapper method.
/// </summary>
/// <param name="requestId">the Id for the request. Must be a unique value. When the data is received, it will be identified by this Id. This is also used when canceling the historical data request.</param>
/// <param name="contract">this structure contains a description of the contract for which market data is being requested.</param>
/// <param name="endDateTime">Date is sent after a .ToUniversalTime, so make sure the kind property is set correctly, and assumes GMT timezone. Use the format yyyymmdd hh:mm:ss tmz, where the time zone is allowed (optionally) after a space at the end.</param>
/// <param name="duration">This is the time span the request will cover, and is specified using the format:
/// <integer /> <unit />, i.e., 1 D, where valid units are:
/// S (seconds)
/// D (days)
/// W (weeks)
/// M (months)
/// Y (years)
/// If no unit is specified, seconds are used. "years" is currently limited to one.
/// </param>
/// <param name="barSizeSetting">
/// specifies the size of the bars that will be returned (within IB/TWS limits). Valid values include:
/// <param name="useRth">
/// </param>
public void RequestHistoricalData(int requestId, Contract contract, DateTime endDateTime, TimeSpan duration,
BarSize barSizeSetting, HistoricalDataType whatToShow, bool useRth)
{
DateTime beginDateTime = endDateTime.Subtract(duration);
TimeSpan period = endDateTime.Subtract(beginDateTime);
string dur;
double secs = period.TotalSeconds;
long unit;
if (secs < 1)
{
throw new ArgumentOutOfRangeException("Period cannot be less than 1 second.");
}
if (secs < 86400)
{
unit = (long)Math.Ceiling(secs);
dur = string.Concat(unit, " S");
}
else
{
double days = secs / 86400;
unit = (long)Math.Ceiling(days);
if (unit <= 34)
{
dur = string.Concat(unit, " D");
}
else
{
double weeks = days / 7;
unit = (long)Math.Ceiling(weeks);
if (unit > 52)
{
throw new ArgumentOutOfRangeException("Period cannot be bigger than 52 weeks.");
}
dur = string.Concat(unit, " W");
}
}
RequestHistoricalData2(requestId, contract, endDateTime, dur, barSizeSetting, whatToShow, useRth ? 1 : 0, BarTimeFormat.UnixSeconds.Value, false, null);
}
/// <summary>
/// Creates an observable which emits historical data.
/// This method accepts arguments which will not necessarily be accepted by Tws/Gateway.
/// Note that IB imposes limitations on the timing of historical data requests.
/// </summary>
public IObservable <HistoricalBars> HistoricalDataObservable(
Contract contract,
HistoricalBarSize barSize = null,
HistoricalDuration duration = null,
Instant end = default,
HistoricalDataType dataType = null,
bool regularTradingHoursOnly = true,
params Tag[] options)
{
if (contract == null)
{
throw new ArgumentNullException(nameof(contract));
}
return(Response
.ToObservable <HistoricalBars>(
Request.NextId,
requestId => Request.RequestHistoricalData(requestId, contract, end, duration, barSize, dataType, regularTradingHoursOnly, options),
Request.CancelHistoricalData)
.ToShareSource());
}
public List <ISeriesObject> GetHistoricalData(Instrument instrument, HistoricalDataType dataType, int barSize, DateTime startTime, DateTime endTime)
{
List <ISeriesObject> results = new List <ISeriesObject>();
DZHSymbol symbol = new DZHSymbol(instrument.SecurityExchange, instrument.SecurityID);
List <DZHBar> bars;
List <DZHTick> ticks;
switch (dataType)
{
case HistoricalDataType.Bar:
if (barSize == 300)
{
if (min5Reader == null)
{
min5Reader = new DZHMin5BarReader(dzhDataPath);
}
bars = min5Reader.RequestBars(symbol, startTime, endTime);
}
else if (barSize == 60)
{
if (min1Reader == null)
{
min1Reader = new DZHMin1BarReader(dzhDataPath);
}
bars = min1Reader.RequestBars(symbol, startTime, endTime);
}
else
{
throw new ArgumentException("Unknowm bar size:" + barSize.ToString());
}
if ((bars != null) && (bars.Count > 0))
{
/*前复权调整*/
if (forwardAdjust)
{
if (financeReader == null)
{
financeReader = new DZHFinanceReader(dzhDataPath);
}
List <DZHExDividend> exDivs = financeReader.RequestExDividends(symbol);
financeReader.ForwardAdjustedPrice(bars, exDivs);
}
foreach (DZHBar aBar in bars)
{
results.Add(new Bar(aBar.Time, aBar.Open, aBar.High, aBar.Low, aBar.Close, (long)aBar.Volume, barSize));
}
}
break;
case HistoricalDataType.Daily:
if (dayReader == null)
{
dayReader = new DZHDayBarReader(dzhDataPath);
}
bars = dayReader.RequestBars(symbol, startTime, endTime);
if ((bars != null) && (bars.Count > 0))
{
/*前复权调整*/
if (forwardAdjust)
{
if (financeReader == null)
{
financeReader = new DZHFinanceReader(dzhDataPath);
}
List <DZHExDividend> exDivs = financeReader.RequestExDividends(symbol);
financeReader.ForwardAdjustedPrice(bars, exDivs);
}
foreach (DZHBar aBar in bars)
{
results.Add(new Daily(aBar.Time, aBar.Open, aBar.High, aBar.Low, aBar.Close, (long)aBar.Volume));
}
}
break;
case HistoricalDataType.Trade:
if (tickReader == null)
{
tickReader = new DZHTickReader(dzhDataPath);
}
ticks = tickReader.RequestTicks(symbol, startTime, endTime);
if ((ticks != null) && (ticks.Count > 0))
{
int prevVol = 0;
foreach (DZHTick aTick in ticks)
{
results.Add(new Trade(aTick.Time, aTick.Price, (int)aTick.Volume - prevVol));
prevVol = (int)aTick.Volume;
}
}
break;
default:
throw new ArgumentException("Unknown data type: " + dataType.ToString());
}
return(results);
}
// Get the prices corresponding to the historical data type
private void ProcessPrices(List<Stock> list, HistoricalDataType DataType)
{
// for now implement the case when data is provided daily and startdate is provided
if (StartDay != 0)
{
if (DataType != HistoricalDataType.Daily)
{
throw new ArgumentException("Historical datatype needs to be daily to use startdate");
}
List<Stock> filteredStocks = new List<Stock>();
int index = 0;
// select the current eligible month
Stock currentStock = Stocks[index];
Stock previousStock = Stocks[index];
int currentMonth = currentStock.Date.Month;
// ideally this should be the date in the month
DateTime targetDateTime = new DateTime(currentStock.Date.Year, currentMonth, StartDay);
DateTime firstDateOfCurrentMonth = new DateTime(currentStock.Date.Year, currentMonth, 1);
while (index < Stocks.Count)
{
while (firstDateOfCurrentMonth.Month == currentMonth)
{
index += 1;
// match!
if (currentStock.Date == targetDateTime)
{
filteredStocks.Add(currentStock);
if (index == Stocks.Count)
{
break;
}
// move to next month
currentMonth = (currentMonth + 1) % 12;
}
else if (currentStock.Date < targetDateTime)
{
// if we are at the last stock. just add this
if (index == Stocks.Count)
{
filteredStocks.Add(currentStock);
break;
}
}
else
{
// we just moved past the target date.
// let's just use the previous date if it is in the same month
if (previousStock.Date.Month == currentMonth)
{
filteredStocks.Add(previousStock);
}
else
{
filteredStocks.Add(currentStock);
}
if (index == Stocks.Count)
{
break;
}
currentMonth = (currentMonth + 1) % 12;
}
// move to the next stock
previousStock = currentStock;
currentStock = Stocks[index];
}
if (index == Stocks.Count)
{
// we break out of the loop because no more stock. so just break again
break;
}
// otherwise let's move to the next month
firstDateOfCurrentMonth = firstDateOfCurrentMonth.AddMonths(1);
targetDateTime = targetDateTime.AddMonths(1);
// move to the first stock of the next month
while (index < Stocks.Count)
{
if (currentStock.Date.Month == firstDateOfCurrentMonth.Month)
{
break;
}
index += 1;
if (index == Stocks.Count)
{
break;
}
previousStock = currentStock;
currentStock = Stocks[index];
}
}
// reconstruct the list of stocks so we only include stock data in that date of the month
// if no data for that date of the month then select the first date just before it.
foreach (var stock in Stocks)
{
}
}
}
// Get the prices corresponding to the historical data type
private void ProcessPrices(List <Stock> list, HistoricalDataType DataType)
{
// for now implement the case when data is provided daily and startdate is provided
if (StartDay != 0)
{
if (DataType != HistoricalDataType.Daily)
{
throw new ArgumentException("Historical datatype needs to be daily to use startdate");
}
List <Stock> filteredStocks = new List <Stock>();
int index = 0;
// select the current eligible month
Stock currentStock = Stocks[index];
Stock previousStock = Stocks[index];
int currentMonth = currentStock.Date.Month;
// ideally this should be the date in the month
DateTime targetDateTime = new DateTime(currentStock.Date.Year, currentMonth, StartDay);
DateTime firstDateOfCurrentMonth = new DateTime(currentStock.Date.Year, currentMonth, 1);
while (index < Stocks.Count)
{
while (firstDateOfCurrentMonth.Month == currentMonth)
{
index += 1;
// match!
if (currentStock.Date == targetDateTime)
{
filteredStocks.Add(currentStock);
if (index == Stocks.Count)
{
break;
}
// move to next month
currentMonth = (currentMonth + 1) % 12;
}
else if (currentStock.Date < targetDateTime)
{
// if we are at the last stock. just add this
if (index == Stocks.Count)
{
filteredStocks.Add(currentStock);
break;
}
}
else
{
// we just moved past the target date.
// let's just use the previous date if it is in the same month
if (previousStock.Date.Month == currentMonth)
{
filteredStocks.Add(previousStock);
}
else
{
filteredStocks.Add(currentStock);
}
if (index == Stocks.Count)
{
break;
}
currentMonth = (currentMonth + 1) % 12;
}
// move to the next stock
previousStock = currentStock;
currentStock = Stocks[index];
}
if (index == Stocks.Count)
{
// we break out of the loop because no more stock. so just break again
break;
}
// otherwise let's move to the next month
firstDateOfCurrentMonth = firstDateOfCurrentMonth.AddMonths(1);
targetDateTime = targetDateTime.AddMonths(1);
// move to the first stock of the next month
while (index < Stocks.Count)
{
if (currentStock.Date.Month == firstDateOfCurrentMonth.Month)
{
break;
}
index += 1;
if (index == Stocks.Count)
{
break;
}
previousStock = currentStock;
currentStock = Stocks[index];
}
}
// reconstruct the list of stocks so we only include stock data in that date of the month
// if no data for that date of the month then select the first date just before it.
foreach (var stock in Stocks)
{
}
}
}
public static HistoricalData ParseCsv(string filePath, string Ticker, string Name, HistoricalDataType DataType)
{
HistoricalData result = new HistoricalData();
result.Ticker = Ticker;
result.Name = Name;
result.Stocks = new List <Stock>();
using (StreamReader reader = new StreamReader(File.OpenRead(filePath)))
{
// skip first line which is date,open,high,low,close,volumn,adj close
reader.ReadLine();
string line;
while ((line = reader.ReadLine()) != null)
{
Stock price = Stock.ParsePrice(line, Ticker, Name);
result.Stocks.Add(price);
}
// filter according to daily, weekly or monthly
result.ProcessPrices(result.Stocks, DataType);
result.Stocks.Reverse();
}
return(result);
}
