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());
}
/// <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 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);
}
