private void GetTicks(SortedDictionary <DateTime, Tick> ticks, Symbol symbol,
DateTime date, O2GSession session, ResponseListener responseListener)
{
var requestFactory = session.getRequestFactory();
var timeframe = requestFactory.Timeframes["t1"];
if (timeframe == null)
{
throw new Exception($"The \"t1\" timeframe is invalid!");
}
var request = requestFactory.createMarketDataSnapshotRequestInstrument(
symbol.ToInstrument(), timeframe, 300);
var from = date.ToUtcFromEst();
var until = date.AddDays(1).AddMilliseconds(-1).ToUtcFromEst();
DateTime first = until;
int blockId = 0;
do
{
requestFactory.fillMarketDataSnapshotRequestTime(
request, from, first, false);
responseListener.SetRequestID(request.RequestID);
session.sendRequest(request);
if (!responseListener.WaitEvents())
{
throw new TimeoutException("The ResponseListener timeout expired!");
}
var response = responseListener.GetResponse();
if ((response != null) && (response.Type == O2GResponseType.MarketDataSnapshot))
{
var readerFactory = session.getResponseReaderFactory();
if (readerFactory != null)
{
var reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
if (DateTime.Compare(first, reader.getDate(0)) != 0)
{
first = reader.getDate(0);
}
else
{
break;
}
}
else
{
break;
}
}
var block = ReadTicks(session, response, symbol, blockId++);
OnProgress?.Invoke(this, new ProgressArgs(blockId, block));
foreach (var tick in block)
{
if (ticks.ContainsKey(tick.TickOn))
{
ticks[tick.TickOn] = tick;
}
else
{
ticks.Add(tick.TickOn, tick);
}
}
}
else
{
break;
}
}while (first.IgnoreMilliseconds() > from.IgnoreMilliseconds());
}
