internal async Task <IList <HistoryDataPoint> > FetchHistoryDataBlock(
IHistoryDataConsumer consumer,
Contract contract,
DateTime begin,
DateTime end,
HistoryProviderSpan span,
CancellationToken cancellationToken = new CancellationToken())
{
// Формируем параметры запроса
ApplyHistoryDataLimits(span, ref begin, ref end);
// Ждем, чтобы не превысить лимиты по частоте запросов
var request = new IBHistoricalDataRequest(
this,
consumer,
contract: contract,
begin: begin,
end: end,
span: span,
whatToShow: "TRADES",
useRth: 1,
formatDate: 1
);
// Отправляем запрос
var points = await request.ExecuteAsync(cancellationToken).ConfigureAwait(false);
return(points);
}
public bool Equals(IBHistoricalDataRequest other)
{
return(contract == other.contract &&
begin == other.begin &&
end == other.end &&
span == other.span &&
string.Equals(whatToShow, other.whatToShow) &&
useRth == other.useRth &&
formatDate == other.formatDate);
}
// Pacing Violations
// =================
//
// All of the API technologies support historical data requests.
// However, requesting the same historical data in a short period of time can cause extra load on the backend and subsequently cause pacing violations.
// The error code and message that indicates a pacing violation is:
// * 162 - Historical Market Data Service error message: Historical data request pacing violation
//
// The following conditions can cause a pacing violation:
// * Making identical historical data requests within 15 seconds;
// * Making six or more historical data requests for the same Contract, Exchange and Tick Type within two seconds.
//
// Also, observe the following limitation when requesting historical data:
// * Do not make more than 60 historical data requests in any ten-minute period.
// * If the whatToShow parameter in reqHistoricalData() is set to BID_ASK, then this counts as two requests and we will call BID and ASK historical data separately.
public async Task WaitForPaceLimitAsync(IBHistoricalDataRequest request,
CancellationToken cancellationToken = default(CancellationToken))
{
var waitTime = ComputeEffectiveWaitTime(DateTime.UtcNow, request);
if (waitTime > 0)
{
const int LongEnough = 5 * 1000; // 5 sec
if (waitTime >= LongEnough)
{
IBAdapter.Log.Warn().PrintFormat("Will wait for history data for {0}s due to pace limits",
waitTime / 1000);
}
else
{
IBAdapter.Log.Debug().PrintFormat("Pace limit wait time: {0}ms", waitTime);
}
await Task.Delay(waitTime, cancellationToken);
}
}
private double GetWaitTimeByContract(DateTime now, IBHistoricalDataRequest request)
{
// Не более 3 запросов за 2 секунды
const double MinRequestRate = 2d / 3d;
DateTime lastRequestTime;
if (!lastRequestTimesByContract.TryGetValue(request.ContractId, out lastRequestTime))
{
return(0d);
}
var delta = (now - lastRequestTime).TotalSeconds;
delta = MinRequestRate - delta;
if (delta <= 0)
{
return(0d);
}
return(delta);
}
private int ComputeEffectiveWaitTime(DateTime now, IBHistoricalDataRequest request)
{
var key = request.Key;
using (lastRequestTimesLock.Lock())
{
// Ограничение 1 - не более 2.5 запросов в секунду по одному и тому же инструменту
var waitTimeByContract = GetWaitTimeByContract(now, request);
// Ограничение 2 - идентичные запросы должны идти не чаще, чем 1 раз в 15 секунд
var waitTimeByRequestParameters = GetWaitTimeByRequestParameters(now, key);
// Ограничение 3 - не более 60 запросов за 10 минут
var waitTimeByTotalRequestCount = GetWaitTimeByTotalRequestCount(now);
// Берем наибольшее время ожидания
var waitTime = Math.Max(waitTimeByContract, waitTimeByRequestParameters);
waitTime = Math.Max(waitTime, waitTimeByTotalRequestCount);
// Переводим в миллисекунды
var waitTimeMs = (int)Math.Ceiling(waitTime * 1000d);
if (waitTimeMs <= 0)
{
waitTimeMs = 0;
}
// Сразу же запоминаем время данного запроса с учетом ожидания
// Это поможет в случае параллельных запросов
var future = now.AddMilliseconds(waitTimeMs);
lastRequestTimesByContract[request.ContractId] = future;
lastRequestTimesByRequestParameters[key] = future;
allRequestTimes.Push(future);
return(waitTimeMs);
}
}
public HistoryTaskCompletionSource(IBHistoricalDataRequest request, CancellationToken cancellationToken)
{
this.request = request;
this.cancellationToken = cancellationToken;
cancellationToken.RegisterSafe(() => TrySetCanceled());
}
