private (IbkrDataProviderRequest yearsRequest, IbkrDataProviderRequest daysRequest) PartitionLargeRequest(IbkrDataProviderRequest request)
{
/*
* IBKR requests greater than 1 year must be split into 2 requests - one for the years and one for the remainder days
*/
Log(new LogMessage(ToString(), $"Partitioning request [{request.RequestID}] for {request.Security.Ticker}", LogMessageType.Debug));
request.Requests.Insert(0, IbkrDataProviderRequestType.SecurityHistoricalData);
IbkrDataProviderRequest yearsRequest = request.Copy();
yearsRequest.PartitionedRequest = true;
IbkrDataProviderRequest daysRequest = request.Copy();
daysRequest.PartitionedRequest = true;
var partitions = request.PriceDataRequestSpan.ToIbkrPartition();
// Modify the Years request date range to request from the original End to End-Years
yearsRequest.PriceDataRequestRange = (request.PriceDataRequestRange.end.AddYears(-partitions.wholeYears), request.PriceDataRequestRange.end);
// Modify the Days request date range to request fron the original Start to Start+Days (plus buffer)
daysRequest.PriceDataRequestRange = (request.PriceDataRequestRange.start, request.PriceDataRequestRange.start.AddDays(partitions.daysRemainder + 14));
yearsRequest.MarkPending();
daysRequest.MarkPending();
return(yearsRequest, daysRequest);
}
private IbkrDataProviderRequest FormatNewRequest(RefDataProviderRequest request)
{
// Convert generic request into IBKR formatted request
var ret = IbkrDataProviderRequest.GetRequest(request);
switch (request.RequestType)
{
case DataProviderRequestType.SecurityContractData:
ret.AddRequestType(IbkrDataProviderRequestType.SecurityExchangeName);
break;
case DataProviderRequestType.SecurityPriceData:
case DataProviderRequestType.SecurityVolumeData:
if (ret.Security.Exchange == "UNK")
{
ret.AddRequestType(IbkrDataProviderRequestType.SecurityExchangeName);
}
if (ret.PriceDataRequestRange.start == DateTime.MinValue)
{
ret.AddRequestType(IbkrDataProviderRequestType.SecurityFirstAvailableDate);
}
ret.AddRequestType(IbkrDataProviderRequestType.SecurityHistoricalData);
break;
}
return(ret);
}
