/// <summary>
/// Aggregates a list of 5-second bars at the requested resolution
/// </summary>
/// <param name="symbol"></param>
/// <param name="bars"></param>
/// <param name="resolution"></param>
/// <returns></returns>
private static IEnumerable <TradeBar> AggregateBars(Symbol symbol, List <Candle> bars, TimeSpan resolution)
{
return
(from b in bars
group b by OandaBrokerage.GetDateTimeFromString(b.time).RoundDown(resolution)
into g
select new TradeBar
{
Symbol = symbol,
Time = g.Key,
Open = Convert.ToDecimal(g.First().openMid),
High = Convert.ToDecimal(g.Max(b => b.highMid)),
Low = Convert.ToDecimal(g.Min(b => b.lowMid)),
Close = Convert.ToDecimal(g.Last().closeMid)
});
}
/// <summary>
/// Groups a list of bars into a dictionary keyed by date
/// </summary>
/// <param name="bars"></param>
/// <returns></returns>
private static SortedDictionary <DateTime, List <Candle> > GroupBarsByDate(List <Candle> bars)
{
var groupedBars = new SortedDictionary <DateTime, List <Candle> >();
foreach (var bar in bars)
{
var date = OandaBrokerage.GetDateTimeFromString(bar.time).Date;
if (!groupedBars.ContainsKey(date))
{
groupedBars[date] = new List <Candle>();
}
groupedBars[date].Add(bar);
}
return(groupedBars);
}
/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="symbol">Symbol for the data we're looking for.</param>
/// <param name="resolution">Resolution of the data request</param>
/// <param name="startUtc">Start time of the data in UTC</param>
/// <param name="endUtc">End time of the data in UTC</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable <BaseData> Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
if (!_symbolMapper.IsKnownLeanSymbol(symbol))
{
throw new ArgumentException("Invalid symbol requested: " + symbol.Value);
}
if (resolution == Resolution.Tick)
{
throw new NotSupportedException("Resolution not available: " + resolution);
}
if (symbol.ID.SecurityType != SecurityType.Forex && symbol.ID.SecurityType != SecurityType.Cfd)
{
throw new NotSupportedException("SecurityType not available: " + symbol.ID.SecurityType);
}
if (endUtc < startUtc)
{
throw new ArgumentException("The end date must be greater or equal than the start date.");
}
var barsTotalInPeriod = new List <Candle>();
var barsToSave = new List <Candle>();
// set the starting date/time
DateTime date = startUtc;
DateTime startDateTime = date;
// loop until last date
while (startDateTime <= endUtc.AddDays(1))
{
string start = startDateTime.ToString("yyyy-MM-ddTHH:mm:ssZ");
// request blocks of 5-second bars with a starting date/time
var oandaSymbol = _symbolMapper.GetBrokerageSymbol(symbol);
var bars = _brokerage.DownloadBars(oandaSymbol, start, OandaBrokerage.MaxBarsPerRequest, EGranularity.S5);
if (bars.Count == 0)
{
break;
}
var groupedBars = GroupBarsByDate(bars);
if (groupedBars.Count > 1)
{
// we received more than one day, so we save the completed days and continue
while (groupedBars.Count > 1)
{
var currentDate = groupedBars.Keys.First();
if (currentDate > endUtc)
{
break;
}
barsToSave.AddRange(groupedBars[currentDate]);
barsTotalInPeriod.AddRange(barsToSave);
barsToSave.Clear();
// remove the completed date
groupedBars.Remove(currentDate);
}
// update the current date
date = groupedBars.Keys.First();
if (date <= endUtc)
{
barsToSave.AddRange(groupedBars[date]);
}
}
else
{
var currentDate = groupedBars.Keys.First();
if (currentDate > endUtc)
{
break;
}
// update the current date
date = currentDate;
barsToSave.AddRange(groupedBars[date]);
}
// calculate the next request datetime (next 5-sec bar time)
startDateTime = OandaBrokerage.GetDateTimeFromString(bars[bars.Count - 1].time).AddSeconds(5);
}
if (barsToSave.Count > 0)
{
barsTotalInPeriod.AddRange(barsToSave);
}
switch (resolution)
{
case Resolution.Second:
case Resolution.Minute:
case Resolution.Hour:
case Resolution.Daily:
foreach (var bar in AggregateBars(symbol, barsTotalInPeriod, resolution.ToTimeSpan()))
{
yield return(bar);
}
break;
}
}
