private void SendHistoricalRequest(int id, HistoricalDataRequest request)
{
Log(LogLevel.Info,
$"Sent historical data request to TWS. ID: {id}, Symbol: {request.Instrument.Symbol}, {TwsUtils.TimespanToDurationString(request.EndingDate - request.StartingDate, request.Frequency)} back from {request.EndingDate:yyyy-MM-dd hh:mm:ss}");
var exchangeTz = request.Instrument.GetTimeZoneInfo();
//we need to convert time from the exchange TZ to Local...the ib client then converts it to UTC
var startingDate = TimeZoneInfo.ConvertTime(request.StartingDate, exchangeTz, TimeZoneInfo.Local);
var endingDate = TimeZoneInfo.ConvertTime(request.EndingDate, exchangeTz, TimeZoneInfo.Local);
try
{
client.RequestHistoricalData
(
id,
TwsUtils.InstrumentToContract(request.Instrument),
endingDate,
TwsUtils.TimespanToDurationString(endingDate - startingDate, request.Frequency),
TwsUtils.BarSizeConverter(request.Frequency),
GetDataType(),
request.RTHOnly ? 1 : 0
);
}
catch (Exception ex)
{
Log(LogLevel.Error, "IB: Could not send historical data request: " + ex.Message);
RaiseEvent(Error, this, new ErrorArgs(-1, "Could not send historical data request: " + ex.Message, id));
}
}
/// <summary>
/// real time data request
/// </summary>
public int RequestRealTimeData(RealTimeDataRequest request)
{
lock (requestIDMapLock)
{
requestCounter++;
realTimeDataRequests.Add(requestCounter, request);
requestIDMap.Add(requestCounter, request.AssignedID);
}
try
{
var contract = TwsUtils.InstrumentToContract(request.Instrument);
client.RequestRealTimeBars(
requestCounter,
contract,
(int)TwsUtils.BarSizeConverter(request.Frequency),
RealTimeBarType.Trades, request.RTHOnly);
}
catch (Exception ex)
{
Log(LogLevel.Error, "IB: Could not send real time data request: " + ex.Message);
RaiseEvent(Error, this, new ErrorArgs(-1, "Could not send real time data request: " + ex.Message));
}
return(requestCounter);
}