private IEnumerable <Bar> getHistoricalData(string symbol, Resolution resolution, DateTime startDateTime, DateTime endDateTime)
{
GetHistoricalDataResponseListener responseListener = new GetHistoricalDataResponseListener(session);
session.subscribeResponse(responseListener);
List <FxBar> barList = new List <FxBar>();
for (int i = 0; i < 100; i++)
{
var bars = getHistoryPrices(session, symbol, resolution, startDateTime, endDateTime, 1000, responseListener);
if (barList.Count() > 0 && bars.Count() > 0 && bars.Last().DateTime == barList.First().DateTime)
{
bars.RemoveAt(bars.Count() - 1);
}
if (bars.Count() == 0)
{
break;
}
barList.InsertRange(0, bars);
endDateTime = barList.First().DateTime;
}
if (resolution.TimeFrame == TimeFrame.Quarterly)
{
return(normalizeToQuarterlyTimeFrame(barList));
}
session.unsubscribeResponse(responseListener);
return(barList);
}
private List <FxBar> getHistoryPrices(O2GSession session, string instrument, Resolution resolution, DateTime startDateTime, DateTime endDateTime, int maxBars, GetHistoricalDataResponseListener responseListener)
{
O2GRequestFactory factory = session.getRequestFactory();
var tf = convert_Resolution_To_string(resolution);
O2GTimeframe timeframe = factory.Timeframes[tf];
if (timeframe == null)
{
throw new TimeframeNotFoundException($"Timeframe '{resolution.TimeFrame}:{resolution.Size}' is incorrect!");
}
O2GRequest request = factory.createMarketDataSnapshotRequestInstrument(instrument, timeframe, maxBars);
factory.fillMarketDataSnapshotRequestTime(request, startDateTime, endDateTime, false);
responseListener.SetRequestID(request.RequestID);
session.sendRequest(request);
if (!responseListener.WaitEvents())
{
throw new Exception($"{responseListener.Error}");
}
O2GResponse response = responseListener.GetResponse();
List <FxBar> barList = new List <FxBar>();
if (response != null && response.Type == O2GResponseType.MarketDataSnapshot)
{
O2GResponseReaderFactory readerFactory = session.getResponseReaderFactory();
if (readerFactory != null)
{
O2GMarketDataSnapshotResponseReader reader = readerFactory.createMarketDataSnapshotReader(response);
if (reader.Count > 0)
{
for (int i = 0; i < reader.Count; i++)
{
barList.Add(new FxBar
{
Open = reader.getBidOpen(i),
High = reader.getBidHigh(i),
Low = reader.getBidLow(i),
Close = reader.getBidClose(i),
Volume = reader.getVolume(i),
DateTime = reader.getDate(i)
});
}
}
}
}
return(barList);
}
