std::vector<Prices> ForexConnectClient::getHistoricalPrices(const std::string& instrument,
const boost::posix_time::ptime& from,
const boost::posix_time::ptime& to,
const std::string& timeFrame)
{
std::vector<Prices> prices;
O2G2Ptr<IO2GTimeframeCollection> timeframeCollection = mpRequestFactory->getTimeFrameCollection();
O2G2Ptr<IO2GTimeframe> timeframe = timeframeCollection->get(timeFrame.c_str());
if (!timeframe)
{
BOOST_LOG_TRIVIAL(error) << "Timeframe '" << timeFrame << "' is incorrect!";
return prices;
}
O2G2Ptr<IO2GRequest> request = mpRequestFactory->createMarketDataSnapshotRequestInstrument(instrument.c_str(),
timeframe,
timeframe->getQueryDepth());
DATE dtFrom = toOleTime(from);
DATE dtTo = toOleTime(to);
DATE dtFirst = dtTo;
do
{
mpRequestFactory->fillMarketDataSnapshotRequestTime(request, dtFrom, dtFirst, false);
mpResponseListener->setRequestID(request->getRequestID());
mpSession->sendRequest(request);
if (!mpResponseListener->waitEvents())
{
BOOST_LOG_TRIVIAL(error) << "Response waiting timeout expired";
return prices;
}
// shift "to" bound to oldest datetime of returned data
O2G2Ptr<IO2GResponse> response = mpResponseListener->getResponse();
if (response && response->getType() == MarketDataSnapshot)
{
O2G2Ptr<IO2GMarketDataSnapshotResponseReader> reader = mpResponseReaderFactory->createMarketDataSnapshotReader(response);
if (reader->size() > 0)
{
if (fabs(dtFirst - reader->getDate(0)) > 0.0001)
dtFirst = reader->getDate(0); // earliest datetime of returned data
else
break;
}
else
{
BOOST_LOG_TRIVIAL(warning) << "0 rows received";
break;
}
std::vector<Prices> prc = getPricesFromResponse(response);
prices.insert(prices.end(), prc.begin(), prc.end());
}
else
{
break;
}
} while (dtFirst - dtFrom > 0.0001);
return prices;
}
bool getHistoryPrices(IO2GSession *session, const char *sInstrument, const char *sTimeframe, DATE dtFrom, DATE dtTo, ResponseListener *responseListener)
{
O2G2Ptr<IO2GRequestFactory> factory = session->getRequestFactory();
if (!factory)
{
std::cout << "Cannot create request factory" << std::endl;
return false;
}
//find timeframe by identifier
O2G2Ptr<IO2GTimeframeCollection> timeframeCollection = factory->getTimeFrameCollection();
O2G2Ptr<IO2GTimeframe> timeframe = timeframeCollection->get(sTimeframe);
if (!timeframe)
{
std::cout << "Timeframe '" << sTimeframe << "' is incorrect!" << std::endl;
return false;
}
O2G2Ptr<IO2GRequest> request = factory->createMarketDataSnapshotRequestInstrument(sInstrument, timeframe, timeframe->getQueryDepth());
DATE dtFirst = dtTo;
// there is limit for returned candles amount
do
{
factory->fillMarketDataSnapshotRequestTime(request, dtFrom, dtFirst, false);
responseListener->setRequestID(request->getRequestID());
session->sendRequest(request);
if (!responseListener->waitEvents())
{
std::cout << "Response waiting timeout expired" << std::endl;
return false;
}
// shift "to" bound to oldest datetime of returned data
O2G2Ptr<IO2GResponse> response = responseListener->getResponse();
if (response && response->getType() == MarketDataSnapshot)
{
O2G2Ptr<IO2GResponseReaderFactory> readerFactory = session->getResponseReaderFactory();
if (readerFactory)
{
O2G2Ptr<IO2GMarketDataSnapshotResponseReader> reader = readerFactory->createMarketDataSnapshotReader(response);
if (reader->size() > 0)
{
if (abs(dtFirst - reader->getDate(0)) > 0.0001)
dtFirst = reader->getDate(0); // earliest datetime of returned data
else
break;
}
else
{
std::cout << "0 rows received" << std::endl;
break;
}
}
printPrices(session, response);
}
else
{
break;
}
} while (dtFirst - dtFrom > 0.0001);
return true;
}