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;
}
예제 #2
0
파일: main.cpp 프로젝트: BryanFletcher/FXCM
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;
}