/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using System; using System.Collections.Generic; using System.Linq; using QuantConnect.Configuration; using QuantConnect.Data.Market; using QuantConnect.Logging; using QuantConnect.Util; namespace QuantConnect.ToolBox.IBDownloader { public static class IBDownloaderProgram { /// /// Primary entry point to the program. This program only supports FOREX for now. /// public static void IBDownloader(IList tickers, string resolution, DateTime fromDate, DateTime toDate) { if (resolution.IsNullOrEmpty() || tickers.IsNullOrEmpty()) { Console.WriteLine("IBDownloader ERROR: '--tickers=' or '--resolution=' parameter is missing"); Console.WriteLine("--tickers=eg EURUSD,USDJPY"); Console.WriteLine("--resolution=Second/Minute/Hour/Daily/All"); Environment.Exit(1); } try { var allResolutions = resolution.ToLower() == "all"; var castResolution = allResolutions ? Resolution.Second : (Resolution)Enum.Parse(typeof(Resolution), resolution); var startDate = fromDate.ConvertToUtc(TimeZones.NewYork); var endDate = toDate.ConvertToUtc(TimeZones.NewYork); // fix end date endDate = new DateTime(Math.Min(endDate.Ticks, DateTime.Now.AddDays(-1).Ticks)); // Max number of histoy days int maxDays = 1; if (!allResolutions) { switch (castResolution) { case Resolution.Daily: maxDays = 365; break; case Resolution.Hour: maxDays = 30; break; case Resolution.Minute: maxDays = 10; break; } } // Load settings from config.json var dataDirectory = Config.Get("data-folder", "../../../Data"); // Only FOREX for now SecurityType securityType = SecurityType.Forex; string market = Market.FXCM; using (var downloader = new IBDataDownloader()) { foreach (var ticker in tickers) { // Download the data var symbol = Symbol.Create(ticker, securityType, market); var auxEndDate = startDate.AddDays(maxDays); auxEndDate = new DateTime(Math.Min(auxEndDate.Ticks, endDate.Ticks)); while (startDate < auxEndDate) { var data = downloader.Get(symbol, castResolution, startDate, auxEndDate); var bars = data.Cast().ToList(); if (allResolutions) { // Save the data (second resolution) var writer = new LeanDataWriter(castResolution, symbol, dataDirectory); writer.Write(bars); // Save the data (other resolutions) foreach (var res in new[] { Resolution.Minute, Resolution.Hour, Resolution.Daily }) { var resData = downloader.AggregateBars(symbol, bars, res.ToTimeSpan()); writer = new LeanDataWriter(res, symbol, dataDirectory); writer.Write(resData); } } else { // Save the data (single resolution) var writer = new LeanDataWriter(castResolution, symbol, dataDirectory); writer.Write(data); } startDate = auxEndDate; auxEndDate = auxEndDate.AddDays(maxDays); auxEndDate = new DateTime(Math.Min(auxEndDate.Ticks, endDate.Ticks)); } } } } catch (Exception err) { Log.Error(err); } } } }