Working synchronous historical data request.

This commit is contained in:
caspar 2026-03-16 06:02:13 -04:00
parent a3604f665e
commit d1328a88d9
9 changed files with 525 additions and 0 deletions

14
Backend.csproj Normal file
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<Project Sdk="Microsoft.NET.Sdk.Web">
<PropertyGroup>
<TargetFramework>net10.0</TargetFramework>
<Nullable>enable</Nullable>
<ImplicitUsings>enable</ImplicitUsings>
</PropertyGroup>
<ItemGroup>
<ProjectReference Include="../twsapi/CSharpAPI.csproj" />
</ItemGroup>
</Project>

0
Functions.cs Normal file
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namespace Backend.MarketDataRequest
{
public enum HistoricalBarSize
{
OneMin,
FiveMins,
FifteenMins,
OneHour,
OneDay
}
public enum HistoricalWhatToShow
{
Trades,
Bid,
Ask,
Midpoint
}
public sealed class HistoricalEquityRequest
{
public int RequestId { get; init; }
public string Symbol { get; init; } = string.Empty;
// Example: "" or "20260311 11:00:00 US/Eastern"
public string EndDateTime { get; init; } = string.Empty;
// Examples: "1 H", "1 D", "5 D", "1 M"
public string Duration { get; init; } = "1 D";
public HistoricalBarSize BarSize { get; init; } = HistoricalBarSize.OneMin;
public HistoricalWhatToShow WhatToShow { get; init; } = HistoricalWhatToShow.Trades;
public bool UseRth { get; init; } = true;
public bool KeepUpToDate { get; init; } = false;
// IBKR formatDate=1 returns human-readable dates for intraday bars.
public int FormatDate { get; init; } = 1;
public void Validate()
{
if (RequestId <= 0)
throw new ArgumentException("RequestId must be greater than 0.");
if (string.IsNullOrWhiteSpace(Symbol))
throw new ArgumentException("Symbol is required.");
if (string.IsNullOrWhiteSpace(Duration))
throw new ArgumentException("Duration is required.");
if (string.IsNullOrWhiteSpace(EndDateTime))
throw new ArgumentException("EndDateTime is required for this example.");
}
}
public static class HistoricalRequestMappings
{
public static string ToIbString(this HistoricalBarSize barSize) => barSize switch
{
HistoricalBarSize.OneMin => "1 min",
HistoricalBarSize.FiveMins => "5 mins",
HistoricalBarSize.FifteenMins => "15 mins",
HistoricalBarSize.OneHour => "1 hour",
HistoricalBarSize.OneDay => "1 day",
_ => throw new ArgumentOutOfRangeException(nameof(barSize))
};
public static string ToIbString(this HistoricalWhatToShow whatToShow) => whatToShow switch
{
HistoricalWhatToShow.Trades => "TRADES",
HistoricalWhatToShow.Bid => "BID",
HistoricalWhatToShow.Ask => "ASK",
HistoricalWhatToShow.Midpoint => "MIDPOINT",
_ => throw new ArgumentOutOfRangeException(nameof(whatToShow))
};
}
}

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using IBApi;
using System.Collections.Concurrent;
namespace Backend.MarketDataRequest
{
public sealed class IBGatewayControl : DefaultEWrapper, IDisposable
{
private readonly EReaderMonitorSignal _signal = new();
public EClientSocket Client { get; }
private EReader? _reader;
private Thread? _readerThread;
private volatile bool _disposed;
private volatile bool _readerRunning;
private volatile bool _apiReady;
public bool IsConnected => Client.IsConnected();
public bool IsApiReady => _apiReady;
private readonly ConcurrentDictionary<int, List<Bar>> _barsByRequest = new();
private readonly ConcurrentDictionary<int, TaskCompletionSource<List<Bar>>> _historyRequests = new();
public IBGatewayControl()
{
Client = new EClientSocket(this, _signal);
}
public void Start(string host = "127.0.0.1", int port = 4002, int clientId = 1)
{
ThrowIfDisposed();
if (Client.IsConnected())
return;
Console.WriteLine($"Connecting to IB Gateway at {host}:{port} with clientId={clientId}...");
Client.eConnect(host, port, clientId);
if (!Client.IsConnected())
throw new InvalidOperationException("Failed to connect to IB Gateway.");
_reader = new EReader(Client, _signal);
_reader.Start();
_readerRunning = true;
_readerThread = new Thread(ReadLoop)
{
IsBackground = true,
Name = "IBGatewayControl.EReader"
};
_readerThread.Start();
Console.WriteLine("IB Gateway socket connected.");
}
public void Disconnect()
{
if (_disposed)
return;
_readerRunning = false;
_apiReady = false;
if (Client.IsConnected())
{
Console.WriteLine("Disconnecting from IB Gateway...");
Client.eDisconnect();
}
}
private void ReadLoop()
{
try
{
while (_readerRunning && Client.IsConnected())
{
_signal.waitForSignal();
_reader?.processMsgs();
}
}
catch (Exception ex)
{
Console.WriteLine($"[IBGatewayControl reader error] {ex}");
}
}
public override void connectAck()
{
Console.WriteLine("[connectAck]");
}
public override void nextValidId(int orderId)
{
_apiReady = true;
Console.WriteLine($"[nextValidId] {orderId}");
}
public override void managedAccounts(string accountsList)
{
Console.WriteLine($"[managedAccounts] {accountsList}");
}
public override void connectionClosed()
{
_apiReady = false;
Console.WriteLine("[connectionClosed]");
}
public override void error(Exception e)
{
Console.WriteLine($"[error exception] {e}");
}
public override void error(string str)
{
Console.WriteLine($"[error string] {str}");
}
public override void error(int id, long errorCode, int errorTime, string errorMsg, string advancedOrderRejectJson)
{
if (errorCode == 2104 || errorCode == 2106 || errorCode == 2158)
return;
Console.WriteLine($"[error] id={id}, code={errorCode}, time={errorTime}, msg={errorMsg}");
if (id > 0 && _historyRequests.TryRemove(id, out var tcs))
{
_barsByRequest.TryRemove(id, out _);
tcs.TrySetException(
new InvalidOperationException($"IB error for reqId={id}: {errorCode} - {errorMsg}"));
}
}
public void RequestHistorical(HistoricalEquityRequest request)
{
ThrowIfDisposed();
request.Validate();
if (!Client.IsConnected())
throw new InvalidOperationException("IB Gateway is not connected.");
if (!_apiReady)
throw new InvalidOperationException("IB API is not ready yet.");
var contract = new Contract
{
Symbol = request.Symbol,
SecType = "STK",
Exchange = "SMART",
PrimaryExch = "NASDAQ",
Currency = "USD"
};
_barsByRequest[request.RequestId] = new List<Bar>();
Console.WriteLine(
$"Requesting historical data: Symbol={request.Symbol}, End={request.EndDateTime}, Duration={request.Duration}, BarSize={request.BarSize.ToIbString()}");
Client.reqHistoricalData(
request.RequestId,
contract,
request.EndDateTime,
request.Duration,
request.BarSize.ToIbString(),
request.WhatToShow.ToIbString(),
request.UseRth ? 1 : 0,
request.FormatDate,
request.KeepUpToDate,
null
);
}
public List<Bar> RequestHistoricalBlocking(HistoricalEquityRequest request, TimeSpan timeout)
{
ThrowIfDisposed();
request.Validate();
if (_historyRequests.ContainsKey(request.RequestId))
throw new InvalidOperationException($"RequestId {request.RequestId} is already in use.");
var tcs = new TaskCompletionSource<List<Bar>>(TaskCreationOptions.RunContinuationsAsynchronously);
if (!_historyRequests.TryAdd(request.RequestId, tcs))
throw new InvalidOperationException($"Unable to register RequestId {request.RequestId}.");
try
{
RequestHistorical(request);
if (tcs.Task.Wait(timeout))
return tcs.Task.GetAwaiter().GetResult();
_historyRequests.TryRemove(request.RequestId, out _);
_barsByRequest.TryRemove(request.RequestId, out _);
throw new TimeoutException($"Timed out waiting for historical data for reqId={request.RequestId}.");
}
catch
{
_historyRequests.TryRemove(request.RequestId, out _);
_barsByRequest.TryRemove(request.RequestId, out _);
throw;
}
}
public override void historicalData(int reqId, Bar bar)
{
if (_barsByRequest.TryGetValue(reqId, out var bars))
{
lock (bars)
{
bars.Add(bar);
}
}
Console.WriteLine(
$"[historicalData] reqId={reqId}, Date={bar.Time}, Open={bar.Open}, High={bar.High}, Low={bar.Low}, Close={bar.Close}, Volume={bar.Volume}");
}
public override void historicalDataEnd(int reqId, string start, string end)
{
Console.WriteLine($"[historicalDataEnd] reqId={reqId}, start={start}, end={end}");
if (_barsByRequest.TryRemove(reqId, out var bars))
{
Console.WriteLine();
Console.WriteLine("=== Final Printed Bars ===");
lock (bars)
{
foreach (var bar in bars)
{
Console.WriteLine(
$"{bar.Time} | O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}");
}
}
if (_historyRequests.TryRemove(reqId, out var tcs))
{
tcs.TrySetResult(bars);
}
}
}
public void Dispose()
{
if (_disposed)
return;
Disconnect();
_disposed = true;
GC.SuppressFinalize(this);
}
private void ThrowIfDisposed()
{
if (_disposed)
throw new ObjectDisposedException(nameof(IBGatewayControl));
}
}
}

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using System;
using System.Collections.Generic;
using IBApi;
namespace Backend.MarketDataRequest
{
public enum LiveMarketDataType
{
RealTime = 1,
Frozen = 2,
Delayed = 3,
DelayedFrozen = 4
}
public sealed class LiveEquityRequest
{
public int RequestId { get; set; }
public string Symbol { get; set; } = string.Empty;
public string Exchange { get; set; } = "SMART";
public string PrimaryExchange { get; set; } = "NASDAQ";
public string Currency { get; set; } = "USD";
/// <summary>
/// Generic ticks string, e.g. "233,236"
/// Leave empty for standard top-of-book.
/// </summary>
public string GenericTickList { get; set; } = string.Empty;
public bool Snapshot { get; set; } = false;
public bool RegulatorySnapshot { get; set; } = false;
public LiveMarketDataType MarketDataType { get; set; } = LiveMarketDataType.RealTime;
public void Send(IBGatewayControl gateway)
{
if (gateway == null)
{
throw new ArgumentNullException(nameof(gateway));
}
if (!gateway.IsConnected)
{
throw new InvalidOperationException("IB Gateway is not connected.");
}
if (string.IsNullOrWhiteSpace(Symbol))
{
throw new ArgumentException("Symbol cannot be empty.");
}
gateway.Client.reqMarketDataType((int)MarketDataType);
var contract = BuildContract();
gateway.Client.reqMktData(
RequestId,
contract,
GenericTickList,
Snapshot,
RegulatorySnapshot,
new List<TagValue>()
);
}
public void Cancel(IBGatewayControl gateway)
{
if (gateway == null)
{
throw new ArgumentNullException(nameof(gateway));
}
if (!gateway.IsConnected)
{
throw new InvalidOperationException("IB Gateway is not connected.");
}
gateway.Client.cancelMktData(RequestId);
}
private Contract BuildContract()
{
return new Contract
{
Symbol = Symbol,
SecType = "STK",
Exchange = Exchange,
PrimaryExch = PrimaryExchange,
Currency = Currency
};
}
}
}

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Program.cs Normal file
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using Backend.MarketDataRequest;
using IBApi;
using System;
using System.Collections.Generic;
using System.Threading;
namespace Backend
{
public static class Program
{
public static void Main(string[] args)
{
var Gateway = new IBGatewayControl();
Gateway.Start("127.0.0.1", 4002, 1);
while (!Gateway.IsApiReady)
{
Thread.Sleep(50);
}
var request = new HistoricalEquityRequest
{
RequestId = 1,
Symbol = "NVDA",
EndDateTime = "20260311 11:00:00 US/Eastern",
Duration = "3600 S",
BarSize = HistoricalBarSize.FiveMins,
WhatToShow = HistoricalWhatToShow.Trades,
UseRth = true,
KeepUpToDate = false,
FormatDate = 1
};
List<Bar> bars = Gateway.RequestHistoricalBlocking(
request,
TimeSpan.FromSeconds(15));
Console.WriteLine();
Console.WriteLine($"Received {bars.Count} bars. Continue program here.");
// do next step here, for example save to database
Gateway.Disconnect();
}
}
}

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"profiles": {
"http": {
"commandName": "Project",
"dotnetRunMessages": true,
"launchBrowser": true,
"applicationUrl": "http://localhost:5246",
"environmentVariables": {
"ASPNETCORE_ENVIRONMENT": "Development"
}
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"https": {
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"launchBrowser": true,
"applicationUrl": "https://localhost:7039;http://localhost:5246",
"environmentVariables": {
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}
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}

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"Logging": {
"LogLevel": {
"Default": "Information",
"Microsoft.AspNetCore": "Warning"
}
}
}

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appsettings.json Normal file
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"Logging": {
"LogLevel": {
"Default": "Information",
"Microsoft.AspNetCore": "Warning"
}
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"AllowedHosts": "*"
}