Build a Trading Platform in C# Part 8 - Historical Data

 Build a Trading Platform in C# Part 8 - Historical Data

#	Control	Name	Text	Tabs	Chart Type
1	TabControl	tabControl2		Historical Data, Chart
2	List Box	lbHistoricalData
3	Button	btnSelectAll	Select All
4	Button	btnCopy	Copy
5	Chart	chart1			Candlestick

using System.Threading;
using System.Windows.Forms.DataVisualization.Charting;
using IBApi;

	private void Form1_Load(object sender, EventArgs e)
        {
            // creates the rows for dataGridView1
            for (int i = 0; i < 10; i++)
            {
                dataGridView1.Rows.Add();
            }
            // creates the rows for dataGridView2
            for (int i = 0; i < 10; i++)
            {
                dataGridView2.Rows.Add();
            }
            dataGridView2.Columns[3].DefaultCellStyle.Format = "#.00\\%";

            chart1.Series["Series1"].ChartType = SeriesChartType.Candlestick;  // type of chart to display the data
            chart1.Series["Series1"].BorderColor = Color.Black; // boarder color of the candlestick
            chart1.Series["Series1"].Color = Color.Black; // wick (shadow) color of the candle
            chart1.Series["Series1"].CustomProperties = "PriceDownColor=Green, PriceUpColor=Red";
            //chart1.Series["Series1"].XValueType = ChartValueType.Date;
            chart1.ChartAreas[0].AxisX.MajorGrid.LineWidth = 0;
            chart1.ChartAreas[0].AxisY.MajorGrid.LineWidth = 0;
            chart1.ChartAreas[0].AxisY.MinorGrid.Enabled = false;
            chart1.ChartAreas[0].AxisX.IsStartedFromZero = false;  // don't start from zero
            chart1.ChartAreas[0].AxisY.IsStartedFromZero = false;  // don't start from zero
        }

	private void btnSelectAll_Click(object sender, EventArgs e)
        {
            for (int i = 0; i < lbHistoricalData.Items.Count; i++)
            {
                lbHistoricalData.SetSelected(i, true);
            }
        }

        private void btnCopy_Click(object sender, EventArgs e)
        {
            try
            {
                StringBuilder sb = new StringBuilder();
                foreach (object row in lbHistoricalData.SelectedItems)
                {
                    sb.Append(row.ToString());
                    sb.AppendLine();
                }
                sb.Remove(sb.Length - 1, 1); // Just to avoid copying last empty row
                Clipboard.SetData(System.Windows.Forms.DataFormats.Text, sb.ToString());
            }
            catch (Exception ex)
            {
                MessageBox.Show(ex.Message);
            }
        }

Link to the different contract examples

https://interactivebrokers.github.io/tws-api/basic_contracts.html

private void getData()
        {

            listViewTns.Items.Clear();
            DateTime now = DateTime.Now;

            lbHistoricalData.Items.Clear(); // clears the historical data list box
            ibClient.ClientSocket.cancelHistoricalData(99);
            chart1.Series[0].Points.Clear(); // clears the chart 
            string strEndDate = now.ToString("yyyyMMdd 16:05:00");
            // Time duration
            String strDuration = "1 D";
            // Bar size
            String strBarSize = "5 mins";
            ibClient.ClientSocket.cancelMktData(87); // cancel market data
            //ibClient.ClientSocket.cancelRealTimeBars(88);
            // Create a new contract to specify the security we are searching for
            IBApi.Contract contract = new IBApi.Contract();
            // Create a new TagValueList object (for API version 9.71 and later) 
            List<IBApi.TagValue> mktDataOptions = new List<IBApi.TagValue>();
            //List realTimeBarsOptions = new List();
            // Set the underlying stock symbol from the tbSymbol text box
            contract.Symbol = cbSymbol.Text;  //"ES"
            // Set the Security type to STK for a Stock FUT = Futures, 
            contract.SecType = "STK";  // "FUT"
            // Use "SMART" as the general exchange
            contract.Exchange = "SMART"; // "GLOBEX"
            // Set the primary exchange (sometimes called Listing exchange)
            // Use either NYSE or ISLAND for Futures use GLOBEX
            contract.PrimaryExch = "ISLAND";   
            // Set the currency to USD
            contract.Currency = "USD";
            //contract.LastTradeDateOrContractMonth = "202103";

            // Link to contract example for different securities 
            //  https://interactivebrokers.github.io/tws-api/basic_contracts.html

            // If using delayed market data subscription  
            // use number 3 in the parenthesis
            ibClient.ClientSocket.reqMarketDataType(1);  // delayed data = 3, live data = 1

            // Kick off the subscription for real-time data (add the mktDataOptions list for API v9.71)
            //ibClient.ClientSocket.reqMktData(1, contract, "", false, mktDataOptions);  // ****************************************
            // For API v9.72 and higher, add one more parameter for regulatory snapshot
            ibClient.ClientSocket.reqMktData(87, contract, "233", false, false, mktDataOptions);
            
            //tickerId, identifier which will serve to identify the incoming data.
            //contract, Contract you are interested in.
            //endDateTime, end date and time (the empty string indicates current present moment).
            //durationString, The amount of time(or Valid Duration String units) to go back from the request's given end date and time.
            //barSizeSetting, The Valid Bar Sizes
            //whatToShow, The type of data to retrieve. "TRADES", "MIDPOINT"
            //useRTH, Whether(1) or not(0) to retrieve data generated only within Regular Trading Hours(RTH)
            // Link to requesting historical data https://interactivebrokers.github.io/tws-api/historical_bars.html
            ibClient.ClientSocket.reqHistoricalData(99, contract, "", strDuration, strBarSize, "TRADES", 1, 1, false, null);
            timer1.Start();
        }

Link to requesting Historical Data: https://interactivebrokers.github.io/tws-api/historical_bars.html

#	Duration	Description	Bar Sizes
1	S	Seconds	1 secs	5 secs	10 secs	15 secs	30 secs
2	D	Day	1 min	2 mins	3 mins	5 mins	10 mins	15 mins	20 mins	30 mins
3	W	Week	1 hour	2 hours	3 hours	4 hours	8 hours
4	M	Month	1 day
5	Y	Year	1 week	1 month

This code here goes in the EWrapperImpl.cs file within the historicalData function

public virtual void historicalData(int reqId, Bar bar)
        {
            //Console.WriteLine("HistoricalData. " + reqId + " - Time: " + bar.Time + ", Open: " + bar.Open + ", High: " + bar.High + ", Low: " + bar.Low + ", Close: " + bar.Close + ", Volume: " + bar.Volume + ", Count: " + bar.Count + ", WAP: " + bar.WAP);

            string strHistoricalData = reqId + "," + bar.Time + "," + bar.Open + "," + bar.High + "," + bar.Low + "," + bar.Close + "," + bar.Volume;
            myform.AddItemHistoricalData(strHistoricalData);
        }

	delegate void SetCallbackHistoricalData(string strHistoricalData);
        public void AddItemHistoricalData(string strHistoricalData)
        {
            if (this.tbLast.InvokeRequired)
            {
                SetCallbackHistoricalData d = new SetCallbackHistoricalData(AddItemHistoricalData);
                try
                {
                    this.Invoke(d, new object[] { strHistoricalData });
                }
                catch (Exception e)
                {
                    Console.WriteLine("this is from Historical Data ", e);
                }
            }
            else
            {
                //lbHistoricalData.Items.Add(strHistoricalData);
                string[] chart_val = strHistoricalData.Split(',');

                // reqId 0, Date and time 1, Open 2, High 3, Low 4, Close 5, Volume 6, Count 7, WAP 0 

                string newVal = chart_val[1].Trim();

                string OutputString = chart_val[0] + "," +
                               newVal + "," +
                               chart_val[2] + "," +
                               chart_val[3] + "," +
                               chart_val[4] + "," +
                               chart_val[5];
                
                // display the stock data in a list box
                lbHistoricalData.Items.Add(OutputString);
                // adds the ohlc data to the chart
                chart1.Series["Series1"].Points.AddXY(chart_val[1], chart_val[3], chart_val[4], chart_val[5], chart_val[2]);
            }

        }