I'm trying to get historical data of forex contract (what doesn't need any subscription) and get std::bad_alloc at
m_pClient->reqHistoricalData(4001, contract, queryTime, "1 M", "1 day", "TRADES", 1, 1, false, TagValueListSPtr());
Here is the whole code:
#include "stdafx.h"
#include <Contract.h>
#include <Order.h>
#include <OrderState.h>
#include <Execution.h>
#include <CommissionReport.h>
#include <ScannerSubscription.h>
#include <executioncondition.h>
#include <PriceCondition.h>
#include <MarginCondition.h>
#include <PercentChangeCondition.h>
#include <TimeCondition.h>
#include <VolumeCondition.h>
#include <CommonDefs.h>
#include <EWrapper.h>
#include <EReaderOSSignal.h>
#include <EReader.h>
#include <EClientSocket.h>
#include <EClient.h>
#include <stdio.h>
#include <chrono>
#include <iostream>
#include <thread>
#include <ctime>
#include <fstream>
#include <cstdint>
using namespace std;
class TestSample : public EWrapper
{
public:
TestSample();
~TestSample();
void historicalDataRequests(Contract &contract);
bool connect(const char * host, int port, int clientId = 0);
void tickPrice(TickerId tickerId, TickType field, double price, const TickAttrib& attrib) {}
void tickSize(TickerId tickerId, TickType field, int size) {}
void tickOptionComputation(TickerId tickerId, TickType tickType, double impliedVol, double delta,
double optPrice, double pvDividend, double gamma, double vega, double theta, double undPrice) {}
void tickGeneric(TickerId tickerId, TickType tickType, double value) {}
void tickString(TickerId tickerId, TickType tickType, const std::string& value) {}
void tickEFP(TickerId tickerId, TickType tickType, double basisPoints, const std::string& formattedBasisPoints,
double totalDividends, int holdDays, const std::string& futureLastTradeDate, double dividendImpact, double dividendsToLastTradeDate) {}
void orderStatus(OrderId orderId, const std::string& status, double filled,
double remaining, double avgFillPrice, int permId, int parentId,
double lastFillPrice, int clientId, const std::string& whyHeld, double mktCapPrice) {}
void openOrder(OrderId orderId, const Contract&, const Order&, const OrderState&) {}
void openOrderEnd() {}
void winError(const std::string& str, int lastError) {}
void connectionClosed() {}
void updateAccountValue(const std::string& key, const std::string& val,
const std::string& currency, const std::string& accountName) {}
void updatePortfolio(const Contract& contract, double position,
double marketPrice, double marketValue, double averageCost,
double unrealizedPNL, double realizedPNL, const std::string& accountName) {}
void updateAccountTime(const std::string& timeStamp) {}
void accountDownloadEnd(const std::string& accountName) {}
void nextValidId(OrderId orderId) {}
void contractDetails(int reqId, const ContractDetails& contractDetails) {}
void bondContractDetails(int reqId, const ContractDetails& contractDetails) {}
void contractDetailsEnd(int reqId) {}
void execDetails(int reqId, const Contract& contract, const Execution& execution) {}
void execDetailsEnd(int reqId) {}
void error(int id, int errorCode, const std::string& errorString) {}
void updateMktDepth(TickerId id, int position, int operation, int side,
double price, int size) {}
void updateMktDepthL2(TickerId id, int position, const std::string& marketMaker, int operation,
int side, double price, int size, bool isSmartDepth) {}
void updateNewsBulletin(int msgId, int msgType, const std::string& newsMessage, const std::string& originExch) {}
void managedAccounts(const std::string& accountsList) {}
void receiveFA(faDataType pFaDataType, const std::string& cxml) {}
void historicalData(TickerId reqId, const Bar& bar);
void historicalDataEnd(int reqId, const std::string& startDateStr, const std::string& endDateStr) {}
void scannerParameters(const std::string& xml) {}
void scannerData(int reqId, int rank, const ContractDetails& contractDetails,
const std::string& distance, const std::string& benchmark, const std::string& projection,
const std::string& legsStr) {}
void scannerDataEnd(int reqId) {}
void realtimeBar(TickerId reqId, long time, double open, double high, double low, double close,
long volume, double wap, int count) {}
void currentTime(long time) {}
void fundamentalData(TickerId reqId, const std::string& data) {}
void deltaNeutralValidation(int reqId, const DeltaNeutralContract& deltaNeutralContract) {}
void tickSnapshotEnd(int reqId) {}
void marketDataType(TickerId reqId, int marketDataType) {}
void commissionReport(const CommissionReport& commissionReport) {}
void position(const std::string& account, const Contract& contract, double position, double avgCost) {}
void positionEnd() {}
void accountSummary(int reqId, const std::string& account, const std::string& tag, const std::string& value, const std::string& curency) {}
void accountSummaryEnd(int reqId) {}
void verifyMessageAPI(const std::string& apiData) {}
void verifyCompleted(bool isSuccessful, const std::string& errorText) {}
void displayGroupList(int reqId, const std::string& groups) {}
void displayGroupUpdated(int reqId, const std::string& contractInfo) {}
void verifyAndAuthMessageAPI(const std::string& apiData, const std::string& xyzChallange) {}
void verifyAndAuthCompleted(bool isSuccessful, const std::string& errorText) {}
void connectAck() {}
void positionMulti(int reqId, const std::string& account, const std::string& modelCode, const Contract& contract, double pos, double avgCost) {}
void positionMultiEnd(int reqId) {}
void accountUpdateMulti(int reqId, const std::string& account, const std::string& modelCode, const std::string& key, const std::string& value, const std::string& currency) {}
void accountUpdateMultiEnd(int reqId) {}
void securityDefinitionOptionalParameter(int reqId, const std::string& exchange, int underlyingConId, const std::string& tradingClass,
const std::string& multiplier, const std::set<std::string>& expirations, const std::set<double>& strikes) {}
void securityDefinitionOptionalParameterEnd(int reqId) {}
void softDollarTiers(int reqId, const std::vector<SoftDollarTier> &tiers) {}
void familyCodes(const std::vector<FamilyCode> &familyCodes) {}
void symbolSamples(int reqId, const std::vector<ContractDescription> &contractDescriptions) {}
void mktDepthExchanges(const std::vector<DepthMktDataDescription> &depthMktDataDescriptions) {}
void tickNews(int tickerId, time_t timeStamp, const std::string& providerCode, const std::string& articleId, const std::string& headline, const std::string& extraData) {}
void smartComponents(int reqId, const SmartComponentsMap& theMap) {}
void tickReqParams(int tickerId, double minTick, const std::string& bboExchange, int snapshotPermissions) {}
void newsProviders(const std::vector<NewsProvider> &newsProviders) {}
void newsArticle(int requestId, int articleType, const std::string& articleText) {}
void historicalNews(int requestId, const std::string& time, const std::string& providerCode, const std::string& articleId, const std::string& headline) {}
void historicalNewsEnd(int requestId, bool hasMore) {}
void headTimestamp(int reqId, const std::string& headTimestamp) {}
void histogramData(int reqId, const HistogramDataVector& data) {}
void historicalDataUpdate(TickerId reqId, const Bar& bar) {}
void rerouteMktDataReq(int reqId, int conid, const std::string& exchange) {}
void rerouteMktDepthReq(int reqId, int conid, const std::string& exchange) {}
void marketRule(int marketRuleId, const std::vector<PriceIncrement> &priceIncrements) {}
void pnl(int reqId, double dailyPnL, double unrealizedPnL, double realizedPnL) {}
void pnlSingle(int reqId, int pos, double dailyPnL, double unrealizedPnL, double realizedPnL, double value) {}
void historicalTicks(int reqId, const std::vector<HistoricalTick> &ticks, bool done) {}
void historicalTicksBidAsk(int reqId, const std::vector<HistoricalTickBidAsk> &ticks, bool done) {}
void historicalTicksLast(int reqId, const std::vector<HistoricalTickLast> &ticks, bool done) {}
void tickByTickAllLast(int reqId, int tickType, time_t time, double price, int size, const TickAttribLast& tickAttribLast, const std::string& exchange, const std::string& specialConditions) {}
void tickByTickBidAsk(int reqId, time_t time, double bidPrice, double askPrice, int bidSize, int askSize, const TickAttribBidAsk& tickAttribBidAsk) {}
void tickByTickMidPoint(int reqId, time_t time, double midPoint) {}
void orderBound(long long orderId, int apiClientId, int apiOrderId) {}
void completedOrder(const Contract& contract, const Order& order, const OrderState& orderState) {}
void tickOptionComputation(TickerId tickerId, TickType tickType, int tickAttrib, double impliedVol, double delta,
double optPrice, double pvDividend, double gamma, double vega, double theta, double undPrice) {}
void replaceFAEnd(int reqId, const std::string& text) {}
void completedOrdersEnd() {};
//! [socket_declare]
private:
EReaderOSSignal m_osSignal;
EClientSocket * const m_pClient;
EReader *m_pReader;
};
TestSample::TestSample() :
m_osSignal(2000)//2-seconds timeout
, m_pClient(new EClientSocket(this, &m_osSignal))
{
}
TestSample::~TestSample()
{
if (m_pReader)
delete m_pReader;
delete m_pClient;
}
Bar Return_Bar_Data(TickerId reqId, const Bar& bar)
{
cout << bar.close << " " << bar.open << " " << endl;
return bar;
}
void TestSample::historicalData(TickerId reqId, const Bar& bar) {
printf("HistoricalData. ReqId: %ld - Date: %s, Open: %g, High: %g, Low: %g, Close: %g, Volume: %lld, Count: %d, WAP: %g\n", reqId, bar.time.c_str(), bar.open, bar.high, bar.low, bar.close, bar.volume, bar.count, bar.wap);
//Return_Bar_Data(reqId, bar);
}
void TestSample::historicalDataRequests(Contract &contract)
{
/*** Requesting historical data ***/
//! [reqhistoricaldata]
std::time_t rawtime;
std::tm* timeinfo;
char queryTime[80];
std::time(&rawtime);
timeinfo = std::localtime(&rawtime);
std::strftime(queryTime, 80, "%Y%m%d %H:%M:%S", timeinfo);
m_pClient->reqHistoricalData(4001, contract, queryTime, "1 M", "1 day", "TRADES", 1, 1, false, TagValueListSPtr());
//m_pClient->reqMktData(1, contract, "1 min",false, false, TagValueListSPtr());
}
bool TestSample::connect(const char *host, int port, int clientId)
{
// trying to connect
printf("Connecting to %s:%d clientId:%d\n", !(host && *host) ? "127.0.0.1" : host, port, clientId);
//! [connect]
bool bRes = m_pClient->eConnect(host, port, clientId);
//! [connect]
if (bRes) {
//printf("Connected to %s:%d clientId:%d\n", m_pClient->host().c_str(), m_pClient->port(), clientId);
cout << "Connected!" << endl;
//! [ereader]
m_pReader = new EReader(m_pClient, &m_osSignal);
m_pReader->start();
//! [ereader]
}
else
cout << "Cannot connect!" << endl;
return bRes;
}
const unsigned MAX_ATTEMPTS = 50;
const unsigned SLEEP_TIME = 10;
int main()
{
unsigned attempt = 0;
printf("Start of C++ Socket Client Test %u\n", attempt);
TestSample client;
Contract contract;
contract.symbol = "EUR";
contract.secType = "CASH";
contract.currency = "USD";
contract.exchange = "IDEALPRO";
for (;;) {
++attempt;
std::cout << "Attemt No: " << attempt << " of " << MAX_ATTEMPTS;
if (client.connect("", 7497, 271727))
break;
if (attempt >= MAX_ATTEMPTS) {
break;
}
printf("Sleeping %u seconds before next attempt\n", SLEEP_TIME);
std::this_thread::sleep_for(std::chrono::seconds(SLEEP_TIME));
}
client.historicalDataRequests(contract);
printf("End of C++ Socket Client Test\n");
return 0;
}
after some experiments I figured out how to connect and get historical data. Here is whole code. Maybe will be useful to somebody.
#include "stdafx.h"
#include <Contract.h>
#include <Order.h>
#include <OrderState.h>
#include <Execution.h>
#include <CommissionReport.h>
#include <ScannerSubscription.h>
#include <executioncondition.h>
#include <PriceCondition.h>
#include <MarginCondition.h>
#include <PercentChangeCondition.h>
#include <TimeCondition.h>
#include <VolumeCondition.h>
#include <CommonDefs.h>
#include <EWrapper.h>
#include <EReaderOSSignal.h>
#include <EReader.h>
#include <EClientSocket.h>
#include <EClient.h>
#include <stdio.h>
#include <chrono>
#include <iostream>
#include <thread>
#include <ctime>
#include <fstream>
#include <cstdint>
using namespace std;
class MyEwrapper : public EWrapper
{
public:
void tickPrice(TickerId tickerId, TickType field, double price, const TickAttrib& attrib) {}
void tickSize(TickerId tickerId, TickType field, int size) {}
void tickOptionComputation(TickerId tickerId, TickType tickType, int tickAttrib, double impliedVol, double delta,
double optPrice, double pvDividend, double gamma, double vega, double theta, double undPrice) {}
void tickGeneric(TickerId tickerId, TickType tickType, double value) {}
void tickString(TickerId tickerId, TickType tickType, const std::string& value) {}
void tickEFP(TickerId tickerId, TickType tickType, double basisPoints, const std::string& formattedBasisPoints,
double totalDividends, int holdDays, const std::string& futureLastTradeDate, double dividendImpact, double dividendsToLastTradeDate) {}
void orderStatus(OrderId orderId, const std::string& status, double filled,
double remaining, double avgFillPrice, int permId, int parentId,
double lastFillPrice, int clientId, const std::string& whyHeld, double mktCapPrice) {}
void openOrder(OrderId orderId, const Contract&, const Order&, const OrderState&) {}
void openOrderEnd() {}
void winError(const std::string& str, int lastError) {}
void connectionClosed() {}
void updateAccountValue(const std::string& key, const std::string& val,
const std::string& currency, const std::string& accountName) {}
void updatePortfolio(const Contract& contract, double position,
double marketPrice, double marketValue, double averageCost,
double unrealizedPNL, double realizedPNL, const std::string& accountName) {}
void updateAccountTime(const std::string& timeStamp) {}
void accountDownloadEnd(const std::string& accountName) {}
void nextValidId(OrderId orderId) {}
void contractDetails(int reqId, const ContractDetails& contractDetails) {}
void bondContractDetails(int reqId, const ContractDetails& contractDetails) {}
void contractDetailsEnd(int reqId) {}
void execDetails(int reqId, const Contract& contract, const Execution& execution) {}
void execDetailsEnd(int reqId) {}
void error(int id, int errorCode, const std::string& errorString) {}
void updateMktDepth(TickerId id, int position, int operation, int side,
double price, int size) {}
void updateMktDepthL2(TickerId id, int position, const std::string& marketMaker, int operation,
int side, double price, int size, bool isSmartDepth) {}
void updateNewsBulletin(int msgId, int msgType, const std::string& newsMessage, const std::string& originExch) {}
void managedAccounts(const std::string& accountsList) {}
void receiveFA(faDataType pFaDataType, const std::string& cxml) {}
void historicalData(TickerId reqId, const Bar& bar);
void historicalDataEnd(int reqId, const std::string& startDateStr, const std::string& endDateStr) {}
void scannerParameters(const std::string& xml) {}
void scannerData(int reqId, int rank, const ContractDetails& contractDetails,
const std::string& distance, const std::string& benchmark, const std::string& projection,
const std::string& legsStr) {}
void scannerDataEnd(int reqId) {}
void realtimeBar(TickerId reqId, long time, double open, double high, double low, double close,
long volume, double wap, int count) {}
void currentTime(long time) {}
void fundamentalData(TickerId reqId, const std::string& data) {}
void deltaNeutralValidation(int reqId, const DeltaNeutralContract& deltaNeutralContract) {}
void tickSnapshotEnd(int reqId) {}
void marketDataType(TickerId reqId, int marketDataType) {}
void commissionReport(const CommissionReport& commissionReport) {}
void position(const std::string& account, const Contract& contract, double position, double avgCost) {}
void positionEnd() {}
void accountSummary(int reqId, const std::string& account, const std::string& tag, const std::string& value, const std::string& curency) {}
void accountSummaryEnd(int reqId) {}
void verifyMessageAPI(const std::string& apiData) {}
void verifyCompleted(bool isSuccessful, const std::string& errorText) {}
void displayGroupList(int reqId, const std::string& groups) {}
void displayGroupUpdated(int reqId, const std::string& contractInfo) {}
void verifyAndAuthMessageAPI(const std::string& apiData, const std::string& xyzChallange) {}
void verifyAndAuthCompleted(bool isSuccessful, const std::string& errorText) {}
void connectAck() {}
void positionMulti(int reqId, const std::string& account, const std::string& modelCode, const Contract& contract, double pos, double avgCost) {}
void positionMultiEnd(int reqId) {}
void accountUpdateMulti(int reqId, const std::string& account, const std::string& modelCode, const std::string& key, const std::string& value, const std::string& currency) {}
void accountUpdateMultiEnd(int reqId) {}
void securityDefinitionOptionalParameter(int reqId, const std::string& exchange, int underlyingConId, const std::string& tradingClass,
const std::string& multiplier, const std::set<std::string>& expirations, const std::set<double>& strikes) {}
void securityDefinitionOptionalParameterEnd(int reqId) {}
void softDollarTiers(int reqId, const std::vector<SoftDollarTier> &tiers) {}
void familyCodes(const std::vector<FamilyCode> &familyCodes) {}
void symbolSamples(int reqId, const std::vector<ContractDescription> &contractDescriptions) {}
void mktDepthExchanges(const std::vector<DepthMktDataDescription> &depthMktDataDescriptions) {}
void tickNews(int tickerId, time_t timeStamp, const std::string& providerCode, const std::string& articleId, const std::string& headline, const std::string& extraData) {}
void smartComponents(int reqId, const SmartComponentsMap& theMap) {}
void tickReqParams(int tickerId, double minTick, const std::string& bboExchange, int snapshotPermissions) {}
void newsProviders(const std::vector<NewsProvider> &newsProviders) {}
void newsArticle(int requestId, int articleType, const std::string& articleText) {}
void historicalNews(int requestId, const std::string& time, const std::string& providerCode, const std::string& articleId, const std::string& headline) {}
void historicalNewsEnd(int requestId, bool hasMore) {}
void headTimestamp(int reqId, const std::string& headTimestamp) {}
void histogramData(int reqId, const HistogramDataVector& data) {}
void historicalDataUpdate(TickerId reqId, const Bar& bar) {}
void rerouteMktDataReq(int reqId, int conid, const std::string& exchange) {}
void rerouteMktDepthReq(int reqId, int conid, const std::string& exchange) {}
void marketRule(int marketRuleId, const std::vector<PriceIncrement> &priceIncrements) {}
void pnl(int reqId, double dailyPnL, double unrealizedPnL, double realizedPnL) {}
void pnlSingle(int reqId, int pos, double dailyPnL, double unrealizedPnL, double realizedPnL, double value) {}
void historicalTicks(int reqId, const std::vector<HistoricalTick> &ticks, bool done) {}
void historicalTicksBidAsk(int reqId, const std::vector<HistoricalTickBidAsk> &ticks, bool done) {}
void historicalTicksLast(int reqId, const std::vector<HistoricalTickLast> &ticks, bool done) {}
void tickByTickAllLast(int reqId, int tickType, time_t time, double price, int size, const TickAttribLast& tickAttribLast, const std::string& exchange, const std::string& specialConditions) {}
void tickByTickBidAsk(int reqId, time_t time, double bidPrice, double askPrice, int bidSize, int askSize, const TickAttribBidAsk& tickAttribBidAsk) {}
void tickByTickMidPoint(int reqId, time_t time, double midPoint) {}
void orderBound(long long orderId, int apiClientId, int apiOrderId) {}
void completedOrder(const Contract& contract, const Order& order, const OrderState& orderState) {}
void completedOrdersEnd() {}
void replaceFAEnd(int reqId, const std::string& text) {}
};
void MyEwrapper::historicalData(TickerId reqId, const Bar& bar)
{
cout << "Open: " << bar.open << " Close: " << bar.close << endl;
}
int main()
{
MyEwrapper MV;
EReaderOSSignal Esignal(2000);
EClientSocket* EC = new EClientSocket(&MV, &Esignal);
Contract contract;
contract.symbol = "EUR";
contract.secType = "CASH";
contract.currency = "USD";
contract.exchange = "IDEALPRO";
if (EC->eConnect("127.0.0.1", 7497, 271726))
{
cout << "Connected" << endl;
this_thread::sleep_for(chrono::seconds(3));
EC->startApi();
EReader *m_pReader = new EReader(EC, &Esignal);
m_pReader->start();
EC->reqHistoricalData(101, contract, "", "2 D", "1 hour", "MIDPOINT", 1, 1, false, TagValueListSPtr());
this_thread::sleep_for(chrono::seconds(3)); // needs some time to get signal. without sllep it won't work
Esignal.waitForSignal();
m_pReader->processMsgs();
}
else
cout << "Not Connected" << endl;
system("pause");
return 0;
}