Getting Historical Data

StockSharp API provides convenient mechanisms for obtaining historical data, which can be used both for testing trading strategies and for building indicators.

Getting Historical Data via Connector

Setting Up the Connection

To get historical data, you first need to configure a connection to the trading system:

// Create a Connector instance
var connector = new Connector();

// Add an adapter for connecting to Binance
var messageAdapter = new BinanceMessageAdapter(connector.TransactionIdGenerator)
{
    Key = "<Your API Key>",
    Secret = "<Your Secret Key>",
};
connector.Adapter.InnerAdapters.Add(messageAdapter);

// Connect
connector.Connect();

The connection can also be configured using the graphical interface, as described in the Connection Settings Window section.

Subscribing to Historical Candles

To receive historical candles, you need to create a subscription and specify the parameters of the requested data:

// Create a subscription for 5-minute candles for the selected instrument
var subscription = new Subscription(
    DataType.TimeFrame(TimeSpan.FromMinutes(5)), 
    security)
{
    MarketData =
    {
        // Specify the period for which to get historical data
        From = DateTime.Now.Subtract(TimeSpan.FromDays(30)),
        To = DateTime.Now,
        // Set the flag to receive only completed candles
        IsFinishedOnly = true
    }
};

// Subscribe to the candle received event
connector.CandleReceived += OnCandleReceived;

// Start the subscription
connector.Subscribe(subscription);

// Event handler for receiving candles
private void OnCandleReceived(Subscription subscription, ICandleMessage candle)
{
    // Check that the candle belongs to our subscription
    if (subscription != _subscription)
        return;
        
    // Process the received candle
    Console.WriteLine($"Candle received: {candle.OpenTime}, O:{candle.OpenPrice}, H:{candle.HighPrice}, L:{candle.LowPrice}, C:{candle.ClosePrice}, V:{candle.TotalVolume}");
    
    // For display on the chart, you can use:
    // Chart.Draw(_candleElement, candle);
}

Using Candles for Charts

The received candles can be displayed on a chart using StockSharp's built-in graphical components:

// Create and configure chart elements
var chart = new Chart();
var area = new ChartArea();
var candleElement = new ChartCandleElement();

// Add area and element to the chart
chart.AddArea(area);
chart.AddElement(area, candleElement, subscription);

// In the CandleReceived event handler, draw candles
private void OnCandleReceived(Subscription subscription, ICandleMessage candle)
{
    // Check that the candle belongs to our subscription
    if (subscription != _subscription)
        return;
        
    // If you need to display only completed candles
    if (candle.State == CandleStates.Finished)
    {
        var chartData = new ChartDrawData();
        chartData.Group(candle.OpenTime).Add(candleElement, candle);
        chart.Draw(chartData);
    }
}

Getting Other Types of Historical Data

Similarly, you can get other types of historical data:

Getting Historical Ticks

var tickSubscription = new Subscription(DataType.Ticks, security)
{
    MarketData =
    {
        From = DateTime.Now.Subtract(TimeSpan.FromDays(1)),
        To = DateTime.Now
    }
};

connector.TickTradeReceived += (subscription, tick) =>
{
    if (subscription == tickSubscription)
        Console.WriteLine($"Tick: {tick.ServerTime}, Price: {tick.Price}, Volume: {tick.Volume}");
};

connector.Subscribe(tickSubscription);

Getting Historical Order Books

var depthSubscription = new Subscription(DataType.MarketDepth, security)
{
    MarketData =
    {
        From = DateTime.Now.Subtract(TimeSpan.FromHours(1)),
        To = DateTime.Now
    }
};

connector.OrderBookReceived += (subscription, depth) =>
{
    if (subscription == depthSubscription)
        Console.WriteLine($"Order book: {depth.ServerTime}, Best bid: {depth.GetBestBid()?.Price}, Best ask: {depth.GetBestAsk()?.Price}");
};

connector.Subscribe(depthSubscription);

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Getting Historical Data