EWrapper and EClientSocket

I am very close to getting my SageEWrapper (my implementation of EWrapper) to provide some necessary historical data. I figured out how the sample application gets it's historical data and found this table about the types of requests you can do. After I finish my wrapper class, I'm going to add the apache xml-rpc library to the project and start getting that up and running.


TIME PERIOD BAR SIZE
1 Y 1 day
6 M 1 day
3 M 1 day
1 M 1 day, 1 hour
1 W 1 day, 1 hour, 30 mins, 15 mins
2 D 1 hour, 30 mins, 15 mins, 3 mins, 2 mins, 1 min
1 D 1 hour, 30 mins, 15 mins, 5 mins 3 mins, 2 mins, 1 min, 30 secs
14400 S (4 hrs) 1 hour, 30 mins, 15 mins, 5 mins 3 mins, 2 mins, 1 min, 30 secs, 15 secs
7200 S (2 hrs) 1 hour, 30 mins, 15 mins, 5mins 3 mins, 2 mins, 1 min, 30 secs, 15 secs, 5 secs
3600 S (1 hr) 15 mins, 5 mins 3 mins, 2 mins, 1 min, 30 secs, 15 secs, 5 secs, 1 secs
1800 S (30 mins) 15 mins, 5 mins 3 mins, 2 mins, 1 min, 30 secs, 15 secs, 5 secs, 1 secs
960 S (15 mins.) 5 mins 3 mins, 2 mins, 1 min, 30 secs, 15 secs 5 secs 1 secs
300 S (5 mins) 3 mins, 2 mins, 1 min, 30 secs, 15 secs, 5 secs, 1 secs
60 S ( 1 min) 30 secs, 15 secs, 5 secs, 1 secs

S (for seconds), D (for days), M (for months), W (for weeks), and Y.

Just from the sample client from IB, here's some high-frequency stock data (30 - second bars for a period of 1 hour, ending at 7:58 AM GMT)


id=1 date = 20080717 23:58:52 open=534.49 high=534.49 low=534.49 close=534.49 volume=1 count=1 WAP=534.49 hasGaps=false
id=1 date = 20080717 23:59:00 open=534.56 high=534.56 low=534.56 close=534.56 volume=1 count=1 WAP=534.56 hasGaps=false
id=1 date = 20080717 23:59:30 open=533.72 high=533.85 low=533.71 close=533.71 volume=5 count=3 WAP=533.74 hasGaps=false
id=1 date = 20080718 00:00:00 open=533.71 high=534.79 low=533.71 close=534.51 volume=11 count=5 WAP=534.53 hasGaps=false
id=1 date = 20080718 00:00:30 open=534.78 high=535.12 low=534.78 close=535.12 volume=4 count=3 WAP=534.99 hasGaps=false
id=1 date = 20080718 00:01:00 open=535.21 high=535.86 low=535.17 close=535.76 volume=11 count=6 WAP=535.56 hasGaps=false
id=1 date = 20080718 00:01:30 open=536.06 high=536.06 low=536.06 close=536.06 volume=3 count=1 WAP=536.06 hasGaps=false
id=1 date = 20080718 00:02:00 open=536.2 high=536.2 low=536.17 close=536.17 volume=2 count=2 WAP=536.18 hasGaps=false
id=1 date = 20080718 00:02:30 open=535.65 high=536.4 low=535.65 close=536.04 volume=7 count=7 WAP=535.96 hasGaps=false
id=1 date = 20080718 00:03:00 open=536.13 high=536.27 low=535.57 close=536.27 volume=10 count=7 WAP=536.06 hasGaps=false
id=1 date = 20080718 00:03:30 open=535.6 high=535.6 low=534.97 close=535.35 volume=9 count=4 WAP=535.28 hasGaps=false
id=1 date = 20080718 00:04:00 open=534.39 high=534.39 low=534.39 close=534.39 volume=1 count=1 WAP=534.39 hasGaps=false
id=1 date = 20080718 00:04:30 open=533.92 high=534.36 low=533.84 close=534.36 volume=10 count=7 WAP=534.06 hasGaps=false
id=1 date = 20080718 00:05:00 open=533.93 high=534.55 low=533.93 close=534.32 volume=8 count=4 WAP=534.36 hasGaps=false
id=1 date = 20080718 00:05:30 open=534.24 high=534.41 low=533.64 close=533.64 volume=6 count=6 WAP=534.07 hasGaps=false
id=1 date = 20080718 00:06:00 open=534.02 high=534.33 low=533.2 close=533.98 volume=10 count=8 WAP=533.91 hasGaps=false
id=1 date = 20080718 00:06:30 open=533.61 high=533.78 low=533.61 close=533.78 volume=8 count=5 WAP=533.67 hasGaps=false
id=1 date = 20080718 00:07:00 open=533.77 high=533.77 low=533.32 close=533.32 volume=7 count=4 WAP=533.65 hasGaps=false
id=1 date = 20080718 00:07:30 open=533.79 high=533.79 low=532.79 close=533.3 volume=3 count=3 WAP=533.29 hasGaps=false
id=1 date = 20080718 00:08:00 open=533.12 high=534.97 low=532.8 close=532.8 volume=6 count=6 WAP=533.39 hasGaps=false
id=1 date = 20080718 00:08:30 open=533.52 high=533.52 low=533.52 close=533.52 volume=2 count=1 WAP=533.52 hasGaps=false
id=1 date = 20080718 00:09:00 open=533.3 high=533.3 low=533.3 close=533.3 volume=1 count=1 WAP=533.3 hasGaps=false
id=1 date = 20080718 00:09:30 open=532.75 high=533.2 low=532.75 close=533.12 volume=8 count=5 WAP=532.9 hasGaps=false
id=1 date = 20080718 00:10:00 open=533.65 high=533.65 low=532.43 close=532.43 volume=12 count=8 WAP=532.7 hasGaps=false
id=1 date = 20080718 00:10:30 open=531.78 high=532.59 low=531.78 close=532.5 volume=16 count=7 WAP=532.31 hasGaps=false
id=1 date = 20080718 00:11:00 open=532.65 high=532.72 low=532.53 close=532.72 volume=3 count=3 WAP=532.63 hasGaps=false
id=1 date = 20080718 00:11:30 open=533.27 high=533.27 low=532.55 close=532.71 volume=12 count=8 WAP=532.89 hasGaps=false
id=1 date = 20080718 00:12:00 open=532.65 high=532.65 low=532.22 close=532.22 volume=2 count=2 WAP=532.43 hasGaps=false
id=1 date = 20080718 00:12:30 open=531.97 high=531.97 low=531.97 close=531.97 volume=1 count=1 WAP=531.97 hasGaps=false
id=1 date = 20080718 00:13:00 open=532.86 high=532.86 low=532.22 close=532.22 volume=7 count=4 WAP=532.42 hasGaps=false
id=1 date = 20080718 00:13:30 open=532.46 high=532.46 low=531.89 close=531.89 volume=5 count=3 WAP=532.32 hasGaps=false
id=1 date = 20080718 00:14:00 open=532.13 high=532.2 low=531.85 close=532.2 volume=6 count=4 WAP=532.09 hasGaps=false
id=1 date = 20080718 00:14:30 open=532.32 high=532.86 low=532.32 close=532.86 volume=4 count=3 WAP=532.62 hasGaps=false
id=1 date = 20080718 00:15:00 open=533.45 high=533.45 low=532.67 close=532.86 volume=9 count=6 WAP=532.95 hasGaps=false
id=1 date = 20080718 00:15:30 open=532.79 high=532.79 low=532.79 close=532.79 volume=1 count=1 WAP=532.79 hasGaps=false
id=1 date = 20080718 00:16:00 open=532.29 high=532.29 low=532.29 close=532.29 volume=1 count=1 WAP=532.29 hasGaps=false
id=1 date = 20080718 00:16:30 open=531.87 high=531.99 low=531.64 close=531.99 volume=5 count=4 WAP=531.8 hasGaps=false
id=1 date = 20080718 00:17:00 open=532.07 high=532.27 low=532.01 close=532.01 volume=4 count=4 WAP=532.13 hasGaps=false
id=1 date = 20080718 00:17:30 open=532.3 high=532.3 low=531.78 close=531.94 volume=11 count=8 WAP=532.07 hasGaps=false
id=1 date = 20080718 00:18:00 open=531.81 high=531.81 low=531.58 close=531.6 volume=9 count=4 WAP=531.65 hasGaps=false
id=1 date = 20080718 00:18:30 open=531.62 high=531.62 low=531.43 close=531.43 volume=2 count=2 WAP=531.52 hasGaps=false
id=1 date = 20080718 00:19:00 open=531.71 high=531.71 low=531.05 close=531.05 volume=9 count=6 WAP=531.31 hasGaps=false
id=1 date = 20080718 00:19:30 open=531.36 high=531.78 low=531.11 close=531.57 volume=8 count=8 WAP=531.52 hasGaps=false
id=1 date = 20080718 00:20:00 open=531.85 high=532.27 low=531.5 close=531.5 volume=14 count=7 WAP=531.91 hasGaps=false
id=1 date = 20080718 00:20:30 open=533.0 high=533.0 low=532.13 close=532.41 volume=10 count=5 WAP=532.51 hasGaps=false
id=1 date = 20080718 00:21:00 open=531.79 high=532.49 low=531.79 close=532.49 volume=11 count=4 WAP=532.23 hasGaps=false
id=1 date = 20080718 00:21:30 open=532.56 high=532.56 low=532.19 close=532.19 volume=2 count=2 WAP=532.37 hasGaps=false
id=1 date = 20080718 00:22:00 open=532.38 high=532.73 low=531.89 close=531.89 volume=7 count=5 WAP=532.4 hasGaps=false
id=1 date = 20080718 00:22:30 open=532.06 high=532.06 low=531.5 close=532.05 volume=5 count=3 WAP=531.72 hasGaps=false
id=1 date = 20080718 00:23:00 open=531.9 high=531.9 low=531.51 close=531.51 volume=6 count=5 WAP=531.75 hasGaps=false
id=1 date = 20080718 00:23:30 open=532.5 high=532.5 low=532.5 close=532.5 volume=1 count=1 WAP=532.5 hasGaps=false
id=1 date = 20080718 00:24:00 open=532.17 high=532.58 low=532.17 close=532.43 volume=12 count=7 WAP=532.38 hasGaps=false
id=1 date = 20080718 00:24:30 open=532.37 high=532.37 low=532.15 close=532.15 volume=2 count=2 WAP=532.26 hasGaps=false
id=1 date = 20080718 00:25:00 open=532.88 high=533.25 low=531.99 close=531.99 volume=9 count=5 WAP=532.85 hasGaps=false
id=1 date = 20080718 00:25:30 open=532.36 high=533.36 low=532.36 close=532.89 volume=21 count=11 WAP=532.89 hasGaps=false
id=1 date = 20080718 00:26:00 open=533.15 high=533.95 low=533.15 close=533.46 volume=3 count=3 WAP=533.52 hasGaps=false
id=1 date = 20080718 00:26:30 open=533.47 high=533.47 low=532.81 close=532.81 volume=5 count=5 WAP=533.2 hasGaps=false
id=1 date = 20080718 00:27:00 open=532.56 high=533.12 low=532.56 close=532.6 volume=11 count=11 WAP=532.83 hasGaps=false
id=1 date = 20080718 00:27:30 open=532.65 high=533.1 low=532.65 close=533.04 volume=4 count=4 WAP=532.95 hasGaps=false
id=1 date = 20080718 00:28:00 open=533.48 high=533.48 low=533.19 close=533.19 volume=2 count=2 WAP=533.34 hasGaps=false
id=1 date = 20080718 00:28:30 open=533.49 high=533.49 low=533.1 close=533.1 volume=2 count=2 WAP=533.29 hasGaps=false
id=1 date = 20080718 00:29:00 open=532.98 high=533.33 low=532.94 close=532.95 volume=10 count=5 WAP=533.03 hasGaps=false
id=1 date = 20080718 00:29:30 open=533.46 high=533.46 low=533.46 close=533.46 volume=1 count=1 WAP=533.46 hasGaps=false
id=1 date = 20080718 00:30:00 open=532.63 high=533.38 low=532.51 close=532.51 volume=7 count=4 WAP=533.05 hasGaps=false
id=1 date = 20080718 00:30:30 open=531.68 high=531.68 low=531.68 close=531.68 volume=1 count=1 WAP=531.68 hasGaps=false
id=1 date = 20080718 00:31:00 open=532.2 high=532.8 low=531.65 close=532.22 volume=14 count=9 WAP=532.15 hasGaps=false
id=1 date = 20080718 00:31:30 open=532.13 high=532.19 low=531.94 close=531.94 volume=5 count=3 WAP=532.1 hasGaps=false
id=1 date = 20080718 00:32:00 open=532.39 high=532.39 low=532.39 close=532.39 volume=1 count=1 WAP=532.39 hasGaps=false
id=1 date = 20080718 00:32:30 open=532.38 high=532.38 low=532.03 close=532.03 volume=3 count=3 WAP=532.2 hasGaps=false
id=1 date = 20080718 00:33:00 open=532.36 high=532.75 low=531.85 close=532.25 volume=4 count=4 WAP=532.3 hasGaps=false
id=1 date = 20080718 00:33:30 open=532.72 high=533.02 low=532.11 close=532.79 volume=26 count=15 WAP=532.63 hasGaps=false
id=1 date = 20080718 00:34:00 open=532.76 high=532.76 low=532.76 close=532.76 volume=3 count=1 WAP=532.76 hasGaps=false
id=1 date = 20080718 00:34:30 open=532.23 high=532.48 low=531.94 close=532.48 volume=9 count=7 WAP=532.19 hasGaps=false
id=1 date = 20080718 00:35:00 open=532.92 high=532.92 low=532.81 close=532.81 volume=3 count=2 WAP=532.88 hasGaps=false
id=1 date = 20080718 00:35:30 open=533.63 high=533.63 low=533.13 close=533.13 volume=6 count=3 WAP=533.44 hasGaps=false
id=1 date = 20080718 00:36:00 open=533.34 high=533.56 low=532.92 close=533.42 volume=17 count=9 WAP=533.19 hasGaps=false
id=1 date = 20080718 00:36:30 open=533.46 high=533.46 low=532.54 close=533.34 volume=8 count=5 WAP=532.84 hasGaps=false
id=1 date = 20080718 00:37:00 open=534.32 high=534.71 low=533.96 close=534.63 volume=11 count=7 WAP=534.41 hasGaps=false
id=1 date = 20080718 00:37:30 open=534.76 high=535.05 low=534.76 close=534.95 volume=4 count=3 WAP=534.93 hasGaps=false
id=1 date = 20080718 00:38:00 open=534.9 high=535.05 low=534.62 close=534.86 volume=16 count=8 WAP=534.86 hasGaps=false
id=1 date = 20080718 00:38:30 open=534.45 high=534.98 low=534.45 close=534.98 volume=2 count=2 WAP=534.72 hasGaps=false
id=1 date = 20080718 00:39:00 open=535.19 high=535.19 low=535.06 close=535.09 volume=6 count=6 WAP=535.12 hasGaps=false
id=1 date = 20080718 00:39:30 open=535.23 high=535.36 low=534.89 close=535.17 volume=7 count=5 WAP=535.22 hasGaps=false
id=1 date = 20080718 00:40:00 open=534.85 high=535.31 low=534.85 close=535.31 volume=3 count=3 WAP=535.02 hasGaps=false
id=1 date = 20080718 00:40:30 open=535.03 high=535.2 low=534.6 close=534.94 volume=19 count=13 WAP=534.9 hasGaps=false
id=1 date = 20080718 00:41:00 open=534.66 high=534.66 low=534.66 close=534.66 volume=1 count=1 WAP=534.66 hasGaps=false
id=1 date = 20080718 00:41:30 open=534.42 high=534.71 low=534.42 close=534.71 volume=4 count=2 WAP=534.64 hasGaps=false
id=1 date = 20080718 00:42:00 open=534.48 high=534.95 low=534.31 close=534.95 volume=5 count=5 WAP=534.56 hasGaps=false
id=1 date = 20080718 00:42:30 open=535.12 high=535.38 low=534.29 close=534.29 volume=20 count=13 WAP=534.85 hasGaps=false
id=1 date = 20080718 00:43:00 open=535.26 high=535.26 low=535.13 close=535.13 volume=2 count=2 WAP=535.2 hasGaps=false
id=1 date = 20080718 00:43:30 open=535.67 high=535.68 low=535.21 close=535.21 volume=8 count=3 WAP=535.5 hasGaps=false
id=1 date = 20080718 00:44:00 open=535.27 high=535.57 low=535.27 close=535.57 volume=5 count=2 WAP=535.51 hasGaps=false
id=1 date = 20080718 00:44:30 open=535.79 high=536.22 low=535.79 close=536.22 volume=2 count=2 WAP=536.0 hasGaps=false
id=1 date = 20080718 00:45:00 open=536.08 high=536.08 low=536.08 close=536.08 volume=1 count=1 WAP=536.08 hasGaps=false
id=1 date = 20080718 00:45:30 open=535.38 high=535.85 low=535.38 close=535.53 volume=5 count=4 WAP=535.62 hasGaps=false
id=1 date = 20080718 00:46:00 open=535.78 high=536.2 low=535.78 close=535.9 volume=6 count=3 WAP=535.98 hasGaps=false
id=1 date = 20080718 00:46:30 open=535.59 high=535.73 low=535.58 close=535.7 volume=8 count=8 WAP=535.67 hasGaps=false
id=1 date = 20080718 00:47:00 open=535.24 high=535.95 low=535.24 close=535.95 volume=5 count=2 WAP=535.67 hasGaps=false
id=1 date = 20080718 00:47:30 open=535.37 high=535.72 low=535.28 close=535.54 volume=16 count=9 WAP=535.48 hasGaps=false
id=1 date = 20080718 00:48:00 open=535.52 high=536.16 low=535.47 close=535.55 volume=9 count=5 WAP=535.58 hasGaps=false
id=1 date = 20080718 00:48:30 open=535.49 high=535.78 low=535.41 close=535.47 volume=10 count=5 WAP=535.62 hasGaps=false
id=1 date = 20080718 00:49:00 open=535.55 high=535.85 low=535.2 close=535.85 volume=12 count=5 WAP=535.53 hasGaps=false
id=1 date = 20080718 00:49:30 open=534.91 high=535.47 low=534.91 close=535.47 volume=2 count=2 WAP=535.19 hasGaps=false
id=1 date = 20080718 00:50:00 open=535.27 high=535.62 low=535.25 close=535.62 volume=4 count=4 WAP=535.39 hasGaps=false
id=1 date = 20080718 00:50:30 open=534.99 high=534.99 low=534.47 close=534.47 volume=4 count=2 WAP=534.86 hasGaps=false
id=1 date = 20080718 00:51:00 open=534.68 high=534.88 low=534.43 close=534.74 volume=9 count=6 WAP=534.63 hasGaps=false
id=1 date = 20080718 00:51:30 open=534.6 high=535.05 low=534.09 close=534.09 volume=11 count=6 WAP=534.44 hasGaps=false
id=1 date = 20080718 00:52:00 open=534.13 high=534.21 low=533.16 close=533.89 volume=8 count=5 WAP=533.77 hasGaps=false
id=1 date = 20080718 00:52:30 open=533.68 high=534.09 low=533.68 close=533.9 volume=4 count=3 WAP=533.84 hasGaps=false
id=1 date = 20080718 00:53:00 open=534.39 high=534.39 low=533.56 close=533.89 volume=12 count=5 WAP=534.1 hasGaps=false
id=1 date = 20080718 00:53:30 open=533.96 high=534.35 low=533.36 close=534.02 volume=15 count=8 WAP=533.88 hasGaps=false
id=1 date = 20080718 00:54:00 open=533.9 high=534.02 low=533.37 close=533.5 volume=12 count=10 WAP=533.69 hasGaps=false
id=1 date = 20080718 00:54:30 open=532.96 high=533.58 low=532.96 close=533.34 volume=8 count=6 WAP=533.33 hasGaps=false
id=1 date = 20080718 00:55:00 open=533.69 high=533.71 low=533.69 close=533.71 volume=2 count=2 WAP=533.7 hasGaps=false
id=1 date = 20080718 00:55:30 open=533.78 high=534.16 low=533.61 close=533.71 volume=12 count=11 WAP=533.82 hasGaps=false
id=1 date = 20080718 00:56:00 open=534.08 high=534.29 low=534.0 close=534.29 volume=7 count=7 WAP=534.14 hasGaps=false
id=1 date = 20080718 00:56:30 open=533.88 high=534.81 low=533.82 close=534.81 volume=9 count=6 WAP=534.21 hasGaps=false
id=1 date = 20080718 00:57:00 open=534.31 high=535.73 low=534.31 close=535.73 volume=10 count=4 WAP=535.36 hasGaps=false
id=1 date = 20080718 00:57:30 open=535.96 high=536.26 low=535.96 close=536.26 volume=2 count=2 WAP=536.11 hasGaps=false
id=1 date = 20080718 00:58:00 open=535.67 high=535.67 low=535.67 close=535.67 volume=4 count=1 WAP=535.67 hasGaps=false
id=1 date = 20080718 00:58:30 open=536.05 high=536.05 low=536.01 close=536.01 volume=2 count=2 WAP=536.03 hasGaps=false


This was all run with the with the Trades option.
http://www.interactivebrokers.com/en/software/apiReleaseNotes/api9.php


Back to the Google Finance historical function part, I still haven't figured out the map from cid's to symbols, but I think I now have code that I can loop through to get some long term low-frequency stock data. I'd really like to figure out the mapping of contract id's to symbols. This, I think would be very helpful. But I'll do that tomorrow.