Support historical data bar updates (#113)

* Support historical data bar updates.

* Only log new bars that contain volume or bar count data

* Fixed when bars will be updated

* Updated bar processing to show only the latest bars to be consistent with the response from IB.

* readme update

* Fixed a comment

* Update README.md

README.md

@@ -116,7 +116,7 @@ These tables include:
     * `ticks_trade`: real-time tick market data of trade prices requested via `request_tick_data_historical` or `request_tick_data_realtime`.
     * `ticks_bid_ask`: real-time tick market data of bid and ask prices requested via `request_tick_data_historical` or `request_tick_data_realtime`.
     * `ticks_mid_point`: real-time tick market data of mid-point prices requested via `request_tick_data_historical` or `request_tick_data_realtime`.
-    * `bars_historical`: historical price bars requested via `request_bars_historical`.
+    * `bars_historical`: historical price bars requested via `request_bars_historical`.  Real-time bars change as new data arrives.
     * `bars_realtime`: real-time price bars requested via `request_bars_realtime`.
 * Order Management System (OMS)
     * `orders_submitted`: submitted orders **FOR THE THE CLIENT'S ID**.  A client ID of 0 contains manually entered orders.  Automatically populated.

src/deephaven_ib/__init__.py

@@ -407,7 +407,7 @@ class IbSessionTws:
         * **ticks_trade**: real-time tick market data of trade prices requested via ``request_tick_data_historical`` or ``request_tick_data_realtime``.
         * **ticks_bid_ask**: real-time tick market data of bid and ask prices requested via ``request_tick_data_historical`` or ``request_tick_data_realtime``.
         * **ticks_mid_point**: real-time tick market data of mid-point prices requested via ``request_tick_data_historical`` or ``request_tick_data_realtime``.
-        * **bars_historical**: historical price bars requested via ``request_bars_historical``.
+        * **bars_historical**: historical price bars requested via ``request_bars_historical``.  Real-time bars change as new data arrives.
         * **bars_realtime**: real-time price bars requested via ``request_bars_realtime``.
 
         ####
@@ -638,7 +638,7 @@ def deephaven_ib_parse_note(note:str, key:str) -> Optional[str]:
             "orders_status": tables_raw["raw_orders_status"] \
                 .last_by("PermId") \
                 .move_columns_up(["ReceiveTime", "PermId", "ClientId", "OrderId", "ParentId"]),
-            "bars_historical": annotate_ticks(tables_raw["raw_bars_historical"]),
+            "bars_historical": annotate_ticks(tables_raw["raw_bars_historical"]).last_by(["Request", "Timestamp", "ContractId"]),
             "bars_realtime": annotate_ticks(tables_raw["raw_bars_realtime"]),
             "ticks_efp": annotate_ticks(tables_raw["raw_ticks_efp"]),
             "ticks_generic": annotate_ticks(tables_raw["raw_ticks_generic"]),

src/deephaven_ib/_tws/tws_client.py

@@ -915,6 +915,10 @@ def historicalDataEnd(self, reqId: int, start: str, end: str):
         # do not ned to implement
         EWrapper.historicalDataEnd(self, reqId, start, end)
 
+    def historicalDataUpdate(self, reqId: int, bar: BarData):
+        EWrapper.historicalDataUpdate(self, reqId, bar)
+        self._table_writers["bars_historical"].write_row([reqId, *logger_bar_data.vals(bar)])
+
     ####
     # reqRealTimeBars
     ####