{{ message }}
forked from QuantConnect/Lean
-
Notifications
You must be signed in to change notification settings - Fork 0
Expand file tree
/
Copy pathQCAlgorithm.History.cs
More file actions
489 lines (448 loc) · 25.1 KB
/
Copy pathQCAlgorithm.History.cs
File metadata and controls
489 lines (448 loc) · 25.1 KB
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using System.Collections.Generic;
using System.Linq;
using NodaTime;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Interfaces;
using QuantConnect.Securities;
using QuantConnect.Util;
namespace QuantConnect.Algorithm
{
public partial class QCAlgorithm
{
/// <summary>
/// Gets or sets the history provider for the algorithm
/// </summary>
public IHistoryProvider HistoryProvider
{
get;
set;
}
/// <summary>
/// Gets whether or not this algorithm is still warming up
/// </summary>
public bool IsWarmingUp
{
get;
private set;
}
/// <summary>
/// Sets the warm up period to the specified value
/// </summary>
/// <param name="timeSpan">The amount of time to warm up, this does not take into account market hours/weekends</param>
public void SetWarmup(TimeSpan timeSpan)
{
_warmupBarCount = null;
_warmupTimeSpan = timeSpan;
}
/// <summary>
/// Sets the warm up period to the specified value
/// </summary>
/// <param name="timeSpan">The amount of time to warm up, this does not take into account market hours/weekends</param>
public void SetWarmUp(TimeSpan timeSpan)
{
SetWarmup(timeSpan);
}
/// <summary>
/// Sets the warm up period by resolving a start date that would send that amount of data into
/// the algorithm. The highest (smallest) resolution in the securities collection will be used.
/// For example, if an algorithm has minute and daily data and 200 bars are requested, that would
/// use 200 minute bars.
/// </summary>
/// <param name="barCount">The number of data points requested for warm up</param>
public void SetWarmup(int barCount)
{
_warmupTimeSpan = null;
_warmupBarCount = barCount;
}
/// <summary>
/// Sets the warm up period by resolving a start date that would send that amount of data into
/// the algorithm. The highest (smallest) resolution in the securities collection will be used.
/// For example, if an algorithm has minute and daily data and 200 bars are requested, that would
/// use 200 minute bars.
/// </summary>
/// <param name="barCount">The number of data points requested for warm up</param>
public void SetWarmUp(int barCount)
{
SetWarmup(barCount);
}
/// <summary>
/// Sets <see cref="IAlgorithm.IsWarmingUp"/> to false to indicate this algorithm has finished its warm up
/// </summary>
public void SetFinishedWarmingUp()
{
IsWarmingUp = false;
}
/// <summary>
/// Gets the history requests required for provide warm up data for the algorithm
/// </summary>
/// <returns></returns>
public IEnumerable<HistoryRequest> GetWarmupHistoryRequests()
{
if (_warmupBarCount.HasValue)
{
return CreateBarCountHistoryRequests(Securities.Keys, _warmupBarCount.Value);
}
if (_warmupTimeSpan.HasValue)
{
var end = UtcTime.ConvertFromUtc(TimeZone);
return CreateDateRangeHistoryRequests(Securities.Keys, end - _warmupTimeSpan.Value, end);
}
// if not warmup requested return nothing
return Enumerable.Empty<HistoryRequest>();
}
/// <summary>
/// Get the history for all configured securities over the requested span.
/// This will use the resolution and other subscription settings for each security.
/// The symbols must exist in the Securities collection.
/// </summary>
/// <param name="span">The span over which to request data. This is a calendar span, so take into consideration weekends and such</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing data over the most recent span for all configured securities</returns>
public IEnumerable<Slice> History(TimeSpan span, Resolution? resolution = null)
{
return History(Securities.Keys, Time - span, Time, resolution).Memoize();
}
/// <summary>
/// Get the history for all configured securities over the requested span.
/// This will use the resolution and other subscription settings for each security.
/// The symbols must exist in the Securities collection.
/// </summary>
/// <param name="periods">The number of bars to request</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing data over the most recent span for all configured securities</returns>
public IEnumerable<Slice> History(int periods, Resolution? resolution = null)
{
return History(Securities.Keys, periods, resolution).Memoize();
}
/// <summary>
/// Gets the historical data for all symbols of the requested type over the requested span.
/// The symbol's configured values for resolution and fill forward behavior will be used
/// The symbols must exist in the Securities collection.
/// </summary>
/// <param name="span">The span over which to retrieve recent historical data</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<DataDictionary<T>> History<T>(TimeSpan span, Resolution? resolution = null)
where T : BaseData
{
return History<T>(Securities.Keys, span, resolution).Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbols over the requested span.
/// The symbols must exist in the Securities collection.
/// </summary>
/// <typeparam name="T">The data type of the symbols</typeparam>
/// <param name="symbols">The symbols to retrieve historical data for</param>
/// <param name="span">The span over which to retrieve recent historical data</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<DataDictionary<T>> History<T>(IEnumerable<Symbol> symbols, TimeSpan span, Resolution? resolution = null)
where T : BaseData
{
return History<T>(symbols, Time - span, Time, resolution).Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbols. The exact number of bars will be returned for
/// each symbol. This may result in some data start earlier/later than others due to when various
/// exchanges are open. The symbols must exist in the Securities collection.
/// </summary>
/// <typeparam name="T">The data type of the symbols</typeparam>
/// <param name="symbols">The symbols to retrieve historical data for</param>
/// <param name="periods">The number of bars to request</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<DataDictionary<T>> History<T>(IEnumerable<Symbol> symbols, int periods, Resolution? resolution = null)
where T : BaseData
{
var requests = symbols.Select(x =>
{
var security = Securities[x];
var config = GetMatchingSubscription(security, typeof(T));
if (config == null) return null;
Resolution? res = resolution ?? security.Resolution;
var start = GetStartTimeAlgoTz(x, periods, resolution).ConvertToUtc(TimeZone);
return CreateHistoryRequest(security, config, start, UtcTime.RoundDown(res.Value.ToTimeSpan()), resolution);
});
return History(requests.Where(x => x != null)).Get<T>().Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbols between the specified dates. The symbols must exist in the Securities collection.
/// </summary>
/// <typeparam name="T">The data type of the symbols</typeparam>
/// <param name="symbols">The symbols to retrieve historical data for</param>
/// <param name="start">The start time in the algorithm's time zone</param>
/// <param name="end">The end time in the algorithm's time zone</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<DataDictionary<T>> History<T>(IEnumerable<Symbol> symbols, DateTime start, DateTime end, Resolution? resolution = null)
where T : BaseData
{
var requests = symbols.Select(x =>
{
var security = Securities[x];
var config = GetMatchingSubscription(security, typeof(T));
if (config == null) return null;
return CreateHistoryRequest(security, config, start, end, resolution);
});
return History(requests.Where(x => x != null)).Get<T>().Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbol over the request span. The symbol must exist in the Securities collection.
/// </summary>
/// <typeparam name="T">The data type of the symbol</typeparam>
/// <param name="symbol">The symbol to retrieve historical data for</param>
/// <param name="span">The span over which to retrieve recent historical data</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<T> History<T>(Symbol symbol, TimeSpan span, Resolution? resolution = null)
where T : BaseData
{
return History<T>(symbol, Time - span, Time, resolution).Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbol. The exact number of bars will be returned.
/// The symbol must exist in the Securities collection.
/// </summary>
/// <param name="symbol">The symbol to retrieve historical data for</param>
/// <param name="periods">The number of bars to request</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<TradeBar> History(Symbol symbol, int periods, Resolution? resolution = null)
{
var security = Securities[symbol];
var start = GetStartTimeAlgoTz(symbol, periods, resolution);
return History(new[] {symbol}, start, Time.RoundDown((resolution ?? security.Resolution).ToTimeSpan()), resolution).Get(symbol).Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbol. The exact number of bars will be returned.
/// The symbol must exist in the Securities collection.
/// </summary>
/// <typeparam name="T">The data type of the symbol</typeparam>
/// <param name="symbol">The symbol to retrieve historical data for</param>
/// <param name="periods">The number of bars to request</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<T> History<T>(Symbol symbol, int periods, Resolution? resolution = null)
where T : BaseData
{
if (resolution == Resolution.Tick) throw new ArgumentException("History functions that accept a 'periods' parameter can not be used with Resolution.Tick");
var security = Securities[symbol];
// verify the types match
var requestedType = typeof(T);
var config = GetMatchingSubscription(security, requestedType);
if (config == null)
{
var actualType = security.Subscriptions.Select(x => x.Type.Name).DefaultIfEmpty("[None]").FirstOrDefault();
throw new ArgumentException("The specified security is not of the requested type. Symbol: " + symbol.ToString() + " Requested Type: " + requestedType.Name + " Actual Type: " + actualType);
}
var start = GetStartTimeAlgoTz(symbol, periods, resolution);
return History<T>(symbol, start, Time.RoundDown((resolution ?? security.Resolution).ToTimeSpan()), resolution).Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbol between the specified dates. The symbol must exist in the Securities collection.
/// </summary>
/// <param name="symbol">The symbol to retrieve historical data for</param>
/// <param name="start">The start time in the algorithm's time zone</param>
/// <param name="end">The end time in the algorithm's time zone</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<T> History<T>(Symbol symbol, DateTime start, DateTime end, Resolution? resolution = null)
where T : BaseData
{
var security = Securities[symbol];
// verify the types match
var requestedType = typeof(T);
var config = GetMatchingSubscription(security, requestedType);
if (config == null)
{
var actualType = security.Subscriptions.Select(x => x.Type.Name).DefaultIfEmpty("[None]").FirstOrDefault();
throw new ArgumentException("The specified security is not of the requested type. Symbol: " + symbol.ToString() + " Requested Type: " + requestedType.Name + " Actual Type: " + actualType);
}
var request = CreateHistoryRequest(security, config, start, end, resolution);
return History(request).Get<T>(symbol).Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbol over the request span. The symbol must exist in the Securities collection.
/// </summary>
/// <param name="symbol">The symbol to retrieve historical data for</param>
/// <param name="span">The span over which to retrieve recent historical data</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<TradeBar> History(Symbol symbol, TimeSpan span, Resolution? resolution = null)
{
return History(new[] {symbol}, span, resolution).Get(symbol).Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbol over the request span. The symbol must exist in the Securities collection.
/// </summary>
/// <param name="symbol">The symbol to retrieve historical data for</param>
/// <param name="start">The start time in the algorithm's time zone</param>
/// <param name="end">The end time in the algorithm's time zone</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<TradeBar> History(Symbol symbol, DateTime start, DateTime end, Resolution? resolution = null)
{
return History(new[] {symbol}, start, end, resolution).Get(symbol).Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbols over the requested span.
/// The symbol's configured values for resolution and fill forward behavior will be used
/// The symbols must exist in the Securities collection.
/// </summary>
/// <param name="symbols">The symbols to retrieve historical data for</param>
/// <param name="span">The span over which to retrieve recent historical data</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<Slice> History(IEnumerable<Symbol> symbols, TimeSpan span, Resolution? resolution = null)
{
return History(symbols, Time - span, Time, resolution).Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbols. The exact number of bars will be returned for
/// each symbol. This may result in some data start earlier/later than others due to when various
/// exchanges are open. The symbols must exist in the Securities collection.
/// </summary>
/// <param name="symbols">The symbols to retrieve historical data for</param>
/// <param name="periods">The number of bars to request</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<Slice> History(IEnumerable<Symbol> symbols, int periods, Resolution? resolution = null)
{
if (resolution == Resolution.Tick) throw new ArgumentException("History functions that accept a 'periods' parameter can not be used with Resolution.Tick");
return History(CreateBarCountHistoryRequests(symbols, periods, resolution)).Memoize();
}
/// <summary>
/// Gets the historical data for the specified symbols between the specified dates. The symbols must exist in the Securities collection.
/// </summary>
/// <param name="symbols">The symbols to retrieve historical data for</param>
/// <param name="start">The start time in the algorithm's time zone</param>
/// <param name="end">The end time in the algorithm's time zone</param>
/// <param name="resolution">The resolution to request</param>
/// <param name="fillForward">True to fill forward missing data, false otherwise</param>
/// <param name="extendedMarket">True to include extended market hours data, false otherwise</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable<Slice> History(IEnumerable<Symbol> symbols, DateTime start, DateTime end, Resolution? resolution = null, bool? fillForward = null, bool? extendedMarket = null)
{
return History(CreateDateRangeHistoryRequests(symbols, start, end, resolution, fillForward, extendedMarket)).Memoize();
}
/// <summary>
/// Gets the start time required for the specified bar count in terms of the algorithm's time zone
/// </summary>
private DateTime GetStartTimeAlgoTz(Symbol symbol, int periods, Resolution? resolution = null)
{
var security = Securities[symbol];
var timeSpan = (resolution ?? security.Resolution).ToTimeSpan();
// make this a minimum of one second
timeSpan = timeSpan < QuantConnect.Time.OneSecond ? QuantConnect.Time.OneSecond : timeSpan;
var localStartTime = QuantConnect.Time.GetStartTimeForTradeBars(security.Exchange.Hours, UtcTime.ConvertFromUtc(security.Exchange.TimeZone), timeSpan, periods, security.IsExtendedMarketHours);
return localStartTime.ConvertTo(security.Exchange.TimeZone, TimeZone);
}
/// <summary>
/// Executes the specified history request
/// </summary>
/// <param name="request">the history request to execute</param>
/// <returns>An enumerable of slice satisfying the specified history request</returns>
public IEnumerable<Slice> History(HistoryRequest request)
{
return History(new[] {request}).Memoize();
}
/// <summary>
/// Executes the specified history requests
/// </summary>
/// <param name="requests">the history requests to execute</param>
/// <returns>An enumerable of slice satisfying the specified history request</returns>
public IEnumerable<Slice> History(IEnumerable<HistoryRequest> requests)
{
return History(requests, TimeZone).Memoize();
}
private IEnumerable<Slice> History(IEnumerable<HistoryRequest> requests, DateTimeZone timeZone)
{
var sentMessage = false;
var reqs = requests.ToList();
foreach (var request in reqs)
{
// prevent future requests
if (request.EndTimeUtc > UtcTime)
{
request.EndTimeUtc = UtcTime;
if (request.StartTimeUtc > request.EndTimeUtc)
{
request.StartTimeUtc = request.EndTimeUtc;
}
if (!sentMessage)
{
sentMessage = true;
Debug("Request for future history modified to end now.");
}
}
}
// filter out future data to prevent look ahead bias
return ((IAlgorithm) this).HistoryProvider.GetHistory(reqs, timeZone);
}
/// <summary>
/// Helper method to create history requests from a date range
/// </summary>
private IEnumerable<HistoryRequest> CreateDateRangeHistoryRequests(IEnumerable<Symbol> symbols, DateTime startAlgoTz, DateTime endAlgoTz, Resolution? resolution = null, bool? fillForward = null, bool? extendedMarket = null)
{
return symbols.Select(x =>
{
var security = Securities[x];
var config = GetMatchingSubscription(security, typeof (BaseData));
var request = CreateHistoryRequest(security, config, startAlgoTz, endAlgoTz, resolution);
// apply overrides
Resolution? res = resolution ?? security.Resolution;
if (fillForward.HasValue) request.FillForwardResolution = fillForward.Value ? res : null;
if (extendedMarket.HasValue) request.IncludeExtendedMarketHours = extendedMarket.Value;
return request;
});
}
/// <summary>
/// Helper methods to create a history request for the specified symbols and bar count
/// </summary>
private IEnumerable<HistoryRequest> CreateBarCountHistoryRequests(IEnumerable<Symbol> symbols, int periods, Resolution? resolution = null)
{
return symbols.Select(x =>
{
var security = Securities[x];
Resolution? res = resolution ?? security.Resolution;
var start = GetStartTimeAlgoTz(x, periods, res);
var config = GetMatchingSubscription(security, typeof(BaseData));
return CreateHistoryRequest(security, config, start, Time.RoundDown(res.Value.ToTimeSpan()), resolution);
});
}
private HistoryRequest CreateHistoryRequest(Security security, SubscriptionDataConfig subscription, DateTime startAlgoTz, DateTime endAlgoTz, Resolution? resolution)
{
resolution = resolution ?? security.Resolution;
var request = new HistoryRequest(subscription, security.Exchange.Hours, startAlgoTz.ConvertToUtc(TimeZone), endAlgoTz.ConvertToUtc(TimeZone))
{
DataType = subscription.IsCustomData ? subscription.Type : resolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar),
Resolution = resolution.Value,
FillForwardResolution = subscription.FillDataForward ? resolution : null
};
return request;
}
private static SubscriptionDataConfig GetMatchingSubscription(Security security, Type type)
{
// find a subscription matchin the requested type with a higher resolution than requested
return (from sub in security.Subscriptions.OrderByDescending(s => s.Resolution)
where type.IsAssignableFrom(sub.Type)
select sub).FirstOrDefault();
}
}
}
You can’t perform that action at this time.