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Default market hours to Always Open for base securities without subscription (#7509)

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* Set default always open market hours entry for base security without subscription

Also return proper matching subscription for custom data symbols wihtout subscription.

* Minor changes

* Minor change
This commit is contained in:
Jhonathan Abreu
2023-10-11 14:36:38 -04:00
committed by GitHub
parent 6e854550aa
commit 07fbbe65bb
5 changed files with 134 additions and 22 deletions
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Algorithm/QCAlgorithm.Python.cs
+29 -6
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@@ -1022,16 +1022,38 @@ namespace QuantConnect.Algorithm
bool? extendedMarketHours = null, DataMappingMode? dataMappingMode = null, DataNormalizationMode? dataNormalizationMode = null,
int? contractDepthOffset = null)
{
var requestedType = type.CreateType();
var requests = CreateDateRangeHistoryRequests(new [] { symbol }, requestedType, start, end, resolution, fillForward,
return History(type.CreateType(), symbol, start, end, resolution, fillForward, extendedMarketHours, dataMappingMode,
dataNormalizationMode, contractDepthOffset);
}
/// <summary>
/// Gets the historical data for the specified symbols between the specified dates. The symbols must exist in the Securities collection.
/// </summary>
/// <param name="type">The data type of the symbols</param>
/// <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>
/// <param name="fillForward">True to fill forward missing data, false otherwise</param>
/// <param name="extendedMarketHours">True to include extended market hours data, false otherwise</param>
/// <param name="dataMappingMode">The contract mapping mode to use for the security history request</param>
/// <param name="dataNormalizationMode">The price scaling mode to use for the securities history</param>
/// <param name="contractDepthOffset">The continuous contract desired offset from the current front month.
/// For example, 0 will use the front month, 1 will use the back month contract</param>
/// <returns>pandas.DataFrame containing the requested historical data</returns>
private PyObject History(Type type, Symbol symbol, DateTime start, DateTime end, Resolution? resolution, bool? fillForward,
bool? extendedMarketHours, DataMappingMode? dataMappingMode, DataNormalizationMode? dataNormalizationMode,
int? contractDepthOffset)
{
var requests = CreateDateRangeHistoryRequests(new[] { symbol }, type, start, end, resolution, fillForward,
extendedMarketHours, dataMappingMode, dataNormalizationMode, contractDepthOffset);
if (requests.IsNullOrEmpty())
{
throw new ArgumentException($"No history data could be fetched. " +
$"This could be due to the specified security not being of the requested type. Symbol: {symbol} Requested Type: {requestedType.Name}");
$"This could be due to the specified security not being of the requested type. Symbol: {symbol} Requested Type: {type.Name}");
}
return GetDataFrame(History(requests), requestedType);
return GetDataFrame(History(requests), type);
}
/// <summary>
@@ -1058,10 +1080,11 @@ namespace QuantConnect.Algorithm
resolution = GetResolution(symbol, resolution);
CheckPeriodBasedHistoryRequestResolution(new[] { symbol }, resolution);
var marketHours = GetMarketHours(symbol);
var managedType = type.CreateType();
var marketHours = GetMarketHours(symbol, managedType);
var start = _historyRequestFactory.GetStartTimeAlgoTz(symbol, periods, resolution.Value, marketHours.ExchangeHours,
marketHours.DataTimeZone, extendedMarketHours);
return History(type, symbol, start, Time, resolution, fillForward, extendedMarketHours, dataMappingMode, dataNormalizationMode,
return History(managedType, symbol, start, Time, resolution, fillForward, extendedMarketHours, dataMappingMode, dataNormalizationMode,
contractDepthOffset);
}