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Add History method overload For Python (#6265)
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* Add requested History overload

* Add more regression tests

* Revert "Add more regression tests"

This reverts commit 71b279e917629c3d5ed577e39aec74149b052afb.

* Add more regression tests
This commit is contained in:
Ricardo Andrés Marino Rojas
2022-03-30 14:18:36 -05:00
committed by GitHub
parent cc18e47cd6
commit 85eb1fca9a
2 changed files with 36 additions and 0 deletions
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Algorithm.Python/HistoryAlgorithm.py
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@@ -52,6 +52,25 @@ class HistoryAlgorithm(QCAlgorithm):
tradeBarHistory = self.History(["SPY"], 14, Resolution.Minute)
self.AssertHistoryCount("History([\"SPY\"], 14, Resolution.Minute)", tradeBarHistory, 14)
# get the historical data from last current day to this current day in minute resolution
# with Fill Forward and Extended Market options
intervalBarHistory = self.History(["SPY"], self.Time - timedelta(1), self.Time, Resolution.Minute, True, True)
self.AssertHistoryCount("History([\"SPY\"], self.Time - timedelta(1), self.Time, Resolution.Minute, True, True)", intervalBarHistory, 960)
# get the historical data from last current day to this current day in minute resolution
# with Extended Market option
intervalBarHistory = self.History(["SPY"], self.Time - timedelta(1), self.Time, Resolution.Minute, False, True)
self.AssertHistoryCount("History([\"SPY\"], self.Time - timedelta(1), self.Time, Resolution.Minute, False, True)", intervalBarHistory, 828)
# get the historical data from last current day to this current day in minute resolution
# with Fill Forward option
intervalBarHistory = self.History(["SPY"], self.Time - timedelta(1), self.Time, Resolution.Minute, True, False)
self.AssertHistoryCount("History([\"SPY\"], self.Time - timedelta(1), self.Time, Resolution.Minute, True, False)", intervalBarHistory, 390)
# get the historical data from last current day to this current day in minute resolution
intervalBarHistory = self.History(["SPY"], self.Time - timedelta(1), self.Time, Resolution.Minute, False, False)
self.AssertHistoryCount("History([\"SPY\"], self.Time - timedelta(1), self.Time, Resolution.Minute, False, False)", intervalBarHistory, 390)
# we can loop over the return value from these functions and we get TradeBars
# we can use these TradeBars to initialize indicators or perform other math
for index, tradeBar in tradeBarHistory.loc["SPY"].iterrows():