/*
* 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 QuantConnect.Data;
using QuantConnect.Securities;
using QuantConnect.Util;
namespace QuantConnect.ToolBox.Polygon
{
///
/// Data downloader class for pulling data from Polygon.io
///
public class PolygonDataDownloader : IDataDownloader, IDisposable
{
private readonly PolygonDataQueueHandler _historyProvider = new PolygonDataQueueHandler(false);
///
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
///
/// Symbol for the data we're looking for.
/// Resolution of the data request
/// Start time of the data in UTC
/// End time of the data in UTC
/// Enumerable of base data for this symbol
public IEnumerable Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
return Get(symbol, resolution, startUtc, endUtc, TickType.Trade);
}
///
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
///
/// Symbol for the data we're looking for.
/// Resolution of the data request
/// Start time of the data in UTC
/// End time of the data in UTC
/// The tick type (Trade or Quote)
/// Enumerable of base data for this symbol
public IEnumerable Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc, TickType tickType)
{
if (symbol.SecurityType != SecurityType.Equity &&
symbol.SecurityType != SecurityType.Forex &&
symbol.SecurityType != SecurityType.Crypto)
{
throw new NotSupportedException($"Security type not supported: {symbol.SecurityType}");
}
if (endUtc < startUtc)
{
throw new ArgumentException("The end date must be greater or equal than the start date.");
}
var dataType = LeanData.GetDataType(resolution, tickType);
var historyRequest =
new HistoryRequest(startUtc,
endUtc,
dataType,
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
TimeZones.NewYork,
resolution,
true,
false,
DataNormalizationMode.Adjusted,
tickType);
foreach (var baseData in _historyProvider.GetHistory(historyRequest))
{
yield return baseData;
}
}
///
/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
///
public void Dispose()
{
_historyProvider.DisposeSafely();
}
}
}