quantconnect--lean/Api/Api.cs

/*
 * 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.IO;
using System.Linq;
using System.Net;
using Newtonsoft.Json;
using QuantConnect.API;
using QuantConnect.Data.Market;
using QuantConnect.Interfaces;
using QuantConnect.Orders;
using RestSharp;
using RestSharp.Extensions;
using QuantConnect.Util;

namespace QuantConnect.Api
{
    /// <summary>
    /// QuantConnect.com Interaction Via API.
    /// </summary>
    public class Api : IApi, IDownloadProvider
    {
        private string _dataFolder;

        /// <summary>
        /// Returns the underlying API connection
        /// </summary>
        protected ApiConnection ApiConnection { get; private set; }

        /// <summary>
        /// Initialize the API using the config.json file.
        /// </summary>
        public virtual void Initialize(int userId, string token, string dataFolder)
        {
            ApiConnection = new ApiConnection(userId, token);
            _dataFolder = dataFolder;

            //Allow proper decoding of orders from the API.
            JsonConvert.DefaultSettings = () => new JsonSerializerSettings
            {
                Converters = { new OrderJsonConverter() }
            };
        }

        /// <summary>
        /// Check if Api is successfully connected with correct credentials
        /// </summary>
        public bool Connected
        {
            get
            {
                return ApiConnection.Connected;
            }
        }

        /// <summary>
        /// Create a project with the specified name and language via QuantConnect.com API
        /// </summary>
        /// <param name="name">Project name</param>
        /// <param name="language">Programming language to use</param>
        /// <returns>Project object from the API.</returns>

        public ProjectResponse CreateProject(string name, Language language)
        {
            var request = new RestRequest("projects/create", Method.POST);

            request.RequestFormat = DataFormat.Json;
            request.AddParameter("application/json", JsonConvert.SerializeObject(new
            {
                name = name,
                language = language
            }), ParameterType.RequestBody);

            ProjectResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Get details about a single project
        /// </summary>
        /// <param name="projectId">Id of the project</param>
        /// <returns><see cref="ProjectResponse"/> that contains information regarding the project</returns>

        public ProjectResponse ReadProject(int projectId)
        {
            var request = new RestRequest("projects/read", Method.GET);

            request.RequestFormat = DataFormat.Json;
            request.AddParameter("projectId", projectId);

            ProjectResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// List details of all projects
        /// </summary>
        /// <returns><see cref="ProjectResponse"/> that contains information regarding the project</returns>

        public ProjectResponse ListProjects()
        {
            var request = new RestRequest("projects/read", Method.GET);
            request.RequestFormat = DataFormat.Json;
            ProjectResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }


        /// <summary>
        /// Add a file to a project
        /// </summary>
        /// <param name="projectId">The project to which the file should be added</param>
        /// <param name="name">The name of the new file</param>
        /// <param name="content">The content of the new file</param>
        /// <returns><see cref="ProjectFilesResponse"/> that includes information about the newly created file</returns>

        public ProjectFilesResponse AddProjectFile(int projectId, string name, string content)
        {
            var request = new RestRequest("files/create", Method.POST);

            request.AddParameter("projectId", projectId);
            request.AddParameter("name", name);
            request.AddParameter("content", content);

            ProjectFilesResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }


        /// <summary>
        /// Update the name of a file
        /// </summary>
        /// <param name="projectId">Project id to which the file belongs</param>
        /// <param name="oldFileName">The current name of the file</param>
        /// <param name="newFileName">The new name for the file</param>
        /// <returns><see cref="RestResponse"/> indicating success</returns>

        public RestResponse UpdateProjectFileName(int projectId, string oldFileName, string newFileName)
        {
            var request = new RestRequest("files/update", Method.POST);

            request.AddParameter("projectId", projectId);
            request.AddParameter("name", oldFileName);
            request.AddParameter("newName", newFileName);

            RestResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }


        /// <summary>
        /// Update the contents of a file
        /// </summary>
        /// <param name="projectId">Project id to which the file belongs</param>
        /// <param name="fileName">The name of the file that should be updated</param>
        /// <param name="newFileContents">The new contents of the file</param>
        /// <returns><see cref="RestResponse"/> indicating success</returns>

        public RestResponse UpdateProjectFileContent(int projectId, string fileName, string newFileContents)
        {
            var request = new RestRequest("files/update", Method.POST);

            request.AddParameter("projectId", projectId);
            request.AddParameter("name", fileName);
            request.AddParameter("content", newFileContents);

            RestResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }


        /// <summary>
        /// Read all files in a project
        /// </summary>
        /// <param name="projectId">Project id to which the file belongs</param>
        /// <returns><see cref="ProjectFilesResponse"/> that includes the information about all files in the project</returns>

        public ProjectFilesResponse ReadProjectFiles(int projectId)
        {
            var request = new RestRequest("files/read", Method.GET);

            request.AddParameter("projectId", projectId);

            ProjectFilesResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }


        /// <summary>
        /// Read a file in a project
        /// </summary>
        /// <param name="projectId">Project id to which the file belongs</param>
        /// <param name="fileName">The name of the file</param>
        /// <returns><see cref="ProjectFilesResponse"/> that includes the file information</returns>

        public ProjectFilesResponse ReadProjectFile(int projectId, string fileName)
        {
            var request = new RestRequest("files/read", Method.GET);

            request.AddParameter("projectId", projectId);
            request.AddParameter("name", fileName);

            ProjectFilesResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Delete a file in a project
        /// </summary>
        /// <param name="projectId">Project id to which the file belongs</param>
        /// <param name="name">The name of the file that should be deleted</param>
        /// <returns><see cref="ProjectFilesResponse"/> that includes the information about all files in the project</returns>

        public RestResponse DeleteProjectFile(int projectId, string name)
        {
            var request = new RestRequest("files/delete", Method.POST);

            request.AddParameter("projectId", projectId);
            request.AddParameter("name", name);

            RestResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Delete a project
        /// </summary>
        /// <param name="projectId">Project id we own and wish to delete</param>
        /// <returns>RestResponse indicating success</returns>

        public RestResponse DeleteProject(int projectId)
        {
            var request = new RestRequest("projects/delete", Method.POST);
            request.RequestFormat = DataFormat.Json;
            request.AddParameter("application/json", JsonConvert.SerializeObject(new
            {
                projectId = projectId
            }), ParameterType.RequestBody);
            RestResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Create a new compile job request for this project id.
        /// </summary>
        /// <param name="projectId">Project id we wish to compile.</param>
        /// <returns>Compile object result</returns>

        public Compile CreateCompile(int projectId)
        {
            var request = new RestRequest("compile/create", Method.POST);
            request.AddParameter("application/json", JsonConvert.SerializeObject(new
            {
                projectId = projectId
            }), ParameterType.RequestBody);
            Compile result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Read a compile packet job result.
        /// </summary>
        /// <param name="projectId">Project id we sent for compile</param>
        /// <param name="compileId">Compile id return from the creation request</param>
        /// <returns><see cref="Compile"/></returns>

        public Compile ReadCompile(int projectId, string compileId)
        {
            var request = new RestRequest("compile/read", Method.GET);
            request.RequestFormat = DataFormat.Json;
            request.AddParameter("projectId", projectId);
            request.AddParameter("compileId", compileId);
            Compile result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }


        /// <summary>
        /// Create a new backtest request and get the id.
        /// </summary>
        /// <param name="projectId">Id for the project to backtest</param>
        /// <param name="compileId">Compile id for the project</param>
        /// <param name="backtestName">Name for the new backtest</param>
        /// <returns><see cref="Backtest"/>t</returns>

        public Backtest CreateBacktest(int projectId, string compileId, string backtestName)
        {
            var request = new RestRequest("backtests/create", Method.POST);
            request.AddParameter("projectId", projectId);
            request.AddParameter("compileId", compileId);
            request.AddParameter("backtestName", backtestName);
            Backtest result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Read out a backtest in the project id specified.
        /// </summary>
        /// <param name="projectId">Project id to read</param>
        /// <param name="backtestId">Specific backtest id to read</param>
        /// <returns><see cref="Backtest"/></returns>

        public Backtest ReadBacktest(int projectId, string backtestId)
        {
            var request = new RestRequest("backtests/read", Method.GET);
            request.AddParameter("backtestId", backtestId);
            request.AddParameter("projectId", projectId);
            Backtest result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Update a backtest name
        /// </summary>
        /// <param name="projectId">Project for the backtest we want to update</param>
        /// <param name="backtestId">Backtest id we want to update</param>
        /// <param name="name">Name we'd like to assign to the backtest</param>
        /// <param name="note">Note attached to the backtest</param>
        /// <returns><see cref="RestResponse"/></returns>

        public RestResponse UpdateBacktest(int projectId, string backtestId, string name = "", string note = "")
        {
            var request = new RestRequest("backtests/update", Method.POST);
            request.RequestFormat = DataFormat.Json;
            request.AddParameter("application/json", JsonConvert.SerializeObject(new
            {
                projectId = projectId,
                backtestId = backtestId,
                name = name,
                note = note
            }), ParameterType.RequestBody);
            Backtest result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// List all the backtests for a project
        /// </summary>
        /// <param name="projectId">Project id we'd like to get a list of backtest for</param>
        /// <returns><see cref="BacktestList"/></returns>

        public BacktestList ListBacktests(int projectId)
        {
            var request = new RestRequest("backtests/read", Method.GET);
            request.AddParameter("projectId", projectId);
            BacktestList result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Delete a backtest from the specified project and backtestId.
        /// </summary>
        /// <param name="projectId">Project for the backtest we want to delete</param>
        /// <param name="backtestId">Backtest id we want to delete</param>
        /// <returns><see cref="RestResponse"/></returns>

        public RestResponse DeleteBacktest(int projectId, string backtestId)
        {
            var request = new RestRequest("backtests/delete", Method.POST);
            request.RequestFormat = DataFormat.Json;
            request.AddParameter("backtestId", backtestId);
            request.AddParameter("projectId", projectId);
            RestResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Create a live algorithm.
        /// </summary>
        /// <param name="projectId">Id of the project on QuantConnect</param>
        /// <param name="compileId">Id of the compilation on QuantConnect</param>
        /// <param name="serverType">Type of server instance that will run the algorithm</param>
        /// <param name="baseLiveAlgorithmSettings">Brokerage specific <see cref="BaseLiveAlgorithmSettings">BaseLiveAlgorithmSettings</see>.</param>
        /// <param name="versionId">The version of the Lean used to run the algorithm.
        ///                         -1 is master, however, sometimes this can create problems with live deployments.
        ///                         If you experience problems using, try specifying the version of Lean you would like to use.</param>
        /// <returns>Information regarding the new algorithm <see cref="LiveAlgorithm"/></returns>

        public LiveAlgorithm CreateLiveAlgorithm(int projectId,
                                                 string compileId,
                                                 string serverType,
                                                 BaseLiveAlgorithmSettings baseLiveAlgorithmSettings,
                                                 string versionId = "-1")
        {
            var request = new RestRequest("live/create", Method.POST);
            request.AddHeader("Accept", "application/json");
            request.Parameters.Clear();
            var body = JsonConvert.SerializeObject(new LiveAlgorithmApiSettingsWrapper(projectId,
                                                                                       compileId,
                                                                                       serverType,
                                                                                       baseLiveAlgorithmSettings,
                                                                                       versionId));
            request.AddParameter("application/json", body, ParameterType.RequestBody);

            LiveAlgorithm result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Get a list of live running algorithms for user
        /// </summary>
        /// <param name="status">Filter the statuses of the algorithms returned from the api</param>
        /// <param name="startTime">Earliest launched time of the algorithms returned by the Api</param>
        /// <param name="endTime">Latest launched time of the algorithms returned by the Api</param>
        /// <returns><see cref="LiveList"/></returns>

        public LiveList ListLiveAlgorithms(AlgorithmStatus? status = null,
                                           DateTime? startTime = null,
                                           DateTime? endTime = null)
        {
            // Only the following statuses are supported by the Api
            if (status.HasValue                        &&
                status != AlgorithmStatus.Running      &&
                status != AlgorithmStatus.RuntimeError &&
                status != AlgorithmStatus.Stopped      &&
                status != AlgorithmStatus.Liquidated)
            {
                throw new ArgumentException(
                    "The Api only supports Algorithm Statuses of Running, Stopped, RuntimeError and Liquidated");
            }

            var request = new RestRequest("live/read", Method.GET);

            if (status.HasValue)
            {
                request.AddParameter("status", status.ToString());
            }

            var epochStartTime = startTime == null ? 0 : Time.DateTimeToUnixTimeStamp(startTime.Value);
            var epochEndTime   = endTime   == null ? Time.DateTimeToUnixTimeStamp(DateTime.UtcNow) : Time.DateTimeToUnixTimeStamp(endTime.Value);

            request.AddParameter("start", epochStartTime);
            request.AddParameter("end", epochEndTime);

            LiveList result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Read out a live algorithm in the project id specified.
        /// </summary>
        /// <param name="projectId">Project id to read</param>
        /// <param name="deployId">Specific instance id to read</param>
        /// <returns><see cref="LiveAlgorithmResults"/></returns>

        public LiveAlgorithmResults ReadLiveAlgorithm(int projectId, string deployId)
        {
            var request = new RestRequest("live/read", Method.GET);
            request.AddParameter("projectId", projectId);
            request.AddParameter("deployId", deployId);
            LiveAlgorithmResults result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Liquidate a live algorithm from the specified project and deployId.
        /// </summary>
        /// <param name="projectId">Project for the live instance we want to stop</param>
        /// <returns><see cref="RestResponse"/></returns>

        public RestResponse LiquidateLiveAlgorithm(int projectId)
        {
            var request = new RestRequest("live/update/liquidate", Method.POST);
            request.RequestFormat = DataFormat.Json;
            request.AddParameter("projectId", projectId);
            RestResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Stop a live algorithm from the specified project and deployId.
        /// </summary>
        /// <param name="projectId">Project for the live instance we want to stop</param>
        /// <returns><see cref="RestResponse"/></returns>

        public RestResponse StopLiveAlgorithm(int projectId)
        {
            var request = new RestRequest("live/update/stop", Method.POST);
            request.RequestFormat = DataFormat.Json;
            request.AddParameter("projectId", projectId);
            RestResponse result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Gets the logs of a specific live algorithm
        /// </summary>
        /// <param name="projectId">Project Id of the live running algorithm</param>
        /// <param name="algorithmId">Algorithm Id of the live running algorithm</param>
        /// <param name="startTime">No logs will be returned before this time</param>
        /// <param name="endTime">No logs will be returned after this time</param>
        /// <returns><see cref="LiveLog"/> List of strings that represent the logs of the algorithm</returns>

        public LiveLog ReadLiveLogs(int projectId, string algorithmId, DateTime? startTime = null, DateTime? endTime = null)
        {
            var epochStartTime = startTime == null ? 0 : Time.DateTimeToUnixTimeStamp(startTime.Value);
            var epochEndTime   = endTime   == null ? Time.DateTimeToUnixTimeStamp(DateTime.UtcNow) : Time.DateTimeToUnixTimeStamp(endTime.Value);

            var request = new RestRequest("live/read/log", Method.GET);

            request.AddParameter("format", "json");
            request.AddParameter("projectId", projectId);
            request.AddParameter("algorithmId", algorithmId);
            request.AddParameter("start", epochStartTime);
            request.AddParameter("end", epochEndTime);

            LiveLog result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Gets the link to the downloadable data.
        /// </summary>
        /// <param name="symbol">Symbol of security of which data will be requested.</param>
        /// <param name="resolution">Resolution of data requested.</param>
        /// <param name="date">Date of the data requested.</param>
        /// <returns><see cref="Link"/> to the downloadable data.</returns>

        public Link ReadDataLink(Symbol symbol, Resolution resolution, DateTime date)
        {
            var request = new RestRequest("data/read", Method.GET);

            request.AddParameter("format", "link");
            request.AddParameter("ticker", symbol.Value.ToLower());
            request.AddParameter("type", symbol.ID.SecurityType.ToLower());
            request.AddParameter("market", symbol.ID.Market);
            request.AddParameter("resolution", resolution);
            request.AddParameter("date", date.ToString("yyyyMMdd"));

            Link result;
            ApiConnection.TryRequest(request, out result);
            return result;
        }

        /// <summary>
        /// Read out the report of a backtest in the project id specified.
        /// </summary>
        /// <param name="projectId">Project id to read</param>
        /// <param name="backtestId">Specific backtest id to read</param>
        /// <returns><see cref="BacktestReport"/></returns>
        public BacktestReport ReadBacktestReport(int projectId, string backtestId)
        {
            var request = new RestRequest("backtests/read/report", Method.POST);
            request.AddParameter("backtestId", backtestId);
            request.AddParameter("projectId", projectId);

            BacktestReport report;
            ApiConnection.TryRequest(request, out report);
            return report;
        }

        /// <summary>
        /// Will get the prices for requested symbols
        /// </summary>
        /// <param name="symbols">Symbols for which the price is requested</param>
        /// <returns><see cref="Prices"/></returns>
        public PricesList ReadPrices(IEnumerable<Symbol> symbols)
        {
            var symbolByID = new Dictionary<string, Symbol>();
            foreach (var symbol in symbols)
            {
                symbolByID[symbol.ID.ToString()] = symbol;
            }

            var request = new RestRequest("prices", Method.POST);
            var symbolsToRequest = string.Join(",", symbolByID.Keys);
            request.AddParameter("symbols", symbolsToRequest);

            PricesList pricesList;
            if (ApiConnection.TryRequest(request, out pricesList))
            {
                foreach (var price in pricesList.Prices)
                {
                    price.Symbol = symbolByID[price.SymbolID];
                }
            }

            return pricesList;
        }

        /// <summary>
        /// Method to download and save the data purchased through QuantConnect
        /// </summary>
        /// <param name="symbol">Symbol of security of which data will be requested.</param>
        /// <param name="resolution">Resolution of data requested.</param>
        /// <param name="date">Date of the data requested.</param>
        /// <returns>A <see cref="bool"/> indicating whether the data was successfully downloaded or not.</returns>

        public bool DownloadData(Symbol symbol, Resolution resolution, DateTime date)
        {
            // Get a link to the data
            var link = ReadDataLink(symbol, resolution, date);

            // Make sure the link was successfully retrieved
            if (!link.Success)
                return false;

            // Save csv in same folder heirarchy as Lean
            var path = Path.Combine(_dataFolder, LeanData.GenerateRelativeZipFilePath(symbol.Value, symbol.ID.SecurityType, symbol.ID.Market, date, resolution));

            // Make sure the directory exist before writing
            (new FileInfo(path)).Directory.Create();

            // Download and save the data
            var uri     = new Uri(link.DataLink);
            var client  = new RestClient(uri.Scheme + "://" + uri.Host);
            var request = new RestRequest(uri.PathAndQuery, Method.GET);
            client.DownloadData(request).SaveAs(path);

            return true;
        }

        /// <summary>
        /// Get the algorithm status from the user with this algorithm id.
        /// </summary>
        /// <param name="algorithmId">String algorithm id we're searching for.</param>
        /// <returns>Algorithm status enum</returns>

        public virtual AlgorithmControl GetAlgorithmStatus(string algorithmId)
        {
            return new AlgorithmControl()
            {
                ChartSubscription = "*"
            };
        }

        /// <summary>
        /// Algorithm passes back its current status to the UX.
        /// </summary>
        /// <param name="status">Status of the current algorithm</param>
        /// <param name="algorithmId">String algorithm id we're setting.</param>
        /// <param name="message">Message for the algorithm status event</param>
        /// <returns>Algorithm status enum</returns>

        public virtual void SetAlgorithmStatus(string algorithmId, AlgorithmStatus status, string message = "")
        {
            //
        }

        /// <summary>
        /// Send the statistics to storage for performance tracking.
        /// </summary>
        /// <param name="algorithmId">Identifier for algorithm</param>
        /// <param name="unrealized">Unrealized gainloss</param>
        /// <param name="fees">Total fees</param>
        /// <param name="netProfit">Net profi</param>
        /// <param name="holdings">Algorithm holdings</param>
        /// <param name="equity">Total equity</param>
        /// <param name="netReturn">Net return for the deployment</param>
        /// <param name="volume">Volume traded</param>
        /// <param name="trades">Total trades since inception</param>
        /// <param name="sharpe">Sharpe ratio since inception</param>

        public virtual void SendStatistics(string algorithmId, decimal unrealized, decimal fees, decimal netProfit, decimal holdings, decimal equity, decimal netReturn, decimal volume, int trades, double sharpe)
        {
            //
        }

        /// <summary>
        /// Send an email to the user associated with the specified algorithm id
        /// </summary>
        /// <param name="algorithmId">The algorithm id</param>
        /// <param name="subject">The email subject</param>
        /// <param name="body">The email message body</param>

        public virtual void SendUserEmail(string algorithmId, string subject, string body)
        {
            //
        }

        /// <summary>
        /// Gets all split events between the specified times. From and to are inclusive.
        /// </summary>
        /// <param name="from">The first date to get splits for</param>
        /// <param name="to">The last date to get splits for</param>
        /// <returns>A list of all splits in the specified range</returns>
        public List<Data.Market.Split> GetSplits(DateTime from, DateTime to)
        {
            var request = new RestRequest("splits", Method.POST);
            request.AddParameter("from", from.ToString("yyyyMMdd"));
            request.AddParameter("to", from.ToString("yyyyMMdd"));

            SplitList splits;
            ApiConnection.TryRequest(request, out splits);

            return splits.Splits.Select(s => new Data.Market.Split(
                s.Symbol,
                s.Date,
                s.ReferencePrice,
                s.SplitFactor,
                SplitType.SplitOccurred)
            ).ToList();
        }

        /// <summary>
        /// Gets all dividend events between the specified times. From and to are inclusive.
        /// </summary>
        /// <param name="from">The first date to get dividend for</param>
        /// <param name="to">The last date to get dividend for</param>
        /// <returns>A list of all dividend in the specified range</returns>
        public List<Data.Market.Dividend> GetDividends(DateTime from, DateTime to)
        {
            var request = new RestRequest("dividends", Method.POST);
            request.AddParameter("from", from.ToString("yyyyMMdd"));
            request.AddParameter("to", from.ToString("yyyyMMdd"));

            DividendList dividends;
            ApiConnection.TryRequest(request, out dividends);

            return dividends.Dividends.Select(s => new Data.Market.Dividend(
                s.Symbol,
                s.Date,
                s.DividendPerShare,
                s.ReferencePrice)
            ).ToList();
        }


        /// <summary>
        /// Local implementation for downloading data to algorithms
        /// </summary>
        /// <param name="address">URL to download</param>
        /// <param name="headers">KVP headers</param>
        /// <param name="userName">Username for basic authentication</param>
        /// <param name="password">Password for basic authentication</param>
        /// <returns></returns>
        public virtual string Download(string address, IEnumerable<KeyValuePair<string, string>> headers, string userName, string password)
        {
            using (var client = new WebClient { Credentials = new NetworkCredential(userName, password) })
            {
                client.Proxy = WebRequest.GetSystemWebProxy();
                if (headers != null)
                {
                    foreach (var header in headers)
                    {
                        client.Headers.Add(header.Key, header.Value);
                    }
                }
                // Add a user agent header in case the requested URI contains a query.
                client.Headers.Add("user-agent", "QCAlgorithm.Download(): User Agent Header");

                return client.DownloadString(address);
            }
        }

        /// <summary>
        /// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
        /// </summary>
        /// <filterpriority>2</filterpriority>

        public virtual void Dispose()
        {
            // NOP
        }


        /// <summary>
        /// Generate a secure hash for the authorization headers.
        /// </summary>
        /// <returns>Time based hash of user token and timestamp.</returns>
        public static string CreateSecureHash(int timestamp, string token)
        {
            // Create a new hash using current UTC timestamp.
            // Hash must be generated fresh each time.
            var data = string.Format("{0}:{1}", token, timestamp);
            return data.ToSHA256();
        }
    }
}