Martin Molinero
541b4e3a00
- Adding new `HistoryRequestFactory` class. Will provide some methods to facilitate the creation of new `HistoryRequests`. Moving `CreateHistoryRequest` and `GetStartTimeAlgoTz` into the new `HistoryRequestFactory`. And consolidating `GetStartTimeAlgoTz` and `GetStartTimeAlgoTzForSecurity`.
101 lines
3.9 KiB
C#
101 lines
3.9 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using QuantConnect.Util;
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namespace QuantConnect.Data
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{
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/// <summary>
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/// Helper class used to create new <see cref="HistoryRequest"/>
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/// </summary>
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public class HistoryRequestFactory
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{
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private readonly IAlgorithm _algorithm;
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="algorithm">The algorithm instance to use</param>
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public HistoryRequestFactory(IAlgorithm algorithm)
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{
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_algorithm = algorithm;
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}
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/// <summary>
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/// Creates a new history request
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/// </summary>
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/// <param name="subscription">The config </param>
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/// <param name="startAlgoTz">History request start time in algorithm time zone</param>
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/// <param name="endAlgoTz">History request end time in algorithm time zone</param>
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/// <param name="exchangeHours">Security exchange hours</param>
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/// <param name="resolution">The resolution to use. If null will use <see cref="SubscriptionDataConfig.Resolution"/></param>
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/// <returns>The new <see cref="HistoryRequest"/></returns>
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public HistoryRequest CreateHistoryRequest(SubscriptionDataConfig subscription,
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DateTime startAlgoTz,
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DateTime endAlgoTz,
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SecurityExchangeHours exchangeHours,
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Resolution? resolution)
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{
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resolution = resolution ?? subscription.Resolution;
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// find the correct data type for the history request
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var dataType = subscription.IsCustomData ? subscription.Type : LeanData.GetDataType(resolution.Value, subscription.TickType);
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var request = new HistoryRequest(subscription,
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exchangeHours,
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startAlgoTz.ConvertToUtc(_algorithm.TimeZone),
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endAlgoTz.ConvertToUtc(_algorithm.TimeZone))
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{
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DataType = dataType,
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Resolution = resolution.Value,
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FillForwardResolution = subscription.FillDataForward ? resolution : null,
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TickType = subscription.TickType
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};
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return request;
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}
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/// <summary>
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/// Gets the start time required for the specified bar count in terms of the algorithm's time zone
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/// </summary>
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public DateTime GetStartTimeAlgoTz(
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Symbol symbol,
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int periods,
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Resolution resolution,
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SecurityExchangeHours exchange)
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{
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var isExtendedMarketHours = _algorithm.SubscriptionManager
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.SubscriptionDataConfigService
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.GetSubscriptionDataConfigs(symbol)
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.IsExtendedMarketHours();
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var timeSpan = resolution.ToTimeSpan();
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// make this a minimum of one second
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timeSpan = timeSpan < Time.OneSecond ? Time.OneSecond : timeSpan;
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var localStartTime = Time.GetStartTimeForTradeBars(
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exchange,
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_algorithm.UtcTime.ConvertFromUtc(exchange.TimeZone),
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timeSpan,
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periods,
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isExtendedMarketHours);
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return localStartTime.ConvertTo(exchange.TimeZone, _algorithm.TimeZone);
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}
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}
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} |