Stefano Raggi
dbaf109c78
- Renamed events in SubscriptionDataReader and IHistoryProvider - Added HistoryProvider base class with events and event invocators
71 lines
2.8 KiB
C#
71 lines
2.8 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 System.Collections.Generic;
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using System.ComponentModel.Composition;
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using NodaTime;
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using QuantConnect.Data;
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using HistoryRequest = QuantConnect.Data.HistoryRequest;
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namespace QuantConnect.Interfaces
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{
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/// <summary>
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/// Provides historical data to an algorithm at runtime
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/// </summary>
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[InheritedExport(typeof(IHistoryProvider))]
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public interface IHistoryProvider
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{
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/// <summary>
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/// Event fired when an invalid configuration has been detected
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/// </summary>
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event EventHandler<InvalidConfigurationDetectedEventArgs> InvalidConfigurationDetected;
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/// <summary>
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/// Event fired when the numerical precision in the factor file has been limited
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/// </summary>
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event EventHandler<NumericalPrecisionLimitedEventArgs> NumericalPrecisionLimited;
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/// <summary>
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/// Event fired when there was an error downloading a remote file
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/// </summary>
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event EventHandler<DownloadFailedEventArgs> DownloadFailed;
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/// <summary>
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/// Event fired when there was an error reading the data
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/// </summary>
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event EventHandler<ReaderErrorDetectedEventArgs> ReaderErrorDetected;
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/// <summary>
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/// Gets the total number of data points emitted by this history provider
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/// </summary>
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int DataPointCount { get; }
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/// <summary>
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/// Initializes this history provider to work for the specified job
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/// </summary>
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/// <param name="parameters">The initialization parameters</param>
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void Initialize(HistoryProviderInitializeParameters parameters);
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/// <summary>
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/// Gets the history for the requested securities
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/// </summary>
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/// <param name="requests">The historical data requests</param>
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/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
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/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
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IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone);
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}
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}
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