Jack Simonson
81 lines
3.2 KiB
C#
81 lines
3.2 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 NodaTime;
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using QuantConnect.Brokerages.InteractiveBrokers;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Logging;
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using QuantConnect.Securities;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.ToolBox.IEX
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{
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public class IEXDataDownloader : IDataDownloader, IDisposable
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{
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private IEXDataQueueHandler _handler;
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private readonly string _apiKey;
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public IEXDataDownloader(string apiKey)
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{
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_handler = new IEXDataQueueHandler(false, apiKey);
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_apiKey = apiKey;
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}
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public void Dispose()
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{
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_handler.Dispose();
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}
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/// <summary>
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/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
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/// </summary>
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/// <param name="symbol">Symbol for the data we're looking for.</param>
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/// <param name="resolution">Resolution of the data request</param>
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/// <param name="startUtc">Start time of the data in UTC</param>
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/// <param name="endUtc">End time of the data in UTC</param>
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/// <returns>Enumerable of base data for this symbol</returns>
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public IEnumerable<BaseData> Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc)
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{
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if (!(resolution == Resolution.Daily || resolution == Resolution.Minute))
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throw new NotSupportedException("Resolution not available: " + resolution);
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if (endUtc < startUtc)
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throw new ArgumentException("The end date must be greater or equal than the start date.");
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var historyRequests = new[] {
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new HistoryRequest(startUtc,
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endUtc,
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typeof(QuoteBar),
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symbol,
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resolution,
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SecurityExchangeHours.AlwaysOpen(TimeZones.EasternStandard),
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DateTimeZone.Utc,
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resolution,
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false,
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false,
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DataNormalizationMode.Adjusted,
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TickType.Quote)
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};
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foreach (var slice in _handler.GetHistory(historyRequests, TimeZones.EasternStandard))
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{
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yield return slice[symbol];
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}
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}
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}
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}
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