bmello4688
1d8243ecac
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Add tick type to data downloader get (price data) call in order for api's with rate limits to handle not making an api call at all. * Added DTO object to pass into data downloader get * Added missing header for new file * Address review. Minor tweaks Co-authored-by: Martin-Molinero <martin@quantconnect.com>
87 lines
3.3 KiB
C#
87 lines
3.3 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 QuantConnect.Data;
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using QuantConnect.Securities;
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using QuantConnect.Util;
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namespace QuantConnect.ToolBox.Polygon
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{
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/// <summary>
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/// Data downloader class for pulling data from Polygon.io
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/// </summary>
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public class PolygonDataDownloader : IDataDownloader, IDisposable
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{
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private readonly PolygonDataQueueHandler _historyProvider = new PolygonDataQueueHandler(false);
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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="dataDownloaderGetParameters">model class for passing in parameters for historical data</param>
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/// <returns>Enumerable of base data for this symbol</returns>
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public IEnumerable<BaseData> Get(DataDownloaderGetParameters dataDownloaderGetParameters)
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{
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var symbol = dataDownloaderGetParameters.Symbol;
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var resolution = dataDownloaderGetParameters.Resolution;
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var startUtc = dataDownloaderGetParameters.StartUtc;
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var endUtc = dataDownloaderGetParameters.EndUtc;
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var tickType = dataDownloaderGetParameters.TickType;
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if (symbol.SecurityType != SecurityType.Equity &&
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symbol.SecurityType != SecurityType.Forex &&
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symbol.SecurityType != SecurityType.Crypto)
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{
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throw new NotSupportedException($"Security type not supported: {symbol.SecurityType}");
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}
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if (endUtc < startUtc)
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{
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throw new ArgumentException("The end date must be greater or equal than the start date.");
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}
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var dataType = LeanData.GetDataType(resolution, tickType);
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var historyRequest =
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new HistoryRequest(startUtc,
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endUtc,
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dataType,
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symbol,
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resolution,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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TimeZones.NewYork,
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resolution,
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true,
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false,
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DataNormalizationMode.Adjusted,
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tickType);
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foreach (var baseData in _historyProvider.GetHistory(historyRequest))
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{
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yield return baseData;
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}
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}
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/// <summary>
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/// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
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/// </summary>
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public void Dispose()
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{
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_historyProvider.DisposeSafely();
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}
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}
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}
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