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>
84 lines
3.2 KiB
C#
84 lines
3.2 KiB
C#
/*
|
|
* 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 QuantConnect.Data;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Securities;
|
|
using System;
|
|
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.ToolBox.IEX
|
|
{
|
|
public class IEXDataDownloader : IDataDownloader, IDisposable
|
|
{
|
|
private readonly IEXDataQueueHandler _handler;
|
|
|
|
public IEXDataDownloader()
|
|
{
|
|
_handler = new IEXDataQueueHandler();
|
|
}
|
|
|
|
public void Dispose()
|
|
{
|
|
_handler.Dispose();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
|
|
/// </summary>
|
|
/// <param name="dataDownloaderGetParameters">model class for passing in parameters for historical data</param>
|
|
/// <returns>Enumerable of base data for this symbol</returns>
|
|
public IEnumerable<BaseData> Get(DataDownloaderGetParameters dataDownloaderGetParameters)
|
|
{
|
|
var symbol = dataDownloaderGetParameters.Symbol;
|
|
var resolution = dataDownloaderGetParameters.Resolution;
|
|
var startUtc = dataDownloaderGetParameters.StartUtc;
|
|
var endUtc = dataDownloaderGetParameters.EndUtc;
|
|
var tickType = dataDownloaderGetParameters.TickType;
|
|
|
|
if (tickType != TickType.Trade)
|
|
{
|
|
yield break;
|
|
}
|
|
|
|
if (!(resolution == Resolution.Daily || resolution == Resolution.Minute))
|
|
throw new NotSupportedException("Resolution not available: " + resolution);
|
|
|
|
if (endUtc < startUtc)
|
|
throw new ArgumentException("The end date must be greater or equal than the start date.");
|
|
|
|
var historyRequests = new[] {
|
|
new HistoryRequest(startUtc,
|
|
endUtc,
|
|
typeof(TradeBar),
|
|
symbol,
|
|
resolution,
|
|
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
|
|
TimeZones.NewYork,
|
|
resolution,
|
|
true,
|
|
false,
|
|
DataNormalizationMode.Raw,
|
|
TickType.Trade)
|
|
};
|
|
|
|
foreach (var slice in _handler.GetHistory(historyRequests, TimeZones.EasternStandard))
|
|
{
|
|
yield return slice[symbol];
|
|
}
|
|
}
|
|
}
|
|
}
|