chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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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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*/
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using System;
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using NodaTime;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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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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/// Represents a request for historical data
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/// </summary>
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public class HistoryRequest : BaseDataRequest
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{
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private Resolution? _fillForwardResolution;
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private bool _includeExtendedMarketHours;
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/// <summary>
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/// Gets the symbol to request data for
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/// </summary>
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public Symbol Symbol { get; set; }
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/// <summary>
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/// Gets the requested data resolution
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/// </summary>
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public Resolution Resolution { get; set; }
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/// <summary>
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/// Gets the requested fill forward resolution, set to null for no fill forward behavior.
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/// Will always return null when Resolution is set to Tick.
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/// </summary>
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public Resolution? FillForwardResolution
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{
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get
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{
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return Resolution == Resolution.Tick ? null : _fillForwardResolution;
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}
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set
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{
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_fillForwardResolution = value;
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}
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}
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/// <summary>
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/// Gets whether or not to include extended market hours data, set to false for only normal market hours
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/// </summary>
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public bool IncludeExtendedMarketHours
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{
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get
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{
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return _includeExtendedMarketHours;
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}
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set
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{
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_includeExtendedMarketHours = value && LeanData.SupportsExtendedMarketHours(DataType);
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}
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}
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/// <summary>
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/// Gets the time zone of the time stamps on the raw input data
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/// </summary>
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public DateTimeZone DataTimeZone { get; set; }
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/// <summary>
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/// TickType of the history request
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/// </summary>
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public TickType TickType { get; set; }
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/// <summary>
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/// Gets the normalization mode used for this subscription
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/// </summary>
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public DataNormalizationMode DataNormalizationMode { get; set; }
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/// <summary>
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/// Gets the data mapping mode used for this subscription
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/// </summary>
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public DataMappingMode DataMappingMode { get; set; }
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/// <summary>
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/// The continuous contract desired offset from the current front month.
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/// For example, 0 (default) will use the front month, 1 will use the back month contract
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/// </summary>
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public uint ContractDepthOffset { get; set; }
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/// <summary>
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/// Gets the tradable days specified by this request, in the security's data time zone
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/// </summary>
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public override IEnumerable<DateTime> TradableDaysInDataTimeZone => Time.EachTradeableDayInTimeZone(ExchangeHours,
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StartTimeLocal,
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EndTimeLocal,
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DataTimeZone,
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IncludeExtendedMarketHours);
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/// <summary>
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/// Initializes a new instance of the <see cref="HistoryRequest"/> class from the specified parameters
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/// </summary>
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/// <param name="startTimeUtc">The start time for this request,</param>
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/// <param name="endTimeUtc">The end time for this request</param>
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/// <param name="dataType">The data type of the output data</param>
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/// <param name="symbol">The symbol to request data for</param>
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/// <param name="resolution">The requested data resolution</param>
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/// <param name="exchangeHours">The exchange hours used in fill forward processing</param>
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/// <param name="dataTimeZone">The time zone of the data</param>
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/// <param name="fillForwardResolution">The requested fill forward resolution for this request</param>
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/// <param name="includeExtendedMarketHours">True to include data from pre/post market hours</param>
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/// <param name="isCustomData">True for custom user data, false for normal QC data</param>
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/// <param name="dataNormalizationMode">Specifies normalization mode used for this subscription</param>
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/// <param name="tickType">The tick type used to created the <see cref="SubscriptionDataConfig"/> for the retrieval of history data</param>
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/// <param name="dataMappingMode">The contract mapping mode to use for the security</param>
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/// <param name="contractDepthOffset">The continuous contract desired offset from the current front month.
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/// For example, 0 will use the front month, 1 will use the back month contract</param>
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public HistoryRequest(DateTime startTimeUtc,
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DateTime endTimeUtc,
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Type dataType,
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Symbol symbol,
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Resolution resolution,
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SecurityExchangeHours exchangeHours,
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DateTimeZone dataTimeZone,
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Resolution? fillForwardResolution,
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bool includeExtendedMarketHours,
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bool isCustomData,
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DataNormalizationMode dataNormalizationMode,
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TickType tickType,
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DataMappingMode dataMappingMode = DataMappingMode.OpenInterest,
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uint contractDepthOffset = 0)
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: base(startTimeUtc, endTimeUtc, exchangeHours, tickType, isCustomData, dataType)
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{
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Symbol = symbol;
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DataTimeZone = dataTimeZone;
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Resolution = resolution;
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FillForwardResolution = fillForwardResolution;
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IncludeExtendedMarketHours = includeExtendedMarketHours;
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DataNormalizationMode = dataNormalizationMode;
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TickType = tickType;
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DataMappingMode = dataMappingMode;
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ContractDepthOffset = contractDepthOffset;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="HistoryRequest"/> class from the specified config and exchange hours
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/// </summary>
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/// <param name="config">The subscription data config used to initialize this request</param>
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/// <param name="hours">The exchange hours used for fill forward processing</param>
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/// <param name="startTimeUtc">The start time for this request,</param>
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/// <param name="endTimeUtc">The end time for this request</param>
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public HistoryRequest(SubscriptionDataConfig config, SecurityExchangeHours hours, DateTime startTimeUtc, DateTime endTimeUtc)
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: this(startTimeUtc, endTimeUtc, config.Type, config.Symbol, config.Resolution,
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hours, config.DataTimeZone, config.FillDataForward ? config.Resolution : (Resolution?)null,
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config.ExtendedMarketHours, config.IsCustomData, config.DataNormalizationMode, config.TickType, config.DataMappingMode, config.ContractDepthOffset)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="HistoryRequest"/> class with new Symbol, StartTimeUtc, EndTimeUtc
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/// </summary>
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/// <param name="request">Represents a request for historical data</param>
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/// <param name="newStartTimeUtc">The start time for this request</param>
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/// <param name="newEndTimeUtc">The end time for this request</param>
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public HistoryRequest(HistoryRequest request, Symbol newSymbol, DateTime newStartTimeUtc, DateTime newEndTimeUtc)
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: this (newStartTimeUtc, newEndTimeUtc, request.DataType, newSymbol, request.Resolution, request.ExchangeHours, request.DataTimeZone, request.FillForwardResolution,
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request.IncludeExtendedMarketHours, request.IsCustomData, request.DataNormalizationMode, request.TickType, request.DataMappingMode, request.ContractDepthOffset)
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{ }
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}
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}
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