chore: import upstream snapshot with attribution
This commit is contained in:
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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using System;
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using NodaTime;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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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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/// Helper class used to create new <see cref="HistoryRequest"/>
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/// </summary>
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public class HistoryRequestFactory
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{
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private readonly IAlgorithm _algorithm;
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/// <summary>
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/// Creates a new instance
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/// </summary>
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/// <param name="algorithm">The algorithm instance to use</param>
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public HistoryRequestFactory(IAlgorithm algorithm)
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{
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_algorithm = algorithm;
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}
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/// <summary>
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/// Creates a new history request
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/// </summary>
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/// <param name="subscription">The config </param>
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/// <param name="startAlgoTz">History request start time in algorithm time zone</param>
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/// <param name="endAlgoTz">History request end time in algorithm time zone</param>
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/// <param name="exchangeHours">Security exchange hours</param>
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/// <param name="resolution">The resolution to use. If null will use <see cref="SubscriptionDataConfig.Resolution"/></param>
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/// <param name="fillForward">True to fill forward missing data, false otherwise</param>
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/// <param name="extendedMarketHours">True to include extended market hours data, false otherwise</param>
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/// <param name="dataMappingMode">The contract mapping mode to use for the security history request</param>
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/// <param name="dataNormalizationMode">The price scaling mode to use for the securities history</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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/// <returns>The new <see cref="HistoryRequest"/></returns>
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public HistoryRequest CreateHistoryRequest(SubscriptionDataConfig subscription,
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DateTime startAlgoTz,
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DateTime endAlgoTz,
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SecurityExchangeHours exchangeHours,
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Resolution? resolution,
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bool? fillForward = null,
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bool? extendedMarketHours = null,
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DataMappingMode? dataMappingMode = null,
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DataNormalizationMode? dataNormalizationMode = null,
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int? contractDepthOffset = null)
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{
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resolution ??= subscription.Resolution;
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var dataType = subscription.Type;
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// if we change resolution the data type can change, for example subscription being Tick type and resolution daily
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// data type here won't be Tick anymore, but TradeBar/QuoteBar
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if (resolution.Value != subscription.Resolution && LeanData.IsCommonLeanDataType(dataType))
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{
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dataType = LeanData.GetDataType(resolution.Value, subscription.TickType);
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}
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var fillForwardResolution = subscription.FillDataForward ? resolution : null;
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if (fillForward != null)
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{
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fillForwardResolution = fillForward.Value ? resolution : null;
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}
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var request = new HistoryRequest(subscription,
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exchangeHours,
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startAlgoTz.ConvertToUtc(_algorithm.TimeZone),
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endAlgoTz.ConvertToUtc(_algorithm.TimeZone))
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{
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DataType = dataType,
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Resolution = resolution.Value,
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FillForwardResolution = fillForwardResolution,
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TickType = subscription.TickType
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};
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if (extendedMarketHours != null)
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{
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request.IncludeExtendedMarketHours = extendedMarketHours.Value;
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}
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if (dataMappingMode != null)
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{
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request.DataMappingMode = dataMappingMode.Value;
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}
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if (dataNormalizationMode != null)
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{
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request.DataNormalizationMode = dataNormalizationMode.Value;
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}
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if (contractDepthOffset != null)
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{
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request.ContractDepthOffset = (uint)Math.Abs(contractDepthOffset.Value);
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}
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return request;
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}
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/// <summary>
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/// Gets the start time required for the specified bar count in terms of the algorithm's time zone
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/// </summary>
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/// <param name="symbol">The symbol to select proper <see cref="SubscriptionDataConfig"/> config</param>
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/// <param name="periods">The number of bars requested</param>
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/// <param name="resolution">The length of each bar</param>
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/// <param name="exchange">The exchange hours used for market open hours</param>
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/// <param name="dataTimeZone">The time zone in which data are stored</param>
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/// <param name="dataType">The data type to request</param>
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/// <param name="extendedMarketHours">
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/// True to include extended market hours data, false otherwise.
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/// If not passed, the config will be used to determined whether to include extended market hours.
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/// </param>
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/// <returns>The start time that would provide the specified number of bars ending at the algorithm's current time</returns>
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public DateTime GetStartTimeAlgoTz(
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Symbol symbol,
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int periods,
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Resolution resolution,
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SecurityExchangeHours exchange,
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DateTimeZone dataTimeZone,
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Type dataType,
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bool? extendedMarketHours = null)
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{
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return GetStartTimeAlgoTz(_algorithm.UtcTime, symbol, periods, resolution, exchange, dataTimeZone, dataType, extendedMarketHours);
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}
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/// <summary>
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/// Gets the start time required for the specified bar count in terms of the algorithm's time zone
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/// </summary>
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/// <param name="referenceUtcTime">The end time in utc</param>
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/// <param name="symbol">The symbol to select proper <see cref="SubscriptionDataConfig"/> config</param>
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/// <param name="periods">The number of bars requested</param>
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/// <param name="resolution">The length of each bar</param>
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/// <param name="exchange">The exchange hours used for market open hours</param>
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/// <param name="dataTimeZone">The time zone in which data are stored</param>
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/// <param name="dataType">The data type to request</param>
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/// <param name="extendedMarketHours">
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/// True to include extended market hours data, false otherwise.
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/// If not passed, the config will be used to determined whether to include extended market hours.
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/// </param>
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/// <returns>The start time that would provide the specified number of bars ending at the algorithm's current time</returns>
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public DateTime GetStartTimeAlgoTz(
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DateTime referenceUtcTime,
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Symbol symbol,
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int periods,
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Resolution resolution,
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SecurityExchangeHours exchange,
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DateTimeZone dataTimeZone,
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Type dataType,
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bool? extendedMarketHours = null)
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{
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var isExtendedMarketHours = false;
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// hour and daily resolution does no have extended market hours data. Same for chain universes
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if (resolution < Resolution.Hour && LeanData.SupportsExtendedMarketHours(dataType))
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{
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if (extendedMarketHours.HasValue)
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{
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isExtendedMarketHours = extendedMarketHours.Value;
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}
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else
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{
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var configs = _algorithm.SubscriptionManager
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.SubscriptionDataConfigService
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.GetSubscriptionDataConfigs(symbol);
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isExtendedMarketHours = configs.IsExtendedMarketHours();
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}
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}
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var timeSpan = resolution.ToTimeSpan();
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// make this a minimum of one second
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timeSpan = timeSpan < Time.OneSecond ? Time.OneSecond : timeSpan;
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var localStartTime = Time.GetStartTimeForTradeBars(
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exchange,
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referenceUtcTime.ConvertFromUtc(exchange.TimeZone),
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timeSpan,
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periods,
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isExtendedMarketHours,
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dataTimeZone,
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LeanData.UseDailyStrictEndTimes(_algorithm.Settings, dataType, symbol, timeSpan, exchange));
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return localStartTime.ConvertTo(exchange.TimeZone, _algorithm.TimeZone);
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}
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}
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}
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