wehub-resource-sync
92 lines
3.6 KiB
C#
92 lines
3.6 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 NodaTime;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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using HistoryRequest = QuantConnect.Data.HistoryRequest;
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namespace QuantConnect.Lean.Engine.HistoricalData
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{
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/// <summary>
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/// Provides an implementation of <see cref="IHistoryProvider"/> that relies on
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/// a brokerage connection to retrieve historical data
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/// </summary>
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public class BrokerageHistoryProvider : SynchronizingHistoryProvider
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{
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private IDataPermissionManager _dataPermissionManager;
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private IBrokerage _brokerage;
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private bool _initialized;
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/// <summary>
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/// Sets the brokerage to be used for historical requests
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/// </summary>
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/// <param name="brokerage">The brokerage instance</param>
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public void SetBrokerage(IBrokerage brokerage)
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{
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_brokerage = brokerage;
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}
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/// <summary>
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/// Initializes this history provider to work for the specified job
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/// </summary>
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/// <param name="parameters">The initialization parameters</param>
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public override void Initialize(HistoryProviderInitializeParameters parameters)
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{
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if (_initialized)
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{
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// let's make sure no one tries to change our parameters values
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throw new InvalidOperationException("BrokerageHistoryProvider can only be initialized once");
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}
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_initialized = true;
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_brokerage.Connect();
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AlgorithmSettings = parameters.AlgorithmSettings;
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_dataPermissionManager = parameters.DataPermissionManager;
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}
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/// <summary>
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/// Gets the history for the requested securities
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/// </summary>
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/// <param name="requests">The historical data requests</param>
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/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
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/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
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public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
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{
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// create subscription objects from the configs
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var subscriptions = new List<Subscription>();
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foreach (var request in requests)
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{
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var history = _brokerage.GetHistory(request);
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if (history == null)
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{
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// doesn't support this history request, that's okay
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continue;
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}
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var subscription = CreateSubscription(request, history);
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subscriptions.Add(subscription);
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}
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if (subscriptions.Count == 0)
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{
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return null;
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}
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return CreateSliceEnumerableFromSubscriptions(subscriptions, sliceTimeZone);
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}
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}
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}
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