private IEnumerable <Slice> History(IEnumerable <HistoryRequest> requests, DateTimeZone timeZone)
{
var sentMessage = false;
// filter out any universe securities that may have made it this far
var reqs = requests.Where(hr => !UniverseManager.ContainsKey(hr.Symbol)).ToList();
foreach (var request in reqs)
{
// prevent future requests
if (request.EndTimeUtc > UtcTime)
{
request.EndTimeUtc = UtcTime;
if (request.StartTimeUtc > request.EndTimeUtc)
{
request.StartTimeUtc = request.EndTimeUtc;
}
if (!sentMessage)
{
sentMessage = true;
Debug("Request for future history modified to end now.");
}
}
}
// filter out future data to prevent look ahead bias
return(((IAlgorithm)this).HistoryProvider.GetHistory(reqs, timeZone));
}
private IEnumerable <Slice> History(IEnumerable <HistoryRequest> requests, DateTimeZone timeZone)
{
var sentMessage = false;
// filter out any universe securities that may have made it this far
var filteredRequests = requests.Where(hr => !UniverseManager.ContainsKey(hr.Symbol)).ToList();
for (var i = 0; i < filteredRequests.Count; i++)
{
var request = filteredRequests[i];
// prevent future requests
if (request.EndTimeUtc > UtcTime)
{
var endTimeUtc = UtcTime;
var startTimeUtc = request.StartTimeUtc;
if (request.StartTimeUtc > request.EndTimeUtc)
{
startTimeUtc = request.EndTimeUtc;
}
filteredRequests[i] = new HistoryRequest(startTimeUtc, endTimeUtc,
request.DataType, request.Symbol, request.Resolution, request.ExchangeHours,
request.DataTimeZone, request.FillForwardResolution, request.IncludeExtendedMarketHours,
request.IsCustomData, request.DataNormalizationMode, request.TickType);
if (!sentMessage)
{
sentMessage = true;
Debug("Request for future history modified to end now.");
}
}
}
// filter out future data to prevent look ahead bias
return(((IAlgorithm)this).HistoryProvider.GetHistory(filteredRequests, timeZone));
}
/// <summary>
/// Validate a symbol for a history request.
/// Universe and canonical symbols are only valid for future security types
/// </summary>
private bool HistoryRequestValid(Symbol symbol)
{
return(symbol.SecurityType == SecurityType.Future || !UniverseManager.ContainsKey(symbol) && !symbol.IsCanonical());
}