/// <summary>
/// Gets the historical data for the specified symbols. The exact number of bars will be returned for
/// each symbol. This may result in some data start earlier/later than others due to when various
/// exchanges are open. The symbols must exist in the Securities collection.
/// </summary>
/// <param name="type">The data type of the symbols</param>
/// <param name="tickers">The symbols to retrieve historical data for</param>
/// <param name="periods">The number of bars to request</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>pandas.DataFrame containing the requested historical data</returns>
public PyObject History(PyObject type, PyObject tickers, int periods, Resolution?resolution = null)
{
var symbols = GetSymbolsFromPyObject(tickers);
if (symbols == null)
{
return(null);
}
var requests = symbols.Select(x =>
{
var security = Securities[x];
var config = security.Subscriptions.OrderByDescending(s => s.Resolution)
.FirstOrDefault(s => s.Type.BaseType == CreateType(type).BaseType);
if (config == null)
{
return(null);
}
Resolution?res = resolution ?? security.Resolution;
var start = GetStartTimeAlgoTz(x, periods, resolution).ConvertToUtc(TimeZone);
return(CreateHistoryRequest(config, start, UtcTime.RoundDown(res.Value.ToTimeSpan()), resolution));
});
return(PandasConverter.GetDataFrame(History(requests.Where(x => x != null)).Memoize()));
}
/// <summary>
/// Helper methods to create a history request for the specified symbols and bar count
/// </summary>
private IEnumerable <HistoryRequest> CreateBarCountHistoryRequests(IEnumerable <Symbol> symbols, int periods, Resolution?resolution = null)
{
return(symbols.Select(x =>
{
var security = Securities[x];
Resolution?res = resolution ?? security.Resolution;
var start = GetStartTimeAlgoTz(x, periods, res).ConvertToUtc(security.Exchange.TimeZone);
return CreateHistoryRequest(security, start, UtcTime.RoundDown(res.Value.ToTimeSpan()), resolution);
}));
}
/// <summary>
/// Gets the historical data for the specified symbols. The exact number of bars will be returned for
/// each symbol. This may result in some data start earlier/later than others due to when various
/// exchanges are open. The symbols must exist in the Securities collection.
/// </summary>
/// <typeparam name="T">The data type of the symbols</typeparam>
/// <param name="symbols">The symbols to retrieve historical data for</param>
/// <param name="periods">The number of bars to request</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable <DataDictionary <T> > History <T>(IEnumerable <Symbol> symbols, int periods, Resolution?resolution = null)
where T : IBaseData
{
var requests = symbols.Select(x =>
{
var config = GetMatchingSubscription(x, typeof(T));
if (config == null)
{
return(null);
}
var res = GetResolution(x, resolution);
var start = GetStartTimeAlgoTz(x, periods, res).ConvertToUtc(TimeZone);
return(CreateHistoryRequest(config, start, UtcTime.RoundDown(res.Value.ToTimeSpan()), res));
});
return(History(requests.Where(x => x != null)).Get <T>().Memoize());
}
/// <summary>
/// Gets the historical data for the specified symbols. The exact number of bars will be returned for
/// each symbol. This may result in some data start earlier/later than others due to when various
/// exchanges are open. The symbols must exist in the Securities collection.
/// </summary>
/// <typeparam name="T">The data type of the symbols</typeparam>
/// <param name="symbols">The symbols to retrieve historical data for</param>
/// <param name="periods">The number of bars to request</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>An enumerable of slice containing the requested historical data</returns>
public IEnumerable <DataDictionary <T> > History <T>(IEnumerable <Symbol> symbols, int periods, Resolution?resolution = null)
where T : BaseData
{
var requests = symbols.Select(x =>
{
var security = Securities[x];
// don't make requests for symbols of the wrong type
if (!typeof(T).IsAssignableFrom(security.SubscriptionDataConfig.Type))
{
return(null);
}
Resolution?res = resolution ?? security.Resolution;
var start = GetStartTimeAlgoTz(x, periods, resolution).ConvertToUtc(TimeZone);
return(CreateHistoryRequest(security, start, UtcTime.RoundDown(res.Value.ToTimeSpan()), resolution));
});
return(History(requests.Where(x => x != null)).Get <T>());
}
