public void SetUp()
{
Config.Set("polygon-api-key", "");
Log.LogHandler = new CompositeLogHandler();
_historyProvider = new PolygonDataQueueHandler(false);
_historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, null));
}
public void GetsHistory(Symbol symbol, Resolution resolution, TickType tickType, TimeSpan period, bool shouldBeEmpty)
{
Log.LogHandler = new ConsoleLogHandler();
var historyProvider = new PolygonDataQueueHandler(false);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, null));
var now = new DateTime(2020, 5, 20, 15, 0, 0).RoundDown(resolution.ToTimeSpan());
var dataType = LeanData.GetDataType(resolution, tickType);
var requests = new[]
{
new HistoryRequest(now.Add(-period),
now,
dataType,
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
TimeZones.NewYork,
null,
true,
false,
DataNormalizationMode.Adjusted,
tickType)
};
var history = historyProvider.GetHistory(requests, TimeZones.NewYork).ToList();
if (dataType == typeof(TradeBar))
{
foreach (var slice in history)
{
var bar = slice.Bars[symbol];
Log.Trace($"{bar.Time}: {bar.Symbol} - O={bar.Open}, H={bar.High}, L={bar.Low}, C={bar.Close}");
}
}
else if (dataType == typeof(QuoteBar))
{
foreach (var slice in history)
{
var bar = slice.QuoteBars[symbol];
Log.Trace($"{bar.Time}: {bar.Symbol} - O={bar.Open}, H={bar.High}, L={bar.Low}, C={bar.Close}");
}
}
else if (dataType == typeof(Tick))
{
foreach (var slice in history)
{
var ticks = slice.Ticks[symbol];
foreach (var tick in ticks)
{
Log.Trace($"{tick.Time}: {tick.Symbol} - B={tick.BidPrice}, A={tick.AskPrice}, P={tick.LastPrice}, Q={tick.Quantity}");
}
}
}
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
if (shouldBeEmpty)
{
Assert.IsTrue(history.Count == 0);
}
else
{
Assert.IsTrue(history.Count > 0);
}
}