/// <summary>
/// Returns history requirements for the volatility model expressed in the form of history request
/// </summary>
/// <param name="security">The security of the request</param>
/// <param name="utcTime">The date/time of the request</param>
/// <returns>History request object list, or empty if no requirements</returns>
public override IEnumerable <HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime)
{
var barCount = _window.Size + 1;
var localStartTime = Time.GetStartTimeForTradeBars(security.Exchange.Hours, utcTime.ConvertFromUtc(security.Exchange.TimeZone), _periodSpan, barCount, security.IsExtendedMarketHours);
var utcStartTime = localStartTime.ConvertToUtc(security.Exchange.TimeZone);
if (SubscriptionDataConfigProvider == null)
{
throw new Exception(
"RelativeStandardDeviationVolatilityModel.GetHistoryRequirements(): " +
"SubscriptionDataConfigProvider was not set."
);
}
var configurations = SubscriptionDataConfigProvider
.GetSubscriptionDataConfigs(security.Symbol)
.ToList();
var configuration = configurations.First();
return(new[]
{
new HistoryRequest(utcStartTime,
utcTime,
typeof(TradeBar),
configuration.Symbol,
configurations.GetHighestResolution(),
security.Exchange.Hours,
configuration.DataTimeZone,
configurations.GetHighestResolution(),
configurations.IsExtendedMarketHours(),
configurations.IsCustomData(),
configurations.DataNormalizationMode(),
LeanData.GetCommonTickTypeForCommonDataTypes(typeof(TradeBar), security.Type))
});
}
/// <summary>
/// Returns history requirements for the volatility model expressed in the form of history request
/// </summary>
/// <param name="security">The security of the request</param>
/// <param name="utcTime">The date/time of the request</param>
/// <returns>History request object list, or empty if no requirements</returns>
public override IEnumerable <HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime)
{
if (SubscriptionDataConfigProvider == null)
{
throw new InvalidOperationException(
"RelativeStandardDeviationVolatilityModel.GetHistoryRequirements(): " +
"SubscriptionDataConfigProvider was not set."
);
}
var configurations = SubscriptionDataConfigProvider
.GetSubscriptionDataConfigs(security.Symbol)
.OrderBy(c => c.TickType)
.ToList();
return(GetHistoryRequirements(
security,
utcTime,
configurations.GetHighestResolution(),
_window.Size + 1));
}
public override IEnumerable <HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime)
{
var configuration = SubscriptionDataConfigProvider.GetSubscriptionDataConfigs(security.Symbol).First();
return(new[]
{
new HistoryRequest(
utcTime,
utcTime,
typeof(TradeBar),
configuration.Symbol,
configuration.Resolution,
security.Exchange.Hours,
configuration.DataTimeZone,
configuration.Resolution,
configuration.ExtendedMarketHours,
configuration.IsCustomData,
configuration.DataNormalizationMode,
LeanData.GetCommonTickTypeForCommonDataTypes(typeof(TradeBar), security.Type)
)
});
}
