/// <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 of the request</param>
/// <returns>History request object list, or empty if no requirements</returns>
public 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);
return(new[]
{
new HistoryRequest(utcStartTime,
utcTime,
typeof(TradeBar),
security.Symbol,
Resolution.Daily,
security.Exchange.Hours,
MarketHoursDatabase.FromDataFolder().GetDataTimeZone(security.Symbol.ID.Market, security.Symbol, security.Type),
Resolution.Daily,
security.IsExtendedMarketHours,
security.IsCustomData(),
security.DataNormalizationMode,
LeanData.GetCommonTickTypeForCommonDataTypes(typeof(TradeBar), security.Type))
});
}