/// <summary>
/// Gets <see cref="FutureHistory"/> object for a given symbol, date and resolution
/// </summary>
/// <param name="symbol">The symbol to retrieve historical future data for</param>
/// <param name="date">Date of the data</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>A <see cref="FutureHistory"/> object that contains historical future data.</returns>
public FutureHistory GetFutureHistory(Symbol symbol, DateTime date, Resolution? resolution = null)
{
SetStartDate(date.AddDays(1));
var future = Securities[symbol] as Future;
var provider = new BacktestingFutureChainProvider();
var allSymbols = provider.GetFutureContractList(future.Symbol, date);
var requests = future.ContractFilter.Filter(new FutureFilterUniverse(allSymbols, new Tick { Time = date }))
.Select(x =>
new HistoryRequest(date.AddDays(-1),
date,
typeof(QuoteBar),
x,
resolution ?? future.Resolution,
future.Exchange.Hours,
MarketHoursDatabase.FromDataFolder().GetDataTimeZone(future.Symbol.ID.Market, future.Symbol, future.Type),
Resolution.Minute,
future.IsExtendedMarketHours,
future.IsCustomData(),
DataNormalizationMode.Raw,
LeanData.GetCommonTickTypeForCommonDataTypes(typeof(QuoteBar), future.Type))
);
return new FutureHistory(HistoryProvider.GetHistory(requests, TimeZone).Memoize());
}
public void FuturesOptionsWithUnderlyingContractMonthMappedByRuleResolvesUnderlyingGetLeanSymbol(int year, int month, int day)
{
var futuresChainProvider = new BacktestingFutureChainProvider(TestGlobals.DataProvider);
var mapper = new InteractiveBrokersSymbolMapper(TestGlobals.MapFileProvider);
var expectedUnderlyingSymbol = Symbol.CreateFuture("GC", Market.COMEX, new DateTime(2021, 4, 28));
var futureOption = mapper.GetLeanSymbol("OG", SecurityType.FutureOption, Market.COMEX, new DateTime(year, month, day));
Assert.AreEqual(expectedUnderlyingSymbol, futureOption.Underlying);
}
public void SetUp()
{
// Store initial Log Handler
_logHandler = Log.LogHandler;
_provider = new BacktestingFutureChainProvider();
}
public void SetUp()
{
// Store initial Log Handler
_logHandler = Log.LogHandler;
_provider = new BacktestingFutureChainProvider(TestGlobals.DataCacheProvider);
}
public void SetUp()
{
_logHandler = Log.LogHandler;
_provider = new BacktestingFutureChainProvider();
}
