public void CorrectlyDeterminesContractList()
{
var symbol = Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, DateTime.Today);
var result = _provider.GetFutureContractList(symbol, new DateTime(2013, 10, 11));
Assert.IsNotEmpty(result);
}
public void CorrectlyDeterminesContractList(string date)
{
var dateTime = Time.ParseDate(date);
var symbol = Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, dateTime.AddDays(10));
var result = _provider.GetFutureContractList(symbol, dateTime);
Assert.IsNotEmpty(result);
}
/// <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());
}