/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="symbol">Symbol for the data we're looking for.</param>
/// <param name="resolution">Resolution of the data request</param>
/// <param name="startUtc">Start time of the data in UTC</param>
/// <param name="endUtc">End time of the data in UTC</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable <BaseData> Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
if (resolution == Resolution.Tick)
{
throw new NotSupportedException("Resolution not available: " + resolution);
}
if (endUtc < startUtc)
{
throw new ArgumentException("The end date must be greater or equal than the start date.");
}
var historyRequest = new HistoryRequest(
startUtc,
endUtc,
typeof(QuoteBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.EasternStandard),
DateTimeZone.Utc,
resolution,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Quote);
var data = _brokerage.GetHistory(historyRequest);
return(data);
}
/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="dataDownloaderGetParameters">model class for passing in parameters for historical data</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable <BaseData> Get(DataDownloaderGetParameters dataDownloaderGetParameters)
{
var symbol = dataDownloaderGetParameters.Symbol;
var resolution = dataDownloaderGetParameters.Resolution;
var startUtc = dataDownloaderGetParameters.StartUtc;
var endUtc = dataDownloaderGetParameters.EndUtc;
var tickType = dataDownloaderGetParameters.TickType;
if (tickType != TickType.Quote)
{
yield break;
}
if (resolution == Resolution.Tick)
{
throw new NotSupportedException("Resolution not available: " + resolution);
}
if (endUtc < startUtc)
{
throw new ArgumentException("The end date must be greater or equal than the start date.");
}
var symbols = new List <Symbol> {
symbol
};
if (symbol.IsCanonical())
{
symbols = GetChainSymbols(symbol, true).ToList();
}
var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
var dataTimeZone = MarketHoursDatabase.FromDataFolder().GetDataTimeZone(symbol.ID.Market, symbol, symbol.SecurityType);
foreach (var targetSymbol in symbols)
{
var historyRequest = new HistoryRequest(startUtc,
endUtc,
typeof(QuoteBar),
targetSymbol,
resolution,
exchangeHours: exchangeHours,
dataTimeZone: dataTimeZone,
resolution,
includeExtendedMarketHours: true,
false,
DataNormalizationMode.Adjusted,
TickType.Quote);
foreach (var baseData in _brokerage.GetHistory(historyRequest))
{
yield return(baseData);
}
}
}