public void CanDownloadAndSave(SecurityType securityType, TickType tickType, Resolution resolution)
{
var symbol = Symbols.GetBySecurityType(securityType);
var startTimeUtc = GetRepoDataDates(securityType, resolution);
// Override for this case because symbol from Symbols does not have data included
if (securityType == SecurityType.Option)
{
symbol = Symbols.CreateOptionSymbol("GOOG", OptionRight.Call, 770, new DateTime(2015, 12, 24));
startTimeUtc = new DateTime(2015, 12, 23);
}
// EndTime based on start, only do 1 day for anything less than hour because we compare datafiles below
// and minute and finer resolutions store by day
var endTimeUtc = startTimeUtc + TimeSpan.FromDays(resolution >= Resolution.Hour ? 15 : 1);
// Create our writer and LocalHistory brokerage to "download" from
var writer = new LeanDataWriter(_dataDirectory, resolution, securityType, tickType);
var brokerage = new LocalHistoryBrokerage();
var symbols = new List <Symbol>()
{
symbol
};
// "Download" and write to file
writer.DownloadAndSave(brokerage, symbols, startTimeUtc, endTimeUtc);
// Verify the file exists where we expect
var filePath = LeanData.GenerateZipFilePath(_dataDirectory, symbol, startTimeUtc, resolution, tickType);
Assert.IsTrue(File.Exists(filePath));
// Read the file and data
var reader = new LeanDataReader(filePath);
var dataFromFile = reader.Parse().ToList();
// Ensure its not empty and it is actually for this symbol
Assert.IsNotEmpty(dataFromFile);
Assert.IsTrue(dataFromFile.All(x => x.Symbol == symbol));
// Get history directly ourselves and compare with the data in the file
var history = GetHistory(brokerage, resolution, securityType, symbol, tickType, startTimeUtc, endTimeUtc);
CollectionAssert.AreEqual(history.Select(x => x.Time), dataFromFile.Select(x => x.Time));
brokerage.Dispose();
}
/// <summary>
/// Downloads historical data from the brokerage and saves it in LEAN format.
/// </summary>
/// <param name="symbols">The list of symbols</param>
/// <param name="tickType">The tick type</param>
/// <param name="resolution">The resolution</param>
/// <param name="securityType">The security type</param>
/// <param name="startTimeUtc">The starting date/time (UTC)</param>
/// <param name="endTimeUtc">The ending date/time (UTC)</param>
public void DownloadAndSave(List <Symbol> symbols, Resolution resolution, SecurityType securityType, TickType tickType, DateTime startTimeUtc, DateTime endTimeUtc)
{
var writer = new LeanDataWriter(Globals.DataFolder, resolution, securityType, tickType);
writer.DownloadAndSave(_brokerage, symbols, startTimeUtc, endTimeUtc);
}
