/// <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());
}
/// <summary>
/// Gets <see cref="OptionHistory"/> object for a given symbol, date and resolution
/// </summary>
/// <param name="symbol">The symbol to retrieve historical option data for</param>
/// <param name="date">Date of the data</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>A <see cref="OptionHistory"/> object that contains historical option data.</returns>
public OptionHistory GetOptionHistory(Symbol symbol, DateTime date, Resolution? resolution = null)
{
SetStartDate(date.AddDays(1));
var option = Securities[symbol] as Option;
var underlying = AddEquity(symbol.Underlying.Value, option.Resolution);
var provider = new BacktestingOptionChainProvider();
var allSymbols = provider.GetOptionContractList(symbol.Underlying, date);
var requests = History(symbol.Underlying, TimeSpan.FromDays(1), resolution)
.SelectMany(x => option.ContractFilter.Filter(new OptionFilterUniverse(allSymbols, x)))
.Distinct()
.Select(x =>
new HistoryRequest(date.AddDays(-1),
date,
typeof(QuoteBar),
x,
resolution ?? option.Resolution,
underlying.Exchange.Hours,
MarketHoursDatabase.FromDataFolder().GetDataTimeZone(underlying.Symbol.ID.Market, underlying.Symbol, underlying.Type),
Resolution.Minute,
underlying.IsExtendedMarketHours,
underlying.IsCustomData(),
DataNormalizationMode.Raw,
LeanData.GetCommonTickTypeForCommonDataTypes(typeof(QuoteBar), underlying.Type))
);
requests = requests.Union(new[] { new HistoryRequest(underlying.Subscriptions.FirstOrDefault(), underlying.Exchange.Hours, date.AddDays(-1), date) });
return new OptionHistory(HistoryProvider.GetHistory(requests.OrderByDescending(x => x.Symbol.SecurityType), TimeZone).Memoize());
}