Represents a request for historical data More...

Inheritance diagram for QuantConnect.Data.HistoryRequest:

Public Member Functions
	HistoryRequest (DateTime startTimeUtc, DateTime endTimeUtc, Type dataType, Symbol symbol, Resolution resolution, SecurityExchangeHours exchangeHours, DateTimeZone dataTimeZone, Resolution? fillForwardResolution, bool includeExtendedMarketHours, bool isCustomData, DataNormalizationMode dataNormalizationMode, TickType tickType, DataMappingMode dataMappingMode=DataMappingMode.OpenInterest, uint contractDepthOffset=0)
	Initializes a new instance of the HistoryRequest class from the specified parameters More...

	HistoryRequest (SubscriptionDataConfig config, SecurityExchangeHours hours, DateTime startTimeUtc, DateTime endTimeUtc)
	Initializes a new instance of the HistoryRequest class from the specified config and exchange hours More...

	HistoryRequest (HistoryRequest request, Symbol newSymbol, DateTime newStartTimeUtc, DateTime newEndTimeUtc)
	Initializes a new instance of the HistoryRequest class with new Symbol, StartTimeUtc, EndTimeUtc More...

Public Attributes
override IEnumerable< DateTime >	TradableDaysInDataTimeZone
	Gets the tradable days specified by this request, in the security's data time zone More...

Public Attributes inherited from QuantConnect.Data.BaseDataRequest
DateTime	StartTimeLocal => _localStartTime.Value
	Gets the StartTimeUtc in the security's exchange time zone More...

DateTime	EndTimeLocal => _localEndTime.Value
	Gets the EndTimeUtc in the security's exchange time zone More...

Properties
Symbol	Symbol `[get, set]`
	Gets the symbol to request data for More...

Resolution	Resolution `[get, set]`
	Gets the requested data resolution More...

Resolution??	FillForwardResolution `[get, set]`
	Gets the requested fill forward resolution, set to null for no fill forward behavior. Will always return null when Resolution is set to Tick. More...

bool	IncludeExtendedMarketHours `[get, set]`
	Gets whether or not to include extended market hours data, set to false for only normal market hours More...

Type	DataType `[get, set]`
	Gets the data type used to process the subscription request, this type must derive from BaseData More...

DateTimeZone	DataTimeZone `[get, set]`
	Gets the time zone of the time stamps on the raw input data More...

TickType	TickType `[get, set]`
	TickType of the history request More...

bool	IsCustomData `[get, set]`
	Gets true if this is a custom data request, false for normal QC data More...

DataNormalizationMode	DataNormalizationMode `[get, set]`
	Gets the normalization mode used for this subscription More...

DataMappingMode	DataMappingMode `[get, set]`
	Gets the data mapping mode used for this subscription More...

uint	ContractDepthOffset `[get, set]`
	The continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract More...

Properties inherited from QuantConnect.Data.BaseDataRequest
DateTime	StartTimeUtc `[get, protected set]`
	Gets the beginning of the requested time interval in UTC More...

DateTime	EndTimeUtc `[get, protected set]`
	Gets the end of the requested time interval in UTC More...

SecurityExchangeHours	ExchangeHours `[get]`
	Gets the exchange hours used for processing fill forward requests More...

abstract IEnumerable< DateTime >	TradableDaysInDataTimeZone `[get]`
	Gets the tradable days specified by this request, in the security's data time zone More...

Additional Inherited Members
Protected Member Functions inherited from QuantConnect.Data.BaseDataRequest
	BaseDataRequest (DateTime startTimeUtc, DateTime endTimeUtc, SecurityExchangeHours exchangeHours, TickType tickType)
	Initializes the base data request More...

Detailed Description

Represents a request for historical data

Definition at line 27 of file HistoryRequest.cs.

Constructor & Destructor Documentation

◆ HistoryRequest() [1/3]

QuantConnect.Data.HistoryRequest.HistoryRequest	(	DateTime	startTimeUtc,
		DateTime	endTimeUtc,
		Type	dataType,
		Symbol	symbol,
		Resolution	resolution,
		SecurityExchangeHours	exchangeHours,
		DateTimeZone	dataTimeZone,
		Resolution?	fillForwardResolution,
		bool	includeExtendedMarketHours,
		bool	isCustomData,
		DataNormalizationMode	dataNormalizationMode,
		TickType	tickType,
		DataMappingMode	dataMappingMode = `DataMappingMode.OpenInterest`,
		uint	contractDepthOffset = `0`
	)

Initializes a new instance of the HistoryRequest class from the specified parameters

Parameters

startTimeUtc	The start time for this request,
endTimeUtc	The end time for this request
dataType	The data type of the output data
symbol	The symbol to request data for
resolution	The requested data resolution
exchangeHours	The exchange hours used in fill forward processing
dataTimeZone	The time zone of the data
fillForwardResolution	The requested fill forward resolution for this request
includeExtendedMarketHours	True to include data from pre/post market hours
isCustomData	True for custom user data, false for normal QC data
dataNormalizationMode	Specifies normalization mode used for this subscription
tickType	The tick type used to created the SubscriptionDataConfig for the retrieval of history data
dataMappingMode	The contract mapping mode to use for the security
contractDepthOffset	The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract

Definition at line 125 of file HistoryRequest.cs.

◆ HistoryRequest() [2/3]

QuantConnect.Data.HistoryRequest.HistoryRequest	(	SubscriptionDataConfig	config,
		SecurityExchangeHours	hours,
		DateTime	startTimeUtc,
		DateTime	endTimeUtc
	)

Initializes a new instance of the HistoryRequest class from the specified config and exchange hours

Parameters

config	The subscription data config used to initialize this request
hours	The exchange hours used for fill forward processing
startTimeUtc	The start time for this request,
endTimeUtc	The end time for this request

Definition at line 161 of file HistoryRequest.cs.

◆ HistoryRequest() [3/3]

QuantConnect.Data.HistoryRequest.HistoryRequest	(	HistoryRequest	request,
		Symbol	newSymbol,
		DateTime	newStartTimeUtc,
		DateTime	newEndTimeUtc
	)

Initializes a new instance of the HistoryRequest class with new Symbol, StartTimeUtc, EndTimeUtc

Parameters

request	Represents a request for historical data
newStartTimeUtc	The start time for this request
newEndTimeUtc	The end time for this request

Definition at line 174 of file HistoryRequest.cs.

Member Data Documentation

◆ TradableDaysInDataTimeZone

override IEnumerable<DateTime> QuantConnect.Data.HistoryRequest.TradableDaysInDataTimeZone

Initial value:

=> Time.EachTradeableDayInTimeZone(ExchangeHours,
            StartTimeLocal,
            EndTimeLocal,
            DataTimeZone,
            IncludeExtendedMarketHours)

Gets the tradable days specified by this request, in the security's data time zone

Definition at line 101 of file HistoryRequest.cs.

Property Documentation

◆ Symbol

Symbol QuantConnect.Data.HistoryRequest.Symbol

getset

Gets the symbol to request data for

Definition at line 34 of file HistoryRequest.cs.

◆ Resolution

Resolution QuantConnect.Data.HistoryRequest.Resolution

getset

Gets the requested data resolution

Definition at line 39 of file HistoryRequest.cs.

◆ FillForwardResolution

Resolution?? QuantConnect.Data.HistoryRequest.FillForwardResolution

getset

Gets the requested fill forward resolution, set to null for no fill forward behavior. Will always return null when Resolution is set to Tick.

Definition at line 46 of file HistoryRequest.cs.

◆ IncludeExtendedMarketHours

bool QuantConnect.Data.HistoryRequest.IncludeExtendedMarketHours

getset

Gets whether or not to include extended market hours data, set to false for only normal market hours

Definition at line 60 of file HistoryRequest.cs.

◆ DataType

Type QuantConnect.Data.HistoryRequest.DataType

getset

Gets the data type used to process the subscription request, this type must derive from BaseData

Definition at line 65 of file HistoryRequest.cs.

◆ DataTimeZone

DateTimeZone QuantConnect.Data.HistoryRequest.DataTimeZone

getset

Gets the time zone of the time stamps on the raw input data

Definition at line 70 of file HistoryRequest.cs.

◆ TickType

TickType QuantConnect.Data.HistoryRequest.TickType

getset

TickType of the history request

Definition at line 75 of file HistoryRequest.cs.

◆ IsCustomData

bool QuantConnect.Data.HistoryRequest.IsCustomData

getset

Gets true if this is a custom data request, false for normal QC data

Definition at line 80 of file HistoryRequest.cs.

◆ DataNormalizationMode

DataNormalizationMode QuantConnect.Data.HistoryRequest.DataNormalizationMode

getset

Gets the normalization mode used for this subscription

Definition at line 85 of file HistoryRequest.cs.

◆ DataMappingMode

DataMappingMode QuantConnect.Data.HistoryRequest.DataMappingMode

getset

Gets the data mapping mode used for this subscription

Definition at line 90 of file HistoryRequest.cs.

◆ ContractDepthOffset

uint QuantConnect.Data.HistoryRequest.ContractDepthOffset

getset

The continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract

Definition at line 96 of file HistoryRequest.cs.

The documentation for this class was generated from the following file:

Common/Data/HistoryRequest.cs

Public Member Functions

Public Attributes

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ HistoryRequest() [1/3]

◆ HistoryRequest() [2/3]

◆ HistoryRequest() [3/3]

Member Data Documentation

◆ TradableDaysInDataTimeZone

Property Documentation

◆ Symbol

◆ Resolution

◆ FillForwardResolution

◆ IncludeExtendedMarketHours

◆ DataType

◆ DataTimeZone

◆ TickType

◆ IsCustomData

◆ DataNormalizationMode

◆ DataMappingMode

◆ ContractDepthOffset