Helper class used to create new HistoryRequest More...

Public Member Functions
	HistoryRequestFactory (IAlgorithm algorithm)
	Creates a new instance More...

HistoryRequest	CreateHistoryRequest (SubscriptionDataConfig subscription, DateTime startAlgoTz, DateTime endAlgoTz, SecurityExchangeHours exchangeHours, Resolution? resolution, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
	Creates a new history request More...

DateTime	GetStartTimeAlgoTz (Symbol symbol, int periods, Resolution resolution, SecurityExchangeHours exchange, DateTimeZone dataTimeZone, bool? extendedMarketHours=null)
	Gets the start time required for the specified bar count in terms of the algorithm's time zone More...

Detailed Description

Helper class used to create new HistoryRequest

Definition at line 27 of file HistoryRequestFactory.cs.

Constructor & Destructor Documentation

QuantConnect.Data.HistoryRequestFactory.HistoryRequestFactory ( IAlgorithm algorithm )

Creates a new instance

Parameters

algorithm The algorithm instance to use

Definition at line 35 of file HistoryRequestFactory.cs.

HistoryRequest QuantConnect.Data.HistoryRequestFactory.CreateHistoryRequest	(	SubscriptionDataConfig	subscription,
		DateTime	startAlgoTz,
		DateTime	endAlgoTz,
		SecurityExchangeHours	exchangeHours,
		Resolution?	resolution,
		bool?	fillForward = `null`,
		bool?	extendedMarketHours = `null`,
		DataMappingMode?	dataMappingMode = `null`,
		DataNormalizationMode?	dataNormalizationMode = `null`,
		int?	contractDepthOffset = `null`
	)

Creates a new history request

Parameters

subscription	The config
startAlgoTz	History request start time in algorithm time zone
endAlgoTz	History request end time in algorithm time zone
exchangeHours	Security exchange hours
resolution	The resolution to use. If null will use SubscriptionDataConfig.Resolution
fillForward	True to fill forward missing data, false otherwise
extendedMarketHours	True to include extended market hours data, false otherwise
dataMappingMode	The contract mapping mode to use for the security history request
dataNormalizationMode	The price scaling mode to use for the securities history
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 55 of file HistoryRequestFactory.cs.

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DateTime QuantConnect.Data.HistoryRequestFactory.GetStartTimeAlgoTz	(	Symbol	symbol,
		int	periods,
		Resolution	resolution,
		SecurityExchangeHours	exchange,
		DateTimeZone	dataTimeZone,
		bool?	extendedMarketHours = `null`
	)

Gets the start time required for the specified bar count in terms of the algorithm's time zone

Parameters

symbol	The symbol to select proper SubscriptionDataConfig config
periods	The number of bars requested
resolution	The length of each bar
exchange	The exchange hours used for market open hours
dataTimeZone	The time zone in which data are stored
extendedMarketHours	True to include extended market hours data, false otherwise. If not passed, the config will be used to determined whether to include extended market hours.

Returns: The start time that would provide the specified number of bars ending at the algorithm's current time

Definition at line 131 of file HistoryRequestFactory.cs.

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