QuantConnect.Lean.Engine.HistoricalData.BrokerageHistoryProvider Class Reference
Provides an implementation of IHistoryProvider that relies on a brokerage connection to retrieve historical data More...
Inheritance diagram for QuantConnect.Lean.Engine.HistoricalData.BrokerageHistoryProvider:
Public Member Functions | |
| void | SetBrokerage (IBrokerage brokerage) |
| Sets the brokerage to be used for historical requests More... | |
| override void | Initialize (HistoryProviderInitializeParameters parameters) |
| Initializes this history provider to work for the specified job More... | |
| override IEnumerable< Slice > | GetHistory (IEnumerable< HistoryRequest > requests, DateTimeZone sliceTimeZone) |
| Gets the history for the requested securities More... | |
Additional Inherited Members | |
 Public Attributes inherited from QuantConnect.Lean.Engine.HistoricalData.SynchronizingHistoryProvider | |
| override int | DataPointCount => _dataPointCount |
| Gets the total number of data points emitted by this history provider More... | |
| Protected Member Functions inherited from QuantConnect.Lean.Engine.HistoricalData.SynchronizingHistoryProvider | |
| IEnumerable< Slice > | CreateSliceEnumerableFromSubscriptions (List< Subscription > subscriptions, DateTimeZone sliceTimeZone) |
| Enumerates the subscriptions into slices More... | |
| Subscription | CreateSubscription (HistoryRequest request, IEnumerable< BaseData > history) |
| Creates a subscription to process the history request More... | |
| Protected Member Functions inherited from QuantConnect.Data.HistoryProviderBase | |
| virtual void | OnInvalidConfigurationDetected (InvalidConfigurationDetectedEventArgs e) |
| Event invocator for the InvalidConfigurationDetected event More... | |
| virtual void | OnNumericalPrecisionLimited (NumericalPrecisionLimitedEventArgs e) |
| Event invocator for the NumericalPrecisionLimited event More... | |
| virtual void | OnDownloadFailed (DownloadFailedEventArgs e) |
| Event invocator for the DownloadFailed event More... | |
| virtual void | OnReaderErrorDetected (ReaderErrorDetectedEventArgs e) |
| Event invocator for the ReaderErrorDetected event More... | |
| virtual void | OnStartDateLimited (StartDateLimitedEventArgs e) |
| Event invocator for the StartDateLimited event More... | |
| Properties inherited from QuantConnect.Data.HistoryProviderBase | |
| abstract int | DataPointCount [get] |
| Gets the total number of data points emitted by this history provider More... | |
| Properties inherited from QuantConnect.Interfaces.IHistoryProvider | |
| int | DataPointCount [get] |
| Gets the total number of data points emitted by this history provider More... | |
| Events inherited from QuantConnect.Data.HistoryProviderBase | |
| EventHandler< InvalidConfigurationDetectedEventArgs > | InvalidConfigurationDetected |
| Event fired when an invalid configuration has been detected More... | |
| EventHandler< NumericalPrecisionLimitedEventArgs > | NumericalPrecisionLimited |
| Event fired when the numerical precision in the factor file has been limited More... | |
| EventHandler< StartDateLimitedEventArgs > | StartDateLimited |
| Event fired when the start date has been limited More... | |
| EventHandler< DownloadFailedEventArgs > | DownloadFailed |
| Event fired when there was an error downloading a remote file More... | |
| EventHandler< ReaderErrorDetectedEventArgs > | ReaderErrorDetected |
| Event fired when there was an error reading the data More... | |
| Events inherited from QuantConnect.Interfaces.IDataProviderEvents | |
| EventHandler< InvalidConfigurationDetectedEventArgs > | InvalidConfigurationDetected |
| Event fired when an invalid configuration has been detected More... | |
| EventHandler< NumericalPrecisionLimitedEventArgs > | NumericalPrecisionLimited |
| Event fired when the numerical precision in the factor file has been limited More... | |
| EventHandler< DownloadFailedEventArgs > | DownloadFailed |
| Event fired when there was an error downloading a remote file More... | |
| EventHandler< ReaderErrorDetectedEventArgs > | ReaderErrorDetected |
| Event fired when there was an error reading the data More... | |
| EventHandler< StartDateLimitedEventArgs > | StartDateLimited |
| Event fired when the start date has been limited More... | |
Detailed Description
Provides an implementation of IHistoryProvider that relies on a brokerage connection to retrieve historical data
Definition at line 30 of file BrokerageHistoryProvider.cs.
Member Function Documentation
◆ SetBrokerage()
| void QuantConnect.Lean.Engine.HistoricalData.BrokerageHistoryProvider.SetBrokerage | ( | IBrokerage | brokerage | ) |
Sets the brokerage to be used for historical requests
- Parameters
-
brokerage The brokerage instance
Definition at line 40 of file BrokerageHistoryProvider.cs.
◆ Initialize()
|
virtual |
Initializes this history provider to work for the specified job
- Parameters
-
parameters The initialization parameters
Implements QuantConnect.Data.HistoryProviderBase.
Definition at line 49 of file BrokerageHistoryProvider.cs.
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◆ GetHistory()
|
virtual |
Gets the history for the requested securities
- Parameters
-
requests The historical data requests sliceTimeZone The time zone used when time stamping the slice instances
- Returns
- An enumerable of the slices of data covering the span specified in each request
Implements QuantConnect.Data.HistoryProviderBase.
Definition at line 67 of file BrokerageHistoryProvider.cs.
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The documentation for this class was generated from the following file:
- Engine/HistoricalData/BrokerageHistoryProvider.cs
