HistoryRequestFactory

QuantConnect.Data.HistoryRequestFactory

HistoryRequestFactory(algorithm: IAlgorithm)

Bases: Object

Helper class used to create new HistoryRequest

Creates a new instance

Parameters:

Name	Type	Description	Default
algorithm	IAlgorithm	The algorithm instance to use	required

get_start_time_algo_tz

get_start_time_algo_tz(
    symbol: Union[Symbol, str, BaseContract],
    periods: int,
    resolution: Resolution,
    exchange: SecurityExchangeHours,
    data_time_zone: Any,
    data_type: Type,
    extended_market_hours: Optional[bool] = None,
) -> datetime

get_start_time_algo_tz(
    reference_utc_time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract],
    periods: int,
    resolution: Resolution,
    exchange: SecurityExchangeHours,
    data_time_zone: Any,
    data_type: Type,
    extended_market_hours: Optional[bool] = None,
) -> datetime

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

Parameters:

Name	Type	Description	Default
symbol	Union[Symbol, str, BaseContract]	The symbol to select proper SubscriptionDataConfig config	required
periods	int	The number of bars requested	required
resolution	Resolution	The length of each bar	required
exchange	SecurityExchangeHours	The exchange hours used for market open hours	required
data_time_zone	Any	The time zone in which data are stored	required
data_type	Type	The data type to request	required
extended_market_hours	Optional[bool]	True to include extended market hours data, false otherwise.	None
reference_utc_time	Optional[Union[datetime, date]]	The end time in utc	None

Returns:

Type	Description
datetime	The start time that would provide the specified number of bars ending at the algorithm's current time.

create_history_request

create_history_request(
    subscription: SubscriptionDataConfig,
    start_algo_tz: Union[datetime, date],
    end_algo_tz: Union[datetime, date],
    exchange_hours: SecurityExchangeHours,
    resolution: Optional[Resolution],
    fill_forward: Optional[bool] = None,
    extended_market_hours: Optional[bool] = None,
    data_mapping_mode: Optional[DataMappingMode] = None,
    data_normalization_mode: Optional[
        DataNormalizationMode
    ] = None,
    contract_depth_offset: Optional[int] = None,
) -> HistoryRequest

Creates a new history request

Parameters:

Name	Type	Description	Default
subscription	SubscriptionDataConfig	The config	required
start_algo_tz	Union[datetime, date]	History request start time in algorithm time zone	required
end_algo_tz	Union[datetime, date]	History request end time in algorithm time zone	required
exchange_hours	SecurityExchangeHours	Security exchange hours	required
resolution	Optional[Resolution]	The resolution to use. If null will use SubscriptionDataConfig.resolution	required
fill_forward	Optional[bool]	True to fill forward missing data, false otherwise	None
extended_market_hours	Optional[bool]	True to include extended market hours data, false otherwise	None
data_mapping_mode	Optional[DataMappingMode]	The contract mapping mode to use for the security history request	None
data_normalization_mode	Optional[DataNormalizationMode]	The price scaling mode to use for the securities history	None
contract_depth_offset	Optional[int]	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	None

Returns:

Type	Description
HistoryRequest	The new HistoryRequest.