BrokerageHistoryProvider.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/
 
using System;
using System.Collections.Generic;
using NodaTime;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Lean.Engine.DataFeeds;
using HistoryRequest = QuantConnect.Data.HistoryRequest;
 
namespace QuantConnect.Lean.Engine.HistoricalData
{
    /// <summary>
    /// Provides an implementation of <see cref="IHistoryProvider"/> that relies on
    /// a brokerage connection to retrieve historical data
    /// </summary>
    public class BrokerageHistoryProvider : SynchronizingHistoryProvider
    {
        private IDataPermissionManager _dataPermissionManager;
        private IBrokerage _brokerage;
        private bool _initialized;
 
        /// <summary>
        /// Sets the brokerage to be used for historical requests
        /// </summary>
        /// <param name="brokerage">The brokerage instance</param>
        public void SetBrokerage(IBrokerage brokerage)
        {
            _brokerage = brokerage;
        }
 
        /// <summary>
        /// Initializes this history provider to work for the specified job
        /// </summary>
        /// <param name="parameters">The initialization parameters</param>
        public override void Initialize(HistoryProviderInitializeParameters parameters)
        {
            if (_initialized)
            {
                // let's make sure no one tries to change our parameters values
                throw new InvalidOperationException("BrokerageHistoryProvider can only be initialized once");
            }
            _initialized = true;
            _brokerage.Connect();
            AlgorithmSettings = parameters.AlgorithmSettings;
            _dataPermissionManager = parameters.DataPermissionManager;
        }
 
        /// <summary>
        /// Gets the history for the requested securities
        /// </summary>
        /// <param name="requests">The historical data requests</param>
        /// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
        /// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
        public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
        {
            // create subscription objects from the configs
            var subscriptions = new List<Subscription>();
            foreach (var request in requests)
            {
                var history = _brokerage.GetHistory(request);
                if (history == null)
                {
                    // doesn't support this history request, that's okay
                    continue;
                }
                var subscription = CreateSubscription(request, history);
                subscriptions.Add(subscription);
            }
 
            if (subscriptions.Count == 0)
            {
                return null;
            }
            return CreateSliceEnumerableFromSubscriptions(subscriptions, sliceTimeZone);
        }
    }
}