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* fix: several deprecate href * feat: use max available date by subs * feat: request parameters const names * feat: Execute History Request Parallel * refactor: synchronize request in API class * feat: develop StopWatch Wrapper * remove: RestClient huge Timeout value * fix: GenerateDateRangesWithInterval extension * refactor: ExecuteRequestParallelAsync test:feat: GetHistoryRequestWithLongRange * refactor: ExecuteRequestParallelAsync * refactor: ExecuteRequestParallelAsync if scope * Revert "feat: use max available date by subs" This reverts commit a1819dc. * refactor: use Parallel.ForEachAsync instead of semaphore and task to get history data * remove: NullDisposable * feat: use max available date by subs * feat: request retry if failed in ApiClient * fix: GenerateDateRangesWithInterval refactor: ExecuteRequest * feat: filter of HistoryRequest with ExtendedMarketHours test:feat: amount of bars with different resolution * fix: use Utc time for tick requests remove: extra logs * feat: validate history request on null * remove: not used lib
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,87 @@ | ||
| /* | ||
| * 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 NUnit.Framework; | ||
| using System.Collections.Generic; | ||
|
|
||
| namespace QuantConnect.Lean.DataSource.ThetaData.Tests; | ||
|
|
||
| [TestFixture] | ||
| public class ThetaDataAdditionalTests | ||
| { | ||
| [Test] | ||
| public void GenerateDateRangesWithNinetyDaysInterval() | ||
| { | ||
| var intervalDays = 90; | ||
| var startDate = new DateTime(2020, 07, 18); | ||
| var endDate = new DateTime(2021, 01, 14); | ||
|
|
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| var expectedRanges = new List<(DateTime startDate, DateTime endDate)> | ||
| { | ||
| (new DateTime(2020, 07, 18), new DateTime(2020, 10, 16)), | ||
| (new DateTime(2020, 10, 17), new DateTime(2021, 01, 14)), | ||
| }; | ||
|
|
||
| var actualRanges = new List<(DateTime startDate, DateTime endDate)>(ThetaDataExtensions.GenerateDateRangesWithInterval(startDate, endDate, intervalDays)); | ||
|
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| Assert.AreEqual(expectedRanges.Count, actualRanges.Count, "The number of ranges should match."); | ||
|
|
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| for (int i = 0; i < expectedRanges.Count; i++) | ||
| { | ||
| Assert.AreEqual(expectedRanges[i].startDate, actualRanges[i].startDate, $"Start date mismatch at index {i}"); | ||
| Assert.AreEqual(expectedRanges[i].endDate, actualRanges[i].endDate, $"End date mismatch at index {i}"); | ||
| } | ||
| } | ||
|
|
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| [Test] | ||
| public void GenerateDateRangesWithOneDayInterval() | ||
| { | ||
| var intervalDays = 1; | ||
|
|
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| var startDate = new DateTime(2024, 07, 26); | ||
| var endDate = new DateTime(2024, 07, 30); | ||
|
|
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| var expectedRanges = new List<(DateTime startDate, DateTime endDate)> | ||
| { | ||
| (new DateTime(2024, 07, 26), new DateTime(2024, 07, 27)), | ||
| (new DateTime(2024, 07, 28), new DateTime(2024, 07, 29)), | ||
| (new DateTime(2024, 07, 30), new DateTime(2024, 07, 30)) | ||
| }; | ||
|
|
||
| var actualRanges = new List<(DateTime startDate, DateTime endDate)>(ThetaDataExtensions.GenerateDateRangesWithInterval(startDate, endDate, intervalDays)); | ||
|
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| Assert.AreEqual(expectedRanges.Count, actualRanges.Count, "The number of ranges should match."); | ||
|
|
||
| for (int i = 0; i < expectedRanges.Count; i++) | ||
| { | ||
| Assert.AreEqual(expectedRanges[i].startDate, actualRanges[i].startDate, $"Start date mismatch at index {i}"); | ||
| Assert.AreEqual(expectedRanges[i].endDate, actualRanges[i].endDate, $"End date mismatch at index {i}"); | ||
| } | ||
| } | ||
|
|
||
| [Test] | ||
| public void GenerateDateRangesWithInterval_ShouldHandleSameStartEndDate() | ||
| { | ||
| DateTime startDate = new DateTime(2025, 2, 1); | ||
| DateTime endDate = new DateTime(2025, 2, 1); | ||
|
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| var ranges = new List<(DateTime startDate, DateTime endDate)>( | ||
| ThetaDataExtensions.GenerateDateRangesWithInterval(startDate, endDate, 1) | ||
| ); | ||
|
|
||
| Assert.AreEqual(1, ranges.Count, "There should be no date ranges generated."); | ||
| } | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,40 @@ | ||
| /* | ||
| * 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. | ||
| */ | ||
|
|
||
| namespace QuantConnect.Lean.DataSource.ThetaData.Models.Rest; | ||
|
|
||
| /// <summary> | ||
| /// Contains constant values for various request parameters used in API queries. | ||
| /// </summary> | ||
| public static class RequestParameters | ||
| { | ||
| /// <summary> | ||
| /// Represents the time interval in milliseconds since midnight Eastern Time (ET). | ||
| /// Example values: | ||
| /// - 09:30:00 ET = 34_200_000 ms | ||
| /// - 16:00:00 ET = 57_600_000 ms | ||
| /// </summary> | ||
| public const string IntervalInMilliseconds = "ivl"; | ||
|
|
||
| /// <summary> | ||
| /// Represents the start date for a query or request. | ||
| /// </summary> | ||
| public const string StartDate = "start_date"; | ||
|
|
||
| /// <summary> | ||
| /// Represents the end date for a query or request. | ||
| /// </summary> | ||
| public const string EndDate = "end_date"; | ||
| } |
67 changes: 67 additions & 0 deletions
67
QuantConnect.ThetaData/Models/Wrappers/StopwatchWrapper.cs
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,67 @@ | ||
| /* | ||
| * 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.Diagnostics; | ||
| using QuantConnect.Logging; | ||
| using QuantConnect.Lean.DataSource.ThetaData.Models.Common; | ||
|
|
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| namespace QuantConnect.Lean.DataSource.ThetaData.Models.Wrappers; | ||
|
|
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| /// <summary> | ||
| /// A utility class that conditionally starts a stopwatch for measuring execution time | ||
| /// when debugging is enabled. Implements <see cref="IDisposable"/> to ensure | ||
| /// automatic logging upon completion. | ||
| /// </summary> | ||
| public class StopwatchWrapper : IDisposable | ||
| { | ||
| private readonly Stopwatch? _stopwatch; | ||
| private readonly string _message; | ||
|
|
||
| /// <summary> | ||
| /// Initializes a new instance of the <see cref="StopwatchWrapper"/> class | ||
| /// and starts a stopwatch to measure execution time. | ||
| /// </summary> | ||
| /// <param name="message">A descriptive message to include in the log output.</param> | ||
| private StopwatchWrapper(string message) | ||
| { | ||
| _message = message; | ||
| _stopwatch = Stopwatch.StartNew(); | ||
| } | ||
|
|
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| /// <summary> | ||
| /// Starts a stopwatch if debugging is enabled and returns an appropriate disposable instance. | ||
| /// </summary> | ||
| /// <param name="message">A descriptive message to include in the log output.</param> | ||
| /// <returns> | ||
| /// A <see cref="StopwatchWrapper"/> instance if debugging is enabled, | ||
| /// otherwise a no-op <see cref="NullDisposable"/> instance. | ||
| /// </returns> | ||
| public static IDisposable? StartIfEnabled(string message) | ||
| { | ||
| return Log.DebuggingEnabled ? new StopwatchWrapper(message) : null; | ||
| } | ||
|
|
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| /// <summary> | ||
| /// Stops the stopwatch and logs the elapsed time if debugging is enabled. | ||
| /// </summary> | ||
| public void Dispose() | ||
| { | ||
| if (_stopwatch != null) | ||
| { | ||
| _stopwatch.Stop(); | ||
| Log.Debug($"{_message} completed in {_stopwatch.ElapsedMilliseconds} ms"); | ||
| } | ||
| } | ||
| } |
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