/* * 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.Linq; namespace QuantConnect.Algorithm.CSharp.Benchmarks { public class HistoryRequestBenchmark : QCAlgorithm { private Symbol _symbol; public override void Initialize() { SetStartDate(2010, 01, 01); SetEndDate(2022, 01, 01); SetCash(10000); _symbol = AddEquity("SPY").Symbol; } public override void OnEndOfDay(Symbol symbol) { var minuteHistory = History(symbol, 60, Resolution.Minute); var lastHourHigh = minuteHistory.Select(minuteBar => minuteBar.High).DefaultIfEmpty(0).Max(); var dailyHistory = History(symbol, 1, Resolution.Daily).First(); var dailyHigh = dailyHistory.High; var dailyLow = dailyHistory.Low; var dailyOpen = dailyHistory.Open; } } }