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Fix open interest history requests times #34

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Fix open interest history requests times #34

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74 changes: 39 additions & 35 deletions Lean.DataSource.DerivativeUniverseGenerator/DerivativeUniverseGenerator.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -278,11 +278,12 @@ protected virtual string GetUniverseFileName(Symbol canonicalSymbol)
protected virtual bool TryGenerateAndWriteUnderlyingLine(Symbol underlyingSymbol, MarketHoursDatabase.Entry marketHoursEntry,
StreamWriter writer, out IDerivativeUniverseFileEntry entry, out List<Slice> history)
{
GetHistoryTimeRange(PriceHistoryResolutions[0], marketHoursEntry, out var historyEndUtc, out var historyStartUtc);
var historyType = typeof(TradeBar);
GetHistoryTimeRange(PriceHistoryResolutions[0], historyType, marketHoursEntry, out var startUtc, out var endUtc);
var underlyingHistoryRequest = new HistoryRequest(
historyStartUtc,
historyEndUtc,
typeof(TradeBar),
startUtc,
endUtc,
historyType,
underlyingSymbol,
PriceHistoryResolutions[0],
marketHoursEntry.ExchangeHours,
Expand All @@ -291,7 +292,7 @@ protected virtual bool TryGenerateAndWriteUnderlyingLine(Symbol underlyingSymbol
includeExtendedMarketHours: false,
isCustomData: false,
DataNormalizationMode.ScaledRaw,
LeanData.GetCommonTickTypeForCommonDataTypes(typeof(TradeBar), _securityType));
LeanData.GetCommonTickTypeForCommonDataTypes(historyType, _securityType));

entry = CreateUniverseEntry(underlyingSymbol);
history = GetHistory(new[] { underlyingHistoryRequest }, marketHoursEntry.ExchangeHours.TimeZone, marketHoursEntry);
Expand Down Expand Up @@ -319,13 +320,13 @@ private List<Slice> GetHistory(HistoryRequest[] historyRequests,

foreach (var resolution in PriceHistoryResolutions)
{
GetHistoryTimeRange(resolution, marketHoursEntry, out var historyEndUtc, out var historyStartUtc);

var resolutionHistoryRequests = historyRequests.Select(x =>
{
var request = new HistoryRequest(x, x.Symbol, historyStartUtc, historyEndUtc);
request.Resolution = resolution;
return request;
var resolutionHistoryRequests = historyRequests.Select(request =>
{
GetHistoryTimeRange(resolution, request.DataType, marketHoursEntry, out var startUtc, out var endUtc);
var newRequest = new HistoryRequest(request, request.Symbol, startUtc, endUtc);
newRequest.Resolution = resolution;
return newRequest;
}).ToArray();

history = _historyProvider.GetHistory(resolutionHistoryRequests, sliceTimeZone).ToList();
Expand All @@ -338,15 +339,17 @@ private List<Slice> GetHistory(HistoryRequest[] historyRequests,
return history;
}

private void GetHistoryTimeRange(Resolution resolution, MarketHoursDatabase.Entry marketHoursEntry,
out DateTime historyEndUtc, out DateTime historyStartUtc)
private void GetHistoryTimeRange(Resolution resolution, Type dataType, MarketHoursDatabase.Entry marketHoursEntry,
out DateTime startUtc, out DateTime endUtc)
{
historyEndUtc = resolution != Resolution.Daily ? _processingDate : _processingDate.AddDays(1);
historyStartUtc = Time.GetStartTimeForTradeBars(marketHoursEntry.ExchangeHours, historyEndUtc, resolution.ToTimeSpan(),
var end = resolution != Resolution.Daily || dataType == typeof(OpenInterest)
? _processingDate
: _processingDate.AddDays(1);
var start = Time.GetStartTimeForTradeBars(marketHoursEntry.ExchangeHours, end, resolution.ToTimeSpan(),
_historyBarCount, false, marketHoursEntry.DataTimeZone);

historyEndUtc = historyEndUtc.ConvertToUtc(marketHoursEntry.ExchangeHours.TimeZone);
historyStartUtc = historyStartUtc.ConvertToUtc(marketHoursEntry.ExchangeHours.TimeZone);
endUtc = end.ConvertToUtc(marketHoursEntry.ExchangeHours.TimeZone);
startUtc = start.ConvertToUtc(marketHoursEntry.ExchangeHours.TimeZone);
}

/// <summary>
Expand All @@ -363,8 +366,7 @@ protected virtual IEnumerable<IDerivativeUniverseFileEntry> GenerateDerivativeEn
Log.Debug($"Generating universe entry for {symbol.Value}");
}

GetHistoryTimeRange(PriceHistoryResolutions[0], marketHoursEntry, out var historyEndUtc, out var historyStartUtc);
var historyRequests = GetDerivativeHistoryRequests(symbol, historyStartUtc, historyEndUtc, marketHoursEntry);
var historyRequests = GetDerivativeHistoryRequests(symbol, marketHoursEntry);

IDerivativeUniverseFileEntry entry;
if (historyRequests == null || historyRequests.Length == 0)
Expand All @@ -384,23 +386,25 @@ protected virtual IEnumerable<IDerivativeUniverseFileEntry> GenerateDerivativeEn
/// <summary>
/// Creates the requests to get the data to be used to generate the universe entry for the given derivative symbol
/// </summary>
protected virtual HistoryRequest[] GetDerivativeHistoryRequests(Symbol symbol, DateTime startUtc, DateTime endUtc,
MarketHoursDatabase.Entry marketHoursEntry)
protected virtual HistoryRequest[] GetDerivativeHistoryRequests(Symbol symbol, MarketHoursDatabase.Entry marketHoursEntry)
{
var dataTypes = new[] { typeof(TradeBar), typeof(QuoteBar), typeof(OpenInterest) };
return dataTypes.Select(dataType => new HistoryRequest(
startUtc,
endUtc,
dataType,
symbol,
PriceHistoryResolutions[0],
marketHoursEntry.ExchangeHours,
marketHoursEntry.DataTimeZone,
null,
includeExtendedMarketHours: false,
isCustomData: false,
DataNormalizationMode.ScaledRaw,
LeanData.GetCommonTickTypeForCommonDataTypes(dataType, _securityType))).ToArray();
return new[] { typeof(TradeBar), typeof(QuoteBar), typeof(OpenInterest) }.Select(dataType =>
{
GetHistoryTimeRange(PriceHistoryResolutions[0], dataType, marketHoursEntry, out var startUtc, out var endUtc);
return new HistoryRequest(
startUtc,
endUtc,
dataType,
symbol,
PriceHistoryResolutions[0],
marketHoursEntry.ExchangeHours,
marketHoursEntry.DataTimeZone,
null,
includeExtendedMarketHours: false,
isCustomData: false,
DataNormalizationMode.ScaledRaw,
LeanData.GetCommonTickTypeForCommonDataTypes(dataType, _securityType));
}).ToArray();
}

/// <summary>
Expand Down
6 changes: 3 additions & 3 deletions Lean.DataSource.OptionsUniverseGenerator/OptionsUniverseGenerator.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -83,12 +83,12 @@ protected override Dictionary<Symbol, List<Symbol>> FilterSymbols(Dictionary<Sym
/// <summary>
/// Adds a request for the mirror option symbol to the base list of requests.
/// </summary>
protected override HistoryRequest[] GetDerivativeHistoryRequests(Symbol symbol, DateTime start, DateTime end, MarketHoursDatabase.Entry marketHoursEntry)
protected override HistoryRequest[] GetDerivativeHistoryRequests(Symbol symbol, MarketHoursDatabase.Entry marketHoursEntry)
{
var requests = base.GetDerivativeHistoryRequests(symbol, start, end, marketHoursEntry);
var requests = base.GetDerivativeHistoryRequests(symbol, marketHoursEntry);

var mirrorOptionSymbol = OptionsUniverseGeneratorUtils.GetMirrorOptionSymbol(symbol);
var mirrorOptionHistoryRequests = base.GetDerivativeHistoryRequests(mirrorOptionSymbol, start, end, marketHoursEntry);
var mirrorOptionHistoryRequests = base.GetDerivativeHistoryRequests(mirrorOptionSymbol, marketHoursEntry);

return requests.Concat(mirrorOptionHistoryRequests).ToArray();
}
Expand Down
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