Add support for index historical data

QuantConnect · Jan 8, 2024 · 7e5f655 · 7e5f655
1 parent 7fa1fab
commit 7e5f655
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Showing 5 changed files with 72 additions and 8 deletions.
diff --git a/QuantConnect.Polygon.Tests/PolygonDataDownloaderTests.cs b/QuantConnect.Polygon.Tests/PolygonDataDownloaderTests.cs
@@ -57,6 +57,30 @@ public void DownloadsHistoricalData(Symbol symbol, Resolution resolution, TimeSp
             PolygonHistoryTests.AssertHistoricalDataResults(data, resolution);
         }
 
+        private static TestCaseData[] IndexHistoricalDataTestCases => PolygonHistoryTests.IndexHistoricalDataTestCases;
+
+        [TestCaseSource(nameof(IndexHistoricalDataTestCases))]
+        [Explicit("This tests require a Polygon.io api key, requires internet and are long.")]
+        public void DownloadsIndexHistoricalData(Resolution resolution, TimeSpan period, TickType tickType, bool shouldBeEmpy)
+        {
+            var symbol = Symbol.Create("SPX", SecurityType.Index, Market.USA);
+            var request = PolygonHistoryTests.CreateHistoryRequest(symbol, resolution, tickType, period);
+
+            var parameters = new DataDownloaderGetParameters(symbol, resolution, request.StartTimeUtc, request.EndTimeUtc, tickType);
+            var data = _downloader.Get(parameters).ToList();
+
+            Log.Trace("Data points retrieved: " + data.Count);
+
+            if (shouldBeEmpy)
+            {
+                Assert.That(data, Is.Empty);
+            }
+            else
+            {
+                PolygonHistoryTests.AssertHistoricalDataResults(data, resolution);
+            }
+        }
+
         [Test]
         [Explicit("This tests require a Polygon.io api key, requires internet and are long.")]
         public void DownloadsDataFromCanonicalOptionSymbol()

diff --git a/QuantConnect.Polygon.Tests/PolygonDataQueueHandlerIndicesTests.cs b/QuantConnect.Polygon.Tests/PolygonDataQueueHandlerIndicesTests.cs
@@ -38,7 +38,7 @@ public class PolygonDataQueueHandlerIndicesTests : PolygonDataQueueHandlerBaseTe
         [TestCase(Resolution.Hour, 3)]
         [Explicit("Tests are dependent on network and take long. " +
             "Also, this test will only pass if the subscribed securities are liquid enough to get data in the test run time.")]
-        public void StreamsDataForDifferentResolutions(Resolution resolution, int period)
+        public override void StreamsDataForDifferentResolutions(Resolution resolution, int period)
         {
             base.StreamsDataForDifferentResolutions(resolution, period);
         }

diff --git a/QuantConnect.Polygon.Tests/PolygonHistoryTests.cs b/QuantConnect.Polygon.Tests/PolygonHistoryTests.cs
@@ -120,6 +120,49 @@ internal static void AssertHistoricalDataResults(List<BaseData> history, Resolut
             }
         }
 
+        internal static TestCaseData[] IndexHistoricalDataTestCases
+        {
+            get
+            {
+                return new[]
+                {
+                    // Trades
+                    new TestCaseData(Resolution.Tick, TimeSpan.FromMinutes(5), TickType.Trade, true),   // Tick data is not available for indexes
+                    new TestCaseData(Resolution.Second, TimeSpan.FromMinutes(30), TickType.Trade, false),
+                    new TestCaseData(Resolution.Minute, TimeSpan.FromDays(15), TickType.Trade, false),
+                    new TestCaseData(Resolution.Hour, TimeSpan.FromDays(180), TickType.Trade, false),
+                    new TestCaseData(Resolution.Daily, TimeSpan.FromDays(3650), TickType.Trade, false),
+
+                    // Quotes: quote data is not available for indexes
+                    new TestCaseData(Resolution.Tick, TimeSpan.FromMinutes(5), TickType.Quote, true),
+                    new TestCaseData(Resolution.Second, TimeSpan.FromMinutes(5), TickType.Quote, true),
+                    new TestCaseData(Resolution.Minute, TimeSpan.FromMinutes(5), TickType.Quote, true),
+                    new TestCaseData(Resolution.Hour, TimeSpan.FromMinutes(5), TickType.Quote, true),
+                    new TestCaseData(Resolution.Daily, TimeSpan.FromMinutes(5), TickType.Quote, true),
+                };
+            }
+        }
+
+        [TestCaseSource(nameof(IndexHistoricalDataTestCases))]
+        [Explicit("This tests require a Polygon.io api key, requires internet and are long.")]
+        public void GetsIndexHistoricalData(Resolution resolution, TimeSpan period, TickType tickType, bool shouldBeEmpty)
+        {
+            var symbol = Symbol.Create("SPX", SecurityType.Index, Market.USA);
+            var requests = new List<HistoryRequest> { CreateHistoryRequest(symbol, resolution, tickType, period) };
+            var history = _historyProvider.GetHistory(requests, TimeZones.Utc).ToList();
+
+            Log.Trace("Data points retrieved: " + history.Count);
+
+            if (shouldBeEmpty)
+            {
+                Assert.That(history, Is.Empty);
+            }
+            else
+            {
+                AssertHistoricalDataResults(history.Select(x => x.AllData).SelectMany(x => x).ToList(), resolution, _historyProvider.DataPointCount);
+            }
+        }
+
         [Test]
         [Explicit("This tests require a Polygon.io api key, requires internet and are long.")]
         public void GetsSameBarCountForDifferentResponseLimits()

diff --git a/QuantConnect.Polygon/PolygonSymbolMapper.cs b/QuantConnect.Polygon/PolygonSymbolMapper.cs
@@ -51,7 +51,6 @@ public string GetBrokerageSymbol(Symbol symbol)
                             brokerageSymbol = ticker;
                             break;
 
-
                         case SecurityType.Index:
                             brokerageSymbol = $"I:{ticker}";
                             break;
@@ -208,18 +207,16 @@ private Symbol GetLeanOptionSymbol(string polygonSymbol)
             var underlying = IndexOptionSymbol.IsIndexOption(ticker)
                 ? Symbol.Create(IndexOptionSymbol.MapToUnderlying(ticker), SecurityType.Index, Market.USA)
                 : Symbol.Create(ticker, SecurityType.Equity, Market.USA);
-            var symbol = Symbol.CreateOption(underlying, ticker, Market.USA, OptionStyle.American, optionRight, strike, expirationDate);
 
-            return symbol;
+            return Symbol.CreateOption(underlying, ticker, Market.USA, OptionStyle.American, optionRight, strike, expirationDate);
         }
 
         /// <summary>
         /// Gets the Lean index symbol for the specified Polygon symbol
         /// </summary>
         private Symbol GetLeanIndexSymbol(string polygonSymbol)
         {
-            var symbol = Symbol.Create(polygonSymbol.Substring(2), SecurityType.Index, Market.USA);
-            return symbol;
+            return Symbol.Create(polygonSymbol.Substring(2), SecurityType.Index, Market.USA);
         }
     }
 }
diff --git a/QuantConnect.Polygon/PolygonWebSocketClientWrapper.cs b/QuantConnect.Polygon/PolygonWebSocketClientWrapper.cs
@@ -126,6 +126,8 @@ public void Subscribe(SubscriptionDataConfig config, out bool usingAggregates)
         /// </summary>
         private void TrySubscribe(string ticker, SubscriptionDataConfig config, out bool usingAggregates)
         {
+            usingAggregates = false;
+
             // We'll try subscribing assuming the highest subscription plan and work our way down if we get an error
             using var subscribedEvent = new ManualResetEventSlim(false);
             using var errorEvent = new ManualResetEventSlim(false);
@@ -193,8 +195,6 @@ void ProcessMessage(object? _, WebSocketMessage wsMessage)
                 throw new Exception($"PolygonWebSocketClientWrapper.Subscribe(): Failed to subscribe to {ticker}. " +
                     $"Make sure your subscription plan allows streaming {config.TickType.ToString().ToLowerInvariant()} data.");
             }
-
-            usingAggregates = false;
         }
 
         /// <summary>