{
    "cells": [
        {
            "cell_type": "markdown",
            "metadata": {},
            "source": [ "![QuantConnect Logo](https://cdn.quantconnect.com/web/i/icon.png)\n", "<hr>" ]
        },
        {
            "cell_type": "markdown",
            "metadata": {},
            "source": [ "# Custom data history" ]
        },
        {
            "cell_type": "code",
            "execution_count": 1,
            "metadata": { "vscode": { "languageId": "csharp" } },
            "outputs": [],
            "source": [ "// We need to load assemblies at the start in their own cell\n", "#load \"./Initialize.csx\"" ]
        },
        {
            "cell_type": "code",
            "execution_count": 8,
            "metadata": { "vscode": { "languageId": "csharp" } },
            "outputs": [],
            "source": [ "// Initialize Lean Engine.\n", "#load \"./QuantConnect.csx\"\n", "\n", "using System.Globalization;\n", "using System.Linq;\n", "using QuantConnect;\n", "using QuantConnect.Data;\n", "using QuantConnect.Algorithm;\n", "using QuantConnect.Research;" ]
        },
        {
            "cell_type": "code",
            "execution_count": 9,
            "metadata": { "vscode": { "languageId": "csharp" } },
            "outputs": [],
            "source": [ "class CustomDataType : DynamicData\n", "{\n", "    public decimal Open;\n", "    public decimal High;\n", "    public decimal Low;\n", "    public decimal Close;\n", "\n", "    public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)\n", "    {\n", "        var source = \"https://www.dl.dropboxusercontent.com/s/d83xvd7mm9fzpk0/path_to_my_csv_data.csv?dl=0\";\n", "        return new SubscriptionDataSource(source, SubscriptionTransportMedium.RemoteFile);\n", "    }\n", "\n", "    public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)\n", "    {\n", "        if (string.IsNullOrWhiteSpace(line.Trim()))\n", "        {\n", "            return null;\n", "        }\n", "\n", "        try\n", "        {\n", "            var csv = line.Split(\",\");\n", "            var data = new CustomDataType()\n", "            {\n", "                Symbol = config.Symbol,\n", "                Time = DateTime.ParseExact(csv[0], DateFormat.DB, CultureInfo.InvariantCulture).AddHours(20),\n", "                Value = csv[4].ToDecimal(),\n", "                Open = csv[1].ToDecimal(),\n", "                High = csv[2].ToDecimal(),\n", "                Low = csv[3].ToDecimal(),\n", "                Close = csv[4].ToDecimal()\n", "            };\n", "\n", "            return data;\n", "        }\n", "        catch\n", "        {\n", "            return null;\n", "        }\n", "    }\n", "}" ]
        },
        {
            "cell_type": "code",
            "execution_count": 11,
            "metadata": { "vscode": { "languageId": "csharp" } },
            "outputs": [],
            "source": [ "var qb = new QuantBook();\n", "var symbol = qb.AddData<CustomDataType>(\"CustomDataType\", Resolution.Hour).Symbol;\n", "\n", "var start = new DateTime(2017, 8, 20);\n", "var end = start.AddHours(48);\n", "var history = qb.History<CustomDataType>(symbol, start, end, Resolution.Hour).ToList();\n", "\n", "if (history.Count == 0)\n", "{\n", "    throw new Exception(\"No history data returned\");\n", "}" ]
        }
    ],
    "metadata": {
        "kernelspec": {
            "display_name": ".NET (C#)",
            "language": "C#",
            "name": ".net-csharp"
        },
        "language_info": {
            "file_extension": ".cs",
            "mimetype": "text/x-csharp",
            "name": "C#",
            "pygments_lexer": "csharp",
            "version": "9.0"
        }
    },
    "nbformat": 4,
    "nbformat_minor": 2
}