QuantConnect / QuantConnect/Lean
Missing History Method Overloads
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depth
feature
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
QCAlgorithm.Historymethod hasintegerandTimeSpanoverloads that include aDataNormalizationModeparameter. These methods will be used to request scaled raw data (DataNormalizationMode.ScaledRaw).QCAlgorithm.Historymethod has an overload that returnsIEnumerable<Slice>for Python algorithms. These method allow us to requestSlicedata without the conversion topandas.Dataframe.
Actual Behavior
- To request
DataNormalizationMode.ScaledRawdata, we need to use the DateTime/DateTime overload that requires the start time of the history request. - We cannot get Slice data in Python algorithms, since the available overloads convert the data to pandas Dataframe.
Potential Solution
N/A
Checklist
- I have completely filled out this template
- I have confirmed that this issue exists on the current
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
- I have provided detailed steps to reproduce the issue
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start at the QCAlgorithm.History overloads and inspect how DataNormalizationMode and Python algorithm calls are exposed. Done means integer and TimeSpan overloads accept the requested normalization mode, and Python algorithms can request IEnumerable without conversion to a pandas DataFrame.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp, python
- Domain
- api
- Issue type
- Feature
- Difficulty
- 4/5
- Estimated time
- 3-5 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 42/100