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Handle missing daily index data #37

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Merged
Martin-Molinero merged 1 commit into from
Sep 17, 2025
Merged

Handle missing daily index data #37

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113 changes: 67 additions & 46 deletions Lean.DataSource.OptionsUniverseGenerator/IndexHistoryProvider.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -13,19 +13,20 @@
* limitations under the License.
*/

using System;
using NodaTime;
using RestSharp;
using Newtonsoft.Json;
using System.Threading;
using NodaTime;
using QuantConnect.Data;
using QuantConnect.Logging;
using QuantConnect.Data.Market;
using System.Collections.Generic;
using QuantConnect.Lean.Engine.DataFeeds;
using QuantConnect.Lean.Engine.HistoricalData;
using QuantConnect.Util;
using QuantConnect.Logging;
using QuantConnect.Securities;
using QuantConnect.Util;
using RestSharp;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Threading;

namespace QuantConnect.DataSource.OptionsUniverseGenerator
{
Expand Down Expand Up @@ -127,68 +128,88 @@ public IEnumerable<BaseData> GetHistory(HistoryRequest request)
var start = Time.DateTimeToUnixTimeStamp(request.StartTimeUtc);
var end = Time.DateTimeToUnixTimeStamp(request.EndTimeUtc);

// let's retry on failure
const int maxRetries = 10;
for (var retryCount = 0; retryCount <= maxRetries; retryCount++)
foreach (var interval in new[] { "1d", "1m" })
{
if (retryCount > 0)
{
Thread.Sleep(2 * Time.OneSecond);
Log.Trace($"IndexHistoryProvider.GetHistory(): Retry attempt {retryCount}/{maxRetries} for " +
$"{request.Symbol}-{request.Resolution}-{request.TickType}.");
}

var restRequest = new RestRequest($"chart/{symbol}");
restRequest.AddQueryParameter("period1", start.ToString());
restRequest.AddQueryParameter("period2", end.ToString());
restRequest.AddQueryParameter("interval", "1d");
restRequest.AddQueryParameter("includePrePost", request.IncludeExtendedMarketHours.ToString());

try
// let's retry on failure
const int maxRetries = 5;
for (var retryCount = 0; retryCount <= maxRetries; retryCount++)
{
var response = _restClient.Get(restRequest);
if (response.StatusCode != System.Net.HttpStatusCode.OK)
if (retryCount > 0)
{
Log.Error($"IndexHistoryProvider.GetHistory(): Failed to get history for {symbol}. Status code: {response.StatusCode}.");
continue;
Thread.Sleep((2 + retryCount) * Time.OneSecond);
Log.Trace($"IndexHistoryProvider.GetHistory(): Retry attempt {retryCount}/{maxRetries} for " +
$"{request.Symbol}-{request.Resolution}-{request.TickType}.");
}

var content = response.Content;
var restRequest = new RestRequest($"chart/{symbol}");
restRequest.AddQueryParameter("period1", start.ToString());
restRequest.AddQueryParameter("period2", end.ToString());
restRequest.AddQueryParameter("interval", interval);
restRequest.AddQueryParameter("includePrePost", request.IncludeExtendedMarketHours.ToString());

// Log the response content for debugging purposes
Log.Trace($"IndexHistoryProvider.GetHistory(): Response content for {request.Symbol}-{request.Resolution}-{request.TickType}: {content}");

var indexPrices = JsonConvert.DeserializeObject<YahooFinanceIndexPrices>(content);
if (indexPrices == null)
try
{
var response = _restClient.Get(restRequest);
if (response.StatusCode != System.Net.HttpStatusCode.OK)
{
Log.Error($"IndexHistoryProvider.GetHistory(): Failed to get history for {symbol}. Status code: {response.StatusCode}.");
continue;
}

var content = response.Content;

// Log the response content for debugging purposes
Log.Trace($"IndexHistoryProvider.GetHistory(): Response content for {request.Symbol}-{request.Resolution}-{request.TickType}: {content}");

var indexPrices = JsonConvert.DeserializeObject<YahooFinanceIndexPrices>(content);
if (indexPrices == null)
{
Log.Error($"IndexHistoryProvider.GetHistory(): Failed to deserialize response for {symbol}.");
continue;
}
// to catch any failure in the data and retry we need to yield it
var result = ParseHistory(request.Symbol, indexPrices, request.ExchangeHours, interval);
if (interval == "1m")
{
result = result.Where(x => request.ExchangeHours.IsOpen(x.Time, x.EndTime, extendedMarketHours: false));
result = LeanData.AggregateTradeBars(result, request.Symbol, Time.OneDay);
}

foreach (var point in result)
{
if (_useDailyPreciseEndTime)
{
var calendar = LeanData.GetDailyCalendar(point.EndTime, request.ExchangeHours, false);
point.Time = calendar.Start;
point.EndTime = calendar.End;
}
}
return result.ToList();
}
catch (Exception exception)
{
Log.Error($"IndexHistoryProvider.GetHistory(): Failed to deserialize response for {symbol}.");
Log.Error($"IndexHistoryProvider.GetHistory(): Failed to parse response for {symbol}. Exception: {exception}");
continue;
}
return ParseHistory(request.Symbol, indexPrices, request.ExchangeHours);
}
catch (Exception exception)
{
Log.Error($"IndexHistoryProvider.GetHistory(): Failed to parse response for {symbol}. Exception: {exception}");
continue;
}
}
return null;
}

private IEnumerable<BaseData> ParseHistory(Symbol symbol, YahooFinanceIndexPrices indexPrices, SecurityExchangeHours exchange)
private IEnumerable<TradeBar> ParseHistory(Symbol symbol, YahooFinanceIndexPrices indexPrices, SecurityExchangeHours exchange, string interval)
{
for (int i = 0; i < indexPrices.Timestamps.Count; i++)
for (var i = 0; i < indexPrices.Timestamps.Count; i++)
{
DateTime endTime;
var time = Time.UnixTimeStampToDateTime(indexPrices.Timestamps[i]).ConvertFromUtc(exchange.TimeZone);
var endTime = DateTime.MaxValue;
if (!_useDailyPreciseEndTime)
if (interval == "1d")
{
time = time.Date;
endTime = time.AddDays(1);
}
else
{
endTime = LeanData.GetNextDailyEndTime(symbol, time, exchange);
endTime = time.AddMinutes(1);
}

var open = indexPrices.OpenPrices[i];
Expand Down
4 changes: 2 additions & 2 deletions QuantConnect.DataSource.DerivativeUniverseGeneratorTests/IndexHistoryProviderTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -42,8 +42,8 @@ public void GetsDailyHistory(string ticker)
var marketHoursEntry = MarketHoursDatabase.FromDataFolder().GetEntry(symbol.ID.Market, symbol, symbol.SecurityType);

var request = new HistoryRequest(
new DateTime(2024, 01, 08, 13, 30, 0),
new DateTime(2024, 02, 08, 13, 30, 0),
new DateTime(2025, 9, 16, 0, 0, 0),
new DateTime(2025, 9, 17, 0, 0, 0),
typeof(TradeBar),
symbol,
Resolution.Daily,
Expand Down
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