Skip to content

Replace RestSharp with built in HttpClient #38

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
jhonabreul merged 2 commits into from
Dec 8, 2025
Merged

Replace RestSharp with built in HttpClient #38

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
c58d18c
Replace RestSharp with built in HttpClient
jhonabreul Dec 3, 2025
f69e1d1
Minor fixes and cleanup
jhonabreul Dec 4, 2025
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
32 changes: 19 additions & 13 deletions Lean.DataSource.OptionsUniverseGenerator/IndexHistoryProvider.cs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -22,11 +22,13 @@
using QuantConnect.Logging;
using QuantConnect.Securities;
using QuantConnect.Util;
using RestSharp;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Net;
using System.Net.Http;
using System.Threading;
using System.Web;

namespace QuantConnect.DataSource.OptionsUniverseGenerator
{
Expand All @@ -39,9 +41,13 @@ public partial class IndexHistoryProvider : SynchronizingHistoryProvider
private bool _resolutionLog;
private bool _dataTypeLog;
private bool _useDailyPreciseEndTime;
private readonly static string YahooFinanceApiUrl = "https://query1.finance.yahoo.com/v8/finance";
private readonly static string YahooFinanceApiUrl = "https://query1.finance.yahoo.com/";
private readonly static string BaseUri = "v8/finance";

private readonly RestClient _restClient = new(YahooFinanceApiUrl);
private readonly HttpClient _httpClient = new HttpClient
{
BaseAddress = new Uri(YahooFinanceApiUrl),
};

/// <summary>
/// Initializes this history provider to work for the specified job
Expand All @@ -51,6 +57,7 @@ public override void Initialize(HistoryProviderInitializeParameters parameters)
{
_useDailyPreciseEndTime = parameters.AlgorithmSettings.DailyPreciseEndTime;
AlgorithmSettings = parameters.AlgorithmSettings;
_httpClient.DefaultRequestHeaders.Add("User-Agent", "C#/HttpClient");
}

/// <summary>
Expand Down Expand Up @@ -141,23 +148,22 @@ public IEnumerable<BaseData> GetHistory(HistoryRequest request)
$"{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", interval);
restRequest.AddQueryParameter("includePrePost", request.IncludeExtendedMarketHours.ToString());
var query = HttpUtility.ParseQueryString(string.Empty);
query["period1"] = start.ToString();
query["period2"] = end.ToString();
query["interval"] = interval;
query["includePrePost"] = request.IncludeExtendedMarketHours.ToString();

var uri = $"{BaseUri}/chart/{symbol}?{query}";

try
{
var response = _restClient.Get(restRequest);
if (response.StatusCode != System.Net.HttpStatusCode.OK)
if (!_httpClient.TryDownloadData(uri, out var content, out var statusCode))
{
Log.Error($"IndexHistoryProvider.GetHistory(): Failed to get history for {symbol}. Status code: {response.StatusCode}.");
Log.Error($"IndexHistoryProvider.GetHistory(): Failed to get history for {symbol}. Status code: {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}");

Expand Down
29 changes: 22 additions & 7 deletions ...Connect.DataSource.DerivativeUniverseGeneratorTests/ImpliedVolatilityInterpolatorTests.cs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -30,8 +30,9 @@ namespace QuantConnect.DataSource.DerivativeUniverseGeneratorTests
public class ImpliedVolatilityInterpolatorTests
{
private const string _testFile = "TestData/test.csv";
private const string _sidHeader = "#symbol_id";
private const string _tickerHeader = "symbol_value";
private const string _expiryHeader = "#expiry";
private const string _strikeHeader = "strike";
private const string _rightHeader = "right";
private const string _priceHeader = "close";
private const string _ivHeader = "implied_volatility";
private const int _validCount = 236;
Expand All @@ -45,26 +46,35 @@ public void SetUp()
{
var lines = File.ReadAllLines(_testFile);
var headers = lines[0].Split(',');
var sidIndex = Array.IndexOf(headers, _sidHeader);
var tickerIndex = Array.IndexOf(headers, _tickerHeader);
var expiryIndex = Array.IndexOf(headers, _expiryHeader);
var strikeIndex = Array.IndexOf(headers, _strikeHeader);
var rightIndex = Array.IndexOf(headers, _rightHeader);
var priceIndex = Array.IndexOf(headers, _priceHeader);
var ivIndex = Array.IndexOf(headers, _ivHeader);

var underlying = lines[1].Split(',');
var undSymbol = new Symbol(SecurityIdentifier.Parse(underlying[sidIndex]), underlying[tickerIndex]);
var undSymbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
var underlyingPrice = decimal.Parse(underlying[priceIndex]);

_data = lines.Skip(2)
.Select(line =>
{
var items = line.Split(',');
var symbol = new Symbol(SecurityIdentifier.Parse(items[sidIndex]), items[tickerIndex]);
var expiry = DateTime.ParseExact(items[expiryIndex], "yyyyMMdd", null);
var strike = decimal.Parse(items[strikeIndex]);
var right = items[rightIndex] == "C" ? OptionRight.Call : OptionRight.Put;

var symbol = Symbol.CreateOption(undSymbol, null, undSymbol.ID.Market,
undSymbol.SecurityType.DefaultOptionStyle(), right, strike, expiry);

var entry = new OptionUniverseEntry(symbol);
entry.Close = decimal.Parse(items[priceIndex]);
return entry;
})
.ToList();

var valids = 0;

foreach (var entry in _data)
{
var mirrorSymbol = OptionsUniverseGeneratorUtils.GetMirrorOptionSymbol(entry.Symbol);
Expand All @@ -77,6 +87,11 @@ public void SetUp()
greeks.Update(new TradeBar { Symbol = undSymbol, EndTime = _currentDate, Close = underlyingPrice });

entry.SetGreeksIndicators(greeks);

if (entry.ImpliedVolatility != null && entry.ImpliedVolatility.Value != 0m)
{
valids++;
}
}

_interpolator = new TestImpliedVolatilityInterpolator(_currentDate, _data, underlyingPrice, _validCount);
Expand All @@ -96,7 +111,7 @@ public void IvInterpolationAndGreeksGenerationTest()

Assert.Greater(interpolatedIv, 0m); // domain of IV :-> (0, inf]

var greekIndicator = _interpolator.GetUpdatedGreeksIndicators(symbol, interpolatedIv, OptionPricingModelType.BlackScholes,
var greekIndicator = _interpolator.GetUpdatedGreeksIndicators(symbol, interpolatedIv, OptionPricingModelType.BlackScholes,
OptionPricingModelType.BlackScholes);
var greeks = greekIndicator.GetGreeks();

Expand Down
Loading
Loading