Pulling History with fillForward parameter from Python

Here are logs for clarity:

2022-02-14 04:00:00 :	1 failed: No method matches given arguments for History: (<class 'QuantConnect.Symbol'>, <class 'datetime.datetime'>, <class 'datetime.datetime'>, <class 'int'>, <class 'bool'>, <class 'bool'>)
2022-02-14 04:00:00 :	2 failed: No method matches given arguments for History: (<class 'QuantConnect.Symbol'>, <class 'datetime.datetime'>, <class 'datetime.datetime'>, <class 'int'>)
2022-02-14 04:00:00 :	QuantConnect.Util.MemoizingEnumerable`1[QuantConnect.Data.Slice]
2022-02-14 04:00:00 :	QuantConnect.Util.MemoizingEnumerable`1[QuantConnect.Data.Slice]
2022-02-14 04:00:00 :	5 failed: No method matches given arguments for History: (<class 'QuantConnect.Symbol'>, <class 'int'>, <class 'int'>, <class 'bool'>, <class 'bool'>)
2022-02-14 04:00:00 :	6 failed: No method matches given arguments for History: (<class 'list'>, <class 'int'>, <class 'int'>, <class 'bool'>, <class 'bool'>)
2022-02-14 04:00:00 :	7 failed: No method matches given arguments for History: (<class 'QuantConnect.Symbol'>, <class 'int'>, <class 'int'>)
2022-02-14 04:00:00 :	8 failed: No method matches given arguments for History: (<class 'list'>, <class 'int'>, <class 'int'>)
2022-02-14 04:00:00 :	9 failed: No method matches given arguments for History: (<class 'QuantConnect.Symbol'>, <class 'datetime.timedelta'>, <class 'int'>)
2022-02-14 04:00:00 :	10 failed: No method matches given arguments for History: (<class 'list'>, <class 'datetime.timedelta'>, <class 'int'>)
2022-02-14 04:00:00 :	11 failed: No method matches given arguments for History: (<class 'QuantConnect.Symbol'>, <class 'datetime.timedelta'>, <class 'int'>, <class 'bool'>, <class 'bool'>)
2022-02-14 04:00:00 :	12 failed: No method matches given arguments for History: (<class 'list'>, <class 'datetime.timedelta'>, <class 'int'>, <class 'bool'>, <class 'bool'>)

Hi Yuri Lopukhov ,

QCAlgorithm has only one method overload for History that includes the option to select a different fill forward and extended market hours and it returns an IEnumerable<Slice>, not a pandas DataFrame.
I have created an issue to add this feature:
No History Method Overload For Python that Accepts Fill Forward and Extended Market Hours Arguments #6211

Most of the overloads, both in C# and Python, don't accept these parameters, so we need to use:

slices = self.History([self.spy], self.Time-timedelta(1), self.Time, Resolution.Minute, True, True)

Please note that the start date must be earlier than the end date unlike we can see in your algorithm.

The workaround to issue #6211 is using the PandasConverter:

df = self.PandasConverter.GetDataFrame(slices)

Note that if we make a historical data request of Hour or Daily resolution, it will not include extended market hours. In this case, the history request reads files that don't include data from these periods.

One possible solution is to use consolidators to update a RollingWindow or a list of TradeBar and convert them into a pandas DataFrame using the same method.

df = self.PandasConverter.GetDataFrame(window)

Best regards,
Alex

Thank you, that's very helpful.