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I'm having problems getting historical data when running the BasicTemplateFuturesHistoryAlgorithm.
I'm using the '"live-interactive" config
Realtime quotes work fine, but history always returns 0 records when i run the examaple
I'm able to get the data from IB in other ways so must be something to do with my config in some way. Any ideas appreciated.
public override void OnSecuritiesChanged ( SecurityChanges changes ) {
foreach ( var change in changes.AddedSecurities ) {
var history = History ( change.Symbol, 10, Resolution.Minute );
foreach ( var data in history.OrderByDescending ( x => x.Time ).Take ( 3 ) ) {
Log ( "History: " + data.Symbol.Value + ": " + data.Time + " > " + data.Close );
}
}
}
ScalpTrader
Debugged a bit and it seems that IB actually returns the history data correctly in the method GetHistory ( HistoryRequest request ) but the following code is filtering out the bars so they never get sent back to the user.
foreach (var bar in history.Where(bar => bar.Time >= requestStartTime && bar.EndTime <= requestEndTime)) { yield return bar; }ScalpTrader
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