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Really enjoying the platform so far!
Is there a way to get trade tick history using the History function? What is the return value in that case?
Currently I am using OnData to process but taking a lot of time to warm up and hoping History calls will be more efficient.
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Jing Wu
You can request the tick history for example
hist = self.History(["SPY"], timedelta(seconds=2), Resolution.Tick)
hist returns a multi-index dataframe. hist.loc["SPY"] returns a simple dataframe with columns "time", "lastprice", "quantity", "exchange".
Different from the history request of other resolutions, the time index of tick history is not unique because a single second can contains a few tick values.
Oren Elias
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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