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QuantConnect · Jan 16, 2025 · 56c19f1 · 56c19f1
1 parent 7b2d0e0
commit 56c19f1
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Showing 3 changed files with 21 additions and 22 deletions.
diff --git a/Algorithm.Python/HistoryAlgorithm.py b/Algorithm.Python/HistoryAlgorithm.py
@@ -61,7 +61,7 @@ def initialize(self):
         # get the historical data from last current day to this current day in minute resolution
         # with Extended Market option
         interval_bar_history = self.history(["SPY"], self.time - timedelta(1), self.time, Resolution.MINUTE, False, True)
-        self.assert_history_count("History([\"SPY\"], self.time - timedelta(1), self.time, Resolution.MINUTE, False, True)", interval_bar_history, 828)
+        self.assert_history_count("History([\"SPY\"], self.time - timedelta(1), self.time, Resolution.MINUTE, False, True)", interval_bar_history, 919)
 
         # get the historical data from last current day to this current day in minute resolution
         # with Fill Forward option

diff --git a/Algorithm/QCAlgorithm.History.cs b/Algorithm/QCAlgorithm.History.cs
@@ -1097,10 +1097,12 @@ private IEnumerable<SubscriptionDataConfig> GetMatchingSubscriptions(Symbol symb
 
 
                     // If no existing configuration for the Quote tick type, add the new config
-                    if (!configs.Any(config => config.TickType == TickType.Quote) && type == null)
+                    if (type == null && !configs.Any(config => config.TickType == TickType.Quote))
                     {
                         type = LeanData.GetDataType(resolution.Value, TickType.Quote);
                         var entry = MarketHoursDatabase.GetEntry(symbol, new[] { type });
+                        var baseFillForward = configs[0].FillDataForward;
+                        var baseExtendedMarketHours = configs[0].ExtendedMarketHours;
 
                         // Create a new SubscriptionDataConfig
                         var newConfig = new SubscriptionDataConfig(
@@ -1109,14 +1111,14 @@ private IEnumerable<SubscriptionDataConfig> GetMatchingSubscriptions(Symbol symb
                             resolution.Value,
                             entry.DataTimeZone,
                             entry.ExchangeHours.TimeZone,
-                            UniverseSettings.FillForward,
-                            UniverseSettings.ExtendedMarketHours,
+                            baseFillForward,
+                            baseExtendedMarketHours,
                             false, tickType: TickType.Quote);
 
                         configs.Add(newConfig);
 
                         // Sort the configs in descending order based on tick type
-                        configs = configs.OrderByDescending(config => GetTickTypeOrder(config.SecurityType, config.TickType)).ToList();
+                        return configs.OrderByDescending(config => GetTickTypeOrder(config.SecurityType, config.TickType));
                     }
                 }
 

diff --git a/Tests/Algorithm/AlgorithmHistoryTests.cs b/Tests/Algorithm/AlgorithmHistoryTests.cs
@@ -331,38 +331,35 @@ public void ExplicitTickResolutionHistoryRequestTradeBarApiThrowsException()
         public void VerifyReceivedDataBasedOnHistoryResolutionOnly(Resolution historyResolution, Resolution equityResolution, bool expected)
         {
             var algorithm = GetAlgorithm(new DateTime(2013, 10, 1));
-            algorithm.SetStartDate(2013, 10, 10);
+            algorithm.SetStartDate(2013, 10, 8);
             var spy = algorithm.AddEquity("SPY", Resolution.Minute).Symbol;
             var ibm = algorithm.AddEquity("IBM", equityResolution).Symbol;
 
-            // Retrieving history for both symbols based on the given resolution
-            var history = algorithm.History(new[] { spy, ibm }, TimeSpan.FromDays(1), historyResolution);
-            var allHistory = history.SelectMany(slice => slice.AllData).ToList();
-
             // Flags to check if there's Quote data for SPY and IBM
             var spyFlag = false;
             var ibmFlag = false;
 
             // If the history resolution is Tick, check for Quote-type ticks
             if (historyResolution == Resolution.Tick)
             {
+                var start = new DateTime(2013, 10, 7, 15, 0, 0);
+                var allHistory = algorithm.History(new[] { spy, ibm }, start, start.AddSeconds(5), historyResolution).SelectMany(slice => slice.AllData);
+                // Filter the data to get only the Quote-type ticks
                 var ticks = allHistory.OfType<Tick>().Where(e => e.TickType == TickType.Quote).ToList();
                 spyFlag = ticks.Any(e => e.Symbol == spy);
                 ibmFlag = ticks.Any(e => e.Symbol == ibm);
+            } else
+            {
+                var allHistory = algorithm.History(new[] { spy, ibm }, TimeSpan.FromDays(1), historyResolution).SelectMany(slice => slice.AllData).ToList();
+                // Checking for QuoteBar data for SPY and IBM
+                var quoteBars = allHistory.Where(e => e.DataType == MarketDataType.QuoteBar).ToList();
+                spyFlag |= quoteBars.Any(e => e.Symbol == spy);
+                ibmFlag |= quoteBars.Any(e => e.Symbol == ibm);
             }
 
-            // Checking for QuoteBar data for SPY and IBM
-            var quoteBars = allHistory.Where(e => e.DataType == MarketDataType.QuoteBar).ToList();
-            spyFlag |= quoteBars.Any(e => e.Symbol == spy);
-            ibmFlag |= quoteBars.Any(e => e.Symbol == ibm);
-            // Verifying that both symbols have Quote data based on the history resolution
-            bool bothSymbolsHaveQuotes = spyFlag & ibmFlag;
-
-            // Ensure history contains data
-            Assert.IsTrue(allHistory.Count > 0);
-
-            // Asserting that the result matches the expected outcome
-            Assert.AreEqual(expected, bothSymbolsHaveQuotes);
+            // Assert that the flags match the expected value
+            Assert.AreEqual(expected, spyFlag);
+            Assert.AreEqual(expected, ibmFlag);
         }
 
         [Test]