Historical Data

// Get the latest 3 data points of all the securities/datasets in the notebook, packaged into Slice objects.
var history = History(3);

# Get the latest 3 data points of all the securities/datasets in the notebook, packaged into Slice objects.
history = self.history(3)

public class CustomSecurityHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2014, 7, 10);
        // Add a custom dataset and save a reference to it's Symbol.
        var datasetSymbol = AddData<MyCustomDataType>("MyCustomDataType", Resolution.Daily).Symbol;
        // Get the trailing 5 days of MyCustomDataType data.
        var history = History<MyCustomDataType>(datasetSymbol, 5, Resolution.Daily);
    }
}

class CustomSecurityHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2014, 7, 10)
        # Add a custom dataset and save a reference to it's Symbol.
        dataset_symbol = self.add_data(MyCustomDataType, "MyCustomDataType", Resolution.DAILY).symbol
        # Get the trailing 5 days of MyCustomDataType data in DataFrame format.
        history = self.history(dataset_symbol, 5, Resolution.DAILY)

public class CustomDataUniverseHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2017, 7, 9);
        // Add a universe from a custom data source and save a reference to it.
        var universe = AddUniverse<StockDataSource>(
            "myStockDataSource", Resolution.Daily, data => data.Select(x => x.Symbol)
        );
        // Get the historical universe data over the last 5 days.
        var history = History(universe, TimeSpan.FromDays(5)).Cast<StockDataSource>().ToList();
        // Iterate through each day in the universe history and count the number of constituents.
        foreach (var stockData in history)
        {
            var t = stockData.Time;
            var size = stockData.Symbols.Count;
        }
    }
}

class CustomDataUniverseHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2017, 7, 9)
        # Add a universe from a custom data source and save a reference to it.
        universe = self.add_universe(
            StockDataSource, "my-stock-data-source", Resolution.DAILY, lambda data: [x.symbol for x in data]
        )
        # Get the historical universe data over the last 5 days in DataFrame format.
        history = self.history(universe, timedelta(5))