Historical Data

public class USEquityFundamentalUniverseHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 23);
        // Add a universe of US Equities based on the Fundamentals dataset.
        var universe = AddUniverse(fundamentals => fundamentals.Select(f => f.Symbol));
        // Get 5 days of history for the universe.
        var history = History(universe, TimeSpan.FromDays(5));
        // Iterate through each day of the universe history.
        foreach (var fundamentals in history)
        {
            // Iterate through each asset in the universe on this day and access its data point attributes.
            foreach (Fundamental f in fundamentals)
            {
                var symbol = f.Symbol;
                var t = f.EndTime;
                var peRatio = f.ValuationRatios.PERatio;
            }
        }
    }
}

class USEquityFundamentalUniverseHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 23)
        # Add a universe of US Equities based on the Fundamentals dataset.
        universe = self.add_universe(lambda fundamentals: [f.symbol for f in fundamentals])
        # Get 5 days of history for the universe.
        history = self.history(universe, timedelta(5), flatten=True)

public class ETFConstituentUniverseHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 23);
        // Add a universe of US Equities based on the constituents of an ETF.
        var universe = AddUniverse(Universe.ETF("SPY");
        // Get 5 days of history for the universe.
        var history = History(universe, TimeSpan.FromDays(5));
        // Iterate through each day of the universe history.
        foreach (var constituents in history)
        {
            // Select the 2 assets with the smallest weights in the ETF on this day.
            var dailyLargest = constituents.Select(c => c as ETFConstituentData).OrderBy(c => c.Weight).Take(2);
        }
    }
}

class ETFConstituentUniverseHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 23)
        # Add a universe of US Equities based on the constituents of an ETF.
        universe = self.add_universe(self.universe.etf('SPY'))
        # Get 5 days of history for the universe.
        history = self.history(universe, timedelta(5), flatten=True)