Revert "Fix warming up bug in Stochastic indicator (#8422)" (#8430)

This reverts commit 312392d.
QuantConnect · Nov 29, 2024 · 93ce625 · 93ce625
1 parent 312392d
commit 93ce625
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Showing 3 changed files with 8 additions and 267 deletions.
diff --git a/Algorithm.CSharp/StochasticIndicatorWarmsUpProperlyRegressionAlgorithm.cs b/Algorithm.CSharp/StochasticIndicatorWarmsUpProperlyRegressionAlgorithm.cs
diff --git a/Algorithm.Python/StochasticIndicatorWarmsUpProperlyRegressionAlgorithm.py b/Algorithm.Python/StochasticIndicatorWarmsUpProperlyRegressionAlgorithm.py
diff --git a/Algorithm/QCAlgorithm.Indicators.cs b/Algorithm/QCAlgorithm.Indicators.cs
@@ -3092,7 +3092,7 @@ public void WarmUpIndicator(IEnumerable<Symbol> symbols, IndicatorBase<Indicator
         [DocumentationAttribute(Indicators)]
         public void WarmUpIndicator(Symbol symbol, IndicatorBase<IndicatorDataPoint> indicator, TimeSpan period, Func<IBaseData, decimal> selector = null)
         {
-            var history = GetIndicatorWarmUpHistory(symbol, indicator, period, out var identityConsolidator, out var historyRequest);
+            var history = GetIndicatorWarmUpHistory(new[] { symbol }, indicator, period, out var identityConsolidator);
             if (history == Enumerable.Empty<Slice>()) return;
 
             // assign default using cast
@@ -3104,7 +3104,7 @@ public void WarmUpIndicator(Symbol symbol, IndicatorBase<IndicatorDataPoint> ind
                 indicator.Update(input);
             };
 
-            WarmUpIndicatorImpl(symbol, period, onDataConsolidated, history, identityConsolidator, historyRequest);
+            WarmUpIndicatorImpl(symbol, period, onDataConsolidated, history, identityConsolidator);
         }
 
         /// <summary>
@@ -3152,7 +3152,7 @@ public void WarmUpIndicator<T>(IEnumerable<Symbol> symbols, IndicatorBase<T> ind
         public void WarmUpIndicator<T>(Symbol symbol, IndicatorBase<T> indicator, TimeSpan period, Func<IBaseData, T> selector = null)
             where T : class, IBaseData
         {
-            var history = GetIndicatorWarmUpHistory(symbol, indicator, period, out var identityConsolidator, out var historyRequest);
+            var history = GetIndicatorWarmUpHistory(new[] { symbol }, indicator, period, out var identityConsolidator);
             if (history == Enumerable.Empty<Slice>()) return;
 
             // assign default using cast
@@ -3164,14 +3164,12 @@ public void WarmUpIndicator<T>(Symbol symbol, IndicatorBase<T> indicator, TimeSp
                 indicator.Update(selector(bar));
             };
 
-            WarmUpIndicatorImpl(symbol, period, onDataConsolidated, history, identityConsolidator, historyRequest);
+            WarmUpIndicatorImpl(symbol, period, onDataConsolidated, history, identityConsolidator);
         }
 
-        private IEnumerable<Slice> GetIndicatorWarmUpHistory(Symbol symbol, IIndicator indicator, TimeSpan timeSpan, out bool identityConsolidator, out HistoryRequest historyRequest)
+        private IEnumerable<Slice> GetIndicatorWarmUpHistory(IEnumerable<Symbol> symbols, IIndicator indicator, TimeSpan timeSpan, out bool identityConsolidator)
         {
             identityConsolidator = false;
-            historyRequest = null;
-
             if (!AssertIndicatorHasWarmupPeriod(indicator))
             {
                 return Enumerable.Empty<Slice>();
@@ -3191,10 +3189,7 @@ private IEnumerable<Slice> GetIndicatorWarmUpHistory(Symbol symbol, IIndicator i
 
                 try
                 {
-                    var symbols = new[] { symbol };
-                    CheckPeriodBasedHistoryRequestResolution(symbols, resolution, null);
-                    historyRequest = CreateBarCountHistoryRequests(symbols, periods, resolution, dataNormalizationMode: GetIndicatorHistoryDataNormalizationMode(indicator)).Single();
-                    return GetSlicesFromHistoryRequests(historyRequest);
+                    return History(symbols, periods, resolution, dataNormalizationMode: GetIndicatorHistoryDataNormalizationMode(indicator));
                 }
                 catch (ArgumentException e)
                 {
@@ -3204,11 +3199,6 @@ private IEnumerable<Slice> GetIndicatorWarmUpHistory(Symbol symbol, IIndicator i
             return Enumerable.Empty<Slice>();
         }
 
-        private IEnumerable<Slice> GetSlicesFromHistoryRequests(HistoryRequest historyRequest)
-        {
-            return History(historyRequest).Memoize();
-        }
-
         private bool AssertIndicatorHasWarmupPeriod(IIndicator indicator)
         {
             if (indicator is not IIndicatorWarmUpPeriodProvider)
@@ -3225,7 +3215,7 @@ private bool AssertIndicatorHasWarmupPeriod(IIndicator indicator)
             return true;
         }
 
-        private void WarmUpIndicatorImpl<T>(Symbol symbol, TimeSpan period, Action<T> handler, IEnumerable<Slice> history, bool identityConsolidator, HistoryRequest historyRequest)
+        private void WarmUpIndicatorImpl<T>(Symbol symbol, TimeSpan period, Action<T> handler, IEnumerable<Slice> history, bool identityConsolidator)
             where T : class, IBaseData
         {
             IDataConsolidator consolidator;
@@ -3277,7 +3267,7 @@ private void WarmUpIndicatorImpl<T>(Symbol symbol, TimeSpan period, Action<T> ha
             // Scan for time after we've pumped all the data through for this consolidator
             if (lastBar != null)
             {
-                consolidator.Scan(historyRequest.EndTimeLocal);
+                consolidator.Scan(lastBar.EndTime);
             }
 
             SubscriptionManager.RemoveConsolidator(symbol, consolidator);