SecurityDataFilter.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 * 
 * Licensed under the Apache License, Version 2.0 (the "License"); 
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 * 
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/
 
using QuantConnect.Data;
using QuantConnect.Securities.Interfaces;
 
namespace QuantConnect.Securities 
{
    /// <summary>
    /// Base class implementation for packet by packet data filtering mechanism to dynamically detect bad ticks.
    /// </summary>
    public class SecurityDataFilter : ISecurityDataFilter
    {
        /// <summary>
        /// Initialize data filter class
        /// </summary>
        public SecurityDataFilter()
        { }
 
        /// <summary>
        /// Filter the data packet passing through this method by returning true to accept, or false to fail/reject the data point.
        /// </summary>
        /// <param name="data">BasData data object we're filtering</param>
        /// <param name="vehicle">Security vehicle for filter</param>
        public virtual bool Filter(Security vehicle, BaseData data)
        {
            //By default the filter does not change data.
            return true;
        }
    } //End Filter
 
} //End Namespace