Abstract base data class of QuantConnect. It is intended to be extended to define generic user customizable data types while at the same time implementing the basics of data where possible More...

Inheritance diagram for QuantConnect.Data.BaseData:

[legend]

Public Member Functions
	BaseData ()
	Constructor for initialising the dase data class More...

virtual BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
	Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. More...

virtual BaseData	Reader (SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode)
	Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. More...

virtual SubscriptionDataSource	GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
	Return the URL string source of the file. This will be converted to a stream More...

virtual bool	RequiresMapping ()
	Indicates if there is support for mapping More...

virtual bool	IsSparseData ()
	Indicates that the data set is expected to be sparse More...

virtual bool	ShouldCacheToSecurity ()
	Indicates whether this contains data that should be stored in the security cache More...

virtual Resolution	DefaultResolution ()
	Gets the default resolution for this data and security type More...

virtual List< Resolution >	SupportedResolutions ()
	Gets the supported resolution for this data and security type More...

virtual DateTimeZone	DataTimeZone ()
	Specifies the data time zone for this data type. This is useful for custom data types More...

void	UpdateTrade (decimal lastTrade, decimal tradeSize)
	Updates this base data with a new trade More...

void	UpdateQuote (decimal bidPrice, decimal bidSize, decimal askPrice, decimal askSize)
	Updates this base data with new quote information More...

void	UpdateBid (decimal bidPrice, decimal bidSize)
	Updates this base data with the new quote bid information More...

void	UpdateAsk (decimal askPrice, decimal askSize)
	Updates this base data with the new quote ask information More...

virtual void	Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
	Update routine to build a bar/tick from a data update. More...

virtual BaseData	Clone (bool fillForward)
	Return a new instance clone of this object, used in fill forward More...

virtual BaseData	Clone ()
	Return a new instance clone of this object, used in fill forward More...

override string	ToString ()
	Formats a string with the symbol and value. More...

virtual BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint dataFeed)
	Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. More...

virtual string	GetSource (SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
	Return the URL string source of the file. This will be converted to a stream More...

Static Public Member Functions
static IEnumerable< BaseData >	DeserializeMessage (string serialized)
	Deserialize the message from the data server More...

Public Attributes
virtual decimal	Price => Value
	As this is a backtesting platform we'll provide an alias of value as price. More...

Static Protected Attributes
static readonly List< Resolution >	AllResolutions
	A list of all Resolution More...

static readonly List< Resolution >	DailyResolution = new List<Resolution> { Resolution.Daily }
	A list of Resolution.Daily More...

static readonly List< Resolution >	MinuteResolution = new List<Resolution> { Resolution.Minute }
	A list of Resolution.Minute More...

static readonly List< Resolution >	HighResolution = new List<Resolution> { Resolution.Minute, Resolution.Second, Resolution.Tick }
	A list of high Resolution, including minute, second, and tick. More...

static readonly List< Resolution >	OptionResolutions = new List<Resolution> { Resolution.Daily, Resolution.Hour, Resolution.Minute }
	A list of resolutions support by Options More...

Properties
MarketDataType	DataType = MarketDataType.Base `[get, set]`
	Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More...

bool	IsFillForward `[get]`
	True if this is a fill forward piece of data More...

DateTime	Time `[get, set]`
	Current time marker of this data packet. More...

virtual DateTime	EndTime `[get, set]`
	The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered More...

Symbol	Symbol = Symbol.Empty `[get, set]`
	Symbol representation for underlying Security More...

virtual decimal	Value `[get, set]`
	Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price. More...

Properties inherited from QuantConnect.Data.IBaseData
MarketDataType	DataType `[get, set]`
	Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More...

DateTime	Time `[get, set]`
	Time keeper of data – all data is timeseries based. More...

DateTime	EndTime `[get, set]`
	End time of data More...

decimal	Value `[get, set]`
	All timeseries data is a time-value pair: More...

decimal	Price `[get]`
	Alias of Value. More...

Properties inherited from QuantConnect.Data.ISymbolProvider
Symbol	Symbol `[get, set]`
	Gets the Symbol More...

Detailed Description

Abstract base data class of QuantConnect. It is intended to be extended to define generic user customizable data types while at the same time implementing the basics of data where possible

Definition at line 38 of file BaseData.cs.

Constructor & Destructor Documentation

◆ BaseData()

QuantConnect.Data.BaseData.BaseData ( )

Constructor for initialising the dase data class

Definition at line 127 of file BaseData.cs.

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Member Function Documentation

◆ Reader() [1/3]

virtual BaseData QuantConnect.Data.BaseData.Reader	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone.

Parameters

config	Subscription data config setup object
line	Line of the source document
date	Date of the requested data
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: Instance of the T:BaseData object generated by this line of the CSV

Implements QuantConnect.Data.IBaseData.

Definition at line 141 of file BaseData.cs.

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◆ Reader() [2/3]

virtual BaseData QuantConnect.Data.BaseData.Reader	(	SubscriptionDataConfig	config,
		StreamReader	stream,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone.

Parameters

config	Subscription data config setup object
stream	The data stream
date	Date of the requested data
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: Instance of the T:BaseData object generated by this line of the CSV

Implements QuantConnect.Data.IBaseData.

Reimplemented in QuantConnect.Data.Market.Tick, QuantConnect.Data.Market.QuoteBar, QuantConnect.Data.Market.TradeBar, QuantConnect.Data.UniverseSelection.OptionUniverse, and QuantConnect.Data.Market.MarginInterestRate.

Definition at line 159 of file BaseData.cs.

◆ GetSource() [1/2]

virtual SubscriptionDataSource QuantConnect.Data.BaseData.GetSource	(	SubscriptionDataConfig	config,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Return the URL string source of the file. This will be converted to a stream

Parameters

config	Configuration object
date	Date of this source file
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: String URL of source file.

Definition at line 171 of file BaseData.cs.

◆ RequiresMapping()

virtual bool QuantConnect.Data.BaseData.RequiresMapping ( )

virtual

Indicates if there is support for mapping

Relies on the Symbol property value

Returns: True indicates mapping should be used

Implements QuantConnect.Data.IBaseData.

Reimplemented in QuantConnect.Data.Custom.Tiingo.TiingoPrice, QuantConnect.Data.UniverseSelection.ETFConstituentUniverse, QuantConnect.Python.PythonData, QuantConnect.Data.Custom.IconicTypes.IndexedLinkedData2, QuantConnect.Data.UniverseSelection.ConstituentsUniverseData, QuantConnect.Data.Custom.IconicTypes.IndexedLinkedData, QuantConnect.Data.Custom.IconicTypes.UnlinkedDataTradeBar, QuantConnect.Data.Custom.IconicTypes.UnlinkedData, and QuantConnect.Data.Custom.IconicTypes.LinkedData.

Definition at line 201 of file BaseData.cs.

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◆ IsSparseData()

virtual bool QuantConnect.Data.BaseData.IsSparseData ( )

virtual

Indicates that the data set is expected to be sparse

Relies on the Symbol property value

This is a method and not a property so that python custom data types can override it

Returns: True if the data set represented by this type is expected to be sparse

Reimplemented in QuantConnect.Data.UniverseSelection.ETFConstituentUniverse, QuantConnect.Python.PythonData, QuantConnect.Data.Custom.IconicTypes.IndexedLinkedData2, QuantConnect.Data.UniverseSelection.ConstituentsUniverseData, QuantConnect.Data.Custom.IconicTypes.IndexedLinkedData, QuantConnect.Data.Custom.IconicTypes.UnlinkedDataTradeBar, QuantConnect.Data.Custom.IconicTypes.UnlinkedData, and QuantConnect.Data.Custom.IconicTypes.LinkedData.

Definition at line 213 of file BaseData.cs.

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◆ ShouldCacheToSecurity()

virtual bool QuantConnect.Data.BaseData.ShouldCacheToSecurity ( )

virtual

Indicates whether this contains data that should be stored in the security cache

Returns: Whether this contains data that should be stored in the security cache

Reimplemented in QuantConnect.Data.UniverseSelection.BaseDataCollection, and QuantConnect.Data.Auxiliary.ZipEntryName.

Definition at line 223 of file BaseData.cs.

◆ DefaultResolution()

virtual Resolution QuantConnect.Data.BaseData.DefaultResolution ( )

virtual

Gets the default resolution for this data and security type

This is a method and not a property so that python custom data types can override it

Reimplemented in QuantConnect.Data.UniverseSelection.OptionUniverse, QuantConnect.Data.Custom.Tiingo.TiingoPrice, QuantConnect.Data.UniverseSelection.ETFConstituentUniverse, QuantConnect.Python.PythonData, QuantConnect.Data.Custom.IconicTypes.IndexedLinkedData2, QuantConnect.Data.Custom.IconicTypes.IndexedLinkedData, QuantConnect.Data.UniverseSelection.ConstituentsUniverseData, QuantConnect.Data.Custom.IconicTypes.UnlinkedDataTradeBar, QuantConnect.Data.Custom.IconicTypes.UnlinkedData, QuantConnect.Data.Custom.IconicTypes.LinkedData, and QuantConnect.Data.Fundamental.FundamentalUniverse.

Definition at line 233 of file BaseData.cs.

◆ SupportedResolutions()

virtual List<Resolution> QuantConnect.Data.BaseData.SupportedResolutions ( )

virtual

Gets the supported resolution for this data and security type

Relies on the Symbol property value

This is a method and not a property so that python custom data types can override it

Reimplemented in QuantConnect.Data.Custom.Tiingo.TiingoPrice, QuantConnect.Data.UniverseSelection.ETFConstituentUniverse, QuantConnect.Python.PythonData, QuantConnect.Data.Custom.IconicTypes.IndexedLinkedData2, QuantConnect.Data.Custom.IconicTypes.IndexedLinkedData, QuantConnect.Data.UniverseSelection.ConstituentsUniverseData, QuantConnect.Data.Custom.IconicTypes.UnlinkedDataTradeBar, QuantConnect.Data.Custom.IconicTypes.UnlinkedData, and QuantConnect.Data.Custom.IconicTypes.LinkedData.

Definition at line 244 of file BaseData.cs.

◆ DataTimeZone()

virtual DateTimeZone QuantConnect.Data.BaseData.DataTimeZone ( )

virtual

Specifies the data time zone for this data type. This is useful for custom data types

Will throw InvalidOperationException for security types other than SecurityType.Base

Returns: The DateTimeZone of this data type

Reimplemented in QuantConnect.Data.UniverseSelection.ETFConstituentUniverse, QuantConnect.Data.Custom.Tiingo.TiingoPrice, QuantConnect.Data.Custom.IconicTypes.IndexedLinkedData2, QuantConnect.Data.Custom.IconicTypes.IndexedLinkedData, QuantConnect.Data.Custom.IconicTypes.UnlinkedDataTradeBar, QuantConnect.Data.Custom.IconicTypes.UnlinkedData, QuantConnect.Data.Custom.IconicTypes.LinkedData, and QuantConnect.Data.Market.MarginInterestRate.

Definition at line 260 of file BaseData.cs.

◆ UpdateTrade()

void QuantConnect.Data.BaseData.UpdateTrade	(	decimal	lastTrade,
		decimal	tradeSize
	)

Updates this base data with a new trade

Parameters

lastTrade	The price of the last trade
tradeSize	The quantity traded

Definition at line 274 of file BaseData.cs.

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◆ UpdateQuote()

void QuantConnect.Data.BaseData.UpdateQuote	(	decimal	bidPrice,
		decimal	bidSize,
		decimal	askPrice,
		decimal	askSize
	)

Updates this base data with new quote information

Parameters

bidPrice	The current bid price
bidSize	The current bid size
askPrice	The current ask price
askSize	The current ask size

Definition at line 286 of file BaseData.cs.

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◆ UpdateBid()

void QuantConnect.Data.BaseData.UpdateBid	(	decimal	bidPrice,
		decimal	bidSize
	)

Updates this base data with the new quote bid information

Parameters

bidPrice	The current bid price
bidSize	The current bid size

Definition at line 296 of file BaseData.cs.

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◆ UpdateAsk()

void QuantConnect.Data.BaseData.UpdateAsk	(	decimal	askPrice,
		decimal	askSize
	)

Updates this base data with the new quote ask information

Parameters

askPrice	The current ask price
askSize	The current ask size

Definition at line 306 of file BaseData.cs.

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◆ Update()

virtual void QuantConnect.Data.BaseData.Update	(	decimal	lastTrade,
		decimal	bidPrice,
		decimal	askPrice,
		decimal	volume,
		decimal	bidSize,
		decimal	askSize
	)

virtual

Update routine to build a bar/tick from a data update.

Parameters

lastTrade	The last trade price
bidPrice	Current bid price
askPrice	Current asking price
volume	Volume of this trade
bidSize	The size of the current bid, if available
askSize	The size of the current ask, if available

Reimplemented in QuantConnect.Data.Market.TradeBar, QuantConnect.Data.Market.Tick, and QuantConnect.Data.Market.QuoteBar.

Definition at line 320 of file BaseData.cs.

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◆ Clone() [1/2]

virtual BaseData QuantConnect.Data.BaseData.Clone ( bool fillForward )

virtual

Return a new instance clone of this object, used in fill forward

This base implementation uses reflection to copy all public fields and properties

Parameters

fillForward True if this is a fill forward clone

Returns: A clone of the current object

Reimplemented in QuantConnect.Data.Market.TradeBar.

Definition at line 333 of file BaseData.cs.

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◆ Clone() [2/2]

virtual BaseData QuantConnect.Data.BaseData.Clone ( )

virtual

Return a new instance clone of this object, used in fill forward

This base implementation uses reflection to copy all public fields and properties

Returns: A clone of the current object

Implements QuantConnect.Data.IBaseData.

Definition at line 347 of file BaseData.cs.

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◆ ToString()

override string QuantConnect.Data.BaseData.ToString ( )

Formats a string with the symbol and value.

Returns: string - a string formatted as SPY: 167.753

Definition at line 356 of file BaseData.cs.

◆ Reader() [3/3]

virtual BaseData QuantConnect.Data.BaseData.Reader	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date,
		DataFeedEndpoint	dataFeed
	)

virtual

Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called.

OBSOLETE:: This implementation is added for backward/forward compatibility purposes. This function is no longer called by the LEAN engine.

Parameters

config	Subscription data config setup object
line	Line of the source document
date	Date of the requested data
dataFeed	Type of datafeed we're requesting - a live or backtest feed.

Returns: Instance of the T:BaseData object generated by this line of the CSV

Implements QuantConnect.Data.IBaseData.

Definition at line 372 of file BaseData.cs.

◆ GetSource() [2/2]

virtual string QuantConnect.Data.BaseData.GetSource	(	SubscriptionDataConfig	config,
		DateTime	date,
		DataFeedEndpoint	datafeed
	)

virtual

Return the URL string source of the file. This will be converted to a stream

OBSOLETE:: This implementation is added for backward/forward compatibility purposes. This function is no longer called by the LEAN engine.

Parameters

config	Configuration object
date	Date of this source file
datafeed	Type of datafeed we're reqesting - backtest or live

Returns: String URL of source file.

Implements QuantConnect.Data.IBaseData.

Definition at line 388 of file BaseData.cs.

◆ DeserializeMessage()

static IEnumerable<BaseData> QuantConnect.Data.BaseData.DeserializeMessage ( string serialized )

static

Deserialize the message from the data server

Parameters

serialized The data server's message

Returns: An enumerable of base data, if unsuccessful, returns an empty enumerable

Definition at line 400 of file BaseData.cs.

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Member Data Documentation

◆ AllResolutions

readonly List<Resolution> QuantConnect.Data.BaseData.AllResolutions

staticprotected

Initial value:

=

Enum.GetValues(typeof(Resolution)).Cast<Resolution>().ToList()

A list of all Resolution

Definition at line 45 of file BaseData.cs.

◆ DailyResolution

readonly List<Resolution> QuantConnect.Data.BaseData.DailyResolution = new List<Resolution> { Resolution.Daily }

staticprotected

A list of Resolution.Daily

Definition at line 51 of file BaseData.cs.

◆ MinuteResolution

readonly List<Resolution> QuantConnect.Data.BaseData.MinuteResolution = new List<Resolution> { Resolution.Minute }

staticprotected

A list of Resolution.Minute

Definition at line 56 of file BaseData.cs.

◆ HighResolution

readonly List<Resolution> QuantConnect.Data.BaseData.HighResolution = new List<Resolution> { Resolution.Minute, Resolution.Second, Resolution.Tick }

staticprotected

A list of high Resolution, including minute, second, and tick.

Definition at line 61 of file BaseData.cs.

◆ OptionResolutions

readonly List<Resolution> QuantConnect.Data.BaseData.OptionResolutions = new List<Resolution> { Resolution.Daily, Resolution.Hour, Resolution.Minute }

staticprotected

A list of resolutions support by Options

Definition at line 66 of file BaseData.cs.

◆ Price

virtual decimal QuantConnect.Data.BaseData.Price => Value

As this is a backtesting platform we'll provide an alias of value as price.

Definition at line 122 of file BaseData.cs.

Property Documentation

◆ DataType

MarketDataType QuantConnect.Data.BaseData.DataType = MarketDataType.Base

getset

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

Data is classed into two categories - streams of instantaneous prices and groups of OHLC data.

Definition at line 73 of file BaseData.cs.

◆ IsFillForward

bool QuantConnect.Data.BaseData.IsFillForward

get

True if this is a fill forward piece of data

Definition at line 78 of file BaseData.cs.

◆ Time

DateTime QuantConnect.Data.BaseData.Time

getset

Current time marker of this data packet.

All data is timeseries based.

Definition at line 85 of file BaseData.cs.

◆ EndTime

virtual DateTime QuantConnect.Data.BaseData.EndTime

getset

The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered

Definition at line 92 of file BaseData.cs.

◆ Symbol

Symbol QuantConnect.Data.BaseData.Symbol = Symbol.Empty

getset

Symbol representation for underlying Security

Definition at line 100 of file BaseData.cs.

◆ Value

virtual decimal QuantConnect.Data.BaseData.Value

getset

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

Definition at line 108 of file BaseData.cs.

The documentation for this class was generated from the following file:

Common/Data/BaseData.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Static Protected Attributes

Properties

Detailed Description

Constructor & Destructor Documentation

◆ BaseData()

Member Function Documentation

◆ Reader() [1/3]

◆ Reader() [2/3]

◆ GetSource() [1/2]

◆ RequiresMapping()

◆ IsSparseData()

◆ ShouldCacheToSecurity()

◆ DefaultResolution()

◆ SupportedResolutions()

◆ DataTimeZone()

◆ UpdateTrade()

◆ UpdateQuote()

◆ UpdateBid()

◆ UpdateAsk()

◆ Update()

◆ Clone() [1/2]

◆ Clone() [2/2]

◆ ToString()

◆ Reader() [3/3]

◆ GetSource() [2/2]

◆ DeserializeMessage()

Member Data Documentation

◆ AllResolutions

◆ DailyResolution

◆ MinuteResolution

◆ HighResolution

◆ OptionResolutions

◆ Price

Property Documentation

◆ DataType

◆ IsFillForward

◆ Time

◆ EndTime

◆ Symbol

◆ Value