Consolidator for open markets bar only, extended hours bar are not consolidated. More...

Inheritance diagram for QuantConnect.Data.Common.MarketHourAwareConsolidator:

Public Member Functions
	MarketHourAwareConsolidator (bool dailyStrictEndTimeEnabled, Resolution resolution, Type dataType, TickType tickType, bool extendedMarketHours)
	Initializes a new instance of the MarketHourAwareConsolidator class. More...

virtual void	Update (IBaseData data)
	Updates this consolidator with the specified data More...

void	Scan (DateTime currentLocalTime)
	Scans this consolidator to see if it should emit a bar due to time passing More...

void	Dispose ()
	Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources. More...

Public Attributes
IBaseData	Consolidated => Consolidator.Consolidated
	Gets the most recently consolidated piece of data. This will be null if this consolidator has not produced any data yet. More...

Type	InputType => Consolidator.InputType
	Gets the type consumed by this consolidator More...

IBaseData	WorkingData => Consolidator.WorkingData
	Gets a clone of the data being currently consolidated More...

Type	OutputType => Consolidator.OutputType
	Gets the type produced by this consolidator More...

Protected Member Functions
void	Initialize (IBaseData data)
	Perform late initialization based on the datas symbol More...

virtual CalendarInfo	DailyStrictEndTime (DateTime dateTime)
	Determines a bar start time and period More...

virtual bool	UseStrictEndTime (Symbol symbol)
	Useful for testing More...

virtual void	ForwardConsolidatedBar (object sender, IBaseData consolidated)
	Will forward the underlying consolidated bar to consumers on this object More...

Properties
TimeSpan	Period `[get]`
	The consolidation period requested More...

IDataConsolidator	Consolidator `[get]`
	The consolidator instance More...

SecurityExchangeHours	ExchangeHours `[get, set]`
	The associated security exchange hours instance More...

DateTimeZone	DataTimeZone `[get, set]`
	The associated data time zone More...

Properties inherited from QuantConnect.Data.Consolidators.IDataConsolidator
IBaseData	Consolidated `[get]`
	Gets the most recently consolidated piece of data. This will be null if this consolidator has not produced any data yet. More...

IBaseData	WorkingData `[get]`
	Gets a clone of the data being currently consolidated More...

Type	InputType `[get]`
	Gets the type consumed by this consolidator More...

Type	OutputType `[get]`
	Gets the type produced by this consolidator More...

Events
DataConsolidatedHandler	DataConsolidated
	Event handler that fires when a new piece of data is produced More...

Events inherited from QuantConnect.Data.Consolidators.IDataConsolidator
DataConsolidatedHandler	DataConsolidated
	Event handler that fires when a new piece of data is produced More...

Detailed Description

Consolidator for open markets bar only, extended hours bar are not consolidated.

Definition at line 28 of file MarketHourAwareConsolidator.cs.

Constructor & Destructor Documentation

◆ MarketHourAwareConsolidator()

QuantConnect.Data.Common.MarketHourAwareConsolidator.MarketHourAwareConsolidator	(	bool	dailyStrictEndTimeEnabled,
		Resolution	resolution,
		Type	dataType,
		TickType	tickType,
		bool	extendedMarketHours
	)

Initializes a new instance of the MarketHourAwareConsolidator class.

Parameters

resolution	The resolution.
dataType	The target data type
tickType	The target tick type
extendedMarketHours	True if extended market hours should be consolidated

Definition at line 82 of file MarketHourAwareConsolidator.cs.

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Member Function Documentation

◆ Update()

virtual void QuantConnect.Data.Common.MarketHourAwareConsolidator.Update ( IBaseData data )

virtual

Updates this consolidator with the specified data

Parameters

data	The new data for the consolidator

Implements QuantConnect.Data.Consolidators.IDataConsolidator.

Definition at line 131 of file MarketHourAwareConsolidator.cs.

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◆ Scan()

void QuantConnect.Data.Common.MarketHourAwareConsolidator.Scan ( DateTime currentLocalTime )

Scans this consolidator to see if it should emit a bar due to time passing

Parameters

currentLocalTime The current time in the local time zone (same as P:QuantConnect.Data.BaseData.Time)

Implements QuantConnect.Data.Consolidators.IDataConsolidator.

Definition at line 145 of file MarketHourAwareConsolidator.cs.

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◆ Dispose()

void QuantConnect.Data.Common.MarketHourAwareConsolidator.Dispose ( )

Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.

Definition at line 153 of file MarketHourAwareConsolidator.cs.

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◆ Initialize()

void QuantConnect.Data.Common.MarketHourAwareConsolidator.Initialize ( IBaseData data )

protected

Perform late initialization based on the datas symbol

Definition at line 162 of file MarketHourAwareConsolidator.cs.

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◆ DailyStrictEndTime()

virtual CalendarInfo QuantConnect.Data.Common.MarketHourAwareConsolidator.DailyStrictEndTime ( DateTime dateTime )

protectedvirtual

Determines a bar start time and period

Definition at line 178 of file MarketHourAwareConsolidator.cs.

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◆ UseStrictEndTime()

virtual bool QuantConnect.Data.Common.MarketHourAwareConsolidator.UseStrictEndTime ( Symbol symbol )

protectedvirtual

Useful for testing

Definition at line 190 of file MarketHourAwareConsolidator.cs.

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◆ ForwardConsolidatedBar()

virtual void QuantConnect.Data.Common.MarketHourAwareConsolidator.ForwardConsolidatedBar	(	object	sender,
		IBaseData	consolidated
	)

protectedvirtual

Will forward the underlying consolidated bar to consumers on this object

Definition at line 198 of file MarketHourAwareConsolidator.cs.

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Member Data Documentation

◆ Consolidated

IBaseData QuantConnect.Data.Common.MarketHourAwareConsolidator.Consolidated => Consolidator.Consolidated

Gets the most recently consolidated piece of data. This will be null if this consolidator has not produced any data yet.

Definition at line 58 of file MarketHourAwareConsolidator.cs.

◆ InputType

Type QuantConnect.Data.Common.MarketHourAwareConsolidator.InputType => Consolidator.InputType

Gets the type consumed by this consolidator

Definition at line 63 of file MarketHourAwareConsolidator.cs.

◆ WorkingData

IBaseData QuantConnect.Data.Common.MarketHourAwareConsolidator.WorkingData => Consolidator.WorkingData

Gets a clone of the data being currently consolidated

Definition at line 68 of file MarketHourAwareConsolidator.cs.

◆ OutputType

Type QuantConnect.Data.Common.MarketHourAwareConsolidator.OutputType => Consolidator.OutputType

Gets the type produced by this consolidator

Definition at line 73 of file MarketHourAwareConsolidator.cs.

Property Documentation

◆ Period

TimeSpan QuantConnect.Data.Common.MarketHourAwareConsolidator.Period

getprotected

The consolidation period requested

Definition at line 37 of file MarketHourAwareConsolidator.cs.

◆ Consolidator

IDataConsolidator QuantConnect.Data.Common.MarketHourAwareConsolidator.Consolidator

getprotected

The consolidator instance

Definition at line 42 of file MarketHourAwareConsolidator.cs.

◆ ExchangeHours

SecurityExchangeHours QuantConnect.Data.Common.MarketHourAwareConsolidator.ExchangeHours

getsetprotected

The associated security exchange hours instance

Definition at line 47 of file MarketHourAwareConsolidator.cs.

◆ DataTimeZone

DateTimeZone QuantConnect.Data.Common.MarketHourAwareConsolidator.DataTimeZone

getsetprotected

The associated data time zone

Definition at line 52 of file MarketHourAwareConsolidator.cs.

Event Documentation

◆ DataConsolidated

DataConsolidatedHandler QuantConnect.Data.Common.MarketHourAwareConsolidator.DataConsolidated

Event handler that fires when a new piece of data is produced

Definition at line 125 of file MarketHourAwareConsolidator.cs.

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

Common/Data/Consolidators/MarketHourAwareConsolidator.cs

Public Member Functions

Public Attributes

Protected Member Functions

Properties

Events

Detailed Description

Constructor & Destructor Documentation

◆ MarketHourAwareConsolidator()

Member Function Documentation

◆ Update()

◆ Scan()

◆ Dispose()

◆ Initialize()

◆ DailyStrictEndTime()

◆ UseStrictEndTime()

◆ ForwardConsolidatedBar()

Member Data Documentation

◆ Consolidated

◆ InputType

◆ WorkingData

◆ OutputType

Property Documentation

◆ Period

◆ Consolidator

◆ ExchangeHours

◆ DataTimeZone

Event Documentation

◆ DataConsolidated