This consolidator can transform a stream of IBaseData instances into a stream of RangeBar. The difference between this consolidator and RangeConsolidator, is that this last one creates intermediate/ phantom RangeBar's (RangeBar's with zero volume) if the price rises up or falls down by above/below two times the range size. Therefore, RangeConsolidator leaves no space between two adyacent RangeBar's since it always start a new RangeBar one range above the last RangeBar's High value or one range below the last RangeBar's Low value, where one range equals to one minimum price change. More...

Inheritance diagram for QuantConnect.Data.Consolidators.ClassicRangeConsolidator:

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Public Member Functions
	ClassicRangeConsolidator (int range, Func< IBaseData, decimal > selector=null, Func< IBaseData, decimal > volumeSelector=null)
	Initializes a new instance of the ClassicRangeConsolidator class. More...

	ClassicRangeConsolidator (int range, PyObject selector, PyObject volumeSelector=null)
	Initializes a new instance of the RangeConsolidator class. More...

Public Member Functions inherited from QuantConnect.Data.Consolidators.RangeConsolidator
	RangeConsolidator (int range, Func< IBaseData, decimal > selector=null, Func< IBaseData, decimal > volumeSelector=null)
	Initializes a new instance of the RangeConsolidator class. More...

	RangeConsolidator (int range, PyObject selector, PyObject volumeSelector=null)
	Initializes a new instance of the RangeConsolidator class. More...

Public Member Functions inherited from QuantConnect.Data.Consolidators.BaseTimelessConsolidator< RangeBar >
void	Update (IBaseData data)
	Updates this consolidator with the specified data More...

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

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

Protected Member Functions
override void	UpdateBar (DateTime time, decimal currentValue, decimal volume)
	Updates the current RangeBar being created with the given data. Additionally, if it's the case, it consolidates the current RangeBar More...

Protected Member Functions inherited from QuantConnect.Data.Consolidators.RangeConsolidator
override void	UpdateBar (DateTime time, decimal currentValue, decimal volume)
	Updates the current RangeBar being created with the given data. Additionally, if it's the case, it consolidates the current RangeBar More...

override void	CreateNewBar (IBaseData data, decimal currentValue, decimal volume)
	Creates a new bar with the given data More...

Protected Member Functions inherited from QuantConnect.Data.Consolidators.BaseTimelessConsolidator< RangeBar >
	BaseTimelessConsolidator (Func< IBaseData, decimal > selector=null, Func< IBaseData, decimal > volumeSelector=null)
	Initializes a new instance of the BaseTimelessConsolidator<T> class. More...

	BaseTimelessConsolidator (PyObject valueSelector, PyObject volumeSelector=null)
	Initializes a new instance of the BaseTimelessConsolidator<T> class. More...

void	OnDataConsolidated (T consolidated)
	Event invocator for the DataConsolidated event. This should be invoked by derived classes when they have consolidated a new piece of data. More...

Additional Inherited Members
Public Attributes inherited from QuantConnect.Data.Consolidators.RangeConsolidator
override Type	OutputType => typeof(RangeBar)
	Gets RangeBar which is the type emitted in the IDataConsolidator.DataConsolidated event. More...

override IBaseData	WorkingData => CurrentBar?.Clone()
	Gets a clone of the data being currently consolidated More...

Public Attributes inherited from QuantConnect.Data.Consolidators.BaseTimelessConsolidator< RangeBar >
Type	InputType
	Gets the type consumed by this consolidator More...

virtual Type	OutputType
	Gets T which is the type emitted in the IDataConsolidator.DataConsolidated event. More...

Properties inherited from QuantConnect.Data.Consolidators.RangeConsolidator
override RangeBar	CurrentBar `[get, set]`
	Bar being created More...

decimal	RangeSize `[get]`
	Range for each RangeBar, this is, the difference between the High and Low for each RangeBar More...

int	Range `[get]`
	Number of MinimumPriceVariation units More...

Properties inherited from QuantConnect.Data.Consolidators.BaseTimelessConsolidator< RangeBar >
Func< IBaseData, decimal >	Selector `[get, set]`
	Extracts the value from a data instance to be formed into a T. More...

Func< IBaseData, decimal >	VolumeSelector `[get, set]`
	Extracts the volume from a data instance. The default value is null which does not aggregate volume per bar. More...

DataConsolidatedHandler	DataConsolidatedHandler `[get, set]`
	Event handler type for the IDataConsolidator.DataConsolidated event More...

virtual T	CurrentBar `[get, set]`
	Bar being created More...

IBaseData	Consolidated `[get, protected set]`
	Gets the most recently consolidated piece of data. This will be null if this consolidator has not produced any data yet. More...

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

Events inherited from QuantConnect.Data.Consolidators.BaseTimelessConsolidator< RangeBar >
EventHandler< T >	DataConsolidated
	Event handler that fires when a new piece of data is produced More...

Detailed Description

This consolidator can transform a stream of IBaseData instances into a stream of RangeBar. The difference between this consolidator and RangeConsolidator, is that this last one creates intermediate/ phantom RangeBar's (RangeBar's with zero volume) if the price rises up or falls down by above/below two times the range size. Therefore, RangeConsolidator leaves no space between two adyacent RangeBar's since it always start a new RangeBar one range above the last RangeBar's High value or one range below the last RangeBar's Low value, where one range equals to one minimum price change.

Definition at line 30 of file ClassicRangeConsolidator.cs.

Constructor & Destructor Documentation

◆ ClassicRangeConsolidator() [1/2]

QuantConnect.Data.Consolidators.ClassicRangeConsolidator.ClassicRangeConsolidator	(	int	range,
		Func< IBaseData, decimal >	selector = `null`,
		Func< IBaseData, decimal >	volumeSelector = `null`
	)

Initializes a new instance of the ClassicRangeConsolidator class.

Parameters

range	The Range interval sets the range in which the price moves, which in turn initiates the formation of a new bar. One range equals to one minimum price change, where this last value is defined depending of the RangeBar's symbol
selector	Extracts the value from a data instance to be formed into a RangeBar. The default value is (x => x.Value) the IBaseData.Value property on IBaseData
volumeSelector	Extracts the volume from a data instance. The default value is null which does not aggregate volume per bar, except if the input is a TradeBar.

Definition at line 41 of file ClassicRangeConsolidator.cs.

◆ ClassicRangeConsolidator() [2/2]

QuantConnect.Data.Consolidators.ClassicRangeConsolidator.ClassicRangeConsolidator	(	int	range,
		PyObject	selector,
		PyObject	volumeSelector = `null`
	)

Initializes a new instance of the RangeConsolidator class.

Parameters

range	The Range interval sets the range in which the price moves, which in turn initiates the formation of a new bar. One range equals to one minimum price change, where this last value is defined depending of the RangeBar's symbol
selector	Extracts the value from a data instance to be formed into a RangeBar. The default value is (x => x.Value) the IBaseData.Value property on IBaseData
volumeSelector	Extracts the volume from a data instance. The default value is null which does not aggregate volume per bar.

Definition at line 58 of file ClassicRangeConsolidator.cs.