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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...
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... | |
override void | Reset () |
Resets the consolidator 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... | |
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.
QuantConnect.Data.Consolidators.ClassicRangeConsolidator.ClassicRangeConsolidator | ( | int | range, |
Func< IBaseData, decimal > | selector = null , |
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Func< IBaseData, decimal > | volumeSelector = null |
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) |
Initializes a new instance of the ClassicRangeConsolidator class.
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.
QuantConnect.Data.Consolidators.ClassicRangeConsolidator.ClassicRangeConsolidator | ( | int | range, |
PyObject | selector, | ||
PyObject | volumeSelector = null |
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) |
Initializes a new instance of the RangeConsolidator class.
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.
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protectedvirtual |
Updates the current RangeBar being created with the given data. Additionally, if it's the case, it consolidates the current RangeBar
time | Time of the given data |
currentValue | Value of the given data |
volume | Volume of the given data |
Implements QuantConnect.Data.Consolidators.BaseTimelessConsolidator< RangeBar >.
Definition at line 72 of file ClassicRangeConsolidator.cs.