Type capable of consolidating open interest More...

Inheritance diagram for QuantConnect.Data.Consolidators.OpenInterestConsolidator:

Public Member Functions
	OpenInterestConsolidator (TimeSpan period)
	Creates a consolidator to produce a new 'OpenInterest' representing the period More...

	OpenInterestConsolidator (int maxCount)
	Creates a consolidator to produce a new 'OpenInterest' representing the last count pieces of data More...

	OpenInterestConsolidator (int maxCount, TimeSpan period)
	Creates a consolidator to produce a new 'OpenInterest' representing the last count pieces of data or the period, whichever comes first More...

	OpenInterestConsolidator (Func< DateTime, CalendarInfo > func)
	Creates a consolidator to produce a new 'OpenInterest' More...

	OpenInterestConsolidator (PyObject pyfuncobj)
	Creates a consolidator to produce a new 'OpenInterest' More...

Public Member Functions inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< Tick, OpenInterest >
override void	Update (T data)
	Updates this consolidator with the specified data. This method is responsible for raising the DataConsolidated event In time span mode, the bar range is closed on the left and open on the right: [T, T+TimeSpan). For example, if time span is 1 minute, we have [10:00, 10:01): so data at 10:01 is not included in the bar starting at 10:00. More...

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

override void	Reset ()
	Resets the consolidator More...

Static Public Member Functions
static OpenInterestConsolidator	FromResolution (Resolution resolution)
	Create a new OpenInterestConsolidator for the desired resolution More...

Protected Member Functions
override bool	ShouldProcess (Tick data)
	Determines whether or not the specified data should be processed More...

override void	AggregateBar (ref OpenInterest workingBar, Tick data)
	Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be null following the event firing More...

Protected Member Functions inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< Tick, OpenInterest >
	PeriodCountConsolidatorBase (TimeSpan period)
	Creates a consolidator to produce a new TConsolidated instance representing the period More...

	PeriodCountConsolidatorBase (int maxCount)
	Creates a consolidator to produce a new TConsolidated instance representing the last count pieces of data More...

	PeriodCountConsolidatorBase (int maxCount, TimeSpan period)
	Creates a consolidator to produce a new TConsolidated instance representing the last count pieces of data or the period, whichever comes first More...

	PeriodCountConsolidatorBase (Func< DateTime, CalendarInfo > func)
	Creates a consolidator to produce a new TConsolidated instance representing the last count pieces of data or the period, whichever comes first More...

	PeriodCountConsolidatorBase (PyObject pyObject)
	Creates a consolidator to produce a new TConsolidated instance representing the last count pieces of data or the period, whichever comes first More...

virtual bool	ShouldProcess (T data)
	Determines whether or not the specified data should be processed More...

abstract void	AggregateBar (ref TConsolidated workingBar, T data)
	Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be null following the event firing More...

DateTime	GetRoundedBarTime (DateTime time)
	Gets a rounded-down bar time. Called by AggregateBar in derived classes. More...

DateTime	GetRoundedBarTime (IBaseData inputData)
	Gets a rounded-down bar start time. Called by AggregateBar in derived classes. More...

virtual void	OnDataConsolidated (TConsolidated e)
	Event invocator for the DataConsolidated event More...

Additional Inherited Members
Public Attributes inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< Tick, OpenInterest >
override Type	OutputType
	Gets the type produced by this consolidator More...

override IBaseData	WorkingData
	Gets a clone of the data being currently consolidated More...

Protected Attributes inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< Tick, OpenInterest >
bool	IsTimeBased
	Returns true if this consolidator is time-based, false otherwise More...

TimeSpan?	Period
	Gets the time period for this consolidator More...

Events inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< Tick, OpenInterest >
new EventHandler< TConsolidated >	DataConsolidated
	Event handler that fires when a new piece of data is produced. We define this as a 'new' event so we can expose it as a TConsolidated instead of a BaseData instance More...

Detailed Description

Type capable of consolidating open interest

Definition at line 25 of file OpenInterestConsolidator.cs.

Constructor & Destructor Documentation

◆ OpenInterestConsolidator() [1/5]

QuantConnect.Data.Consolidators.OpenInterestConsolidator.OpenInterestConsolidator ( TimeSpan period )

Creates a consolidator to produce a new 'OpenInterest' representing the period

Parameters

period The minimum span of time before emitting a consolidated bar

Definition at line 41 of file OpenInterestConsolidator.cs.

Here is the caller graph for this function:

◆ OpenInterestConsolidator() [2/5]

QuantConnect.Data.Consolidators.OpenInterestConsolidator.OpenInterestConsolidator ( int maxCount )

Creates a consolidator to produce a new 'OpenInterest' representing the last count pieces of data

Parameters

maxCount The number of pieces to accept before emitting a consolidated bar

Definition at line 50 of file OpenInterestConsolidator.cs.

◆ OpenInterestConsolidator() [3/5]

QuantConnect.Data.Consolidators.OpenInterestConsolidator.OpenInterestConsolidator	(	int	maxCount,
		TimeSpan	period
	)

Creates a consolidator to produce a new 'OpenInterest' representing the last count pieces of data or the period, whichever comes first

Parameters

maxCount	The number of pieces to accept before emitting a consolidated bar
period	The minimum span of time before emitting a consolidated bar

Definition at line 60 of file OpenInterestConsolidator.cs.

◆ OpenInterestConsolidator() [4/5]

QuantConnect.Data.Consolidators.OpenInterestConsolidator.OpenInterestConsolidator ( Func< DateTime, CalendarInfo > func )

Creates a consolidator to produce a new 'OpenInterest'

Parameters

func	Func that defines the start time of a consolidated data

Definition at line 69 of file OpenInterestConsolidator.cs.

◆ OpenInterestConsolidator() [5/5]

QuantConnect.Data.Consolidators.OpenInterestConsolidator.OpenInterestConsolidator ( PyObject pyfuncobj )

Creates a consolidator to produce a new 'OpenInterest'

Parameters

pyfuncobj Python function object that defines the start time of a consolidated data

Definition at line 78 of file OpenInterestConsolidator.cs.

Member Function Documentation

◆ FromResolution()

static OpenInterestConsolidator QuantConnect.Data.Consolidators.OpenInterestConsolidator.FromResolution ( Resolution resolution )

static

Create a new OpenInterestConsolidator for the desired resolution

Parameters

resolution The resolution desired

Returns: A consolidator that produces data on the resolution interval

Definition at line 32 of file OpenInterestConsolidator.cs.

Here is the call graph for this function:

◆ ShouldProcess()

override bool QuantConnect.Data.Consolidators.OpenInterestConsolidator.ShouldProcess ( Tick data )

protected

Determines whether or not the specified data should be processed

Parameters

data	The data to check

Returns: True if the consolidator should process this data, false otherwise

Definition at line 89 of file OpenInterestConsolidator.cs.

◆ AggregateBar()

override void QuantConnect.Data.Consolidators.OpenInterestConsolidator.AggregateBar	(	ref OpenInterest	workingBar,
		Tick	data
	)

protected

Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be null following the event firing

Parameters

workingBar	The bar we're building, null if the event was just fired and we're starting a new OI bar
data	The new data

Definition at line 100 of file OpenInterestConsolidator.cs.

Here is the call graph for this function:

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

Common/Data/Consolidators/OpenInterestConsolidator.cs

Public Member Functions

Static Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ OpenInterestConsolidator() [1/5]

◆ OpenInterestConsolidator() [2/5]

◆ OpenInterestConsolidator() [3/5]

◆ OpenInterestConsolidator() [4/5]

◆ OpenInterestConsolidator() [5/5]

Member Function Documentation

◆ FromResolution()

◆ ShouldProcess()

◆ AggregateBar()