Type capable of consolidating open interest
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| OpenInterestConsolidator (TimeSpan period) |
| Creates a consolidator to produce a new 'OpenInterest' representing the period More...
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| OpenInterestConsolidator (int maxCount) |
| Creates a consolidator to produce a new 'OpenInterest' representing the last count pieces of data More...
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| 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...
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| OpenInterestConsolidator (Func< DateTime, CalendarInfo > func) |
| Creates a consolidator to produce a new 'OpenInterest' More...
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| OpenInterestConsolidator (PyObject pyfuncobj) |
| Creates a consolidator to produce a new 'OpenInterest' More...
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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...
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override void | Scan (DateTime currentLocalTime) |
| Scans this consolidator to see if it should emit a bar due to time passing More...
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override Type | OutputType |
| Gets the type produced by this consolidator More...
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override IBaseData | WorkingData |
| Gets a clone of the data being currently consolidated More...
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bool | IsTimeBased |
| Returns true if this consolidator is time-based, false otherwise More...
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TimeSpan? | Period |
| Gets the time period for this consolidator More...
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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...
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Type capable of consolidating open interest
Definition at line 25 of file OpenInterestConsolidator.cs.
◆ OpenInterestConsolidator() [1/5]
QuantConnect.Data.Consolidators.OpenInterestConsolidator.OpenInterestConsolidator |
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TimeSpan |
period | ) |
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Creates a consolidator to produce a new 'OpenInterest' representing the period
- Parameters
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period | The minimum span of time before emitting a consolidated bar |
Definition at line 41 of file OpenInterestConsolidator.cs.
◆ OpenInterestConsolidator() [2/5]
QuantConnect.Data.Consolidators.OpenInterestConsolidator.OpenInterestConsolidator |
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int |
maxCount | ) |
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Creates a consolidator to produce a new 'OpenInterest' representing the last count pieces of data
- Parameters
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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 |
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int |
maxCount, |
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TimeSpan |
period |
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) |
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Creates a consolidator to produce a new 'OpenInterest' representing the last count pieces of data or the period, whichever comes first
- Parameters
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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 |
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Func< DateTime, CalendarInfo > |
func | ) |
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Creates a consolidator to produce a new 'OpenInterest'
- Parameters
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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 |
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PyObject |
pyfuncobj | ) |
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Creates a consolidator to produce a new 'OpenInterest'
- Parameters
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pyfuncobj | Python function object that defines the start time of a consolidated data |
Definition at line 78 of file OpenInterestConsolidator.cs.
◆ FromResolution()
Create a new OpenInterestConsolidator for the desired resolution
- Parameters
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resolution | The resolution desired |
- Returns
- A consolidator that produces data on the resolution interval
Definition at line 32 of file OpenInterestConsolidator.cs.
◆ ShouldProcess()
override bool QuantConnect.Data.Consolidators.OpenInterestConsolidator.ShouldProcess |
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Tick |
data | ) |
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protected |
Determines whether or not the specified data should be processed
- Parameters
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- 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 |
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ref OpenInterest |
workingBar, |
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Tick |
data |
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protected |
Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be null following the event firing
- Parameters
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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.
The documentation for this class was generated from the following file: