Consolidates QuoteBars into larger QuoteBars
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| QuoteBarConsolidator (TimeSpan period) |
| Initializes a new instance of the QuoteBarConsolidator class More...
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| QuoteBarConsolidator (int maxCount) |
| Initializes a new instance of the QuoteBarConsolidator class More...
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| QuoteBarConsolidator (int maxCount, TimeSpan period) |
| Initializes a new instance of the QuoteBarConsolidator class More...
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| QuoteBarConsolidator (Func< DateTime, CalendarInfo > func) |
| Creates a consolidator to produce a new 'QuoteBar' representing the last count pieces of data or the period, whichever comes first More...
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| QuoteBarConsolidator (PyObject pyfuncobj) |
| Creates a consolidator to produce a new 'QuoteBar' representing the last count pieces of data or the period, whichever comes first 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 void | Reset () |
| Resets the consolidator 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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Consolidates QuoteBars into larger QuoteBars
Definition at line 26 of file QuoteBarConsolidator.cs.
◆ QuoteBarConsolidator() [1/5]
QuantConnect.Data.Consolidators.QuoteBarConsolidator.QuoteBarConsolidator |
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TimeSpan |
period | ) |
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◆ QuoteBarConsolidator() [2/5]
QuantConnect.Data.Consolidators.QuoteBarConsolidator.QuoteBarConsolidator |
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int |
maxCount | ) |
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◆ QuoteBarConsolidator() [3/5]
QuantConnect.Data.Consolidators.QuoteBarConsolidator.QuoteBarConsolidator |
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int |
maxCount, |
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TimeSpan |
period |
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Initializes a new instance of the QuoteBarConsolidator class
- 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 51 of file QuoteBarConsolidator.cs.
◆ QuoteBarConsolidator() [4/5]
QuantConnect.Data.Consolidators.QuoteBarConsolidator.QuoteBarConsolidator |
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Func< DateTime, CalendarInfo > |
func | ) |
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Creates a consolidator to produce a new 'QuoteBar' representing the last count pieces of data or the period, whichever comes first
- Parameters
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func | Func that defines the start time of a consolidated data |
Definition at line 60 of file QuoteBarConsolidator.cs.
◆ QuoteBarConsolidator() [5/5]
QuantConnect.Data.Consolidators.QuoteBarConsolidator.QuoteBarConsolidator |
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PyObject |
pyfuncobj | ) |
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Creates a consolidator to produce a new 'QuoteBar' representing the last count pieces of data or the period, whichever comes first
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pyfuncobj | Python function object that defines the start time of a consolidated data |
Definition at line 69 of file QuoteBarConsolidator.cs.
◆ AggregateBar()
override void QuantConnect.Data.Consolidators.QuoteBarConsolidator.AggregateBar |
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ref QuoteBar |
workingBar, |
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QuoteBar |
data |
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protected |
Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be null following the event firing
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workingBar | The bar we're building, null if the event was just fired and we're starting a new consolidated bar |
data | The new data |
Definition at line 80 of file QuoteBarConsolidator.cs.
The documentation for this class was generated from the following file: