This consolidator can transform a stream of IBaseData instances into a stream of RangeBar More...

Inheritance diagram for QuantConnect.Data.Consolidators.RangeConsolidator:

Public Member Functions
	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...

Public Attributes
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...

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...

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...

Properties
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...

Additional Inherited Members
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

Definition at line 26 of file RangeConsolidator.cs.

Constructor & Destructor Documentation

◆ RangeConsolidator() [1/2]

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.

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 71 of file RangeConsolidator.cs.

◆ RangeConsolidator() [2/2]

QuantConnect.Data.Consolidators.RangeConsolidator.RangeConsolidator	(	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 90 of file RangeConsolidator.cs.

Member Function Documentation

◆ Reset()

override void QuantConnect.Data.Consolidators.RangeConsolidator.Reset ( )

virtual

Resets the consolidator

Reimplemented from QuantConnect.Data.Consolidators.BaseTimelessConsolidator< RangeBar >.

Definition at line 102 of file RangeConsolidator.cs.

◆ UpdateBar()

override void QuantConnect.Data.Consolidators.RangeConsolidator.UpdateBar	(	DateTime	time,
		decimal	currentValue,
		decimal	volume
	)

protectedvirtual

Updates the current RangeBar being created with the given data. Additionally, if it's the case, it consolidates the current RangeBar

Parameters

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 117 of file RangeConsolidator.cs.

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◆ CreateNewBar()

override void QuantConnect.Data.Consolidators.RangeConsolidator.CreateNewBar	(	IBaseData	data,
		decimal	currentValue,
		decimal	volume
	)

protectedvirtual

Creates a new bar with the given data

Parameters

data	The new data for the bar
currentValue	The new value for the bar
volume	The new volume for the bar

Implements QuantConnect.Data.Consolidators.BaseTimelessConsolidator< RangeBar >.

Definition at line 144 of file RangeConsolidator.cs.

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Member Data Documentation

◆ OutputType

override Type QuantConnect.Data.Consolidators.RangeConsolidator.OutputType => typeof(RangeBar)

Gets RangeBar which is the type emitted in the IDataConsolidator.DataConsolidated event.

Definition at line 55 of file RangeConsolidator.cs.

◆ WorkingData

override IBaseData QuantConnect.Data.Consolidators.RangeConsolidator.WorkingData => CurrentBar?.Clone()

Gets a clone of the data being currently consolidated

Definition at line 60 of file RangeConsolidator.cs.

Property Documentation

◆ CurrentBar

override RangeBar QuantConnect.Data.Consolidators.RangeConsolidator.CurrentBar

getsetprotected

Bar being created

Definition at line 39 of file RangeConsolidator.cs.

◆ RangeSize

decimal QuantConnect.Data.Consolidators.RangeConsolidator.RangeSize

get

Range for each RangeBar, this is, the difference between the High and Low for each RangeBar

Definition at line 45 of file RangeConsolidator.cs.

◆ Range

int QuantConnect.Data.Consolidators.RangeConsolidator.Range

get

Number of MinimumPriceVariation units

Definition at line 50 of file RangeConsolidator.cs.

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

Common/Data/Consolidators/RangeConsolidator.cs

Public Member Functions

Public Attributes

Protected Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ RangeConsolidator() [1/2]

◆ RangeConsolidator() [2/2]

Member Function Documentation

◆ Reset()

◆ UpdateBar()

◆ CreateNewBar()

Member Data Documentation

◆ OutputType

◆ WorkingData

Property Documentation

◆ CurrentBar

◆ RangeSize

◆ Range