QuantConnect.Data.Consolidators.TradeBarConsolidatorBase< T > Class Template Reference
A data consolidator that can make bigger bars from any base data More...
Inheritance diagram for QuantConnect.Data.Consolidators.TradeBarConsolidatorBase< T >:
Public Attributes | |
| TradeBar | WorkingBar => (TradeBar) WorkingData |
| Gets a copy of the current 'workingBar'. More... | |
 Public Attributes inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TradeBar > | |
| 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 Member Functions | |
| TradeBarConsolidatorBase (TimeSpan period) | |
| Creates a consolidator to produce a new 'TradeBar' representing the period More... | |
| TradeBarConsolidatorBase (int maxCount) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data More... | |
| TradeBarConsolidatorBase (int maxCount, TimeSpan period) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first More... | |
| TradeBarConsolidatorBase (Func< DateTime, CalendarInfo > func) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first More... | |
| TradeBarConsolidatorBase (PyObject pyfuncobj) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first More... | |
| Protected Member Functions inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TradeBar > | |
| 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 Member Functions inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TradeBar > | |
| 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... | |
| Protected Attributes inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TradeBar > | |
| 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< T, TradeBar > | |
| 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
A data consolidator that can make bigger bars from any base data
This type acts as the base for other consolidators that produce bars on a given time step or for a count of data.
- Template Parameters
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T The input type into the consolidator's Update method
- Type Constraints
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T : IBaseData
Definition at line 29 of file TradeBarConsolidatorBase.cs.
Constructor & Destructor Documentation
◆ TradeBarConsolidatorBase() [1/5]
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protected |
Creates a consolidator to produce a new 'TradeBar' representing the period
- Parameters
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period The minimum span of time before emitting a consolidated bar
Definition at line 36 of file TradeBarConsolidatorBase.cs.
◆ TradeBarConsolidatorBase() [2/5]
|
protected |
Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data
- Parameters
-
maxCount The number of pieces to accept before emiting a consolidated bar
Definition at line 45 of file TradeBarConsolidatorBase.cs.
◆ TradeBarConsolidatorBase() [3/5]
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protected |
Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first
- Parameters
-
maxCount The number of pieces to accept before emiting a consolidated bar period The minimum span of time before emitting a consolidated bar
Definition at line 55 of file TradeBarConsolidatorBase.cs.
◆ TradeBarConsolidatorBase() [4/5]
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protected |
Creates a consolidator to produce a new 'TradeBar' 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 64 of file TradeBarConsolidatorBase.cs.
◆ TradeBarConsolidatorBase() [5/5]
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protected |
Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first
- Parameters
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pyfuncobj Python function object that defines the start time of a consolidated data
Definition at line 73 of file TradeBarConsolidatorBase.cs.
Member Data Documentation
◆ WorkingBar
| TradeBar QuantConnect.Data.Consolidators.TradeBarConsolidatorBase< T >.WorkingBar => (TradeBar) WorkingData |
Gets a copy of the current 'workingBar'.
Definition at line 81 of file TradeBarConsolidatorBase.cs.
The documentation for this class was generated from the following file:
- Common/Data/Consolidators/TradeBarConsolidatorBase.cs
