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

T	The input type into the consolidator's Update method

Type Constraints

T

:

IBaseData

Definition at line 29 of file TradeBarConsolidatorBase.cs.

Constructor & Destructor Documentation

◆ TradeBarConsolidatorBase() [1/5]

QuantConnect.Data.Consolidators.TradeBarConsolidatorBase< T >.TradeBarConsolidatorBase ( TimeSpan period )

protected

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

Parameters

period The minimum span of time before emitting a consolidated bar

Definition at line 36 of file TradeBarConsolidatorBase.cs.

◆ TradeBarConsolidatorBase() [2/5]

QuantConnect.Data.Consolidators.TradeBarConsolidatorBase< T >.TradeBarConsolidatorBase ( int maxCount )

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]

QuantConnect.Data.Consolidators.TradeBarConsolidatorBase< T >.TradeBarConsolidatorBase	(	int	maxCount,
		TimeSpan	period
	)

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]

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

protected

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

Parameters

func	Func that defines the start time of a consolidated data

Definition at line 64 of file TradeBarConsolidatorBase.cs.

◆ TradeBarConsolidatorBase() [5/5]

QuantConnect.Data.Consolidators.TradeBarConsolidatorBase< T >.TradeBarConsolidatorBase ( PyObject pyfuncobj )

protected

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

Parameters

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

Public Attributes

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ TradeBarConsolidatorBase() [1/5]

◆ TradeBarConsolidatorBase() [2/5]

◆ TradeBarConsolidatorBase() [3/5]

◆ TradeBarConsolidatorBase() [4/5]

◆ TradeBarConsolidatorBase() [5/5]

Member Data Documentation

◆ WorkingBar