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Dynamic Data Class: Accept flexible data, adapting to the columns provided by source. More...
Public Member Functions | |
DynamicMetaObject | GetMetaObject (Expression parameter) |
Get the metaObject required for Dynamism. More... | |
object | SetProperty (string name, object value) |
Sets the property with the specified name to the value. This is a case-insensitve search. More... | |
object | GetProperty (string name) |
Gets the property's value with the specified name. This is a case-insensitve search. More... | |
bool | HasProperty (string name) |
Gets whether or not this dynamic data instance has a property with the specified name. This is a case-insensitve search. More... | |
IDictionary< string, object > | GetStorageDictionary () |
Gets the storage dictionary Python algorithms need this information since DynamicMetaObject does not work More... | |
override BaseData | Clone () |
Return a new instance clone of this object, used in fill forward More... | |
Public Member Functions inherited from QuantConnect.Data.BaseData | |
BaseData () | |
Constructor for initialising the dase data class More... | |
virtual BaseData | Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) |
Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. More... | |
virtual BaseData | Reader (SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode) |
Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. More... | |
virtual SubscriptionDataSource | GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode) |
Return the URL string source of the file. This will be converted to a stream More... | |
virtual bool | RequiresMapping () |
Indicates if there is support for mapping More... | |
virtual bool | IsSparseData () |
Indicates that the data set is expected to be sparse More... | |
virtual bool | ShouldCacheToSecurity () |
Indicates whether this contains data that should be stored in the security cache More... | |
virtual Resolution | DefaultResolution () |
Gets the default resolution for this data and security type More... | |
virtual List< Resolution > | SupportedResolutions () |
Gets the supported resolution for this data and security type More... | |
virtual DateTimeZone | DataTimeZone () |
Specifies the data time zone for this data type. This is useful for custom data types More... | |
void | UpdateTrade (decimal lastTrade, decimal tradeSize) |
Updates this base data with a new trade More... | |
void | UpdateQuote (decimal bidPrice, decimal bidSize, decimal askPrice, decimal askSize) |
Updates this base data with new quote information More... | |
void | UpdateBid (decimal bidPrice, decimal bidSize) |
Updates this base data with the new quote bid information More... | |
void | UpdateAsk (decimal askPrice, decimal askSize) |
Updates this base data with the new quote ask information More... | |
virtual void | Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize) |
Update routine to build a bar/tick from a data update. More... | |
virtual BaseData | Clone (bool fillForward) |
Return a new instance clone of this object, used in fill forward More... | |
override string | ToString () |
Formats a string with the symbol and value. More... | |
virtual BaseData | Reader (SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint dataFeed) |
Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. More... | |
virtual string | GetSource (SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed) |
Return the URL string source of the file. This will be converted to a stream More... | |
Additional Inherited Members | |
Static Public Member Functions inherited from QuantConnect.Data.BaseData | |
static IEnumerable< BaseData > | DeserializeMessage (string serialized) |
Deserialize the message from the data server More... | |
Public Attributes inherited from QuantConnect.Data.BaseData | |
virtual decimal | Price => Value |
As this is a backtesting platform we'll provide an alias of value as price. More... | |
Static Protected Attributes inherited from QuantConnect.Data.BaseData | |
static readonly List< Resolution > | AllResolutions |
A list of all Resolution More... | |
static readonly List< Resolution > | DailyResolution = new List<Resolution> { Resolution.Daily } |
A list of Resolution.Daily More... | |
static readonly List< Resolution > | MinuteResolution = new List<Resolution> { Resolution.Minute } |
A list of Resolution.Minute More... | |
static readonly List< Resolution > | HighResolution = new List<Resolution> { Resolution.Minute, Resolution.Second, Resolution.Tick } |
A list of high Resolution, including minute, second, and tick. More... | |
static readonly List< Resolution > | OptionResolutions = new List<Resolution> { Resolution.Daily, Resolution.Hour, Resolution.Minute } |
A list of resolutions support by Options More... | |
Properties inherited from QuantConnect.Data.BaseData | |
MarketDataType | DataType = MarketDataType.Base [get, set] |
Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More... | |
bool | IsFillForward [get] |
True if this is a fill forward piece of data More... | |
DateTime | Time [get, set] |
Current time marker of this data packet. More... | |
virtual DateTime | EndTime [get, set] |
The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered More... | |
Symbol | Symbol = Symbol.Empty [get, set] |
Symbol representation for underlying Security More... | |
virtual decimal | Value [get, set] |
Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price. More... | |
Properties inherited from QuantConnect.Data.IBaseData | |
MarketDataType | DataType [get, set] |
Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More... | |
DateTime | Time [get, set] |
Time keeper of data – all data is timeseries based. More... | |
DateTime | EndTime [get, set] |
End time of data More... | |
decimal | Value [get, set] |
All timeseries data is a time-value pair: More... | |
decimal | Price [get] |
Alias of Value. More... | |
Properties inherited from QuantConnect.Data.ISymbolProvider | |
Symbol | Symbol [get, set] |
Gets the Symbol More... | |
Dynamic Data Class: Accept flexible data, adapting to the columns provided by source.
Intended for use with Quandl class.
Definition at line 30 of file DynamicData.cs.
DynamicMetaObject QuantConnect.Data.DynamicData.GetMetaObject | ( | Expression | parameter | ) |
Get the metaObject required for Dynamism.
Definition at line 41 of file DynamicData.cs.
object QuantConnect.Data.DynamicData.SetProperty | ( | string | name, |
object | value | ||
) |
Sets the property with the specified name to the value. This is a case-insensitve search.
name | The property name to set |
value | The new property value |
Definition at line 52 of file DynamicData.cs.
object QuantConnect.Data.DynamicData.GetProperty | ( | string | name | ) |
Gets the property's value with the specified name. This is a case-insensitve search.
name | The property name to access |
Definition at line 123 of file DynamicData.cs.
bool QuantConnect.Data.DynamicData.HasProperty | ( | string | name | ) |
Gets whether or not this dynamic data instance has a property with the specified name. This is a case-insensitve search.
name | The property name to check for |
Definition at line 167 of file DynamicData.cs.
IDictionary<string, object> QuantConnect.Data.DynamicData.GetStorageDictionary | ( | ) |
Gets the storage dictionary Python algorithms need this information since DynamicMetaObject does not work
Definition at line 177 of file DynamicData.cs.
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virtual |
Return a new instance clone of this object, used in fill forward
This base implementation uses reflection to copy all public fields and properties
Reimplemented from QuantConnect.Data.BaseData.
Definition at line 189 of file DynamicData.cs.