QuoteBar class for second and minute resolution data: An OHLC implementation of the QuantConnect BaseData class with parameters for candles. More...

Inheritance diagram for QuantConnect.Data.Market.QuoteBar:

[legend]

Public Member Functions
	QuoteBar ()
	Default initializer to setup an empty quotebar. More...

	QuoteBar (DateTime time, Symbol symbol, IBar bid, decimal lastBidSize, IBar ask, decimal lastAskSize, TimeSpan? period=null)
	Initialize Quote Bar with Bid(OHLC) and Ask(OHLC) Values: More...

override void	Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
	Update the quotebar - build the bar from this pricing information: More...

override BaseData	Reader (SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode)
	QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine. More...

override BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
	QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine. More...

QuoteBar	ParseFuture (SubscriptionDataConfig config, string line, DateTime date)
	Parse a quotebar representing a future with a scaling factor More...

QuoteBar	ParseFuture (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parse a quotebar representing a future with a scaling factor More...

QuoteBar	ParseOption (SubscriptionDataConfig config, string line, DateTime date)
	Parse a quotebar representing an option with a scaling factor More...

QuoteBar	ParseOption (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parse a quotebar representing an option with a scaling factor More...

QuoteBar	ParseCfd (SubscriptionDataConfig config, string line, DateTime date)
	Parse a quotebar representing a cfd without a scaling factor More...

QuoteBar	ParseCfd (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parse a quotebar representing a cfd without a scaling factor More...

QuoteBar	ParseForex (SubscriptionDataConfig config, string line, DateTime date)
	Parse a quotebar representing a forex without a scaling factor More...

QuoteBar	ParseForex (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parse a quotebar representing a forex without a scaling factor More...

QuoteBar	ParseEquity (SubscriptionDataConfig config, string line, DateTime date)
	Parse a quotebar representing an equity with a scaling factor More...

QuoteBar	ParseEquity (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parse a quotebar representing an equity with a scaling factor More...

override SubscriptionDataSource	GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
	Get Source for Custom Data File What source file location would you prefer for each type of usage: More...

override BaseData	Clone ()
	Return a new instance clone of this quote bar, used in fill forward More...

TradeBar	Collapse ()
	Collapses QuoteBars into TradeBars object when algorithm requires FX data, but calls OnData(TradeBars) TODO: (2017) Remove this method in favor of using OnData(Slice) More...

override string	ToString ()
	Convert this QuoteBar to string form. More...

Public Member Functions inherited from QuantConnect.Data.BaseData
	BaseData ()
	Constructor for initialising the dase data class 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 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...

Properties
decimal	LastBidSize `[get, set]`
	Average bid size More...

decimal	LastAskSize `[get, set]`
	Average ask size More...

Bar	Bid `[get, set]`
	Bid OHLC More...

Bar	Ask `[get, set]`
	Ask OHLC More...

decimal	Open `[get]`
	Opening price of the bar: Defined as the price at the start of the time period. More...

decimal	High `[get]`
	High price of the QuoteBar during the time period. More...

decimal	Low `[get]`
	Low price of the QuoteBar during the time period. More...

decimal	Close `[get]`
	Closing price of the QuoteBar. Defined as the price at Start Time + TimeSpan. More...

override DateTime	EndTime `[get, set]`
	The closing time of this bar, computed via the Time and Period More...

TimeSpan	Period `[get, set]`
	The period of this quote bar, (second, minute, daily, ect...) 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...

Properties inherited from QuantConnect.Data.Market.IBar
decimal	Open `[get]`
	Opening price of the bar: Defined as the price at the start of the time period. More...

decimal	High `[get]`
	High price of the bar during the time period. More...

decimal	Low `[get]`
	Low price of the bar during the time period. More...

decimal	Close `[get]`
	Closing price of the bar. Defined as the price at Start Time + TimeSpan. 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...

Detailed Description

QuoteBar class for second and minute resolution data: An OHLC implementation of the QuantConnect BaseData class with parameters for candles.

Definition at line 32 of file QuoteBar.cs.

Constructor & Destructor Documentation

◆ QuoteBar() [1/2]

QuantConnect.Data.Market.QuoteBar.QuoteBar ( )

Default initializer to setup an empty quotebar.

Definition at line 207 of file QuoteBar.cs.

◆ QuoteBar() [2/2]

QuantConnect.Data.Market.QuoteBar.QuoteBar	(	DateTime	time,
		Symbol	symbol,
		IBar	bid,
		decimal	lastBidSize,
		IBar	ask,
		decimal	lastAskSize,
		TimeSpan?	period = `null`
	)

Initialize Quote Bar with Bid(OHLC) and Ask(OHLC) Values:

Parameters

time	DateTime Timestamp of the bar
symbol	Market MarketType Symbol
bid	Bid OLHC bar
lastBidSize	Average bid size over period
ask	Ask OLHC bar
lastAskSize	Average ask size over period
period	The period of this bar, specify null for default of 1 minute

Definition at line 228 of file QuoteBar.cs.

Member Function Documentation

◆ Update()

override void QuantConnect.Data.Market.QuoteBar.Update	(	decimal	lastTrade,
		decimal	bidPrice,
		decimal	askPrice,
		decimal	volume,
		decimal	bidSize,
		decimal	askSize
	)

virtual

Update the quotebar - build the bar from this pricing information:

Parameters

lastTrade	The last trade price
bidPrice	Current bid price
askPrice	Current asking price
volume	Volume of this trade
bidSize	The size of the current bid, if available, if not, pass 0
askSize	The size of the current ask, if available, if not, pass 0

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 251 of file QuoteBar.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ Reader() [1/2]

override BaseData QuantConnect.Data.Market.QuoteBar.Reader	(	SubscriptionDataConfig	config,
		StreamReader	stream,
		DateTime	date,
		bool	isLiveMode
	)

virtual

QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.

Parameters

config	Symbols, Resolution, DataType,
stream	The file data stream
date	Date of this reader request
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: Enumerable iterator for returning each line of the required data.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 284 of file QuoteBar.cs.

Here is the call graph for this function:

◆ Reader() [2/2]

override BaseData QuantConnect.Data.Market.QuoteBar.Reader	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date,
		bool	isLiveMode
	)

virtual

QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.

Parameters

config	Symbols, Resolution, DataType,
line	Line from the data file requested
date	Date of this reader request
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: Enumerable iterator for returning each line of the required data.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 333 of file QuoteBar.cs.

Here is the call graph for this function:

◆ ParseFuture() [1/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseFuture	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

Parse a quotebar representing a future with a scaling factor

Parameters

config	Symbols, Resolution, DataType
line	Line from the data file requested
date	Date of this reader request

Returns: QuoteBar with the bid/ask set to same values

Definition at line 378 of file QuoteBar.cs.

Here is the caller graph for this function:

◆ ParseFuture() [2/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseFuture	(	SubscriptionDataConfig	config,
		StreamReader	streamReader,
		DateTime	date
	)

Parse a quotebar representing a future with a scaling factor

Parameters

config	Symbols, Resolution, DataType
streamReader	The data stream of the requested file
date	Date of this reader request

Returns: QuoteBar with the bid/ask set to same values

Definition at line 390 of file QuoteBar.cs.

◆ ParseOption() [1/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseOption	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

Parse a quotebar representing an option with a scaling factor

Parameters

config	Symbols, Resolution, DataType
line	Line from the data file requested
date	Date of this reader request

Returns: QuoteBar with the bid/ask set to same values

Definition at line 402 of file QuoteBar.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ ParseOption() [2/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseOption	(	SubscriptionDataConfig	config,
		StreamReader	streamReader,
		DateTime	date
	)

Parse a quotebar representing an option with a scaling factor

Parameters

config	Symbols, Resolution, DataType
streamReader	The data stream of the requested file
date	Date of this reader request

Returns: QuoteBar with the bid/ask set to same values

Definition at line 414 of file QuoteBar.cs.

Here is the call graph for this function:

◆ ParseCfd() [1/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseCfd	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

Parse a quotebar representing a cfd without a scaling factor

Parameters

config	Symbols, Resolution, DataType
line	Line from the data file requested
date	Date of this reader request

Returns: QuoteBar with the bid/ask set to same values

Definition at line 427 of file QuoteBar.cs.

Here is the caller graph for this function:

◆ ParseCfd() [2/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseCfd	(	SubscriptionDataConfig	config,
		StreamReader	streamReader,
		DateTime	date
	)

Parse a quotebar representing a cfd without a scaling factor

Parameters

config	Symbols, Resolution, DataType
streamReader	The data stream of the requested file
date	Date of this reader request

Returns: QuoteBar with the bid/ask set to same values

Definition at line 439 of file QuoteBar.cs.

◆ ParseForex() [1/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseForex	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

Parse a quotebar representing a forex without a scaling factor

Parameters

config	Symbols, Resolution, DataType
line	Line from the data file requested
date	Date of this reader request

Returns: QuoteBar with the bid/ask set to same values

Definition at line 451 of file QuoteBar.cs.

Here is the caller graph for this function:

◆ ParseForex() [2/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseForex	(	SubscriptionDataConfig	config,
		StreamReader	streamReader,
		DateTime	date
	)

Parse a quotebar representing a forex without a scaling factor

Parameters

config	Symbols, Resolution, DataType
streamReader	The data stream of the requested file
date	Date of this reader request

Returns: QuoteBar with the bid/ask set to same values

Definition at line 463 of file QuoteBar.cs.

◆ ParseEquity() [1/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseEquity	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

Parse a quotebar representing an equity with a scaling factor

Parameters

config	Symbols, Resolution, DataType
line	Line from the data file requested
date	Date of this reader request

Returns: QuoteBar with the bid/ask set to same values

Definition at line 475 of file QuoteBar.cs.

Here is the caller graph for this function:

◆ ParseEquity() [2/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseEquity	(	SubscriptionDataConfig	config,
		StreamReader	streamReader,
		DateTime	date
	)

Parse a quotebar representing an equity with a scaling factor

Parameters

config	Symbols, Resolution, DataType
streamReader	The data stream of the requested file
date	Date of this reader request

Returns: QuoteBar with the bid/ask set to same values

Definition at line 487 of file QuoteBar.cs.

◆ GetSource()

override SubscriptionDataSource QuantConnect.Data.Market.QuoteBar.GetSource	(	SubscriptionDataConfig	config,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Get Source for Custom Data File

What source file location would you prefer for each type of usage:

Parameters

config	Configuration object
date	Date of this source request if source spread across multiple files
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: String source location of the file

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 643 of file QuoteBar.cs.

Here is the call graph for this function:

◆ Clone()

override BaseData QuantConnect.Data.Market.QuoteBar.Clone ( )

virtual

Return a new instance clone of this quote bar, used in fill forward

Returns: A clone of the current quote bar

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 663 of file QuoteBar.cs.

Here is the call graph for this function:

◆ Collapse()

TradeBar QuantConnect.Data.Market.QuoteBar.Collapse ( )

Collapses QuoteBars into TradeBars object when algorithm requires FX data, but calls OnData(TradeBars) TODO: (2017) Remove this method in favor of using OnData(Slice)

Returns: TradeBars

Definition at line 685 of file QuoteBar.cs.

◆ ToString()

override string QuantConnect.Data.Market.QuoteBar.ToString ( )

Convert this QuoteBar to string form.

Returns: String representation of the QuoteBar

The period of this quote bar, (second, minute, daily, ect...)

Definition at line 202 of file QuoteBar.cs.

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

Common/Data/Market/QuoteBar.cs

Public Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ QuoteBar() [1/2]

◆ QuoteBar() [2/2]

Member Function Documentation

◆ Update()

◆ Reader() [1/2]

◆ Reader() [2/2]

◆ ParseFuture() [1/2]

◆ ParseFuture() [2/2]

◆ ParseOption() [1/2]

◆ ParseOption() [2/2]

◆ ParseCfd() [1/2]

◆ ParseCfd() [2/2]

◆ ParseForex() [1/2]

◆ ParseForex() [2/2]

◆ ParseEquity() [1/2]

◆ ParseEquity() [2/2]

◆ GetSource()

◆ Clone()

◆ Collapse()

◆ ToString()

Property Documentation

◆ LastBidSize

◆ LastAskSize

◆ Bid

◆ Ask

◆ Open

◆ High

◆ Low

◆ Close

◆ EndTime

◆ Period