Represents a bar sectioned not by time, but by some amount of movement in a value (for example, Closing price moving in $10 bar sizes) More...

Inheritance diagram for QuantConnect.Data.Market.RenkoBar:

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Public Member Functions
	RenkoBar ()
	Initializes a new default instance of the RenkoBar class. More...

	RenkoBar (Symbol symbol, DateTime time, decimal brickSize, decimal open, decimal volume)
	Initializes a new instance of the RenkoBar class with the specified values More...

	RenkoBar (Symbol symbol, DateTime start, DateTime endTime, decimal brickSize, decimal open, decimal high, decimal low, decimal close)
	Initializes a new instance of the RenkoBar class with the specified values More...

bool	Update (DateTime time, decimal currentValue, decimal volumeSinceLastUpdate)
	Updates this RenkoBar with the specified values and returns whether or not this bar is closed More...

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

Public Member Functions inherited from QuantConnect.Data.Market.BaseRenkoBar
override BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
	Reader Method :: using set of arguements we specify read out type. Enumerate until the end of the data stream or file. E.g. Read CSV file line by line and convert into data types. More...

override SubscriptionDataSource	GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
	Return the URL string source of the file. This will be converted to a stream More...

Public Member Functions inherited from QuantConnect.Data.Market.TradeBar
	TradeBar ()
	Default initializer to setup an empty tradebar. More...

	TradeBar (TradeBar original)
	Cloner constructor for implementing fill forward. Return a new instance with the same values as this original. More...

	TradeBar (DateTime time, Symbol symbol, decimal open, decimal high, decimal low, decimal close, decimal volume, TimeSpan? period=null)
	Initialize Trade Bar with OHLC Values: More...

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

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

override void	Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
	Update the tradebar - build the bar from this pricing information: 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 (bool fillForward)
	Return a new instance clone of this object, used in fill forward More...

override BaseData	Clone ()
	Return a new instance clone of this object More...

override string	ToString ()
	Formats a string with the symbol and value. 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...

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
DateTime	End `[get, set]`
	Gets the end time of this renko bar or the most recent update time if it BaseRenkoBar.IsClosed More...

BarDirection	Direction `[get]`
	The trend of the bar (i.e. Rising, Falling or NoDelta) More...

decimal	Spread `[get]`
	The "spread" of the bar More...

Properties inherited from QuantConnect.Data.Market.BaseRenkoBar
RenkoType	Type `[get, protected set]`
	Gets the kind of the bar More...

decimal	BrickSize `[get, protected set]`
	The preset size of the consolidated bar More...

override DateTime	EndTime `[get, set]`
	Gets the end time of this renko bar or the most recent update time if it IsClosed More...

DateTime	Start `[get, protected set]`
	Gets the time this bar started More...

virtual bool	IsClosed `[get, protected set]`
	Gets whether or not this bar is considered closed. More...

Properties inherited from QuantConnect.Data.Market.TradeBar
virtual decimal	Volume `[get, set]`
	Volume: More...

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

virtual decimal	High `[get, set]`
	High price of the TradeBar during the time period. More...

virtual decimal	Low `[get, set]`
	Low price of the TradeBar during the time period. More...

virtual decimal	Close `[get, set]`
	Closing price of the TradeBar. 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...

virtual TimeSpan	Period `[get, set]`
	The period of this trade 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.Market.TradeBar
static TradeBar	Parse (SubscriptionDataConfig config, string line, DateTime baseDate)
	Parses the trade bar data line assuming QC data formats More...

static T	ParseEquity< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseEquity (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseEquity (SubscriptionDataConfig config, string line, DateTime date)
	Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseForex< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseCrypto< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseCrypto (SubscriptionDataConfig config, string line, DateTime date)
	Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseCrypto (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseForex (SubscriptionDataConfig config, string line, DateTime date)
	Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseForex (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseCfd< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseCfd (SubscriptionDataConfig config, string line, DateTime date)
	Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseCfd (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseOption< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseOption< T > (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseFuture< T > (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseFuture< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseIndex (SubscriptionDataConfig config, string line, DateTime date)
	Parse an index bar from the LEAN disk format More...

static TradeBar	ParseIndex (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parse an index bar from the LEAN disk format More...

static TradeBar	ParseOption (SubscriptionDataConfig config, string line, DateTime date)
	Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseOption (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseFuture (SubscriptionDataConfig config, string line, DateTime date)
	Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseFuture (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

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

Represents a bar sectioned not by time, but by some amount of movement in a value (for example, Closing price moving in $10 bar sizes)

Definition at line 23 of file RenkoBar.cs.

Constructor & Destructor Documentation

◆ RenkoBar() [1/3]

QuantConnect.Data.Market.RenkoBar.RenkoBar ( )

Initializes a new default instance of the RenkoBar class.

Definition at line 65 of file RenkoBar.cs.

◆ RenkoBar() [2/3]

QuantConnect.Data.Market.RenkoBar.RenkoBar	(	Symbol	symbol,
		DateTime	time,
		decimal	brickSize,
		decimal	open,
		decimal	volume
	)

Initializes a new instance of the RenkoBar class with the specified values

Parameters

symbol	The symbol of this data
time	The start time of the bar
brickSize	The size of each renko brick
open	The opening price for the new bar
volume	Any initial volume associated with the data

Definition at line 77 of file RenkoBar.cs.

◆ RenkoBar() [3/3]

QuantConnect.Data.Market.RenkoBar.RenkoBar	(	Symbol	symbol,
		DateTime	start,
		DateTime	endTime,
		decimal	brickSize,
		decimal	open,
		decimal	high,
		decimal	low,
		decimal	close
	)

Initializes a new instance of the RenkoBar class with the specified values

Parameters

symbol	The symbol of this data
start	The start time of the bar
endTime	The end time of the bar
brickSize	The size of each wicko brick
open	The opening price for the new bar
high	The high price for the new bar
low	The low price for the new bar
close	The closing price for the new bar

Definition at line 104 of file RenkoBar.cs.

Member Function Documentation

◆ Update()

bool QuantConnect.Data.Market.RenkoBar.Update	(	DateTime	time,
		decimal	currentValue,
		decimal	volumeSinceLastUpdate
	)

Updates this RenkoBar with the specified values and returns whether or not this bar is closed

Parameters

time	The current time
currentValue	The current value
volumeSinceLastUpdate	The volume since the last update called on this instance

Returns: True if this bar BaseRenkoBar.IsClosed

Definition at line 127 of file RenkoBar.cs.

Here is the caller graph for this function:

◆ Clone()

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

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

Returns: A clone of the current object

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 163 of file RenkoBar.cs.

Property Documentation

◆ End

DateTime QuantConnect.Data.Market.RenkoBar.End

getset

Gets the end time of this renko bar or the most recent update time if it BaseRenkoBar.IsClosed

Definition at line 30 of file RenkoBar.cs.

◆ Direction

BarDirection QuantConnect.Data.Market.RenkoBar.Direction

get

The trend of the bar (i.e. Rising, Falling or NoDelta)

Definition at line 39 of file RenkoBar.cs.

◆ Spread

decimal QuantConnect.Data.Market.RenkoBar.Spread

get

The "spread" of the bar

Definition at line 55 of file RenkoBar.cs.

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

Common/Data/Market/RenkoBar.cs

Public Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ RenkoBar() [1/3]

◆ RenkoBar() [2/3]

◆ RenkoBar() [3/3]

Member Function Documentation

◆ Update()

◆ Clone()

Property Documentation

◆ End

◆ Direction

◆ Spread