TradeBar 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.TradeBar:

[legend]

Public Member Functions
	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...

Static Public Member Functions
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...

Properties
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
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

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

Definition at line 33 of file TradeBar.cs.

Constructor & Destructor Documentation

◆ TradeBar() [1/3]

QuantConnect.Data.Market.TradeBar.TradeBar ( )

Default initializer to setup an empty tradebar.

Definition at line 134 of file TradeBar.cs.

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◆ TradeBar() [2/3]

QuantConnect.Data.Market.TradeBar.TradeBar ( TradeBar original )

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

Parameters

original Original tradebar object we seek to clone

Definition at line 146 of file TradeBar.cs.

◆ TradeBar() [3/3]

QuantConnect.Data.Market.TradeBar.TradeBar	(	DateTime	time,
		Symbol	symbol,
		decimal	open,
		decimal	high,
		decimal	low,
		decimal	close,
		decimal	volume,
		TimeSpan?	period = `null`
	)

Initialize Trade Bar with OHLC Values:

Parameters

time	DateTime Timestamp of the bar
symbol	Market MarketType Symbol
open	Decimal Opening Price
high	Decimal High Price of this bar
low	Decimal Low Price of this bar
close	Decimal Close price of this bar
volume	Volume sum over day
period	The period of this bar, specify null for default of 1 minute

Definition at line 172 of file TradeBar.cs.

Member Function Documentation

◆ Reader() [1/2]

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

virtual

TradeBar 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 195 of file TradeBar.cs.

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◆ Reader() [2/2]

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

virtual

TradeBar Reader: Fetch the data from the QC storage and feed it directly from the stream 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 259 of file TradeBar.cs.

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◆ Parse()

static TradeBar QuantConnect.Data.Market.TradeBar.Parse	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	baseDate
	)

static

Parses the trade bar data line assuming QC data formats

Definition at line 320 of file TradeBar.cs.

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◆ ParseEquity< T >()

static T QuantConnect.Data.Market.TradeBar.ParseEquity< T >	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

static

Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Template Parameters

T	The requested output type, must derive from TradeBar

Parameters

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

Returns

Type Constraints

T	:	TradeBar
T	:	new()

Definition at line 347 of file TradeBar.cs.

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◆ ParseEquity() [1/2]

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

static

Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

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

Returns

Definition at line 368 of file TradeBar.cs.

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◆ ParseEquity() [2/2]

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

static

Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

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

Returns

Definition at line 392 of file TradeBar.cs.

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◆ ParseForex< T >()

static T QuantConnect.Data.Market.TradeBar.ParseForex< T >	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

static

Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Template Parameters

T	The requested output type, must derive from TradeBar

Parameters

config	Symbols, Resolution, DataType,
line	Line from the data file requested
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Type Constraints

T	:	TradeBar
T	:	new()

Definition at line 411 of file TradeBar.cs.

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◆ ParseCrypto< T >()

static T QuantConnect.Data.Market.TradeBar.ParseCrypto< T >	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

static

Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Template Parameters

T	The requested output type, must derive from TradeBar

Parameters

config	Symbols, Resolution, DataType,
line	Line from the data file requested
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Type Constraints

T	:	TradeBar
T	:	new()

Definition at line 431 of file TradeBar.cs.

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◆ ParseCrypto() [1/2]

static TradeBar QuantConnect.Data.Market.TradeBar.ParseCrypto	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

static

Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

config	Symbols, Resolution, DataType,
line	Line from the data file requested
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Definition at line 450 of file TradeBar.cs.

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◆ ParseCrypto() [2/2]

static TradeBar QuantConnect.Data.Market.TradeBar.ParseCrypto	(	SubscriptionDataConfig	config,
		StreamReader	streamReader,
		DateTime	date
	)

static

Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

config	Symbols, Resolution, DataType,
streamReader	The data stream of the requested file
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Definition at line 461 of file TradeBar.cs.

◆ ParseForex() [1/2]

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

static

Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

config	Symbols, Resolution, DataType,
line	Line from the data file requested
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Definition at line 473 of file TradeBar.cs.

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◆ ParseForex() [2/2]

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

static

Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

config	Symbols, Resolution, DataType,
streamReader	The data stream of the requested file
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Definition at line 485 of file TradeBar.cs.

◆ ParseCfd< T >()

static T QuantConnect.Data.Market.TradeBar.ParseCfd< T >	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

static

Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Template Parameters

T	The requested output type, must derive from TradeBar

Parameters

config	Symbols, Resolution, DataType,
line	Line from the data file requested
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Type Constraints

T	:	TradeBar
T	:	new()

Definition at line 498 of file TradeBar.cs.

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◆ ParseCfd() [1/2]

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

static

Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

config	Symbols, Resolution, DataType,
line	Line from the data file requested
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Definition at line 512 of file TradeBar.cs.

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◆ ParseCfd() [2/2]

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

static

Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

config	Symbols, Resolution, DataType,
streamReader	The data stream of the requested file
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Definition at line 525 of file TradeBar.cs.

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◆ ParseOption< T >() [1/2]

static T QuantConnect.Data.Market.TradeBar.ParseOption< T >	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

static

Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Template Parameters

T	The requested output type, must derive from TradeBar

Parameters

config	Symbols, Resolution, DataType,
line	Line from the data file requested
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Type Constraints

T	:	TradeBar
T	:	new()

Definition at line 539 of file TradeBar.cs.

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◆ ParseOption< T >() [2/2]

static T QuantConnect.Data.Market.TradeBar.ParseOption< T >	(	SubscriptionDataConfig	config,
		StreamReader	streamReader,
		DateTime	date
	)

static

Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Template Parameters

T	The requested output type, must derive from TradeBar

Parameters

config	Symbols, Resolution, DataType,
streamReader	The data stream of the requested file
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Type Constraints

T	:	TradeBar
T	:	new()

Definition at line 560 of file TradeBar.cs.

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◆ ParseFuture< T >() [1/2]

static T QuantConnect.Data.Market.TradeBar.ParseFuture< T >	(	SubscriptionDataConfig	config,
		StreamReader	streamReader,
		DateTime	date
	)

static

Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Template Parameters

T	The requested output type, must derive from TradeBar

Parameters

config	Symbols, Resolution, DataType,
streamReader	The data stream of the requested file
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Type Constraints

T	:	TradeBar
T	:	new()

Definition at line 581 of file TradeBar.cs.

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◆ ParseFuture< T >() [2/2]

static T QuantConnect.Data.Market.TradeBar.ParseFuture< T >	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

static

Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Template Parameters

T	The requested output type, must derive from TradeBar

Parameters

config	Symbols, Resolution, DataType,
line	Line from the data file requested
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Type Constraints

T	:	TradeBar
T	:	new()

Definition at line 602 of file TradeBar.cs.

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◆ ParseIndex() [1/2]

static TradeBar QuantConnect.Data.Market.TradeBar.ParseIndex	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

static

Parse an index bar from the LEAN disk format

Definition at line 618 of file TradeBar.cs.

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◆ ParseIndex() [2/2]

static TradeBar QuantConnect.Data.Market.TradeBar.ParseIndex	(	SubscriptionDataConfig	config,
		StreamReader	streamReader,
		DateTime	date
	)

static

Parse an index bar from the LEAN disk format

Definition at line 731 of file TradeBar.cs.

◆ ParseOption() [1/2]

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

static

Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

config	Symbols, Resolution, DataType,
line	Line from the data file requested
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Definition at line 743 of file TradeBar.cs.

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◆ ParseOption() [2/2]

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

static

Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

config	Symbols, Resolution, DataType,
streamReader	The data stream of the requested file
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Definition at line 755 of file TradeBar.cs.

◆ ParseFuture() [1/2]

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

static

Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

config	Symbols, Resolution, DataType,
line	Line from the data file requested
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Definition at line 767 of file TradeBar.cs.

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◆ ParseFuture() [2/2]

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

static

Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters

config	Symbols, Resolution, DataType,
streamReader	The data stream of the requested file
date	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight

Returns

Definition at line 779 of file TradeBar.cs.

◆ Update()

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

virtual

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

Parameters

lastTrade	This trade price
bidPrice	Current bid price (not used)
askPrice	Current asking price (not used)
volume	Volume of this trade
bidSize	The size of the current bid, if available
askSize	The size of the current ask, if available

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 793 of file TradeBar.cs.

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◆ GetSource()

override SubscriptionDataSource QuantConnect.Data.Market.TradeBar.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 812 of file TradeBar.cs.

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◆ Clone() [1/2]

override BaseData QuantConnect.Data.Market.TradeBar.Clone ( bool fillForward )

virtual

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

Parameters

fillForward True if this is a fill forward clone

Returns: A clone of the current object

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 833 of file TradeBar.cs.

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◆ Clone() [2/2]

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

virtual

Return a new instance clone of this object

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 849 of file TradeBar.cs.

◆ ToString()

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

Formats a string with the symbol and value.

Returns: string - a string formatted as SPY: 167.753

Definition at line 858 of file TradeBar.cs.

Property Documentation

◆ Volume

virtual decimal QuantConnect.Data.Market.TradeBar.Volume

getset

Volume:

Definition at line 47 of file TradeBar.cs.

◆ Open

virtual decimal QuantConnect.Data.Market.TradeBar.Open

getset

Opening price of the bar: Defined as the price at the start of the time period.

Definition at line 54 of file TradeBar.cs.

◆ High

virtual decimal QuantConnect.Data.Market.TradeBar.High

getset

High price of the TradeBar during the time period.

Definition at line 68 of file TradeBar.cs.

◆ Low

virtual decimal QuantConnect.Data.Market.TradeBar.Low

getset

Low price of the TradeBar during the time period.

Definition at line 82 of file TradeBar.cs.

◆ Close

virtual decimal QuantConnect.Data.Market.TradeBar.Close

getset

Closing price of the TradeBar. Defined as the price at Start Time + TimeSpan.

Definition at line 96 of file TradeBar.cs.

◆ EndTime

override DateTime QuantConnect.Data.Market.TradeBar.EndTime

getset

The closing time of this bar, computed via the Time and Period

Definition at line 110 of file TradeBar.cs.

◆ Period

virtual TimeSpan QuantConnect.Data.Market.TradeBar.Period

getset

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

Definition at line 120 of file TradeBar.cs.

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

Common/Data/Market/TradeBar.cs

Public Member Functions

Static Public Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ TradeBar() [1/3]

◆ TradeBar() [2/3]

◆ TradeBar() [3/3]

Member Function Documentation

◆ Reader() [1/2]

◆ Reader() [2/2]

◆ Parse()

◆ ParseEquity< T >()

◆ ParseEquity() [1/2]

◆ ParseEquity() [2/2]

◆ ParseForex< T >()

◆ ParseCrypto< T >()

◆ ParseCrypto() [1/2]

◆ ParseCrypto() [2/2]

◆ ParseForex() [1/2]

◆ ParseForex() [2/2]

◆ ParseCfd< T >()

◆ ParseCfd() [1/2]

◆ ParseCfd() [2/2]

◆ ParseOption< T >() [1/2]

◆ ParseOption< T >() [2/2]

◆ ParseFuture< T >() [1/2]

◆ ParseFuture< T >() [2/2]

◆ ParseIndex() [1/2]

◆ ParseIndex() [2/2]

◆ ParseOption() [1/2]

◆ ParseOption() [2/2]

◆ ParseFuture() [1/2]

◆ ParseFuture() [2/2]

◆ Update()

◆ GetSource()

◆ Clone() [1/2]

◆ Clone() [2/2]

◆ ToString()

Property Documentation

◆ Volume

◆ Open

◆ High

◆ Low

◆ Close

◆ EndTime

◆ Period