QuantConnect.Data.Market.VolumeRenkoBar Class Reference
Represents a bar sectioned not by time, but by some amount of movement in volume More...
Inheritance diagram for QuantConnect.Data.Market.VolumeRenkoBar:
Public Member Functions | |
| VolumeRenkoBar () | |
| Initializes a new default instance of the RenkoBar class. More... | |
| VolumeRenkoBar (Symbol symbol, DateTime start, DateTime endTime, decimal brickSize, decimal open, decimal high, decimal low, decimal close, decimal volume) | |
| Initializes a new instance of the VolumeRenkoBar class with the specified values More... | |
| decimal | Update (DateTime time, decimal high, decimal low, decimal close, decimal volume) |
| Updates this VolumeRenkoBar with the specified values and returns whether or not this bar is closed More... | |
| VolumeRenkoBar | Rollover () |
| Create a new VolumeRenkoBar with previous information rollover 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 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... | |
Public Attributes | |
| override bool | IsClosed => Volume >= BrickSize |
| Gets whether or not this bar is considered closed. 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... | |
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... | |
| 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.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... | |
Detailed Description
Represents a bar sectioned not by time, but by some amount of movement in volume
Definition at line 23 of file VolumeRenkoBar.cs.
Constructor & Destructor Documentation
◆ VolumeRenkoBar() [1/2]
| QuantConnect.Data.Market.VolumeRenkoBar.VolumeRenkoBar | ( | ) |
Initializes a new default instance of the RenkoBar class.
Definition at line 33 of file VolumeRenkoBar.cs.
◆ VolumeRenkoBar() [2/2]
| QuantConnect.Data.Market.VolumeRenkoBar.VolumeRenkoBar | ( | Symbol | symbol, |
| DateTime | start, | ||
| DateTime | endTime, | ||
| decimal | brickSize, | ||
| decimal | open, | ||
| decimal | high, | ||
| decimal | low, | ||
| decimal | close, | ||
| decimal | volume | ||
| ) |
Initializes a new instance of the VolumeRenkoBar class with the specified values
- Parameters
-
symbol symbol of the data start The current data start time endTime The current data end time brickSize The preset volume capacity of this bar open The current data open value high The current data high value low The current data low value close The current data close value volume The current data volume
Definition at line 49 of file VolumeRenkoBar.cs.
Member Function Documentation
◆ Update()
| decimal QuantConnect.Data.Market.VolumeRenkoBar.Update | ( | DateTime | time, |
| decimal | high, | ||
| decimal | low, | ||
| decimal | close, | ||
| decimal | volume | ||
| ) |
Updates this VolumeRenkoBar with the specified values and returns whether or not this bar is closed
- Parameters
-
time The current data end time high The current data high value low The current data low value close The current data close value volume The current data volume
- Returns
- The excess volume that the current bar cannot absorb
Definition at line 73 of file VolumeRenkoBar.cs.
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◆ Rollover()
| VolumeRenkoBar QuantConnect.Data.Market.VolumeRenkoBar.Rollover | ( | ) |
Create a new VolumeRenkoBar with previous information rollover
Definition at line 99 of file VolumeRenkoBar.cs.
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Member Data Documentation
◆ IsClosed
Gets whether or not this bar is considered closed.
Definition at line 28 of file VolumeRenkoBar.cs.
The documentation for this class was generated from the following file:
- Common/Data/Market/VolumeRenkoBar.cs
