Subscription data required including the type of data. More...

Inheritance diagram for QuantConnect.Data.SubscriptionDataConfig:

Classes
class	NewSymbolEventArgs
	New base class for all event classes. More...

Public Member Functions
	SubscriptionDataConfig (Type objectType, Symbol symbol, Resolution resolution, DateTimeZone dataTimeZone, DateTimeZone exchangeTimeZone, bool fillForward, bool extendedHours, bool isInternalFeed, bool isCustom=false, TickType? tickType=null, bool isFilteredSubscription=true, DataNormalizationMode dataNormalizationMode=DataNormalizationMode.Adjusted, DataMappingMode dataMappingMode=DataMappingMode.OpenInterest, uint contractDepthOffset=0, bool mappedConfig=false)
	Constructor for Data Subscriptions More...

	SubscriptionDataConfig (SubscriptionDataConfig config, Type objectType=null, Symbol symbol=null, Resolution? resolution=null, DateTimeZone dataTimeZone=null, DateTimeZone exchangeTimeZone=null, bool? fillForward=null, bool? extendedHours=null, bool? isInternalFeed=null, bool? isCustom=null, TickType? tickType=null, bool? isFilteredSubscription=null, DataNormalizationMode? dataNormalizationMode=null, DataMappingMode? dataMappingMode=null, uint? contractDepthOffset=null, bool? mappedConfig=null)
	Copy constructor with overrides More...

bool	Equals (SubscriptionDataConfig other)
	Indicates whether the current object is equal to another object of the same type. More...

override bool	Equals (object obj)
	Determines whether the specified object is equal to the current object. More...

override int	GetHashCode ()
	Serves as the default hash function. More...

override string	ToString ()
	Returns a string that represents the current object. More...

string	ToString (string symbol)
	Returns a string that represents the current object. More...

Static Public Member Functions
static bool	operator== (SubscriptionDataConfig left, SubscriptionDataConfig right)
	Override equals operator More...

static bool	operator!= (SubscriptionDataConfig left, SubscriptionDataConfig right)
	Override not equals operator More...

Public Attributes
SecurityType	SecurityType => Symbol.SecurityType
	Security type of this data subscription More...

string	Market => Symbol.ID.Market
	Gets the market / scope of the symbol More...

Properties
Type	Type `[get]`
	Type of data More...

Symbol	Symbol `[get]`
	Symbol of the asset we're requesting: this is really a perm tick!! More...

TickType	TickType `[get]`
	Trade, quote or open interest data More...

Resolution	Resolution `[get]`
	Resolution of the asset we're requesting, second minute or tick More...

TimeSpan	Increment `[get]`
	Timespan increment between triggers of this data: More...

bool	FillDataForward `[get]`
	True if wish to send old data when time gaps in data feed. More...

bool	ExtendedMarketHours `[get]`
	Boolean Send Data from between 4am - 8am (Equities Setting Only) More...

bool	IsInternalFeed `[get]`
	True if this subscription was added for the sole purpose of providing currency conversion rates via CashBook.EnsureCurrencyDataFeeds More...

bool	IsCustomData `[get]`
	True if this subscription is for custom user data, false for QC data More...

decimal	SumOfDividends `[get, set]`
	The sum of dividends accrued in this subscription, used for scaling total return prices More...

DataNormalizationMode	DataNormalizationMode `[get, set]`
	Gets the normalization mode used for this subscription More...

DataMappingMode	DataMappingMode `[get]`
	Gets the securities mapping mode used for this subscription More...

uint	ContractDepthOffset `[get]`
	The continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract More...

decimal	PriceScaleFactor `[get, set]`
	Price Scaling Factor: More...

string?	MappedSymbol `[get, set]`
	Symbol Mapping: When symbols change over time (e.g. CHASE-> JPM) need to update the symbol requested. More...

DateTimeZone	DataTimeZone `[get]`
	Gets the data time zone for this subscription More...

DateTimeZone	ExchangeTimeZone `[get]`
	Gets the exchange time zone for this subscription More...

ISet< IDataConsolidator >	Consolidators `[get]`
	Consolidators that are registred with this subscription More...

bool	IsFilteredSubscription `[get]`
	Gets whether or not this subscription should have filters applied to it (market hours/user filters from security) More...

Events
EventHandler< NewSymbolEventArgs >	NewSymbol
	Event fired when there is a new symbol due to mapping More...

Detailed Description

Subscription data required including the type of data.

Definition at line 29 of file SubscriptionDataConfig.cs.

Constructor & Destructor Documentation

◆ SubscriptionDataConfig() [1/2]

QuantConnect.Data.SubscriptionDataConfig.SubscriptionDataConfig	(	Type	objectType,
		Symbol	symbol,
		Resolution	resolution,
		DateTimeZone	dataTimeZone,
		DateTimeZone	exchangeTimeZone,
		bool	fillForward,
		bool	extendedHours,
		bool	isInternalFeed,
		bool	isCustom = `false`,
		TickType?	tickType = `null`,
		bool	isFilteredSubscription = `true`,
		DataNormalizationMode	dataNormalizationMode = `DataNormalizationMode.Adjusted`,
		DataMappingMode	dataMappingMode = `DataMappingMode.OpenInterest`,
		uint	contractDepthOffset = `0`,
		bool	mappedConfig = `false`
	)

Constructor for Data Subscriptions

Parameters

objectType	Type of the data objects.
symbol	Symbol of the asset we're requesting
resolution	Resolution of the asset we're requesting
dataTimeZone	The time zone the raw data is time stamped in
exchangeTimeZone	Specifies the time zone of the exchange for the security this subscription is for. This is this output time zone, that is, the time zone that will be used on BaseData instances
fillForward	Fill in gaps with historical data
extendedHours	Equities only - send in data from 4am - 8pm
isInternalFeed	Set to true if this subscription is added for the sole purpose of providing currency conversion rates, setting this flag to true will prevent the data from being sent into the algorithm's OnData methods
isCustom	True if this is user supplied custom data, false for normal QC data
tickType	Specifies if trade or quote data is subscribed
isFilteredSubscription	True if this subscription should have filters applied to it (market hours/user filters from security), false otherwise
dataNormalizationMode	Specifies normalization mode used for this subscription
dataMappingMode	The contract mapping mode to use for the security
contractDepthOffset	The continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract

Definition at line 200 of file SubscriptionDataConfig.cs.

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◆ SubscriptionDataConfig() [2/2]

QuantConnect.Data.SubscriptionDataConfig.SubscriptionDataConfig	(	SubscriptionDataConfig	config,
		Type	objectType = `null`,
		Symbol	symbol = `null`,
		Resolution?	resolution = `null`,
		DateTimeZone	dataTimeZone = `null`,
		DateTimeZone	exchangeTimeZone = `null`,
		bool?	fillForward = `null`,
		bool?	extendedHours = `null`,
		bool?	isInternalFeed = `null`,
		bool?	isCustom = `null`,
		TickType?	tickType = `null`,
		bool?	isFilteredSubscription = `null`,
		DataNormalizationMode?	dataNormalizationMode = `null`,
		DataMappingMode?	dataMappingMode = `null`,
		uint?	contractDepthOffset = `null`,
		bool?	mappedConfig = `null`
	)

Copy constructor with overrides

Parameters

config	The config to copy, then overrides are applied and all option
objectType	Type of the data objects.
symbol	Symbol of the asset we're requesting
resolution	Resolution of the asset we're requesting
dataTimeZone	The time zone the raw data is time stamped in
exchangeTimeZone	Specifies the time zone of the exchange for the security this subscription is for. This is this output time zone, that is, the time zone that will be used on BaseData instances
fillForward	Fill in gaps with historical data
extendedHours	Equities only - send in data from 4am - 8pm
isInternalFeed	Set to true if this subscription is added for the sole purpose of providing currency conversion rates, setting this flag to true will prevent the data from being sent into the algorithm's OnData methods
isCustom	True if this is user supplied custom data, false for normal QC data
tickType	Specifies if trade or quote data is subscribed
isFilteredSubscription	True if this subscription should have filters applied to it (market hours/user filters from security), false otherwise
dataNormalizationMode	Specifies normalization mode used for this subscription
dataMappingMode	The contract mapping mode to use for the security
contractDepthOffset	The continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract
mappedConfig	True if this is created as a mapped config. This is useful for continuous contract at live trading where we subscribe to the mapped symbol but want to preserve uniqueness

Definition at line 268 of file SubscriptionDataConfig.cs.

Member Function Documentation

◆ Equals() [1/2]

bool QuantConnect.Data.SubscriptionDataConfig.Equals ( SubscriptionDataConfig other )

Indicates whether the current object is equal to another object of the same type.

Returns: true if the current object is equal to the other parameter; otherwise, false.

Parameters

other An object to compare with this object.

Definition at line 314 of file SubscriptionDataConfig.cs.

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◆ Equals() [2/2]

override bool QuantConnect.Data.SubscriptionDataConfig.Equals ( object obj )

Determines whether the specified object is equal to the current object.

Returns: true if the specified object is equal to the current object; otherwise, false.

Parameters

obj	The object to compare with the current object.

Definition at line 340 of file SubscriptionDataConfig.cs.

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◆ GetHashCode()

override int QuantConnect.Data.SubscriptionDataConfig.GetHashCode ( )

Serves as the default hash function.

Returns: A hash code for the current object.

Definition at line 354 of file SubscriptionDataConfig.cs.

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◆ operator==()

static bool QuantConnect.Data.SubscriptionDataConfig.operator==	(	SubscriptionDataConfig	left,
		SubscriptionDataConfig	right
	)

static

Override equals operator

Definition at line 379 of file SubscriptionDataConfig.cs.

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◆ operator!=()

static bool QuantConnect.Data.SubscriptionDataConfig.operator!=	(	SubscriptionDataConfig	left,
		SubscriptionDataConfig	right
	)

static

Override not equals operator

Definition at line 387 of file SubscriptionDataConfig.cs.

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◆ ToString() [1/2]

override string QuantConnect.Data.SubscriptionDataConfig.ToString ( )

Returns a string that represents the current object.

Returns: A string that represents the current object.

Definition at line 399 of file SubscriptionDataConfig.cs.

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◆ ToString() [2/2]

string QuantConnect.Data.SubscriptionDataConfig.ToString ( string symbol )

Returns a string that represents the current object.

Parameters

symbol Symbol to use in the string representation of the object

Returns: /// A string that represents the current object.

Definition at line 409 of file SubscriptionDataConfig.cs.

Member Data Documentation

◆ SecurityType

SecurityType QuantConnect.Data.SubscriptionDataConfig.SecurityType => Symbol.SecurityType

Security type of this data subscription

Definition at line 47 of file SubscriptionDataConfig.cs.

◆ Market

string QuantConnect.Data.SubscriptionDataConfig.Market => Symbol.ID.Market

Gets the market / scope of the symbol

Definition at line 158 of file SubscriptionDataConfig.cs.

Property Documentation

◆ Type

Type QuantConnect.Data.SubscriptionDataConfig.Type

get

Type of data

Definition at line 42 of file SubscriptionDataConfig.cs.

◆ Symbol

Symbol QuantConnect.Data.SubscriptionDataConfig.Symbol

get

Symbol of the asset we're requesting: this is really a perm tick!!

Definition at line 52 of file SubscriptionDataConfig.cs.

◆ TickType

TickType QuantConnect.Data.SubscriptionDataConfig.TickType

get

Trade, quote or open interest data

Definition at line 57 of file SubscriptionDataConfig.cs.

◆ Resolution

Resolution QuantConnect.Data.SubscriptionDataConfig.Resolution

get

Resolution of the asset we're requesting, second minute or tick

Definition at line 62 of file SubscriptionDataConfig.cs.

◆ Increment

TimeSpan QuantConnect.Data.SubscriptionDataConfig.Increment

get

Timespan increment between triggers of this data:

Definition at line 67 of file SubscriptionDataConfig.cs.

◆ FillDataForward

bool QuantConnect.Data.SubscriptionDataConfig.FillDataForward

get

True if wish to send old data when time gaps in data feed.

Definition at line 72 of file SubscriptionDataConfig.cs.

◆ ExtendedMarketHours

bool QuantConnect.Data.SubscriptionDataConfig.ExtendedMarketHours

get

Boolean Send Data from between 4am - 8am (Equities Setting Only)

Definition at line 77 of file SubscriptionDataConfig.cs.

◆ IsInternalFeed

bool QuantConnect.Data.SubscriptionDataConfig.IsInternalFeed

get

True if this subscription was added for the sole purpose of providing currency conversion rates via CashBook.EnsureCurrencyDataFeeds

Definition at line 82 of file SubscriptionDataConfig.cs.

◆ IsCustomData

bool QuantConnect.Data.SubscriptionDataConfig.IsCustomData

get

True if this subscription is for custom user data, false for QC data

Definition at line 87 of file SubscriptionDataConfig.cs.

◆ SumOfDividends

decimal QuantConnect.Data.SubscriptionDataConfig.SumOfDividends

getset

The sum of dividends accrued in this subscription, used for scaling total return prices

Definition at line 92 of file SubscriptionDataConfig.cs.

◆ DataNormalizationMode

DataNormalizationMode QuantConnect.Data.SubscriptionDataConfig.DataNormalizationMode

getset

Gets the normalization mode used for this subscription

Definition at line 97 of file SubscriptionDataConfig.cs.

◆ DataMappingMode

DataMappingMode QuantConnect.Data.SubscriptionDataConfig.DataMappingMode

get

Gets the securities mapping mode used for this subscription

This is particular useful when generating continuous futures

Definition at line 103 of file SubscriptionDataConfig.cs.

◆ ContractDepthOffset

uint QuantConnect.Data.SubscriptionDataConfig.ContractDepthOffset

get

The continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract

Definition at line 109 of file SubscriptionDataConfig.cs.

◆ PriceScaleFactor

decimal QuantConnect.Data.SubscriptionDataConfig.PriceScaleFactor

getset

Price Scaling Factor:

Definition at line 114 of file SubscriptionDataConfig.cs.

◆ MappedSymbol

string? QuantConnect.Data.SubscriptionDataConfig.MappedSymbol

getset

Symbol Mapping: When symbols change over time (e.g. CHASE-> JPM) need to update the symbol requested.

Definition at line 120 of file SubscriptionDataConfig.cs.

◆ DataTimeZone

DateTimeZone QuantConnect.Data.SubscriptionDataConfig.DataTimeZone

get

Gets the data time zone for this subscription

Definition at line 163 of file SubscriptionDataConfig.cs.

◆ ExchangeTimeZone

DateTimeZone QuantConnect.Data.SubscriptionDataConfig.ExchangeTimeZone

get

Gets the exchange time zone for this subscription

Definition at line 168 of file SubscriptionDataConfig.cs.

◆ Consolidators

ISet<IDataConsolidator> QuantConnect.Data.SubscriptionDataConfig.Consolidators

get

Consolidators that are registred with this subscription

Definition at line 173 of file SubscriptionDataConfig.cs.

◆ IsFilteredSubscription

bool QuantConnect.Data.SubscriptionDataConfig.IsFilteredSubscription

get

Gets whether or not this subscription should have filters applied to it (market hours/user filters from security)

Definition at line 178 of file SubscriptionDataConfig.cs.

Event Documentation

◆ NewSymbol

EventHandler<NewSymbolEventArgs> QuantConnect.Data.SubscriptionDataConfig.NewSymbol

Event fired when there is a new symbol due to mapping

Definition at line 37 of file SubscriptionDataConfig.cs.

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

Common/Data/SubscriptionDataConfig.cs

Classes

Public Member Functions

Static Public Member Functions

Public Attributes

Properties

Events

Detailed Description

Constructor & Destructor Documentation

◆ SubscriptionDataConfig() [1/2]

◆ SubscriptionDataConfig() [2/2]

Member Function Documentation

◆ Equals() [1/2]

◆ Equals() [2/2]

◆ GetHashCode()

◆ operator==()

◆ operator!=()

◆ ToString() [1/2]

◆ ToString() [2/2]

Member Data Documentation

◆ SecurityType

◆ Market

Property Documentation

◆ Type

◆ Symbol

◆ TickType

◆ Resolution

◆ Increment

◆ FillDataForward

◆ ExtendedMarketHours

◆ IsInternalFeed

◆ IsCustomData

◆ SumOfDividends

◆ DataNormalizationMode

◆ DataMappingMode

◆ ContractDepthOffset

◆ PriceScaleFactor

◆ MappedSymbol

◆ DataTimeZone

◆ ExchangeTimeZone

◆ Consolidators

◆ IsFilteredSubscription

Event Documentation

◆ NewSymbol