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QuantConnect.Data.UniverseSelection.BaseDataCollection Class Reference

This type exists for transport of data as a single packet More...

Inheritance diagram for QuantConnect.Data.UniverseSelection.BaseDataCollection:
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Public Member Functions

 BaseDataCollection ()
 Initializes a new default instance of the BaseDataCollection c;ass More...
 
 BaseDataCollection (DateTime time, Symbol symbol, IEnumerable< BaseData > data=null)
 Initializes a new instance of the BaseDataCollection class More...
 
 BaseDataCollection (DateTime time, DateTime endTime, Symbol symbol, IEnumerable< BaseData > data=null, BaseData underlying=null, HashSet< Symbol > filteredContracts=null)
 Initializes a new instance of the BaseDataCollection class More...
 
 BaseDataCollection (DateTime time, DateTime endTime, Symbol symbol, List< BaseData > data, BaseData underlying, HashSet< Symbol > filteredContracts)
 Initializes a new instance of the BaseDataCollection class More...
 
 BaseDataCollection (BaseDataCollection other)
 Copy constructor for BaseDataCollection More...
 
virtual Symbol UniverseSymbol (string market=null)
 Creates the universe symbol for the target market More...
 
override bool ShouldCacheToSecurity ()
 Indicates whether this contains data that should be stored in the security cache More...
 
virtual void Add (BaseData newDataPoint)
 Adds a new data point to this collection More...
 
virtual void AddRange (IEnumerable< BaseData > newDataPoints)
 Adds a new data points to this collection More...
 
override BaseData Clone ()
 Return a new instance clone of this object, used in fill forward More...
 
IEnumerator< BaseDataGetEnumerator ()
 Returns an IEnumerator for this enumerable Object. The enumerator provides a simple way to access all the contents of a collection. More...
 
- Public Member Functions inherited from QuantConnect.Data.BaseData
 BaseData ()
 Constructor for initialising the dase data class More...
 
virtual BaseData Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
 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. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. More...
 
virtual BaseData Reader (SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode)
 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. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. More...
 
virtual SubscriptionDataSource GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
 Return the URL string source of the file. This will be converted to a stream 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 Resolution DefaultResolution ()
 Gets the default resolution for this data and security type More...
 
virtual List< ResolutionSupportedResolutions ()
 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 void Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
 Update routine to build a bar/tick from a data update. 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...
 

Protected Member Functions

 BaseDataCollection (DateTime time, DateTime endTime, Symbol symbol, BaseData underlying, HashSet< Symbol > filteredContracts)
 Helper method to create an instance without setting the data list More...
 

Static Protected Member Functions

static bool TryGetCachedSymbol (string ticker, out Symbol symbol)
 Tries to get a symbol from the cache More...
 
static void CacheSymbol (string ticker, Symbol symbol)
 Caches a symbol More...
 

Properties

BaseData Underlying [get, set]
 The associated underlying price data if any More...
 
HashSet< SymbolFilteredContracts [get, set]
 Gets or sets the contracts selected by the universe More...
 
List< BaseDataData [get, set]
 Gets the data list More...
 
override DateTime EndTime [get, set]
 Gets or sets the end time of this data 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...
 

Additional Inherited Members

- Static Public Member Functions inherited from QuantConnect.Data.BaseData
static IEnumerable< BaseDataDeserializeMessage (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< ResolutionAllResolutions
 A list of all Resolution More...
 
static readonly List< ResolutionDailyResolution = new List<Resolution> { Resolution.Daily }
 A list of Resolution.Daily More...
 
static readonly List< ResolutionMinuteResolution = new List<Resolution> { Resolution.Minute }
 A list of Resolution.Minute More...
 
static readonly List< ResolutionHighResolution = new List<Resolution> { Resolution.Minute, Resolution.Second, Resolution.Tick }
 A list of high Resolution, including minute, second, and tick. More...
 
static readonly List< ResolutionOptionResolutions = new List<Resolution> { Resolution.Daily, Resolution.Hour, Resolution.Minute }
 A list of resolutions support by Options More...
 

Detailed Description

This type exists for transport of data as a single packet

Definition at line 28 of file BaseDataCollection.cs.

Constructor & Destructor Documentation

◆ BaseDataCollection() [1/6]

QuantConnect.Data.UniverseSelection.BaseDataCollection.BaseDataCollection ( )

Initializes a new default instance of the BaseDataCollection c;ass

Definition at line 78 of file BaseDataCollection.cs.

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◆ BaseDataCollection() [2/6]

QuantConnect.Data.UniverseSelection.BaseDataCollection.BaseDataCollection ( DateTime  time,
Symbol  symbol,
IEnumerable< BaseData data = null 
)

Initializes a new instance of the BaseDataCollection class

Parameters
timeThe time of this data
symbolA common identifier for all data in this packet
dataThe data to add to this collection

Definition at line 89 of file BaseDataCollection.cs.

◆ BaseDataCollection() [3/6]

QuantConnect.Data.UniverseSelection.BaseDataCollection.BaseDataCollection ( DateTime  time,
DateTime  endTime,
Symbol  symbol,
IEnumerable< BaseData data = null,
BaseData  underlying = null,
HashSet< Symbol filteredContracts = null 
)

Initializes a new instance of the BaseDataCollection class

Parameters
timeThe start time of this data
endTimeThe end time of this data
symbolA common identifier for all data in this packet
dataThe data to add to this collection
underlyingThe associated underlying price data if any
filteredContractsThe contracts selected by the universe

Definition at line 103 of file BaseDataCollection.cs.

◆ BaseDataCollection() [4/6]

QuantConnect.Data.UniverseSelection.BaseDataCollection.BaseDataCollection ( DateTime  time,
DateTime  endTime,
Symbol  symbol,
List< BaseData data,
BaseData  underlying,
HashSet< Symbol filteredContracts 
)

Initializes a new instance of the BaseDataCollection class

Parameters
timeThe start time of this data
endTimeThe end time of this data
symbolA common identifier for all data in this packet
dataThe data to add to this collection
underlyingThe associated underlying price data if any
filteredContractsThe contracts selected by the universe

Definition at line 117 of file BaseDataCollection.cs.

◆ BaseDataCollection() [5/6]

QuantConnect.Data.UniverseSelection.BaseDataCollection.BaseDataCollection ( DateTime  time,
DateTime  endTime,
Symbol  symbol,
BaseData  underlying,
HashSet< Symbol filteredContracts 
)
protected

Helper method to create an instance without setting the data list

Definition at line 134 of file BaseDataCollection.cs.

◆ BaseDataCollection() [6/6]

QuantConnect.Data.UniverseSelection.BaseDataCollection.BaseDataCollection ( BaseDataCollection  other)

Copy constructor for BaseDataCollection

Parameters
otherThe base data collection being copied

Definition at line 147 of file BaseDataCollection.cs.

Member Function Documentation

◆ UniverseSymbol()

virtual Symbol QuantConnect.Data.UniverseSelection.BaseDataCollection.UniverseSymbol ( string  market = null)
virtual

Creates the universe symbol for the target market

Returns
The universe symbol to use

Reimplemented in QuantConnect.Data.Fundamental.FundamentalUniverse.

Definition at line 157 of file BaseDataCollection.cs.

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◆ ShouldCacheToSecurity()

override bool QuantConnect.Data.UniverseSelection.BaseDataCollection.ShouldCacheToSecurity ( )
virtual

Indicates whether this contains data that should be stored in the security cache

Returns
Whether this contains data that should be stored in the security cache

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 168 of file BaseDataCollection.cs.

◆ Add()

virtual void QuantConnect.Data.UniverseSelection.BaseDataCollection.Add ( BaseData  newDataPoint)
virtual

Adds a new data point to this collection

Parameters
newDataPointThe new data point to add

Reimplemented in QuantConnect.Data.UniverseSelection.OptionUniverse.

Definition at line 182 of file BaseDataCollection.cs.

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◆ AddRange()

virtual void QuantConnect.Data.UniverseSelection.BaseDataCollection.AddRange ( IEnumerable< BaseData newDataPoints)
virtual

Adds a new data points to this collection

Parameters
newDataPointsThe new data points to add

Definition at line 191 of file BaseDataCollection.cs.

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◆ Clone()

override BaseData QuantConnect.Data.UniverseSelection.BaseDataCollection.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.

Reimplemented in QuantConnect.Data.UniverseSelection.OptionUniverse, and QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.

Definition at line 203 of file BaseDataCollection.cs.

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◆ GetEnumerator()

IEnumerator<BaseData> QuantConnect.Data.UniverseSelection.BaseDataCollection.GetEnumerator ( )

Returns an IEnumerator for this enumerable Object. The enumerator provides a simple way to access all the contents of a collection.

Definition at line 212 of file BaseDataCollection.cs.

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◆ TryGetCachedSymbol()

static bool QuantConnect.Data.UniverseSelection.BaseDataCollection.TryGetCachedSymbol ( string  ticker,
out Symbol  symbol 
)
staticprotected

Tries to get a symbol from the cache

Definition at line 229 of file BaseDataCollection.cs.

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◆ CacheSymbol()

static void QuantConnect.Data.UniverseSelection.BaseDataCollection.CacheSymbol ( string  ticker,
Symbol  symbol 
)
staticprotected

Caches a symbol

Definition at line 240 of file BaseDataCollection.cs.

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Property Documentation

◆ Underlying

BaseData QuantConnect.Data.UniverseSelection.BaseDataCollection.Underlying
getset

The associated underlying price data if any

Definition at line 41 of file BaseDataCollection.cs.

◆ FilteredContracts

HashSet<Symbol> QuantConnect.Data.UniverseSelection.BaseDataCollection.FilteredContracts
getset

Gets or sets the contracts selected by the universe

Definition at line 47 of file BaseDataCollection.cs.

◆ Data

List<BaseData> QuantConnect.Data.UniverseSelection.BaseDataCollection.Data
getset

Gets the data list

Definition at line 52 of file BaseDataCollection.cs.

◆ EndTime

override DateTime QuantConnect.Data.UniverseSelection.BaseDataCollection.EndTime
getset

Gets or sets the end time of this data

Definition at line 59 of file BaseDataCollection.cs.


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