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

Inheritance diagram for QuantConnect.Data.UniverseSelection.BaseDataCollection:

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< BaseData >	GetEnumerator ()
	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< 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...

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< Symbol >	FilteredContracts `[get, set]`
	Gets or sets the contracts selected by the universe More...

List< BaseData >	Data `[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< 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

This type exists for transport of data as a single packet

Definition at line 27 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 74 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

time	The time of this data
symbol	A common identifier for all data in this packet
data	The data to add to this collection

Definition at line 85 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

time	The start time of this data
endTime	The end time of this data
symbol	A common identifier for all data in this packet
data	The data to add to this collection
underlying	The associated underlying price data if any
filteredContracts	The contracts selected by the universe

Definition at line 99 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

time	The start time of this data
endTime	The end time of this data
symbol	A common identifier for all data in this packet
data	The data to add to this collection
underlying	The associated underlying price data if any
filteredContracts	The contracts selected by the universe

Definition at line 113 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 130 of file BaseDataCollection.cs.

◆ BaseDataCollection() [6/6]

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

Copy constructor for BaseDataCollection

Parameters

other The base data collection being copied

Definition at line 143 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 153 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 164 of file BaseDataCollection.cs.

◆ Add()

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

virtual

Adds a new data point to this collection

Parameters

newDataPoint The new data point to add

Reimplemented in QuantConnect.Data.UniverseSelection.OptionUniverse.

Definition at line 178 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

newDataPoints The new data points to add

Definition at line 187 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 199 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 208 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 225 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 236 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 39 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 44 of file BaseDataCollection.cs.

◆ Data

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

getset

Gets the data list

Definition at line 49 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 55 of file BaseDataCollection.cs.

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

Common/Data/UniverseSelection/BaseDataCollection.cs

Public Member Functions

Protected Member Functions

Static Protected Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BaseDataCollection() [1/6]

◆ BaseDataCollection() [2/6]

◆ BaseDataCollection() [3/6]

◆ BaseDataCollection() [4/6]

◆ BaseDataCollection() [5/6]

◆ BaseDataCollection() [6/6]

Member Function Documentation

◆ UniverseSymbol()

◆ ShouldCacheToSecurity()

◆ Add()

◆ AddRange()

◆ Clone()

◆ GetEnumerator()

◆ TryGetCachedSymbol()

◆ CacheSymbol()

Property Documentation

◆ Underlying

◆ FilteredContracts

◆ Data

◆ EndTime