Custom base data class used for ConstituentsUniverse More...

Inheritance diagram for QuantConnect.Data.UniverseSelection.ConstituentsUniverseData:

Public Member Functions
	ConstituentsUniverseData ()
	Initializes a new instance of the CoarseFundamental class 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...

override 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. More...

override bool	IsSparseData ()
	Indicates that the data set is expected to be sparse More...

override bool	RequiresMapping ()
	Indicates if there is support for mapping More...

override Resolution	DefaultResolution ()
	Gets the default resolution for this data and security type More...

override List< Resolution >	SupportedResolutions ()
	Gets the supported resolution for this data and security type More...

Public Member Functions inherited from QuantConnect.Data.BaseData
	BaseData ()
	Constructor for initialising the dase data class 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 bool	ShouldCacheToSecurity ()
	Indicates whether this contains data that should be stored in the security cache 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...

virtual BaseData	Clone ()
	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...

Properties
override DateTime	EndTime `[get, set]`
	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

Custom base data class used for ConstituentsUniverse

Definition at line 25 of file ConstituentsUniverseData.cs.

Constructor & Destructor Documentation

◆ ConstituentsUniverseData()

QuantConnect.Data.UniverseSelection.ConstituentsUniverseData.ConstituentsUniverseData ( )

Initializes a new instance of the CoarseFundamental class

Definition at line 30 of file ConstituentsUniverseData.cs.

Member Function Documentation

◆ GetSource()

override SubscriptionDataSource QuantConnect.Data.UniverseSelection.ConstituentsUniverseData.GetSource	(	SubscriptionDataConfig	config,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Return the URL string source of the file. This will be converted to a stream

Parameters

config	Configuration object
date	Date of this source file
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: String URL of source file.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 51 of file ConstituentsUniverseData.cs.

◆ Reader()

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

virtual

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.

Parameters

config	Subscription data config setup object
line	Line of the source document
date	Date of the requested data
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: Instance of the T:BaseData object generated by this line of the CSV

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 78 of file ConstituentsUniverseData.cs.

Here is the call graph for this function:

◆ IsSparseData()

override bool QuantConnect.Data.UniverseSelection.ConstituentsUniverseData.IsSparseData ( )

virtual

Indicates that the data set is expected to be sparse

Relies on the Symbol property value

This is a method and not a property so that python custom data types can override it

Returns: True if the data set represented by this type is expected to be sparse

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 104 of file ConstituentsUniverseData.cs.

◆ RequiresMapping()

override bool QuantConnect.Data.UniverseSelection.ConstituentsUniverseData.RequiresMapping ( )

virtual

Indicates if there is support for mapping

Returns: True indicates mapping should be used

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 113 of file ConstituentsUniverseData.cs.

◆ DefaultResolution()

override Resolution QuantConnect.Data.UniverseSelection.ConstituentsUniverseData.DefaultResolution ( )

virtual

Gets the default resolution for this data and security type

This is a method and not a property so that python custom data types can override it

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 123 of file ConstituentsUniverseData.cs.

◆ SupportedResolutions()

override List<Resolution> QuantConnect.Data.UniverseSelection.ConstituentsUniverseData.SupportedResolutions ( )

virtual

Gets the supported resolution for this data and security type

Relies on the Symbol property value

This is a method and not a property so that python custom data types can override it

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 134 of file ConstituentsUniverseData.cs.

Property Documentation

◆ EndTime

override DateTime QuantConnect.Data.UniverseSelection.ConstituentsUniverseData.EndTime

getset

The end time of this data.

Definition at line 39 of file ConstituentsUniverseData.cs.

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

Common/Data/UniverseSelection/ConstituentsUniverseData.cs

Public Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ConstituentsUniverseData()

Member Function Documentation

◆ GetSource()

◆ Reader()

◆ IsSparseData()

◆ RequiresMapping()

◆ DefaultResolution()

◆ SupportedResolutions()

Property Documentation

◆ EndTime