QuantConnect.Data.UniverseSelection.ETFConstituentData Class Reference
ETF Constituent data More...
Inheritance diagram for QuantConnect.Data.UniverseSelection.ETFConstituentData:
Additional Inherited Members | |
 Public Member Functions inherited from QuantConnect.Data.UniverseSelection.ETFConstituentUniverse | |
| 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 | RequiresMapping () |
| Indicates if there is support for mapping More... | |
| override BaseData | Clone () |
| Creates a copy of the instance More... | |
| override bool | IsSparseData () |
| Indicates that the data set is expected to be sparse 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... | |
| override DateTimeZone | DataTimeZone () |
| Specifies the data time zone for this data type. This is useful for custom data types More... | |
| Public Member Functions inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection | |
| 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... | |
| 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, 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... | |
| 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... | |
| 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... | |
| Protected Member Functions inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection | |
| 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 inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection | |
| 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... | |
| 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.UniverseSelection.ETFConstituentUniverse | |
| DateTime? | LastUpdate [get, set] |
| Time of the previous ETF constituent data update More... | |
| decimal? | Weight [get, set] |
| The percentage of the ETF allocated to this constituent More... | |
| decimal? | SharesHeld [get, set] |
| Number of shares held in the ETF More... | |
| decimal? | MarketValue [get, set] |
| Market value of the current asset held in U.S. dollars More... | |
| TimeSpan | Period = TimeSpan.FromDays(1) [get, set] |
| Period of the data More... | |
| override DateTime | EndTime [get, set] |
| Time that the data became available to use More... | |
| Properties inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection | |
| 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... | |
Detailed Description
ETF Constituent data
Definition at line 29 of file ETFConstituentUniverse.cs.
The documentation for this class was generated from the following file:
- Common/Data/UniverseSelection/ETFConstituentUniverse.cs
