DataManager will manage the subscriptions for both the DataFeeds and the SubscriptionManager More...

Inheritance diagram for QuantConnect.Lean.Engine.DataFeeds.DataManager:

Public Member Functions
	DataManager (IDataFeed dataFeed, UniverseSelection universeSelection, IAlgorithm algorithm, ITimeKeeper timeKeeper, MarketHoursDatabase marketHoursDatabase, bool liveMode, IRegisteredSecurityDataTypesProvider registeredTypesProvider, IDataPermissionManager dataPermissionManager)
	Creates a new instance of the DataManager More...

void	RemoveAllSubscriptions ()
	Will remove all current Subscription More...

bool	AddSubscription (SubscriptionRequest request)
	Adds a new Subscription to provide data for the specified security. More...

bool	RemoveSubscription (SubscriptionDataConfig configuration, Universe universe=null)
	Removes the Subscription, if it exists More...

SubscriptionDataConfig	SubscriptionManagerGetOrAdd (SubscriptionDataConfig newConfig)
	Gets existing or adds new SubscriptionDataConfig More...

int	SubscriptionManagerCount ()
	Returns the amount of data config subscriptions processed for the SubscriptionManager More...

SubscriptionDataConfig	Add (Type dataType, Symbol symbol, Resolution? resolution=null, bool fillForward=true, bool extendedMarketHours=false, bool isFilteredSubscription=true, bool isInternalFeed=false, bool isCustomData=false, DataNormalizationMode dataNormalizationMode=DataNormalizationMode.Adjusted, DataMappingMode dataMappingMode=DataMappingMode.OpenInterest, uint contractDepthOffset=0)
	Creates and adds a list of SubscriptionDataConfig for a given symbol and configuration. Can optionally pass in desired subscription data type to use. If the config already existed will return existing instance instead More...

List< SubscriptionDataConfig >	Add (Symbol symbol, Resolution? resolution=null, bool fillForward=true, bool extendedMarketHours=false, bool isFilteredSubscription=true, bool isInternalFeed=false, bool isCustomData=false, List< Tuple< Type, TickType >> subscriptionDataTypes=null, DataNormalizationMode dataNormalizationMode=DataNormalizationMode.Adjusted, DataMappingMode dataMappingMode=DataMappingMode.OpenInterest, uint contractDepthOffset=0)
	Creates and adds a list of SubscriptionDataConfig for a given symbol and configuration. Can optionally pass in desired subscription data types to use. If the config already existed will return existing instance instead More...

List< Tuple< Type, TickType > >	LookupSubscriptionConfigDataTypes (SecurityType symbolSecurityType, Resolution resolution, bool isCanonical)
	Get the data feed types for a given SecurityType Resolution More...

List< SubscriptionDataConfig >	GetSubscriptionDataConfigs (Symbol symbol=null, bool includeInternalConfigs=false)
	Gets a list of all registered SubscriptionDataConfig for a given Symbol More...

Properties
SubscriptionCollection	DataFeedSubscriptions `[get]`
	Gets the data feed subscription collection More...

IEnumerable< SubscriptionDataConfig >	SubscriptionManagerSubscriptions `[get]`
	Gets all the current data config subscriptions that are being processed for the SubscriptionManager More...

Dictionary< SecurityType, List< TickType > >	AvailableDataTypes `[get]`
	The different TickType each SecurityType supports More...

UniverseSelection	UniverseSelection `[get]`
	Get the universe selection instance More...

Properties inherited from QuantConnect.Interfaces.IAlgorithmSubscriptionManager
IEnumerable< SubscriptionDataConfig >	SubscriptionManagerSubscriptions `[get]`
	Gets all the current data config subscriptions that are being processed for the SubscriptionManager More...

Properties inherited from QuantConnect.Interfaces.ISubscriptionDataConfigService
Dictionary< SecurityType, List< TickType > >	AvailableDataTypes `[get]`
	Gets the available data types More...

Properties inherited from QuantConnect.Lean.Engine.DataFeeds.IDataFeedSubscriptionManager
SubscriptionCollection	DataFeedSubscriptions `[get]`
	Gets the data feed subscription collection More...

UniverseSelection	UniverseSelection `[get]`
	Get the universe selection instance More...

Properties inherited from QuantConnect.Lean.Engine.DataFeeds.IDataManager
UniverseSelection	UniverseSelection `[get]`
	Get the universe selection instance More...

Events
EventHandler< Subscription >	SubscriptionAdded
	Event fired when a new subscription is added More...

EventHandler< Subscription >	SubscriptionRemoved
	Event fired when an existing subscription is removed More...

Events inherited from QuantConnect.Lean.Engine.DataFeeds.IDataFeedSubscriptionManager
EventHandler< Subscription >	SubscriptionAdded
	Event fired when a new subscription is added More...

EventHandler< Subscription >	SubscriptionRemoved
	Event fired when an existing subscription is removed More...

Detailed Description

DataManager will manage the subscriptions for both the DataFeeds and the SubscriptionManager

Definition at line 35 of file DataManager.cs.

Constructor & Destructor Documentation

◆ DataManager()

QuantConnect.Lean.Engine.DataFeeds.DataManager.DataManager	(	IDataFeed	dataFeed,
		UniverseSelection	universeSelection,
		IAlgorithm	algorithm,
		ITimeKeeper	timeKeeper,
		MarketHoursDatabase	marketHoursDatabase,
		bool	liveMode,
		IRegisteredSecurityDataTypesProvider	registeredTypesProvider,
		IDataPermissionManager	dataPermissionManager
	)

Creates a new instance of the DataManager

Definition at line 63 of file DataManager.cs.

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Member Function Documentation

◆ RemoveAllSubscriptions()

void QuantConnect.Lean.Engine.DataFeeds.DataManager.RemoveAllSubscriptions ( )

Will remove all current Subscription

Definition at line 252 of file DataManager.cs.

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◆ AddSubscription()

bool QuantConnect.Lean.Engine.DataFeeds.DataManager.AddSubscription ( SubscriptionRequest request )

Adds a new Subscription to provide data for the specified security.

Parameters

request Defines the SubscriptionRequest to be added

Returns: True if the subscription was created and added successfully, false otherwise

Implements QuantConnect.Lean.Engine.DataFeeds.IDataFeedSubscriptionManager.

Definition at line 274 of file DataManager.cs.

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◆ RemoveSubscription()

bool QuantConnect.Lean.Engine.DataFeeds.DataManager.RemoveSubscription	(	SubscriptionDataConfig	configuration,
		Universe	universe = `null`
	)

Removes the Subscription, if it exists

Parameters

configuration	The SubscriptionDataConfig of the subscription to remove
universe	Universe requesting to remove Subscription. Default value, null, will remove all universes

Returns: True if the subscription was successfully removed, false otherwise

Implements QuantConnect.Lean.Engine.DataFeeds.IDataFeedSubscriptionManager.

Definition at line 337 of file DataManager.cs.

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◆ SubscriptionManagerGetOrAdd()

SubscriptionDataConfig QuantConnect.Lean.Engine.DataFeeds.DataManager.SubscriptionManagerGetOrAdd ( SubscriptionDataConfig newConfig )

Gets existing or adds new SubscriptionDataConfig

Returns: Returns the SubscriptionDataConfig instance used

Definition at line 455 of file DataManager.cs.

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◆ SubscriptionManagerCount()

int QuantConnect.Lean.Engine.DataFeeds.DataManager.SubscriptionManagerCount ( )

Returns the amount of data config subscriptions processed for the SubscriptionManager

Implements QuantConnect.Interfaces.IAlgorithmSubscriptionManager.

Definition at line 509 of file DataManager.cs.

◆ Add() [1/2]

SubscriptionDataConfig QuantConnect.Lean.Engine.DataFeeds.DataManager.Add	(	Type	dataType,
		Symbol	symbol,
		Resolution?	resolution = `null`,
		bool	fillForward = `true`,
		bool	extendedMarketHours = `false`,
		bool	isFilteredSubscription = `true`,
		bool	isInternalFeed = `false`,
		bool	isCustomData = `false`,
		DataNormalizationMode	dataNormalizationMode = `DataNormalizationMode.Adjusted`,
		DataMappingMode	dataMappingMode = `DataMappingMode.OpenInterest`,
		uint	contractDepthOffset = `0`
	)

Creates and adds a list of SubscriptionDataConfig for a given symbol and configuration. Can optionally pass in desired subscription data type to use. If the config already existed will return existing instance instead

Implements QuantConnect.Interfaces.ISubscriptionDataConfigService.

Definition at line 529 of file DataManager.cs.

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◆ Add() [2/2]

List<SubscriptionDataConfig> QuantConnect.Lean.Engine.DataFeeds.DataManager.Add	(	Symbol	symbol,
		Resolution?	resolution = `null`,
		bool	fillForward = `true`,
		bool	extendedMarketHours = `false`,
		bool	isFilteredSubscription = `true`,
		bool	isInternalFeed = `false`,
		bool	isCustomData = `false`,
		List< Tuple< Type, TickType >>	subscriptionDataTypes = `null`,
		DataNormalizationMode	dataNormalizationMode = `DataNormalizationMode.Adjusted`,
		DataMappingMode	dataMappingMode = `DataMappingMode.OpenInterest`,
		uint	contractDepthOffset = `0`
	)

Creates and adds a list of SubscriptionDataConfig for a given symbol and configuration. Can optionally pass in desired subscription data types to use. If the config already existed will return existing instance instead

Implements QuantConnect.Interfaces.ISubscriptionDataConfigService.

Definition at line 554 of file DataManager.cs.

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◆ LookupSubscriptionConfigDataTypes()

List<Tuple<Type, TickType> > QuantConnect.Lean.Engine.DataFeeds.DataManager.LookupSubscriptionConfigDataTypes	(	SecurityType	symbolSecurityType,
		Resolution	resolution,
		bool	isCanonical
	)

Get the data feed types for a given SecurityType Resolution

Parameters

symbolSecurityType	The SecurityType used to determine the types
resolution	The resolution of the data requested
isCanonical	Indicates whether the security is Canonical (future and options)

Returns: Types that should be added to the SubscriptionDataConfig

TODO: data type additions are very related to ticktype and should be more generic/independent of each other

Implements QuantConnect.Interfaces.ISubscriptionDataConfigService.

Definition at line 682 of file DataManager.cs.

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◆ GetSubscriptionDataConfigs()

List<SubscriptionDataConfig> QuantConnect.Lean.Engine.DataFeeds.DataManager.GetSubscriptionDataConfigs	(	Symbol	symbol = `null`,
		bool	includeInternalConfigs = `false`
	)

Gets a list of all registered SubscriptionDataConfig for a given Symbol

Will not return internal subscriptions by default

Implements QuantConnect.Interfaces.ISubscriptionDataConfigProvider.

Definition at line 716 of file DataManager.cs.

Property Documentation

◆ DataFeedSubscriptions

SubscriptionCollection QuantConnect.Lean.Engine.DataFeeds.DataManager.DataFeedSubscriptions

get

Gets the data feed subscription collection

Definition at line 247 of file DataManager.cs.

◆ SubscriptionManagerSubscriptions

IEnumerable<SubscriptionDataConfig> QuantConnect.Lean.Engine.DataFeeds.DataManager.SubscriptionManagerSubscriptions

get

Gets all the current data config subscriptions that are being processed for the SubscriptionManager

Definition at line 437 of file DataManager.cs.

◆ AvailableDataTypes

Dictionary<SecurityType, List<TickType> > QuantConnect.Lean.Engine.DataFeeds.DataManager.AvailableDataTypes

get

The different TickType each SecurityType supports

Definition at line 522 of file DataManager.cs.

◆ UniverseSelection

UniverseSelection QuantConnect.Lean.Engine.DataFeeds.DataManager.UniverseSelection

get

Get the universe selection instance

Definition at line 734 of file DataManager.cs.

Event Documentation

◆ SubscriptionAdded

EventHandler<Subscription> QuantConnect.Lean.Engine.DataFeeds.DataManager.SubscriptionAdded

Event fired when a new subscription is added

Definition at line 53 of file DataManager.cs.

◆ SubscriptionRemoved

EventHandler<Subscription> QuantConnect.Lean.Engine.DataFeeds.DataManager.SubscriptionRemoved

Event fired when an existing subscription is removed

Definition at line 58 of file DataManager.cs.

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

Engine/DataFeeds/DataManager.cs

Public Member Functions

Properties

Events

Detailed Description

Constructor & Destructor Documentation

◆ DataManager()

Member Function Documentation

◆ RemoveAllSubscriptions()

◆ AddSubscription()

◆ RemoveSubscription()

◆ SubscriptionManagerGetOrAdd()

◆ SubscriptionManagerCount()

◆ Add() [1/2]

◆ Add() [2/2]

◆ LookupSubscriptionConfigDataTypes()

◆ GetSubscriptionDataConfigs()

Property Documentation

◆ DataFeedSubscriptions

◆ SubscriptionManagerSubscriptions

◆ AvailableDataTypes

◆ UniverseSelection

Event Documentation

◆ SubscriptionAdded

◆ SubscriptionRemoved