This is an implementation of IDataQueueHandler used to handle multiple live datafeeds More...

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

Public Member Functions
	DataQueueHandlerManager (IAlgorithmSettings settings)
	Creates a new instance More...

IEnumerator< BaseData >	Subscribe (SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
	Subscribe to the specified configuration More...

virtual void	Unsubscribe (SubscriptionDataConfig dataConfig)
	Removes the specified configuration More...

void	SetJob (LiveNodePacket job)
	Sets the job we're subscribing for More...

void	Dispose ()
	Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources. More...

IEnumerable< Symbol >	LookupSymbols (Symbol symbol, bool includeExpired, string securityCurrency=null)
	Method returns a collection of Symbols that are available at the data source. More...

bool	CanPerformSelection ()
	Returns whether selection can take place or not. More...

Public Attributes
bool	HasUniverseProvider => DataHandlers.OfType<IDataQueueUniverseProvider>().Any()
	True if the composite queue handler has any IDataQueueUniverseProvider instance More...

bool	IsConnected => true
	Returns whether the data provider is connected More...

Protected Member Functions
virtual ITimeProvider	InitializeFrontierTimeProvider ()
	Creates the frontier time provider instance More...

Properties
ITimeProvider	FrontierTimeProvider `[get, set]`
	Frontier time provider to use More...

List< IDataQueueHandler >	DataHandlers = new() `[get, set]`
	Collection of data queue handles being used More...

Properties inherited from QuantConnect.Interfaces.IDataQueueHandler
bool	IsConnected `[get]`
	Returns whether the data provider is connected More...

Events
EventHandler< SubscriptionDataConfig >	UnsupportedConfiguration
	Event triggered when an unsupported configuration is detected More...

Detailed Description

This is an implementation of IDataQueueHandler used to handle multiple live datafeeds

Definition at line 33 of file DataQueueHandlerManager.cs.

Constructor & Destructor Documentation

◆ DataQueueHandlerManager()

QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.DataQueueHandlerManager ( IAlgorithmSettings settings )

Creates a new instance

Definition at line 41 of file DataQueueHandlerManager.cs.

Member Function Documentation

◆ Subscribe()

IEnumerator<BaseData> QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.Subscribe	(	SubscriptionDataConfig	dataConfig,
		EventHandler	newDataAvailableHandler
	)

Subscribe to the specified configuration

Parameters

dataConfig	defines the parameters to subscribe to a data feed
newDataAvailableHandler	handler to be fired on new data available

Returns: The new enumerator for this subscription request

Implements QuantConnect.Interfaces.IDataQueueHandler.

Definition at line 74 of file DataQueueHandlerManager.cs.

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◆ Unsubscribe()

virtual void QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.Unsubscribe ( SubscriptionDataConfig dataConfig )

virtual

Removes the specified configuration

Parameters

dataConfig Subscription config to be removed

Implements QuantConnect.Interfaces.IDataQueueHandler.

Definition at line 156 of file DataQueueHandlerManager.cs.

◆ SetJob()

void QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.SetJob ( LiveNodePacket job )

Sets the job we're subscribing for

Parameters

job	Job we're subscribing for

Implements QuantConnect.Interfaces.IDataQueueHandler.

Definition at line 175 of file DataQueueHandlerManager.cs.

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◆ Dispose()

void QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.Dispose ( )

Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.

Definition at line 198 of file DataQueueHandlerManager.cs.

◆ LookupSymbols()

IEnumerable<Symbol> QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.LookupSymbols	(	Symbol	symbol,
		bool	includeExpired,
		string	securityCurrency = `null`
	)

Method returns a collection of Symbols that are available at the data source.

Parameters

symbol	Symbol to lookup
includeExpired	Include expired contracts
securityCurrency	Expected security currency(if any)

Returns: Enumerable of Symbols, that are associated with the provided Symbol

Implements QuantConnect.Interfaces.IDataQueueUniverseProvider.

Definition at line 213 of file DataQueueHandlerManager.cs.

◆ CanPerformSelection()

bool QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.CanPerformSelection ( )

Returns whether selection can take place or not.

This is useful to avoid a selection taking place during invalid times, for example IB reset times or when not connected, because if allowed selection would fail since IB isn't running and would kill the algorithm

Returns: True if selection can take place

Implements QuantConnect.Interfaces.IDataQueueUniverseProvider.

Definition at line 239 of file DataQueueHandlerManager.cs.

◆ InitializeFrontierTimeProvider()

virtual ITimeProvider QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.InitializeFrontierTimeProvider ( )

protectedvirtual

Creates the frontier time provider instance

Protected for testing purposes

Definition at line 248 of file DataQueueHandlerManager.cs.

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Member Data Documentation

◆ HasUniverseProvider

bool QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.HasUniverseProvider => DataHandlers.OfType<IDataQueueUniverseProvider>().Any()

True if the composite queue handler has any IDataQueueUniverseProvider instance

Definition at line 61 of file DataQueueHandlerManager.cs.

◆ IsConnected

bool QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.IsConnected => true

Returns whether the data provider is connected

Returns: true if the data provider is connected

Definition at line 193 of file DataQueueHandlerManager.cs.

Property Documentation

◆ FrontierTimeProvider

ITimeProvider QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.FrontierTimeProvider

getsetprotected

Frontier time provider to use

Protected for testing purposes

Definition at line 50 of file DataQueueHandlerManager.cs.

◆ DataHandlers

List<IDataQueueHandler> QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.DataHandlers = new()

getsetprotected

Collection of data queue handles being used

Protected for testing purposes

Definition at line 56 of file DataQueueHandlerManager.cs.

Event Documentation

◆ UnsupportedConfiguration

EventHandler<SubscriptionDataConfig> QuantConnect.Lean.Engine.DataFeeds.DataQueueHandlerManager.UnsupportedConfiguration

Event triggered when an unsupported configuration is detected

Definition at line 66 of file DataQueueHandlerManager.cs.

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

Engine/DataFeeds/DataQueueHandlerManager.cs

Public Member Functions

Public Attributes

Protected Member Functions

Properties

Events

Detailed Description

Constructor & Destructor Documentation

◆ DataQueueHandlerManager()

Member Function Documentation

◆ Subscribe()

◆ Unsubscribe()

◆ SetJob()

◆ Dispose()

◆ LookupSymbols()

◆ CanPerformSelection()

◆ InitializeFrontierTimeProvider()

Member Data Documentation

◆ HasUniverseProvider

◆ IsConnected

Property Documentation

◆ FrontierTimeProvider

◆ DataHandlers

Event Documentation

◆ UnsupportedConfiguration