Provides an implementation of IDataFeed that is designed to deal with live, remote data sources More...
Public Member Functions | |
| override void | Initialize (IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler, IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider, IDataProvider dataProvider, IDataFeedSubscriptionManager subscriptionManager, IDataFeedTimeProvider dataFeedTimeProvider, IDataChannelProvider dataChannelProvider) |
| Initializes the data feed for the specified job and algorithm More... | |
| override Subscription | CreateSubscription (SubscriptionRequest request) |
| Creates a new subscription to provide data for the specified security. More... | |
| override void | RemoveSubscription (Subscription subscription) |
| Removes the subscription from the data feed, if it exists More... | |
| override void | Exit () |
| External controller calls to signal a terminate of the thread. More... | |
Protected Member Functions | |
| virtual IDataQueueHandler | GetDataQueueHandler () |
| Gets the IDataQueueHandler to use by default DataQueueHandlerManager More... | |
| virtual BaseDataExchange | GetBaseDataExchange () |
| Gets the BaseDataExchange to use More... | |
 Protected Member Functions inherited from QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed | |
| IEnumerator< BaseData > | CreateEnumerator (SubscriptionRequest request, Resolution? fillForwardResolution=null) |
| Creates a file based data enumerator for the given subscription request More... | |
| IEnumerator< BaseData > | CreateUniverseEnumerator (SubscriptionRequest request, Func< SubscriptionRequest, Resolution?, IEnumerator< BaseData >> createUnderlyingEnumerator, Resolution? fillForwardResolution=null) |
| Creates a universe enumerator from the Subscription request, the underlying enumerator func and the fill forward resolution (in some cases) More... | |
| IEnumerator< BaseData > | AddScheduleWrapper (SubscriptionRequest request, IEnumerator< BaseData > underlying, ITimeProvider timeProvider) |
| Returns a scheduled enumerator from the given arguments. It can also return the given underlying enumerator More... | |
| IEnumerator< BaseData > | TryAppendUnderlyingEnumerator (SubscriptionRequest request, IEnumerator< BaseData > parent, Func< SubscriptionRequest, Resolution?, IEnumerator< BaseData >> createEnumerator, Resolution? fillForwardResolution) |
| If required will add a new enumerator for the underlying symbol More... | |
| IEnumerator< BaseData > | ConfigureEnumerator (SubscriptionRequest request, bool aggregate, IEnumerator< BaseData > enumerator, Resolution? fillForwardResolution) |
| Configure the enumerator with aggregation/fill-forward/filter behaviors. Returns new instance if re-configured More... | |
| IEnumerator< BaseData > | TryAddFillForwardEnumerator (SubscriptionRequest request, IEnumerator< BaseData > enumerator, bool fillForward, Resolution? fillForwardResolution) |
| Will add a fill forward enumerator if requested More... | |
Properties | |
| bool | IsActive [get] |
| Public flag indicator that the thread is still busy. More... | |
| Properties inherited from QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed | |
| bool | IsActive [get] |
| Flag indicating the hander thread is completely finished and ready to dispose. More... | |
| Properties inherited from QuantConnect.Lean.Engine.DataFeeds.IDataFeed | |
| bool | IsActive [get] |
| Public flag indicator that the thread is still busy. More... | |
Detailed Description
Provides an implementation of IDataFeed that is designed to deal with live, remote data sources
Definition at line 41 of file LiveTradingDataFeed.cs.
Member Function Documentation
◆ Initialize()
|
virtual |
Initializes the data feed for the specified job and algorithm
Reimplemented from QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed.
Definition at line 76 of file LiveTradingDataFeed.cs.
◆ CreateSubscription()
|
virtual |
Creates a new subscription to provide data for the specified security.
- Parameters
-
request Defines the subscription to be added, including start/end times the universe and security
- Returns
- The created Subscription if successful, null otherwise
Reimplemented from QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed.
Definition at line 118 of file LiveTradingDataFeed.cs.
◆ RemoveSubscription()
|
virtual |
Removes the subscription from the data feed, if it exists
- Parameters
-
subscription The subscription to remove
Reimplemented from QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed.
Definition at line 142 of file LiveTradingDataFeed.cs.
◆ Exit()
|
virtual |
External controller calls to signal a terminate of the thread.
Reimplemented from QuantConnect.Lean.Engine.DataFeeds.FileSystemDataFeed.
Definition at line 160 of file LiveTradingDataFeed.cs.
◆ GetDataQueueHandler()
|
protectedvirtual |
Gets the IDataQueueHandler to use by default DataQueueHandlerManager
Useful for testing
- Returns
- The loaded IDataQueueHandler
Definition at line 182 of file LiveTradingDataFeed.cs.
◆ GetBaseDataExchange()
|
protectedvirtual |
Gets the BaseDataExchange to use
Useful for testing
Definition at line 193 of file LiveTradingDataFeed.cs.
Property Documentation
◆ IsActive
|
get |
Public flag indicator that the thread is still busy.
Definition at line 69 of file LiveTradingDataFeed.cs.
The documentation for this class was generated from the following file:
- Engine/DataFeeds/LiveTradingDataFeed.cs
