Base class caching spot for security data and any other temporary properties. More...

Inheritance diagram for QuantConnect.Securities.SecurityCache:

Public Member Functions
void	AddDataList (IReadOnlyList< BaseData > data, Type dataType, bool? containsFillForwardData=null)
	Add a list of market data points to the local security cache for the current market price. More...

void	AddData (BaseData data)
	Add a new market data point to the local security cache for the current market price. Rules: Don't cache fill forward data. Always return the last observation. If two consecutive data has the same time stamp and one is Quotebars and the other Tradebar, prioritize the Quotebar. More...

void	StoreData (IReadOnlyList< BaseData > data, Type dataType)
	Stores the specified data list in the cache WITHOUT updating any of the cache properties, such as Price More...

BaseData	GetData ()
	Get last data packet received for this security if any else null More...

T	GetData< T > ()
	Get last data packet received for this security of the specified type More...

IEnumerable< T >	GetAll< T > ()
	Gets all data points of the specified type from the most recent time step that produced data for that type More...

void	Reset ()
	Reset cache storage and free memory More...

bool	HasData (Type type)
	Gets whether or not this dynamic data instance has data stored for the specified type More...

bool	TryGetValue (Type type, out IReadOnlyList< BaseData > data)
	Gets whether or not this dynamic data instance has data stored for the specified type More...

Static Public Member Functions
static void	ShareTypeCacheInstance (SecurityCache sourceToShare, SecurityCache targetToModify)
	Helper method that modifies the target security cache instance to use the type cache of the source More...

Protected Member Functions
virtual void	ProcessDataPoint (BaseData data, bool cacheByType)
	Will consume the given data point updating the cache state and it's properties More...

Properties
decimal	Price `[get]`
	Gets the most recent price submitted to this cache More...

decimal	Open `[get]`
	Gets the most recent open submitted to this cache More...

decimal	High `[get]`
	Gets the most recent high submitted to this cache More...

decimal	Low `[get]`
	Gets the most recent low submitted to this cache More...

decimal	Close `[get]`
	Gets the most recent close submitted to this cache More...

decimal	BidPrice `[get]`
	Gets the most recent bid submitted to this cache More...

decimal	AskPrice `[get]`
	Gets the most recent ask submitted to this cache More...

decimal	BidSize `[get]`
	Gets the most recent bid size submitted to this cache More...

decimal	AskSize `[get]`
	Gets the most recent ask size submitted to this cache More...

decimal	Volume `[get]`
	Gets the most recent volume submitted to this cache More...

long	OpenInterest `[get]`
	Gets the most recent open interest submitted to this cache More...

Dictionary< string, object >	Properties `[get]`
	Collection of keyed custom properties More...

Detailed Description

Base class caching spot for security data and any other temporary properties.

Definition at line 31 of file SecurityCache.cs.

Member Function Documentation

◆ AddDataList()

void QuantConnect.Securities.SecurityCache.AddDataList	(	IReadOnlyList< BaseData >	data,
		Type	dataType,
		bool?	containsFillForwardData = `null`
	)

Add a list of market data points to the local security cache for the current market price.

Internally uses AddData using the last data point of the provided list and it stores by type the non fill forward points using StoreData

Definition at line 123 of file SecurityCache.cs.

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◆ AddData()

void QuantConnect.Securities.SecurityCache.AddData ( BaseData data )

Add a new market data point to the local security cache for the current market price. Rules: Don't cache fill forward data. Always return the last observation. If two consecutive data has the same time stamp and one is Quotebars and the other Tradebar, prioritize the Quotebar.

Definition at line 161 of file SecurityCache.cs.

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◆ ProcessDataPoint()

virtual void QuantConnect.Securities.SecurityCache.ProcessDataPoint	(	BaseData	data,
		bool	cacheByType
	)

protectedvirtual

Will consume the given data point updating the cache state and it's properties

Parameters

data	The data point to process
cacheByType	True if this data point should be cached by type

Reimplemented in QuantConnect.Securities.Future.FutureCache.

Definition at line 171 of file SecurityCache.cs.

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◆ StoreData()

void QuantConnect.Securities.SecurityCache.StoreData	(	IReadOnlyList< BaseData >	data,
		Type	dataType
	)

Stores the specified data list in the cache WITHOUT updating any of the cache properties, such as Price

Parameters

data	The collection of data to store in this cache
dataType	The data type

Definition at line 278 of file SecurityCache.cs.

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◆ GetData()

BaseData QuantConnect.Securities.SecurityCache.GetData ( )

Get last data packet received for this security if any else null

Returns: BaseData type of the security

Definition at line 305 of file SecurityCache.cs.

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◆ GetData< T >()

T QuantConnect.Securities.SecurityCache.GetData< T > ( )

Get last data packet received for this security of the specified type

Template Parameters

T	The data type

Returns: The last data packet, null if none received of type

Type Constraints

T

:

BaseData

Definition at line 315 of file SecurityCache.cs.

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◆ GetAll< T >()

IEnumerable<T> QuantConnect.Securities.SecurityCache.GetAll< T > ( )

Gets all data points of the specified type from the most recent time step that produced data for that type

Definition at line 330 of file SecurityCache.cs.

◆ Reset()

void QuantConnect.Securities.SecurityCache.Reset ( )

Reset cache storage and free memory

Definition at line 351 of file SecurityCache.cs.

◆ HasData()

bool QuantConnect.Securities.SecurityCache.HasData ( Type type )

Gets whether or not this dynamic data instance has data stored for the specified type

Definition at line 376 of file SecurityCache.cs.

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◆ TryGetValue()

bool QuantConnect.Securities.SecurityCache.TryGetValue	(	Type	type,
		out IReadOnlyList< BaseData >	data
	)

Gets whether or not this dynamic data instance has data stored for the specified type

Definition at line 384 of file SecurityCache.cs.

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◆ ShareTypeCacheInstance()

static void QuantConnect.Securities.SecurityCache.ShareTypeCacheInstance	(	SecurityCache	sourceToShare,
		SecurityCache	targetToModify
	)

static

Helper method that modifies the target security cache instance to use the type cache of the source

Will set in the source cache any data already present in the target cache

This is useful for custom data securities which also have an underlying security, will allow both securities to access the same data by type

Parameters

sourceToShare	The source cache to use
targetToModify	The target security cache that will be modified

Definition at line 466 of file SecurityCache.cs.

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Property Documentation

◆ Price

decimal QuantConnect.Securities.SecurityCache.Price

get

Gets the most recent price submitted to this cache

Definition at line 51 of file SecurityCache.cs.

◆ Open

decimal QuantConnect.Securities.SecurityCache.Open

get

Gets the most recent open submitted to this cache

Definition at line 56 of file SecurityCache.cs.

◆ High

decimal QuantConnect.Securities.SecurityCache.High

get

Gets the most recent high submitted to this cache

Definition at line 61 of file SecurityCache.cs.

◆ Low

decimal QuantConnect.Securities.SecurityCache.Low

get

Gets the most recent low submitted to this cache

Definition at line 66 of file SecurityCache.cs.

◆ Close

decimal QuantConnect.Securities.SecurityCache.Close

get

Gets the most recent close submitted to this cache

Definition at line 71 of file SecurityCache.cs.

◆ BidPrice

decimal QuantConnect.Securities.SecurityCache.BidPrice

get

Gets the most recent bid submitted to this cache

Definition at line 76 of file SecurityCache.cs.

◆ AskPrice

decimal QuantConnect.Securities.SecurityCache.AskPrice

get

Gets the most recent ask submitted to this cache

Definition at line 81 of file SecurityCache.cs.

◆ BidSize

decimal QuantConnect.Securities.SecurityCache.BidSize

get

Gets the most recent bid size submitted to this cache

Definition at line 86 of file SecurityCache.cs.

◆ AskSize

decimal QuantConnect.Securities.SecurityCache.AskSize

get

Gets the most recent ask size submitted to this cache

Definition at line 91 of file SecurityCache.cs.

◆ Volume

decimal QuantConnect.Securities.SecurityCache.Volume

get

Gets the most recent volume submitted to this cache

Definition at line 96 of file SecurityCache.cs.

◆ OpenInterest

long QuantConnect.Securities.SecurityCache.OpenInterest

get

Gets the most recent open interest submitted to this cache

Definition at line 101 of file SecurityCache.cs.

◆ Properties

Dictionary<string, object> QuantConnect.Securities.SecurityCache.Properties

get

Collection of keyed custom properties

Definition at line 107 of file SecurityCache.cs.

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

Common/Securities/SecurityCache.cs

Public Member Functions

Static Public Member Functions

Protected Member Functions

Properties

Detailed Description

Member Function Documentation

◆ AddDataList()

◆ AddData()

◆ ProcessDataPoint()

◆ StoreData()

◆ GetData()

◆ GetData< T >()

◆ GetAll< T >()

◆ Reset()

◆ HasData()

◆ TryGetValue()

◆ ShareTypeCacheInstance()

Property Documentation

◆ Price

◆ Open

◆ High

◆ Low

◆ Close

◆ BidPrice

◆ AskPrice

◆ BidSize

◆ AskSize

◆ Volume

◆ OpenInterest

◆ Properties