QuantConnect.Algorithm.Framework.Portfolio.ReturnsSymbolData Class Reference

Contains returns specific to a symbol required for optimization model More...

Public Member Functions
	ReturnsSymbolData (Symbol symbol, int lookback, int period)
	Initializes a new instance of the ReturnsSymbolData class More...
void	Add (DateTime time, decimal value)
	Adds an item to this window and shifts all other elements More...
bool	Update (DateTime time, decimal value)
	Updates the state of the RateOfChange with the given value and returns true if this indicator is ready, false otherwise More...
void	Reset ()
	Resets all indicators of this object to its initial state More...

Public Attributes
Dictionary< DateTime, double >	Returns => _window.ToDictionary(x => x.EndTime, x => (double) x.Value)
	Historical returns More...

Properties
RateOfChange	ROC [get]
	The symbol's asset rate of change indicator More...

Detailed Description

Contains returns specific to a symbol required for optimization model

Definition at line 26 of file ReturnsSymbolData.cs.

Constructor & Destructor Documentation

ReturnsSymbolData()

QuantConnect.Algorithm.Framework.Portfolio.ReturnsSymbolData.ReturnsSymbolData	(	Symbol	symbol,
		int	lookback,
		int	period
	)

Initializes a new instance of the ReturnsSymbolData class

Parameters

symbol	The symbol of the data that updates the indicators
lookback	Look-back period for the RateOfChange indicator
period	Size of rolling window that contains historical RateOfChange

Definition at line 43 of file ReturnsSymbolData.cs.

Member Function Documentation

Add()

void QuantConnect.Algorithm.Framework.Portfolio.ReturnsSymbolData.Add	(	DateTime	time,
		decimal	value
	)

Adds an item to this window and shifts all other elements

Parameters

time	The time associated with the value
value	The value to use to update this window

Definition at line 61 of file ReturnsSymbolData.cs.

Update()

bool QuantConnect.Algorithm.Framework.Portfolio.ReturnsSymbolData.Update	(	DateTime	time,
		decimal	value
	)

Updates the state of the RateOfChange with the given value and returns true if this indicator is ready, false otherwise

Parameters

time	The time associated with the value
value	The value to use to update this indicator

Returns

True if this indicator is ready, false otherwise

Definition at line 74 of file ReturnsSymbolData.cs.

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Reset()

void QuantConnect.Algorithm.Framework.Portfolio.ReturnsSymbolData.Reset

(

)

Resets all indicators of this object to its initial state

Definition at line 82 of file ReturnsSymbolData.cs.

Member Data Documentation

Returns

Dictionary<DateTime, double> QuantConnect.Algorithm.Framework.Portfolio.ReturnsSymbolData.Returns => _window.ToDictionary(x => x.EndTime, x => (double) x.Value)

Historical returns

Definition at line 54 of file ReturnsSymbolData.cs.

Property Documentation

ROC

RateOfChange QuantConnect.Algorithm.Framework.Portfolio.ReturnsSymbolData.ROC

get

The symbol's asset rate of change indicator

Definition at line 35 of file ReturnsSymbolData.cs.

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

• Algorithm.Framework/Portfolio/ReturnsSymbolData.cs