Set of helper methods for factor files and price scaling operations More...

Static Public Member Functions
static decimal	GetPriceScale (this IFactorProvider factorFile, DateTime dateTime, DataNormalizationMode normalizationMode, uint contractOffset=0, DataMappingMode? dataMappingMode=null, DateTime? endDateTime=null)
	Resolves the price scale for a date given a factor file and required settings More...

static Symbol	GetFactorFileSymbol (this Symbol symbol)
	Determines the symbol to use to fetch it's factor file More...

static IFactorProvider	GetEmptyFactorFile (this Symbol symbol)
	Helper method to return an empty factor file More...

static IFactorProvider	SafeRead (string permtick, IEnumerable< string > contents, SecurityType securityType)
	Parses the contents as a FactorFile, if error returns a new empty factor file More...

Detailed Description

Set of helper methods for factor files and price scaling operations

Definition at line 26 of file PriceScalingExtensions.cs.

Member Function Documentation

static decimal QuantConnect.Data.Auxiliary.PriceScalingExtensions.GetPriceScale	(	this IFactorProvider	factorFile,
		DateTime	dateTime,
		DataNormalizationMode	normalizationMode,
		uint	contractOffset = `0`,
		DataMappingMode?	dataMappingMode = `null`,
		DateTime?	endDateTime = `null`
	)

static

Resolves the price scale for a date given a factor file and required settings

Parameters

factorFile	The factor file to use
dateTime	The date for the price scale lookup
normalizationMode	The price normalization mode requested
contractOffset	The contract offset, useful for continuous contracts
dataMappingMode	The data mapping mode used, useful for continuous contracts
endDateTime	The reference end date for scaling prices.

Exceptions

ArgumentException If normalizationMode is DataNormalizationMode.ScaledRaw and endDateTime is null

For DataNormalizationMode.ScaledRaw normalization mode, the prices are scaled to the prices on the endDateTime

Definition at line 45 of file PriceScalingExtensions.cs.

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static Symbol QuantConnect.Data.Auxiliary.PriceScalingExtensions.GetFactorFileSymbol ( this Symbol symbol )

static

Determines the symbol to use to fetch it's factor file

This is useful for futures where the symbol to use is the canonical

Definition at line 83 of file PriceScalingExtensions.cs.

static IFactorProvider QuantConnect.Data.Auxiliary.PriceScalingExtensions.GetEmptyFactorFile ( this Symbol symbol )

static

Helper method to return an empty factor file

Definition at line 91 of file PriceScalingExtensions.cs.

static IFactorProvider QuantConnect.Data.Auxiliary.PriceScalingExtensions.SafeRead	(	string	permtick,
		IEnumerable< string >	contents,
		SecurityType	securityType
	)

static

Parses the contents as a FactorFile, if error returns a new empty factor file

Definition at line 103 of file PriceScalingExtensions.cs.

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