A data csolidator that can make trade bars from DynamicData derived types. This is useful for aggregating Quandl and other highly flexible dynamic custom data types. More...
Public Member Functions | |
| DynamicDataConsolidator (TimeSpan period) | |
| Creates a consolidator to produce a new 'TradeBar' representing the period. More... | |
| DynamicDataConsolidator (int maxCount) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data. More... | |
| DynamicDataConsolidator (int maxCount, TimeSpan period) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first. More... | |
| DynamicDataConsolidator (Func< DateTime, CalendarInfo > func) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first. More... | |
Protected Member Functions | |
| override void | AggregateBar (ref TradeBar workingBar, DynamicData data) |
| Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be null following the event firing More... | |
 Protected Member Functions inherited from QuantConnect.Data.Consolidators.TradeBarConsolidatorBase< DynamicData > | |
| TradeBarConsolidatorBase (TimeSpan period) | |
| Creates a consolidator to produce a new 'TradeBar' representing the period More... | |
| TradeBarConsolidatorBase (int maxCount) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data More... | |
| TradeBarConsolidatorBase (int maxCount, TimeSpan period) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first More... | |
| TradeBarConsolidatorBase (Func< DateTime, CalendarInfo > func) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first More... | |
| TradeBarConsolidatorBase (PyObject pyfuncobj) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first More... | |
Additional Inherited Members | |
| Public Attributes inherited from QuantConnect.Data.Consolidators.TradeBarConsolidatorBase< DynamicData > | |
| TradeBar | WorkingBar |
| Gets a copy of the current 'workingBar'. More... | |
Detailed Description
A data csolidator that can make trade bars from DynamicData derived types. This is useful for aggregating Quandl and other highly flexible dynamic custom data types.
Definition at line 25 of file DynamicDataConsolidator.cs.
Constructor & Destructor Documentation
◆ DynamicDataConsolidator() [1/4]
| QuantConnect.Data.Consolidators.DynamicDataConsolidator.DynamicDataConsolidator | ( | TimeSpan | period | ) |
Creates a consolidator to produce a new 'TradeBar' representing the period.
- Parameters
-
period The minimum span of time before emitting a consolidated bar
Definition at line 31 of file DynamicDataConsolidator.cs.
◆ DynamicDataConsolidator() [2/4]
| QuantConnect.Data.Consolidators.DynamicDataConsolidator.DynamicDataConsolidator | ( | int | maxCount | ) |
Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data.
- Parameters
-
maxCount The number of pieces to accept before emiting a consolidated bar
Definition at line 40 of file DynamicDataConsolidator.cs.
◆ DynamicDataConsolidator() [3/4]
| QuantConnect.Data.Consolidators.DynamicDataConsolidator.DynamicDataConsolidator | ( | int | maxCount, |
| TimeSpan | period | ||
| ) |
Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first.
- Parameters
-
maxCount The number of pieces to accept before emiting a consolidated bar period The minimum span of time before emitting a consolidated bar
Definition at line 50 of file DynamicDataConsolidator.cs.
◆ DynamicDataConsolidator() [4/4]
| QuantConnect.Data.Consolidators.DynamicDataConsolidator.DynamicDataConsolidator | ( | Func< DateTime, CalendarInfo > | func | ) |
Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first.
- Parameters
-
func Func that defines the start time of a consolidated data
Definition at line 59 of file DynamicDataConsolidator.cs.
Member Function Documentation
◆ AggregateBar()
|
protected |
Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be null following the event firing
- Parameters
-
workingBar The bar we're building, null if the event was just fired and we're starting a new trade bar data The new data
Definition at line 70 of file DynamicDataConsolidator.cs.
The documentation for this class was generated from the following file:
- Common/Data/Consolidators/DynamicDataConsolidator.cs
