Provides a base class for consolidators that emit data based on the passing of a period of time or after seeing a max count of data points. More...

Inheritance diagram for QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >:

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Public Member Functions
override void	Update (T data)
	Updates this consolidator with the specified data. This method is responsible for raising the DataConsolidated event In time span mode, the bar range is closed on the left and open on the right: [T, T+TimeSpan). For example, if time span is 1 minute, we have [10:00, 10:01): so data at 10:01 is not included in the bar starting at 10:00. More...

override void	Scan (DateTime currentLocalTime)
	Scans this consolidator to see if it should emit a bar due to time passing More...

Public Member Functions inherited from QuantConnect.Data.Consolidators.DataConsolidator< T >
void	Update (IBaseData data)
	Updates this consolidator with the specified data More...

abstract void	Update (TInput data)
	Updates this consolidator with the specified data. This method is responsible for raising the DataConsolidated event More...

void	Dispose ()
	Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources. More...

Public Attributes
override Type	OutputType => typeof(TConsolidated)
	Gets the type produced by this consolidator More...

override IBaseData	WorkingData => _workingBar?.Clone()
	Gets a clone of the data being currently consolidated More...

Protected Member Functions
	PeriodCountConsolidatorBase (TimeSpan period)
	Creates a consolidator to produce a new TConsolidated instance representing the period More...

	PeriodCountConsolidatorBase (int maxCount)
	Creates a consolidator to produce a new TConsolidated instance representing the last count pieces of data More...

	PeriodCountConsolidatorBase (int maxCount, TimeSpan period)
	Creates a consolidator to produce a new TConsolidated instance representing the last count pieces of data or the period, whichever comes first More...

	PeriodCountConsolidatorBase (Func< DateTime, CalendarInfo > func)
	Creates a consolidator to produce a new TConsolidated instance representing the last count pieces of data or the period, whichever comes first More...

	PeriodCountConsolidatorBase (PyObject pyObject)
	Creates a consolidator to produce a new TConsolidated instance representing the last count pieces of data or the period, whichever comes first More...

virtual bool	ShouldProcess (T data)
	Determines whether or not the specified data should be processed More...

abstract void	AggregateBar (ref TConsolidated workingBar, T data)
	Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be null following the event firing More...

DateTime	GetRoundedBarTime (DateTime time)
	Gets a rounded-down bar time. Called by AggregateBar in derived classes. More...

DateTime	GetRoundedBarTime (IBaseData inputData)
	Gets a rounded-down bar start time. Called by AggregateBar in derived classes. More...

virtual void	OnDataConsolidated (TConsolidated e)
	Event invocator for the DataConsolidated event More...

Protected Member Functions inherited from QuantConnect.Data.Consolidators.DataConsolidator< T >
virtual void	OnDataConsolidated (IBaseData consolidated)
	Event invocator for the DataConsolidated event. This should be invoked by derived classes when they have consolidated a new piece of data. More...

Protected Attributes
bool	IsTimeBased => !_maxCount.HasValue
	Returns true if this consolidator is time-based, false otherwise More...

TimeSpan?	Period => _period
	Gets the time period for this consolidator More...

Events
new EventHandler< TConsolidated >	DataConsolidated
	Event handler that fires when a new piece of data is produced. We define this as a 'new' event so we can expose it as a TConsolidated instead of a BaseData instance More...

Events inherited from QuantConnect.Data.Consolidators.DataConsolidator< T >
DataConsolidatedHandler	DataConsolidated
	Event handler that fires when a new piece of data is produced More...

Additional Inherited Members
Properties inherited from QuantConnect.Data.Consolidators.DataConsolidator< T >
IBaseData	Consolidated `[get]`
	Gets the most recently consolidated piece of data. This will be null if this consolidator has not produced any data yet. More...

abstract IBaseData	WorkingData `[get]`
	Gets a clone of the data being currently consolidated More...

Type	InputType `[get]`
	Gets the type consumed by this consolidator More...

abstract Type	OutputType `[get]`
	Gets the type produced by this consolidator More...

Detailed Description

Provides a base class for consolidators that emit data based on the passing of a period of time or after seeing a max count of data points.

Template Parameters

T	The input type of the consolidator
TConsolidated	The output type of the consolidator

Type Constraints

T	:	IBaseData
TConsolidated	:	BaseData

Definition at line 30 of file PeriodCountConsolidatorBase.cs.

Constructor & Destructor Documentation

◆ PeriodCountConsolidatorBase() [1/5]

QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.PeriodCountConsolidatorBase ( TimeSpan period )

protected

Creates a consolidator to produce a new TConsolidated instance representing the period

Parameters

period The minimum span of time before emitting a consolidated bar

Definition at line 61 of file PeriodCountConsolidatorBase.cs.

◆ PeriodCountConsolidatorBase() [2/5]

QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.PeriodCountConsolidatorBase ( int maxCount )

protected

Creates a consolidator to produce a new TConsolidated instance representing the last count pieces of data

Parameters

maxCount The number of pieces to accept before emiting a consolidated bar

Definition at line 71 of file PeriodCountConsolidatorBase.cs.

◆ PeriodCountConsolidatorBase() [3/5]

QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.PeriodCountConsolidatorBase	(	int	maxCount,
		TimeSpan	period
	)

protected

Creates a consolidator to produce a new TConsolidated instance 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 82 of file PeriodCountConsolidatorBase.cs.

◆ PeriodCountConsolidatorBase() [4/5]

QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.PeriodCountConsolidatorBase ( Func< DateTime, CalendarInfo > func )

protected

Creates a consolidator to produce a new TConsolidated instance 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 93 of file PeriodCountConsolidatorBase.cs.

◆ PeriodCountConsolidatorBase() [5/5]

QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.PeriodCountConsolidatorBase ( PyObject pyObject )

protected

Creates a consolidator to produce a new TConsolidated instance representing the last count pieces of data or the period, whichever comes first

Parameters

pyObject Python object that defines either a function object that defines the start time of a consolidated data or a timespan

Definition at line 103 of file PeriodCountConsolidatorBase.cs.

Member Function Documentation

◆ Update()

override void QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.Update ( T data )

Updates this consolidator with the specified data. This method is responsible for raising the DataConsolidated event In time span mode, the bar range is closed on the left and open on the right: [T, T+TimeSpan). For example, if time span is 1 minute, we have [10:00, 10:01): so data at 10:01 is not included in the bar starting at 10:00.

Exceptions

InvalidOperationException Thrown when multiple symbols are being consolidated.

Parameters

data	The new data for the consolidator

Definition at line 133 of file PeriodCountConsolidatorBase.cs.

◆ Scan()

override void QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.Scan ( DateTime currentLocalTime )

virtual

Scans this consolidator to see if it should emit a bar due to time passing

Parameters

currentLocalTime The current time in the local time zone (same as BaseData.Time)

Implements QuantConnect.Data.Consolidators.DataConsolidator< T >.

Definition at line 247 of file PeriodCountConsolidatorBase.cs.

◆ ShouldProcess()

virtual bool QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.ShouldProcess ( T data )

protectedvirtual

Determines whether or not the specified data should be processed

Parameters

data	The data to check

Returns: True if the consolidator should process this data, false otherwise

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◆ AggregateBar()

abstract void QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.AggregateBar	(	ref TConsolidated	workingBar,
		T	data
	)

protectedpure virtual

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 consolidated bar
data	The new data

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◆ GetRoundedBarTime() [1/2]

DateTime QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.GetRoundedBarTime ( DateTime time )

protected

Gets a rounded-down bar time. Called by AggregateBar in derived classes.

Parameters

time	The bar time to be rounded down

Returns: The rounded bar time

Definition at line 288 of file PeriodCountConsolidatorBase.cs.

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◆ GetRoundedBarTime() [2/2]

DateTime QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.GetRoundedBarTime ( IBaseData inputData )

protected

Gets a rounded-down bar start time. Called by AggregateBar in derived classes.

Parameters

inputData The input data point

Returns: The rounded bar start time

Definition at line 307 of file PeriodCountConsolidatorBase.cs.

◆ OnDataConsolidated()

virtual void QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.OnDataConsolidated ( TConsolidated e )

protectedvirtual

Event invocator for the DataConsolidated event

Parameters

e	The consolidated data

Definition at line 323 of file PeriodCountConsolidatorBase.cs.

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Member Data Documentation

◆ OutputType

override Type QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.OutputType => typeof(TConsolidated)

Gets the type produced by this consolidator

Definition at line 111 of file PeriodCountConsolidatorBase.cs.

◆ WorkingData

override IBaseData QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.WorkingData => _workingBar?.Clone()

Gets a clone of the data being currently consolidated

Definition at line 116 of file PeriodCountConsolidatorBase.cs.

◆ IsTimeBased

bool QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.IsTimeBased => !_maxCount.HasValue

protected

Returns true if this consolidator is time-based, false otherwise

Definition at line 260 of file PeriodCountConsolidatorBase.cs.

◆ Period

TimeSpan? QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.Period => _period

protected

Gets the time period for this consolidator

Definition at line 265 of file PeriodCountConsolidatorBase.cs.

Event Documentation

◆ DataConsolidated

new EventHandler<TConsolidated> QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< T, TConsolidated >.DataConsolidated

Event handler that fires when a new piece of data is produced. We define this as a 'new' event so we can expose it as a TConsolidated instead of a BaseData instance

Definition at line 122 of file PeriodCountConsolidatorBase.cs.

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

Common/Data/Consolidators/PeriodCountConsolidatorBase.cs

Public Member Functions

Public Attributes

Protected Member Functions

Protected Attributes

Events

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ PeriodCountConsolidatorBase() [1/5]

◆ PeriodCountConsolidatorBase() [2/5]

◆ PeriodCountConsolidatorBase() [3/5]

◆ PeriodCountConsolidatorBase() [4/5]

◆ PeriodCountConsolidatorBase() [5/5]

Member Function Documentation

◆ Update()

◆ Scan()

◆ ShouldProcess()

◆ AggregateBar()

◆ GetRoundedBarTime() [1/2]

◆ GetRoundedBarTime() [2/2]

◆ OnDataConsolidated()

Member Data Documentation

◆ OutputType

◆ WorkingData

◆ IsTimeBased

◆ Period

Event Documentation

◆ DataConsolidated