QuantConnect.Data.Consolidators.TickQuoteBarConsolidator Class Reference
Consolidates ticks into quote bars. This consolidator ignores trade ticks More...
Inheritance diagram for QuantConnect.Data.Consolidators.TickQuoteBarConsolidator:
Public Member Functions | |
| TickQuoteBarConsolidator (TimeSpan period) | |
| Initializes a new instance of the TickQuoteBarConsolidator class More... | |
| TickQuoteBarConsolidator (int maxCount) | |
| Initializes a new instance of the TickQuoteBarConsolidator class More... | |
| TickQuoteBarConsolidator (int maxCount, TimeSpan period) | |
| Initializes a new instance of the TickQuoteBarConsolidator class More... | |
| TickQuoteBarConsolidator (Func< DateTime, CalendarInfo > func) | |
| Initializes a new instance of the TickQuoteBarConsolidator class More... | |
| TickQuoteBarConsolidator (PyObject pyfuncobj) | |
| Initializes a new instance of the TickQuoteBarConsolidator class More... | |
 Public Member Functions inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< Tick, QuoteBar > | |
| 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... | |
Protected Member Functions | |
| override bool | ShouldProcess (Tick data) |
| Determines whether or not the specified data should be processed More... | |
| override void | AggregateBar (ref QuoteBar workingBar, Tick 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.PeriodCountConsolidatorBase< Tick, QuoteBar > | |
| 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... | |
Additional Inherited Members | |
| Public Attributes inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< Tick, QuoteBar > | |
| override Type | OutputType |
| Gets the type produced by this consolidator More... | |
| override IBaseData | WorkingData |
| Gets a clone of the data being currently consolidated More... | |
| Protected Attributes inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< Tick, QuoteBar > | |
| bool | IsTimeBased |
| Returns true if this consolidator is time-based, false otherwise More... | |
| TimeSpan? | Period |
| Gets the time period for this consolidator More... | |
| Events inherited from QuantConnect.Data.Consolidators.PeriodCountConsolidatorBase< Tick, QuoteBar > | |
| 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... | |
Detailed Description
Consolidates ticks into quote bars. This consolidator ignores trade ticks
Definition at line 26 of file TickQuoteBarConsolidator.cs.
Constructor & Destructor Documentation
◆ TickQuoteBarConsolidator() [1/5]
| QuantConnect.Data.Consolidators.TickQuoteBarConsolidator.TickQuoteBarConsolidator | ( | TimeSpan | period | ) |
Initializes a new instance of the TickQuoteBarConsolidator class
- Parameters
-
period The minimum span of time before emitting a consolidated bar
Definition at line 32 of file TickQuoteBarConsolidator.cs.
◆ TickQuoteBarConsolidator() [2/5]
| QuantConnect.Data.Consolidators.TickQuoteBarConsolidator.TickQuoteBarConsolidator | ( | int | maxCount | ) |
Initializes a new instance of the TickQuoteBarConsolidator class
- Parameters
-
maxCount The number of pieces to accept before emitting a consolidated bar
Definition at line 41 of file TickQuoteBarConsolidator.cs.
◆ TickQuoteBarConsolidator() [3/5]
| QuantConnect.Data.Consolidators.TickQuoteBarConsolidator.TickQuoteBarConsolidator | ( | int | maxCount, |
| TimeSpan | period | ||
| ) |
Initializes a new instance of the TickQuoteBarConsolidator class
- Parameters
-
maxCount The number of pieces to accept before emitting a consolidated bar period The minimum span of time before emitting a consolidated bar
Definition at line 51 of file TickQuoteBarConsolidator.cs.
◆ TickQuoteBarConsolidator() [4/5]
| QuantConnect.Data.Consolidators.TickQuoteBarConsolidator.TickQuoteBarConsolidator | ( | Func< DateTime, CalendarInfo > | func | ) |
Initializes a new instance of the TickQuoteBarConsolidator class
- Parameters
-
func Func that defines the start time of a consolidated data
Definition at line 60 of file TickQuoteBarConsolidator.cs.
◆ TickQuoteBarConsolidator() [5/5]
| QuantConnect.Data.Consolidators.TickQuoteBarConsolidator.TickQuoteBarConsolidator | ( | PyObject | pyfuncobj | ) |
Initializes a new instance of the TickQuoteBarConsolidator class
- Parameters
-
pyfuncobj Python function object that defines the start time of a consolidated data
Definition at line 69 of file TickQuoteBarConsolidator.cs.
Member Function Documentation
◆ ShouldProcess()
|
protected |
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
Definition at line 79 of file TickQuoteBarConsolidator.cs.
◆ 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 consolidated bar data The new data
Definition at line 90 of file TickQuoteBarConsolidator.cs.
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The documentation for this class was generated from the following file:
- Common/Data/Consolidators/TickQuoteBarConsolidator.cs
