A data consolidator that can make bigger bars from smaller ones over a given time span or a count of pieces of data. More...
Public Member Functions | |
| TradeBarConsolidator (TimeSpan period) | |
| Creates a consolidator to produce a new 'TradeBar' representing the period More... | |
| TradeBarConsolidator (int maxCount) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data More... | |
| TradeBarConsolidator (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... | |
| TradeBarConsolidator (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... | |
| TradeBarConsolidator (PyObject pyfuncobj) | |
| Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first More... | |
Static Public Member Functions | |
| static TradeBarConsolidator | FromResolution (Resolution resolution) |
| Create a new TradeBarConsolidator for the desired resolution More... | |
Protected Member Functions | |
| override void | AggregateBar (ref TradeBar workingBar, TradeBar 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< TradeBar > | |
| 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< TradeBar > | |
| TradeBar | WorkingBar |
| Gets a copy of the current 'workingBar'. More... | |
Detailed Description
A data consolidator that can make bigger bars from smaller ones over a given time span or a count of pieces of data.
Use this consolidator to turn data of a lower resolution into data of a higher resolution, for example, if you subscribe to minute data but want to have a 15 minute bar.
Definition at line 30 of file TradeBarConsolidator.cs.
Constructor & Destructor Documentation
◆ TradeBarConsolidator() [1/5]
| QuantConnect.Data.Consolidators.TradeBarConsolidator.TradeBarConsolidator | ( | 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 46 of file TradeBarConsolidator.cs.
◆ TradeBarConsolidator() [2/5]
| QuantConnect.Data.Consolidators.TradeBarConsolidator.TradeBarConsolidator | ( | 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 emitting a consolidated bar
Definition at line 55 of file TradeBarConsolidator.cs.
◆ TradeBarConsolidator() [3/5]
| QuantConnect.Data.Consolidators.TradeBarConsolidator.TradeBarConsolidator | ( | 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 emitting a consolidated bar period The minimum span of time before emitting a consolidated bar
Definition at line 65 of file TradeBarConsolidator.cs.
◆ TradeBarConsolidator() [4/5]
| QuantConnect.Data.Consolidators.TradeBarConsolidator.TradeBarConsolidator | ( | 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 74 of file TradeBarConsolidator.cs.
◆ TradeBarConsolidator() [5/5]
| QuantConnect.Data.Consolidators.TradeBarConsolidator.TradeBarConsolidator | ( | PyObject | pyfuncobj | ) |
Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first
- Parameters
-
pyfuncobj Python function object that defines the start time of a consolidated data
Definition at line 83 of file TradeBarConsolidator.cs.
Member Function Documentation
◆ FromResolution()
|
static |
Create a new TradeBarConsolidator for the desired resolution
- Parameters
-
resolution The resolution desired
- Returns
- A consolidator that produces data on the resolution interval
Definition at line 37 of file TradeBarConsolidator.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 trade bar data The new data
Definition at line 94 of file TradeBarConsolidator.cs.
The documentation for this class was generated from the following file:
- Common/Data/Consolidators/TradeBarConsolidator.cs
