Tiingo daily price data https://api.tiingo.com/docs/tiingo/daily More...

Inheritance diagram for QuantConnect.Data.Custom.Tiingo.TiingoPrice:

Public Member Functions
	TiingoPrice ()
	Initializes an instance of the TiingoPrice class. More...

override SubscriptionDataSource	GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
	Return the URL string source of the file. This will be converted to a stream More...

override BaseData	Reader (SubscriptionDataConfig config, string content, DateTime date, bool isLiveMode)
	Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. More...

override bool	RequiresMapping ()
	Indicates if there is support for mapping More...

override DateTimeZone	DataTimeZone ()
	Specifies the data time zone for this data type. This is useful for custom data types More...

override Resolution	DefaultResolution ()
	Gets the default resolution for this data and security type More...

override List< Resolution >	SupportedResolutions ()
	Gets the supported resolution for this data and security type More...

Public Member Functions inherited from QuantConnect.Data.Market.TradeBar
	TradeBar ()
	Default initializer to setup an empty tradebar. More...

	TradeBar (TradeBar original)
	Cloner constructor for implementing fill forward. Return a new instance with the same values as this original. More...

	TradeBar (DateTime time, Symbol symbol, decimal open, decimal high, decimal low, decimal close, decimal volume, TimeSpan? period=null)
	Initialize Trade Bar with OHLC Values: More...

override BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
	TradeBar Reader: Fetch the data from the QC storage and feed it line by line into the engine. More...

override BaseData	Reader (SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode)
	TradeBar Reader: Fetch the data from the QC storage and feed it directly from the stream into the engine. More...

override void	Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
	Update the tradebar - build the bar from this pricing information: More...

override SubscriptionDataSource	GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
	Get Source for Custom Data File What source file location would you prefer for each type of usage: More...

override BaseData	Clone (bool fillForward)
	Return a new instance clone of this object, used in fill forward More...

override BaseData	Clone ()
	Return a new instance clone of this object More...

override string	ToString ()
	Formats a string with the symbol and value. More...

Public Member Functions inherited from QuantConnect.Data.BaseData
	BaseData ()
	Constructor for initialising the dase data class More...

virtual bool	IsSparseData ()
	Indicates that the data set is expected to be sparse More...

virtual bool	ShouldCacheToSecurity ()
	Indicates whether this contains data that should be stored in the security cache More...

void	UpdateTrade (decimal lastTrade, decimal tradeSize)
	Updates this base data with a new trade More...

void	UpdateQuote (decimal bidPrice, decimal bidSize, decimal askPrice, decimal askSize)
	Updates this base data with new quote information More...

void	UpdateBid (decimal bidPrice, decimal bidSize)
	Updates this base data with the new quote bid information More...

void	UpdateAsk (decimal askPrice, decimal askSize)
	Updates this base data with the new quote ask information More...

override string	ToString ()
	Formats a string with the symbol and value. More...

virtual BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
	Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. More...

virtual string	GetSource (SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
	Return the URL string source of the file. This will be converted to a stream More...

Public Attributes
override TimeSpan	Period => QuantConnect.Time.OneDay
	The period of this trade bar, (second, minute, daily, ect...) More...

Public Attributes inherited from QuantConnect.Data.BaseData
virtual decimal	Price => Value
	As this is a backtesting platform we'll provide an alias of value as price. More...

Properties
override DateTime	EndTime `[get, set]`
	The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered More...

DateTime	Date `[get, set]`
	The date this data pertains to More...

override decimal	Open `[get, set]`
	The actual (not adjusted) open price of the asset on the specific date More...

override decimal	High `[get, set]`
	The actual (not adjusted) high price of the asset on the specific date More...

override decimal	Low `[get, set]`
	The actual (not adjusted) low price of the asset on the specific date More...

override decimal	Close `[get, set]`
	The actual (not adjusted) closing price of the asset on the specific date More...

override decimal	Volume `[get, set]`
	The actual (not adjusted) number of shares traded during the day More...

decimal	AdjustedOpen `[get, set]`
	The adjusted opening price of the asset on the specific date. Returns null if not available. More...

decimal	AdjustedHigh `[get, set]`
	The adjusted high price of the asset on the specific date. Returns null if not available. More...

decimal	AdjustedLow `[get, set]`
	The adjusted low price of the asset on the specific date. Returns null if not available. More...

decimal	AdjustedClose `[get, set]`
	The adjusted close price of the asset on the specific date. Returns null if not available. More...

long	AdjustedVolume `[get, set]`
	The adjusted number of shares traded during the day - adjusted for splits. Returns null if not available More...

decimal	Dividend `[get, set]`
	The dividend paid out on "date" (note that "date" will be the "exDate" for the dividend) More...

decimal	SplitFactor `[get, set]`
	A factor used when a company splits or reverse splits. On days where there is ONLY a split (no dividend payment), you can calculate the adjusted close as follows: adjClose = "Previous Close"/splitFactor More...

Properties inherited from QuantConnect.Data.Market.TradeBar
virtual decimal	Volume `[get, set]`
	Volume: More...

virtual decimal	Open `[get, set]`
	Opening price of the bar: Defined as the price at the start of the time period. More...

virtual decimal	High `[get, set]`
	High price of the TradeBar during the time period. More...

virtual decimal	Low `[get, set]`
	Low price of the TradeBar during the time period. More...

virtual decimal	Close `[get, set]`
	Closing price of the TradeBar. Defined as the price at Start Time + TimeSpan. More...

override DateTime	EndTime `[get, set]`
	The closing time of this bar, computed via the Time and Period More...

virtual TimeSpan	Period `[get, set]`
	The period of this trade bar, (second, minute, daily, ect...) More...

Properties inherited from QuantConnect.Data.BaseData
MarketDataType	DataType = MarketDataType.Base `[get, set]`
	Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More...

bool	IsFillForward `[get]`
	True if this is a fill forward piece of data More...

DateTime	Time `[get, set]`
	Current time marker of this data packet. More...

virtual DateTime	EndTime `[get, set]`
	The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered More...

Symbol	Symbol = Symbol.Empty `[get, set]`
	Symbol representation for underlying Security More...

virtual decimal	Value `[get, set]`
	Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price. More...

Properties inherited from QuantConnect.Data.IBaseData
MarketDataType	DataType `[get, set]`
	Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More...

DateTime	Time `[get, set]`
	Time keeper of data – all data is timeseries based. More...

DateTime	EndTime `[get, set]`
	End time of data More...

Symbol	Symbol `[get, set]`
	Symbol for underlying Security More...

decimal	Value `[get, set]`
	All timeseries data is a time-value pair: More...

decimal	Price `[get]`
	Alias of Value. More...

Properties inherited from QuantConnect.Data.Market.IBar
decimal	Open `[get]`
	Opening price of the bar: Defined as the price at the start of the time period. More...

decimal	High `[get]`
	High price of the bar during the time period. More...

decimal	Low `[get]`
	Low price of the bar during the time period. More...

decimal	Close `[get]`
	Closing price of the bar. Defined as the price at Start Time + TimeSpan. More...

Additional Inherited Members
Static Public Member Functions inherited from QuantConnect.Data.Market.TradeBar
static TradeBar	Parse (SubscriptionDataConfig config, string line, DateTime baseDate)
	Parses the trade bar data line assuming QC data formats More...

static T	ParseEquity< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseEquity (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseEquity (SubscriptionDataConfig config, string line, DateTime date)
	Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseForex< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseCrypto< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseCrypto (SubscriptionDataConfig config, string line, DateTime date)
	Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseCrypto (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseForex (SubscriptionDataConfig config, string line, DateTime date)
	Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseForex (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseCfd< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseCfd (SubscriptionDataConfig config, string line, DateTime date)
	Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseCfd (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseOption< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseOption< T > (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseFuture< T > (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static T	ParseFuture< T > (SubscriptionDataConfig config, string line, DateTime date)
	Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseIndex (SubscriptionDataConfig config, string line, DateTime date)
	Parse an index bar from the LEAN disk format More...

static TradeBar	ParseIndex (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parse an index bar from the LEAN disk format More...

static TradeBar	ParseOption (SubscriptionDataConfig config, string line, DateTime date)
	Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseOption (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseFuture (SubscriptionDataConfig config, string line, DateTime date)
	Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

static TradeBar	ParseFuture (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
	Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar More...

Static Public Member Functions inherited from QuantConnect.Data.BaseData
static IEnumerable< BaseData >	DeserializeMessage (string serialized)
	Deserialize the message from the data server More...

Static Protected Attributes inherited from QuantConnect.Data.BaseData
static readonly List< Resolution >	AllResolutions
	A list of all Resolution More...

static readonly List< Resolution >	DailyResolution = new List<Resolution> { Resolution.Daily }
	A list of Resolution.Daily More...

static readonly List< Resolution >	MinuteResolution = new List<Resolution> { Resolution.Minute }
	A list of Resolution.Minute More...

static readonly List< Resolution >	HighResolution = new List<Resolution> { Resolution.Minute, Resolution.Second, Resolution.Tick }
	A list of high Resolution, including minute, second, and tick. More...

static readonly List< Resolution >	OptionResolutions = new List<Resolution> { Resolution.Daily, Resolution.Hour, Resolution.Minute }
	A list of resolutions support by Options More...

Detailed Description

Tiingo daily price data https://api.tiingo.com/docs/tiingo/daily

Requires setting Tiingo.AuthCode

Definition at line 32 of file TiingoPrice.cs.

Constructor & Destructor Documentation

◆ TiingoPrice()

QuantConnect.Data.Custom.Tiingo.TiingoPrice.TiingoPrice ( )

Initializes an instance of the TiingoPrice class.

Definition at line 133 of file TiingoPrice.cs.

Member Function Documentation

◆ GetSource()

override SubscriptionDataSource QuantConnect.Data.Custom.Tiingo.TiingoPrice.GetSource	(	SubscriptionDataConfig	config,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Return the URL string source of the file. This will be converted to a stream

Parameters

config	Configuration object
date	Date of this source file
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: String URL of source file.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 146 of file TiingoPrice.cs.

Here is the call graph for this function:

◆ Reader()

override BaseData QuantConnect.Data.Custom.Tiingo.TiingoPrice.Reader	(	SubscriptionDataConfig	config,
		string	content,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone.

Parameters

config	Subscription data config setup object
content	Content of the source document
date	Date of the requested data
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: Instance of the T:BaseData object generated by this line of the CSV

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 172 of file TiingoPrice.cs.

Here is the call graph for this function:

◆ RequiresMapping()

override bool QuantConnect.Data.Custom.Tiingo.TiingoPrice.RequiresMapping ( )

virtual

Indicates if there is support for mapping

Returns: True indicates mapping should be used

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 190 of file TiingoPrice.cs.

◆ DataTimeZone()

override DateTimeZone QuantConnect.Data.Custom.Tiingo.TiingoPrice.DataTimeZone ( )

virtual

Specifies the data time zone for this data type. This is useful for custom data types

Returns: The DateTimeZone of this data type

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 199 of file TiingoPrice.cs.

◆ DefaultResolution()

override Resolution QuantConnect.Data.Custom.Tiingo.TiingoPrice.DefaultResolution ( )

virtual

Gets the default resolution for this data and security type

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 207 of file TiingoPrice.cs.

◆ SupportedResolutions()

override List<Resolution> QuantConnect.Data.Custom.Tiingo.TiingoPrice.SupportedResolutions ( )

virtual

Gets the supported resolution for this data and security type

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 215 of file TiingoPrice.cs.

Member Data Documentation

◆ Period

override TimeSpan QuantConnect.Data.Custom.Tiingo.TiingoPrice.Period => QuantConnect.Time.OneDay

The period of this trade bar, (second, minute, daily, ect...)

Definition at line 49 of file TiingoPrice.cs.

Property Documentation

◆ EndTime

override DateTime QuantConnect.Data.Custom.Tiingo.TiingoPrice.EndTime

getset

The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered

Definition at line 41 of file TiingoPrice.cs.

◆ Date

DateTime QuantConnect.Data.Custom.Tiingo.TiingoPrice.Date

getset

The date this data pertains to

Definition at line 55 of file TiingoPrice.cs.

◆ Open

override decimal QuantConnect.Data.Custom.Tiingo.TiingoPrice.Open

getset

The actual (not adjusted) open price of the asset on the specific date

Definition at line 61 of file TiingoPrice.cs.

◆ High

override decimal QuantConnect.Data.Custom.Tiingo.TiingoPrice.High

getset

The actual (not adjusted) high price of the asset on the specific date

Definition at line 67 of file TiingoPrice.cs.

◆ Low

override decimal QuantConnect.Data.Custom.Tiingo.TiingoPrice.Low

getset

The actual (not adjusted) low price of the asset on the specific date

Definition at line 73 of file TiingoPrice.cs.

◆ Close

override decimal QuantConnect.Data.Custom.Tiingo.TiingoPrice.Close

getset

The actual (not adjusted) closing price of the asset on the specific date

Definition at line 79 of file TiingoPrice.cs.

◆ Volume

override decimal QuantConnect.Data.Custom.Tiingo.TiingoPrice.Volume

getset

The actual (not adjusted) number of shares traded during the day

Definition at line 85 of file TiingoPrice.cs.

◆ AdjustedOpen

decimal QuantConnect.Data.Custom.Tiingo.TiingoPrice.AdjustedOpen

getset

The adjusted opening price of the asset on the specific date. Returns null if not available.

Definition at line 91 of file TiingoPrice.cs.

◆ AdjustedHigh

decimal QuantConnect.Data.Custom.Tiingo.TiingoPrice.AdjustedHigh

getset

The adjusted high price of the asset on the specific date. Returns null if not available.

Definition at line 97 of file TiingoPrice.cs.

◆ AdjustedLow

decimal QuantConnect.Data.Custom.Tiingo.TiingoPrice.AdjustedLow

getset

The adjusted low price of the asset on the specific date. Returns null if not available.

Definition at line 103 of file TiingoPrice.cs.

◆ AdjustedClose

decimal QuantConnect.Data.Custom.Tiingo.TiingoPrice.AdjustedClose

getset

The adjusted close price of the asset on the specific date. Returns null if not available.

Definition at line 109 of file TiingoPrice.cs.

◆ AdjustedVolume

long QuantConnect.Data.Custom.Tiingo.TiingoPrice.AdjustedVolume

getset

The adjusted number of shares traded during the day - adjusted for splits. Returns null if not available

Definition at line 115 of file TiingoPrice.cs.

◆ Dividend

decimal QuantConnect.Data.Custom.Tiingo.TiingoPrice.Dividend

getset

The dividend paid out on "date" (note that "date" will be the "exDate" for the dividend)

Definition at line 121 of file TiingoPrice.cs.

◆ SplitFactor

decimal QuantConnect.Data.Custom.Tiingo.TiingoPrice.SplitFactor

getset

A factor used when a company splits or reverse splits. On days where there is ONLY a split (no dividend payment), you can calculate the adjusted close as follows: adjClose = "Previous Close"/splitFactor

Definition at line 128 of file TiingoPrice.cs.

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

Common/Data/Custom/Tiingo/TiingoPrice.cs

Public Member Functions

Public Attributes

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ TiingoPrice()

Member Function Documentation

◆ GetSource()

◆ Reader()

◆ RequiresMapping()

◆ DataTimeZone()

◆ DefaultResolution()

◆ SupportedResolutions()

Member Data Documentation

◆ Period

Property Documentation

◆ EndTime

◆ Date

◆ Open

◆ High

◆ Low

◆ Close

◆ Volume

◆ AdjustedOpen

◆ AdjustedHigh

◆ AdjustedLow

◆ AdjustedClose

◆ AdjustedVolume

◆ Dividend

◆ SplitFactor