QuantConnect.Data.LeanDataWriter Class Reference

Data writer for saving an IEnumerable of BaseData into the LEAN data directory. More...

Public Member Functions
	LeanDataWriter (Resolution resolution, Symbol symbol, string dataDirectory, TickType tickType=TickType.Trade, IDataCacheProvider dataCacheProvider=null, WritePolicy? writePolicy=null, bool mapSymbol=false)
	Create a new lean data writer to this base data directory. More...
	LeanDataWriter (string dataDirectory, Resolution resolution, SecurityType securityType, TickType tickType, IDataCacheProvider dataCacheProvider=null, WritePolicy? writePolicy=null)
	Create a new lean data writer to this base data directory. More...
void	Write (IEnumerable< BaseData > source)
	Given the constructor parameters, write out the data in LEAN format. More...
void	DownloadAndSave (IBrokerage brokerage, List< Symbol > symbols, DateTime startTimeUtc, DateTime endTimeUtc)
	Downloads historical data from the brokerage and saves it in LEAN format. More...

Properties
static Lazy< IMapFileProvider >	MapFileProvider [get, set]
	The map file provider instance to use More...

Detailed Description

Data writer for saving an IEnumerable of BaseData into the LEAN data directory.

Definition at line 35 of file LeanDataWriter.cs.

Constructor & Destructor Documentation

LeanDataWriter() [1/2]

QuantConnect.Data.LeanDataWriter.LeanDataWriter	(	Resolution	resolution,
		Symbol	symbol,
		string	dataDirectory,
		TickType	tickType = TickType.Trade,
		IDataCacheProvider	dataCacheProvider = null,
		WritePolicy?	writePolicy = null,
		bool	mapSymbol = false
	)

Create a new lean data writer to this base data directory.

Parameters

symbol	Symbol string
dataDirectory	Base data directory
resolution	Resolution of the desired output data
tickType	The tick type
dataCacheProvider	The data cache provider to use
writePolicy	The file write policy to use
mapSymbol	True if the symbol should be mapped while writting the data

Definition at line 66 of file LeanDataWriter.cs.

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LeanDataWriter() [2/2]

QuantConnect.Data.LeanDataWriter.LeanDataWriter	(	string	dataDirectory,
		Resolution	resolution,
		SecurityType	securityType,
		TickType	tickType,
		IDataCacheProvider	dataCacheProvider = null,
		WritePolicy?	writePolicy = null
	)

Create a new lean data writer to this base data directory.

Parameters

dataDirectory	Base data directory
resolution	Resolution of the desired output data
securityType	The security type
tickType	The tick type
dataCacheProvider	The data cache provider to use
writePolicy	The file write policy to use

Definition at line 101 of file LeanDataWriter.cs.

Member Function Documentation

Write()

void QuantConnect.Data.LeanDataWriter.Write

(

IEnumerable< BaseData >

source

)

Given the constructor parameters, write out the data in LEAN format.

Parameters

source

IEnumerable source of the data: sorted from oldest to newest.

Definition at line 123 of file LeanDataWriter.cs.

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DownloadAndSave()

void QuantConnect.Data.LeanDataWriter.DownloadAndSave	(	IBrokerage	brokerage,
		List< Symbol >	symbols,
		DateTime	startTimeUtc,
		DateTime	endTimeUtc
	)

Downloads historical data from the brokerage and saves it in LEAN format.

Parameters

brokerage	The brokerage from where to fetch the data
symbols	The list of symbols
startTimeUtc	The starting date/time (UTC)
endTimeUtc	The ending date/time (UTC)

Definition at line 195 of file LeanDataWriter.cs.

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Property Documentation

MapFileProvider

Lazy<IMapFileProvider> QuantConnect.Data.LeanDataWriter.MapFileProvider

staticgetset

Initial value:

= new(
            Composer.Instance.GetExportedValueByTypeName<IMapFileProvider>(Config.Get("map-file-provider", "LocalDiskMapFileProvider"), forceTypeNameOnExisting: false)
        )

The map file provider instance to use

Public for testing

Definition at line 43 of file LeanDataWriter.cs.

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

• Common/Data/LeanDataWriter.cs