Base representation of an entire chain of contracts for a single underlying security. This type is IEnumerable<T> where T is OptionContract, FuturesContract, etc. More...

Inheritance diagram for QuantConnect.Data.Market.BaseChain< T, TContractsCollection >:

[legend]

Public Member Functions
TAux	GetAux< TAux > (Symbol symbol)
	Gets the auxiliary data with the specified type and symbol More...

DataDictionary< TAux >	GetAux< TAux > ()
	Gets all auxiliary data of the specified type as a dictionary keyed by symbol More...

Dictionary< Symbol, List< BaseData > >	GetAuxList< TAux > ()
	Gets all auxiliary data of the specified type as a dictionary keyed by symbol More...

List< TAux >	GetAuxList< TAux > (Symbol symbol)
	Gets a list of auxiliary data with the specified type and symbol More...

IEnumerator< T >	GetEnumerator ()
	Returns an enumerator that iterates through the collection. More...

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

virtual BaseData	Reader (SubscriptionDataConfig config, string line, 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...

virtual BaseData	Reader (SubscriptionDataConfig config, StreamReader stream, 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...

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

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

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

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

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

virtual void	Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
	Update routine to build a bar/tick from a data update. More...

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

virtual BaseData	Clone ()
	Return a new instance clone of this object, used in fill forward 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
PyObject	DataFrame => _dataframe.Value
	The data frame representation of the option chain 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...

Protected Member Functions
	BaseChain (MarketDataType dataType, bool flatten)
	Initializes a new default instance of the BaseChain<T, TContractsCollection> class More...

	BaseChain (Symbol canonicalOptionSymbol, DateTime time, MarketDataType dataType, bool flatten=true)
	Initializes a new instance of the BaseChain<T, TContractsCollection> class More...

	BaseChain (BaseChain< T, TContractsCollection > other)
	Initializes a new instance of the BaseChain<T, TContractsCollection> class as a copy of the specified chain More...

Properties
BaseData	Underlying `[get, set]`
	Gets the most recent trade information for the underlying. This may be a Tick or a TradeBar More...

Ticks	Ticks `[get, protected set]`
	Gets all ticks for every option contract in this chain, keyed by option symbol More...

TradeBars	TradeBars `[get, protected set]`
	Gets all trade bars for every option contract in this chain, keyed by option symbol More...

QuoteBars	QuoteBars `[get, protected set]`
	Gets all quote bars for every option contract in this chain, keyed by option symbol More...

TContractsCollection	Contracts `[get]`
	Gets all contracts in the chain, keyed by option symbol More...

HashSet< Symbol >	FilteredContracts `[get, protected set]`
	Gets the set of symbols that passed the Option.ContractFilter 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...

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.ISymbolProvider
Symbol	Symbol `[get, set]`
	Gets the Symbol More...

Additional Inherited Members
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

Base representation of an entire chain of contracts for a single underlying security. This type is IEnumerable<T> where T is OptionContract, FuturesContract, etc.

Type Constraints

T	:	BaseContract
TContractsCollection	:	DataDictionary<T>
TContractsCollection	:	new()

Definition at line 31 of file BaseChain.cs.

Constructor & Destructor Documentation

◆ BaseChain() [1/3]

QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.BaseChain	(	MarketDataType	dataType,
		bool	flatten
	)

protected

Initializes a new default instance of the BaseChain<T, TContractsCollection> class

Definition at line 115 of file BaseChain.cs.

◆ BaseChain() [2/3]

QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.BaseChain	(	Symbol	canonicalOptionSymbol,
		DateTime	time,
		MarketDataType	dataType,
		bool	flatten = `true`
	)

protected

Initializes a new instance of the BaseChain<T, TContractsCollection> class

Parameters

canonicalOptionSymbol	The symbol for this chain.
time	The time of this chain
flatten	Whether to flatten the data frame

Definition at line 137 of file BaseChain.cs.

◆ BaseChain() [3/3]

QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.BaseChain ( BaseChain< T, TContractsCollection > other )

protected

Initializes a new instance of the BaseChain<T, TContractsCollection> class as a copy of the specified chain

Definition at line 154 of file BaseChain.cs.

Member Function Documentation

◆ GetAux< TAux >() [1/2]

TAux QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.GetAux< TAux > ( Symbol symbol )

Gets the auxiliary data with the specified type and symbol

Template Parameters

TAux	The type of auxiliary data

Parameters

symbol The symbol of the auxiliary data

Returns: The last auxiliary data with the specified type and symbol

Definition at line 174 of file BaseChain.cs.

◆ GetAux< TAux >() [2/2]

DataDictionary<TAux> QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.GetAux< TAux > ( )

Gets all auxiliary data of the specified type as a dictionary keyed by symbol

Template Parameters

TAux	The type of auxiliary data

Returns: A dictionary containing all auxiliary data of the specified type

Definition at line 190 of file BaseChain.cs.

◆ GetAuxList< TAux >() [1/2]

Dictionary<Symbol, List<BaseData> > QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.GetAuxList< TAux > ( )

Gets all auxiliary data of the specified type as a dictionary keyed by symbol

Template Parameters

TAux	The type of auxiliary data

Returns: A dictionary containing all auxiliary data of the specified type

Definition at line 214 of file BaseChain.cs.

◆ GetAuxList< TAux >() [2/2]

List<TAux> QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.GetAuxList< TAux > ( Symbol symbol )

Gets a list of auxiliary data with the specified type and symbol

Template Parameters

TAux	The type of auxiliary data

Parameters

symbol The symbol of the auxiliary data

Returns: The list of auxiliary data with the specified type and symbol

Definition at line 230 of file BaseChain.cs.

◆ GetEnumerator()

IEnumerator<T> QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.GetEnumerator ( )

Returns an enumerator that iterates through the collection.

Returns: An enumerator that can be used to iterate through the collection.

Definition at line 247 of file BaseChain.cs.

Member Data Documentation

◆ DataFrame

PyObject QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.DataFrame => _dataframe.Value

The data frame representation of the option chain

Definition at line 110 of file BaseChain.cs.

Property Documentation

◆ Underlying

BaseData QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.Underlying

getset

Gets the most recent trade information for the underlying. This may be a Tick or a TradeBar

Definition at line 58 of file BaseChain.cs.

◆ Ticks

Ticks QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.Ticks

getprotected set

Gets all ticks for every option contract in this chain, keyed by option symbol

Definition at line 67 of file BaseChain.cs.

◆ TradeBars

TradeBars QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.TradeBars

getprotected set

Gets all trade bars for every option contract in this chain, keyed by option symbol

Definition at line 76 of file BaseChain.cs.

◆ QuoteBars

QuoteBars QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.QuoteBars

getprotected set

Gets all quote bars for every option contract in this chain, keyed by option symbol

Definition at line 85 of file BaseChain.cs.

◆ Contracts

TContractsCollection QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.Contracts

get

Gets all contracts in the chain, keyed by option symbol

Definition at line 93 of file BaseChain.cs.

◆ FilteredContracts

HashSet<Symbol> QuantConnect.Data.Market.BaseChain< T, TContractsCollection >.FilteredContracts

getprotected set

Gets the set of symbols that passed the Option.ContractFilter

Definition at line 102 of file BaseChain.cs.

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

Common/Data/Market/BaseChain.cs

Public Member Functions

Public Attributes

Protected Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ BaseChain() [1/3]

◆ BaseChain() [2/3]

◆ BaseChain() [3/3]

Member Function Documentation

◆ GetAux< TAux >() [1/2]

◆ GetAux< TAux >() [2/2]

◆ GetAuxList< TAux >() [1/2]

◆ GetAuxList< TAux >() [2/2]

◆ GetEnumerator()

Member Data Documentation

◆ DataFrame

Property Documentation

◆ Underlying

◆ Ticks

◆ TradeBars

◆ QuoteBars

◆ Contracts

◆ FilteredContracts