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QuantConnect.Data.Market.RenkoBar Class Reference

Represents a bar sectioned not by time, but by some amount of movement in a value (for example, Closing price moving in $10 bar sizes) More...

Inheritance diagram for QuantConnect.Data.Market.RenkoBar:
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Public Member Functions

 RenkoBar ()
 Initializes a new default instance of the RenkoBar class. More...
 
 RenkoBar (Symbol symbol, DateTime time, decimal brickSize, decimal open, decimal volume)
 Initializes a new instance of the RenkoBar class with the specified values More...
 
 RenkoBar (Symbol symbol, DateTime start, DateTime endTime, decimal brickSize, decimal open, decimal high, decimal low, decimal close)
 Initializes a new instance of the RenkoBar class with the specified values More...
 
bool Update (DateTime time, decimal currentValue, decimal volumeSinceLastUpdate)
 Updates this RenkoBar with the specified values and returns whether or not this bar is closed More...
 
override BaseData Clone ()
 Return a new instance clone of this object, used in fill forward More...
 
- Public Member Functions inherited from QuantConnect.Data.Market.BaseRenkoBar
override BaseData Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
 Reader Method :: using set of arguements we specify read out type. Enumerate until the end of the data stream or file. E.g. Read CSV file line by line and convert into data types. 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...
 
- 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 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< ResolutionSupportedResolutions ()
 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...
 
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...
 

Properties

DateTime End [get, set]
 Gets the end time of this renko bar or the most recent update time if it BaseRenkoBar.IsClosed More...
 
BarDirection Direction [get]
 The trend of the bar (i.e. Rising, Falling or NoDelta) More...
 
decimal Spread [get]
 The "spread" of the bar More...
 
- Properties inherited from QuantConnect.Data.Market.BaseRenkoBar
RenkoType Type [get, protected set]
 Gets the kind of the bar More...
 
decimal BrickSize [get, protected set]
 The preset size of the consolidated bar More...
 
override DateTime EndTime [get, set]
 Gets the end time of this renko bar or the most recent update time if it IsClosed More...
 
DateTime Start [get, protected set]
 Gets the time this bar started More...
 
virtual bool IsClosed [get, protected set]
 Gets whether or not this bar is considered closed. 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< BaseDataDeserializeMessage (string serialized)
 Deserialize the message from the data server 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...
 
- Static Protected Attributes inherited from QuantConnect.Data.BaseData
static readonly List< ResolutionAllResolutions
 A list of all Resolution More...
 
static readonly List< ResolutionDailyResolution = new List<Resolution> { Resolution.Daily }
 A list of Resolution.Daily More...
 
static readonly List< ResolutionMinuteResolution = new List<Resolution> { Resolution.Minute }
 A list of Resolution.Minute More...
 
static readonly List< ResolutionHighResolution = new List<Resolution> { Resolution.Minute, Resolution.Second, Resolution.Tick }
 A list of high Resolution, including minute, second, and tick. More...
 
static readonly List< ResolutionOptionResolutions = new List<Resolution> { Resolution.Daily, Resolution.Hour, Resolution.Minute }
 A list of resolutions support by Options More...
 

Detailed Description

Represents a bar sectioned not by time, but by some amount of movement in a value (for example, Closing price moving in $10 bar sizes)

Definition at line 23 of file RenkoBar.cs.

Constructor & Destructor Documentation

◆ RenkoBar() [1/3]

QuantConnect.Data.Market.RenkoBar.RenkoBar ( )

Initializes a new default instance of the RenkoBar class.

Definition at line 65 of file RenkoBar.cs.

◆ RenkoBar() [2/3]

QuantConnect.Data.Market.RenkoBar.RenkoBar ( Symbol  symbol,
DateTime  time,
decimal  brickSize,
decimal  open,
decimal  volume 
)

Initializes a new instance of the RenkoBar class with the specified values

Parameters
symbolThe symbol of this data
timeThe start time of the bar
brickSizeThe size of each renko brick
openThe opening price for the new bar
volumeAny initial volume associated with the data

Definition at line 77 of file RenkoBar.cs.

◆ RenkoBar() [3/3]

QuantConnect.Data.Market.RenkoBar.RenkoBar ( Symbol  symbol,
DateTime  start,
DateTime  endTime,
decimal  brickSize,
decimal  open,
decimal  high,
decimal  low,
decimal  close 
)

Initializes a new instance of the RenkoBar class with the specified values

Parameters
symbolThe symbol of this data
startThe start time of the bar
endTimeThe end time of the bar
brickSizeThe size of each wicko brick
openThe opening price for the new bar
highThe high price for the new bar
lowThe low price for the new bar
closeThe closing price for the new bar

Definition at line 104 of file RenkoBar.cs.

Member Function Documentation

◆ Update()

bool QuantConnect.Data.Market.RenkoBar.Update ( DateTime  time,
decimal  currentValue,
decimal  volumeSinceLastUpdate 
)

Updates this RenkoBar with the specified values and returns whether or not this bar is closed

Parameters
timeThe current time
currentValueThe current value
volumeSinceLastUpdateThe volume since the last update called on this instance
Returns
True if this bar BaseRenkoBar.IsClosed

Definition at line 127 of file RenkoBar.cs.

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◆ Clone()

override BaseData QuantConnect.Data.Market.RenkoBar.Clone ( )
virtual

Return a new instance clone of this object, used in fill forward

This base implementation uses reflection to copy all public fields and properties

Returns
A clone of the current object

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 163 of file RenkoBar.cs.

Property Documentation

◆ End

DateTime QuantConnect.Data.Market.RenkoBar.End
getset

Gets the end time of this renko bar or the most recent update time if it BaseRenkoBar.IsClosed

Definition at line 30 of file RenkoBar.cs.

◆ Direction

BarDirection QuantConnect.Data.Market.RenkoBar.Direction
get

The trend of the bar (i.e. Rising, Falling or NoDelta)

Definition at line 39 of file RenkoBar.cs.

◆ Spread

decimal QuantConnect.Data.Market.RenkoBar.Spread
get

The "spread" of the bar

Definition at line 55 of file RenkoBar.cs.


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