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QuantConnect.Data.Market.Split Class Reference

Split event from a security More...

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

 Split ()
 Initializes a new instance of the Split class More...
 
 Split (Symbol symbol, DateTime date, decimal price, decimal splitFactor, SplitType type)
 Initializes a new instance of the Split class More...
 
override 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. 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 string ToString ()
 Formats a string with the symbol and value. More...
 
override BaseData Clone ()
 Return a new instance clone of this object, used in fill forward More...
 
- Public Member Functions inherited from QuantConnect.Data.BaseData
 BaseData ()
 Constructor for initialising the dase data class 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 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...
 
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...
 
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

SplitType Type [get]
 Gets the type of split event, warning or split. More...
 
decimal SplitFactor [get]
 Gets the split factor More...
 
decimal ReferencePrice [get, set]
 Gets the price at which the split occurred This is typically the previous day's closing price 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...
 

Additional Inherited Members

- 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

Split event from a security

Definition at line 28 of file Split.cs.

Constructor & Destructor Documentation

◆ Split() [1/2]

QuantConnect.Data.Market.Split.Split ( )

Initializes a new instance of the Split class

Definition at line 64 of file Split.cs.

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◆ Split() [2/2]

QuantConnect.Data.Market.Split.Split ( Symbol  symbol,
DateTime  date,
decimal  price,
decimal  splitFactor,
SplitType  type 
)

Initializes a new instance of the Split class

Parameters
symbolThe symbol
dateThe date
priceThe price at the time of the split
splitFactorThe split factor to be applied to current holdings
typeThe type of split event, warning or split occurred

Definition at line 78 of file Split.cs.

Member Function Documentation

◆ Reader()

override BaseData QuantConnect.Data.Market.Split.Reader ( SubscriptionDataConfig  config,
string  line,
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.

Parameters
configSubscription data config setup object
lineLine of the source document
dateDate of the requested data
isLiveModetrue 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 97 of file Split.cs.

◆ GetSource()

override SubscriptionDataSource QuantConnect.Data.Market.Split.GetSource ( SubscriptionDataConfig  config,
DateTime  date,
bool  isLiveMode 
)
virtual

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

Parameters
configConfiguration object
dateDate of this source file
isLiveModetrue if we're in live mode, false for backtesting mode
Returns
String URL of source file.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 110 of file Split.cs.

◆ ToString()

override string QuantConnect.Data.Market.Split.ToString ( )

Formats a string with the symbol and value.

Returns
string - a string formatted as SPY: 167.753

Definition at line 120 of file Split.cs.

◆ Clone()

override BaseData QuantConnect.Data.Market.Split.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 133 of file Split.cs.

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Property Documentation

◆ Type

SplitType QuantConnect.Data.Market.Split.Type
get

Gets the type of split event, warning or split.

Definition at line 36 of file Split.cs.

◆ SplitFactor

decimal QuantConnect.Data.Market.Split.SplitFactor
get

Gets the split factor

Definition at line 46 of file Split.cs.

◆ ReferencePrice

decimal QuantConnect.Data.Market.Split.ReferencePrice
getset

Gets the price at which the split occurred This is typically the previous day's closing price

Definition at line 56 of file Split.cs.


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