Tick class is the base representation for tick data. It is grouped into a Ticks object which implements IDictionary and passed into an OnData event handler. More...

Inheritance diagram for QuantConnect.Data.Market.Tick:

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Public Member Functions
	Tick ()
	Initialize tick class with a default constructor. More...

	Tick (Tick original)
	Cloner constructor for fill forward engine implementation. Clone the original tick into this new tick: More...

	Tick (DateTime time, Symbol symbol, decimal bid, decimal ask)
	Constructor for a FOREX tick where there is no last sale price. The volume in FX is so high its rare to find FX trade data. To fake this the tick contains bid-ask prices and the last price is the midpoint. More...

	Tick (DateTime time, Symbol symbol, decimal last, decimal bid, decimal ask)
	Initializer for a last-trade equity tick with bid or ask prices. More...

	Tick (DateTime time, Symbol symbol, string saleCondition, string exchange, decimal quantity, decimal price)
	Trade tick type constructor More...

	Tick (DateTime time, Symbol symbol, string saleCondition, Exchange exchange, decimal quantity, decimal price)
	Trade tick type constructor More...

	Tick (DateTime time, Symbol symbol, string saleCondition, string exchange, decimal bidSize, decimal bidPrice, decimal askSize, decimal askPrice)
	Quote tick type constructor More...

	Tick (DateTime time, Symbol symbol, string saleCondition, Exchange exchange, decimal bidSize, decimal bidPrice, decimal askSize, decimal askPrice)
	Quote tick type constructor More...

	Tick (Symbol symbol, string line)
	Constructor for QuantConnect FXCM Data source: More...

	Tick (Symbol symbol, string line, DateTime baseDate)
	Constructor for QuantConnect tick data More...

	Tick (SubscriptionDataConfig config, StreamReader reader, DateTime date)
	Parse a tick data line from quantconnect zip source files. More...

	Tick (SubscriptionDataConfig config, string line, DateTime date)
	Parse a tick data line from quantconnect zip source files. More...

override BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
	Tick implementation of reader method: read a line of data from the source and convert it to a tick object. More...

override BaseData	Reader (SubscriptionDataConfig config, StreamReader reader, DateTime date, bool isLiveMode)
	Tick implementation of reader method: read a line of data from the source and convert it to a tick object. More...

override SubscriptionDataSource	GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
	Get source for tick data feed - not used with QuantConnect data sources implementation. More...

override void	Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
	Update the tick price information - not used. More...

bool	IsValid ()
	Check if tick contains valid data (either a trade, or a bid or ask) More...

override BaseData	Clone ()
	Clone implementation for tick class: More...

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

void	SetValue ()
	Sets the tick Value based on ask and bid price 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< 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 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...

Public Attributes
TickType	TickType = TickType.Trade
	Type of the Tick: Trade or Quote. More...

decimal	Quantity = 0
	Quantity exchanged in a trade. More...

string	SaleCondition = ""
	Sale condition for the tick. More...

bool	Suspicious = false
	Bool whether this is a suspicious tick More...

decimal	BidPrice = 0
	Bid Price for Tick More...

decimal	AskPrice = 0
	Asking price for the Tick quote. More...

decimal	BidSize = 0
	Size of bid quote. More...

decimal	AskSize = 0
	Size of ask quote. 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
string?	ExchangeCode `[get, set]`
	Exchange code this tick came from Exchanges More...

string?	Exchange `[get, set]`
	Exchange name this tick came from Exchanges More...

uint	ParsedSaleCondition `[get, set]`
	For performance parsed sale condition for the tick. More...

decimal	LastPrice `[get]`
	Alias for "Value" - the last sale for this asset. 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< 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

Tick class is the base representation for tick data. It is grouped into a Ticks object which implements IDictionary and passed into an OnData event handler.

Definition at line 33 of file Tick.cs.

Constructor & Destructor Documentation

◆ Tick() [1/12]

QuantConnect.Data.Market.Tick.Tick ( )

Initialize tick class with a default constructor.

Definition at line 177 of file Tick.cs.

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◆ Tick() [2/12]

QuantConnect.Data.Market.Tick.Tick ( Tick original )

Cloner constructor for fill forward engine implementation. Clone the original tick into this new tick:

Parameters

original Original tick we're cloning

Definition at line 196 of file Tick.cs.

◆ Tick() [3/12]

QuantConnect.Data.Market.Tick.Tick	(	DateTime	time,
		Symbol	symbol,
		decimal	bid,
		decimal	ask
	)

Constructor for a FOREX tick where there is no last sale price. The volume in FX is so high its rare to find FX trade data. To fake this the tick contains bid-ask prices and the last price is the midpoint.

Parameters

time	Full date and time
symbol	Underlying currency pair we're trading
bid	FX tick bid value
ask	FX tick ask value

Definition at line 223 of file Tick.cs.

◆ Tick() [4/12]

QuantConnect.Data.Market.Tick.Tick	(	DateTime	time,
		Symbol	symbol,
		decimal	last,
		decimal	bid,
		decimal	ask
	)

Initializer for a last-trade equity tick with bid or ask prices.

Parameters

time	Full date and time
symbol	Underlying equity security symbol
bid	Bid value
ask	Ask value
last	Last trade price

Definition at line 242 of file Tick.cs.

◆ Tick() [5/12]

QuantConnect.Data.Market.Tick.Tick	(	DateTime	time,
		Symbol	symbol,
		string	saleCondition,
		string	exchange,
		decimal	quantity,
		decimal	price
	)

Trade tick type constructor

Parameters

time	Full date and time
symbol	Underlying equity security symbol
saleCondition	The ticks sale condition
exchange	The ticks exchange
quantity	The quantity traded
price	The price of the trade

Definition at line 262 of file Tick.cs.

◆ Tick() [6/12]

QuantConnect.Data.Market.Tick.Tick	(	DateTime	time,
		Symbol	symbol,
		string	saleCondition,
		Exchange	exchange,
		decimal	quantity,
		decimal	price
	)

Trade tick type constructor

Parameters

time	Full date and time
symbol	Underlying equity security symbol
saleCondition	The ticks sale condition
exchange	The ticks exchange
quantity	The quantity traded
price	The price of the trade

Definition at line 284 of file Tick.cs.

◆ Tick() [7/12]

QuantConnect.Data.Market.Tick.Tick	(	DateTime	time,
		Symbol	symbol,
		string	saleCondition,
		string	exchange,
		decimal	bidSize,
		decimal	bidPrice,
		decimal	askSize,
		decimal	askPrice
	)

Quote tick type constructor

Parameters

time	Full date and time
symbol	Underlying equity security symbol
saleCondition	The ticks sale condition
exchange	The ticks exchange
bidSize	The bid size
bidPrice	The bid price
askSize	The ask size
askPrice	The ask price

Definition at line 302 of file Tick.cs.

◆ Tick() [8/12]

QuantConnect.Data.Market.Tick.Tick	(	DateTime	time,
		Symbol	symbol,
		string	saleCondition,
		Exchange	exchange,
		decimal	bidSize,
		decimal	bidPrice,
		decimal	askSize,
		decimal	askPrice
	)

Quote tick type constructor

Parameters

time	Full date and time
symbol	Underlying equity security symbol
saleCondition	The ticks sale condition
exchange	The ticks exchange
bidSize	The bid size
bidPrice	The bid price
askSize	The ask size
askPrice	The ask price

Definition at line 328 of file Tick.cs.

◆ Tick() [9/12]

QuantConnect.Data.Market.Tick.Tick	(	Symbol	symbol,
		string	line
	)

Constructor for QuantConnect FXCM Data source:

Parameters

symbol	Symbol for underlying asset
line	CSV line of data from FXCM

Definition at line 340 of file Tick.cs.

◆ Tick() [10/12]

QuantConnect.Data.Market.Tick.Tick	(	Symbol	symbol,
		string	line,
		DateTime	baseDate
	)

Constructor for QuantConnect tick data

Parameters

symbol	Symbol for underlying asset
line	CSV line of data from QC tick csv
baseDate	The base date of the tick

Definition at line 358 of file Tick.cs.

◆ Tick() [11/12]

QuantConnect.Data.Market.Tick.Tick	(	SubscriptionDataConfig	config,
		StreamReader	reader,
		DateTime	date
	)

Parse a tick data line from quantconnect zip source files.

Parameters

reader	The source stream reader
date	Base date for the tick (ticks date is stored as int milliseconds since midnight)
config	Subscription configuration object

Definition at line 378 of file Tick.cs.

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◆ Tick() [12/12]

QuantConnect.Data.Market.Tick.Tick	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date
	)

Parse a tick data line from quantconnect zip source files.

Parameters

line	CSV source line of the compressed source
date	Base date for the tick (ticks date is stored as int milliseconds since midnight)
config	Subscription configuration object

Definition at line 518 of file Tick.cs.

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Member Function Documentation

◆ Reader() [1/2]

override BaseData QuantConnect.Data.Market.Tick.Reader	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Tick implementation of reader method: read a line of data from the source and convert it to a tick object.

Parameters

config	Subscription configuration object for algorithm
line	Line from the datafeed source
date	Date of this reader request
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: New Initialized tick

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 675 of file Tick.cs.

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◆ Reader() [2/2]

override BaseData QuantConnect.Data.Market.Tick.Reader	(	SubscriptionDataConfig	config,
		StreamReader	reader,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Tick implementation of reader method: read a line of data from the source and convert it to a tick object.

Parameters

config	Subscription configuration object for algorithm
reader	The source stream reader
date	Date of this reader request
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: New Initialized tick

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 694 of file Tick.cs.

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◆ GetSource()

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

virtual

Get source for tick data feed - not used with QuantConnect data sources implementation.

Parameters

config	Configuration object
date	Date of this source request if source spread across multiple files
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: String source location of the file to be opened with a stream

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 713 of file Tick.cs.

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◆ Update()

override void QuantConnect.Data.Market.Tick.Update	(	decimal	lastTrade,
		decimal	bidPrice,
		decimal	askPrice,
		decimal	volume,
		decimal	bidSize,
		decimal	askSize
	)

virtual

Update the tick price information - not used.

Parameters

lastTrade	This trade price
bidPrice	Current bid price
askPrice	Current asking price
volume	Volume of this trade
bidSize	The size of the current bid, if available
askSize	The size of the current ask, if available

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 739 of file Tick.cs.

◆ IsValid()

bool QuantConnect.Data.Market.Tick.IsValid ( )

Check if tick contains valid data (either a trade, or a bid or ask)

Definition at line 753 of file Tick.cs.

◆ Clone()

override BaseData QuantConnect.Data.Market.Tick.Clone ( )

virtual

Clone implementation for tick class:

Returns: New tick object clone of the current class values.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 766 of file Tick.cs.

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◆ ToString()

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

Formats a string with the symbol and value.

Returns: string - a string formatted as SPY: 167.753

Definition at line 775 of file Tick.cs.

◆ SetValue()

void QuantConnect.Data.Market.Tick.SetValue ( )

Sets the tick Value based on ask and bid price

Definition at line 796 of file Tick.cs.

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Member Data Documentation

◆ TickType

TickType QuantConnect.Data.Market.Tick.TickType = TickType.Trade

Type of the Tick: Trade or Quote.

Definition at line 43 of file Tick.cs.

◆ Quantity

decimal QuantConnect.Data.Market.Tick.Quantity = 0

Quantity exchanged in a trade.

Definition at line 49 of file Tick.cs.

◆ SaleCondition

string QuantConnect.Data.Market.Tick.SaleCondition = ""

Sale condition for the tick.

Definition at line 97 of file Tick.cs.

◆ Suspicious

bool QuantConnect.Data.Market.Tick.Suspicious = false

Bool whether this is a suspicious tick

Definition at line 128 of file Tick.cs.

◆ BidPrice

decimal QuantConnect.Data.Market.Tick.BidPrice = 0

Bid Price for Tick

Definition at line 134 of file Tick.cs.

◆ AskPrice

decimal QuantConnect.Data.Market.Tick.AskPrice = 0

Asking price for the Tick quote.

Definition at line 140 of file Tick.cs.

◆ BidSize

decimal QuantConnect.Data.Market.Tick.BidSize = 0

Size of bid quote.

Definition at line 157 of file Tick.cs.

◆ AskSize

decimal QuantConnect.Data.Market.Tick.AskSize = 0

Size of ask quote.

Definition at line 163 of file Tick.cs.

Property Documentation

◆ ExchangeCode

string? QuantConnect.Data.Market.Tick.ExchangeCode

getset

Exchange code this tick came from Exchanges

Definition at line 55 of file Tick.cs.

◆ Exchange

string? QuantConnect.Data.Market.Tick.Exchange

getset

Exchange name this tick came from Exchanges

Definition at line 77 of file Tick.cs.

◆ ParsedSaleCondition

uint QuantConnect.Data.Market.Tick.ParsedSaleCondition

getset

For performance parsed sale condition for the tick.

Definition at line 104 of file Tick.cs.

◆ LastPrice

decimal QuantConnect.Data.Market.Tick.LastPrice

get

Alias for "Value" - the last sale for this asset.

Definition at line 146 of file Tick.cs.

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

Common/Data/Market/Tick.cs

Public Member Functions

Public Attributes

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Tick() [1/12]

◆ Tick() [2/12]

◆ Tick() [3/12]

◆ Tick() [4/12]

◆ Tick() [5/12]

◆ Tick() [6/12]

◆ Tick() [7/12]

◆ Tick() [8/12]

◆ Tick() [9/12]

◆ Tick() [10/12]

◆ Tick() [11/12]

◆ Tick() [12/12]

Member Function Documentation

◆ Reader() [1/2]

◆ Reader() [2/2]

◆ GetSource()

◆ Update()

◆ IsValid()

◆ Clone()

◆ ToString()

◆ SetValue()

Member Data Documentation

◆ TickType

◆ Quantity

◆ SaleCondition

◆ Suspicious

◆ BidPrice

◆ AskPrice

◆ BidSize

◆ AskSize

Property Documentation

◆ ExchangeCode

◆ Exchange

◆ ParsedSaleCondition

◆ LastPrice