Provides a data structure for all of an algorithm's data at a single time step More...

Inheritance diagram for QuantConnect.Data.Slice:

Public Member Functions
	Slice (DateTime time, IEnumerable< BaseData > data, DateTime utcTime)
	Initializes a new instance of the Slice class, lazily instantiating the Slice.Bars and Slice.Ticks collections on demand More...

	Slice (DateTime time, List< BaseData > data, DateTime utcTime)
	Initializes a new instance of the Slice class, lazily instantiating the Slice.Bars and Slice.Ticks collections on demand More...

	Slice (DateTime time, List< BaseData > data, TradeBars tradeBars, QuoteBars quoteBars, Ticks ticks, OptionChains optionChains, FuturesChains futuresChains, Splits splits, Dividends dividends, Delistings delistings, SymbolChangedEvents symbolChanges, MarginInterestRates marginInterestRates, DateTime utcTime, bool? hasData=null)
	Initializes a new instance of the Slice class More...

DataDictionary< T >	Get< T > ()
	Gets the DataDictionary<T> for all data of the specified type More...

dynamic	Get (Type type)
	Gets the data of the specified type. More...

T	Get< T > (Symbol symbol)
	Gets the data of the specified symbol and type. More...

virtual bool	ContainsKey (Symbol symbol)
	Determines whether this instance contains data for the specified symbol More...

override bool	TryGetValue (Symbol symbol, out dynamic data)
	Gets the data associated with the specified symbol More...

void	MergeSlice (Slice inputSlice)
	Merge two slice with same Time More...

IEnumerator< KeyValuePair< Symbol, BaseData > >	GetEnumerator ()
	Returns an enumerator that iterates through the collection. More...

Public Member Functions inherited from QuantConnect.ExtendedDictionary< dynamic >
virtual void	Clear ()
	Removes all items from the T:System.Collections.Generic.ICollection`1. More...

abstract bool	TryGetValue (Symbol symbol, out T value)
	Gets the value associated with the specified Symbol. More...

virtual bool	Remove (Symbol symbol)
	Removes the value with the specified Symbol More...

void	clear ()
	Removes all keys and values from the IExtendedDictionary<TKey, TValue>. More...

PyDict	copy ()
	Creates a shallow copy of the IExtendedDictionary<TKey, TValue>. More...

PyDict	fromkeys (Symbol[] sequence)
	Creates a new dictionary from the given sequence of elements. More...

PyDict	fromkeys (Symbol[] sequence, T value)
	Creates a new dictionary from the given sequence of elements with a value provided by the user. More...

T	get (Symbol symbol)
	Returns the value for the specified Symbol if Symbol is in dictionary. More...

T	get (Symbol symbol, T value)
	Returns the value for the specified Symbol if Symbol is in dictionary. More...

PyList	items ()
	Returns a view object that displays a list of dictionary's (Symbol, value) tuple pairs. More...

PyTuple	popitem ()
	Returns and removes an arbitrary element (Symbol, value) pair from the dictionary. More...

T	setdefault (Symbol symbol)
	Returns the value of a Symbol (if the Symbol is in dictionary). If not, it inserts Symbol with a value to the dictionary. More...

T	setdefault (Symbol symbol, T default_value)
	Returns the value of a Symbol (if the Symbol is in dictionary). If not, it inserts Symbol with a value to the dictionary. More...

T	pop (Symbol symbol)
	Removes and returns an element from a dictionary having the given Symbol. More...

T	pop (Symbol symbol, T default_value)
	Removes and returns an element from a dictionary having the given Symbol. More...

void	update (PyObject other)
	Updates the dictionary with the elements from the another dictionary object or from an iterable of Symbol/value pairs. The update() method adds element(s) to the dictionary if the Symbol is not in the dictionary.If the Symbol is in the dictionary, it updates the Symbol with the new value. More...

PyList	keys ()
	Returns a view object that displays a list of all the Symbol objects in the dictionary More...

PyList	values ()
	Returns a view object that displays a list of all the values in the dictionary. More...

Protected Member Functions
	Slice (Slice slice)
	Initializes a new instance used by the PythonSlice More...

dynamic	GetImpl (Type type, Slice instance)
	Gets the data of the specified type. More...

Protected Attributes
override IEnumerable< Symbol >	GetKeys => _data.Value.Keys
	Gets an T:System.Collections.Generic.ICollection`1 containing the Symbol objects of the T:System.Collections.Generic.IDictionary`2. More...

override IEnumerable< dynamic >	GetValues => GetKeyValuePairEnumerable().Select(data => (dynamic)data.Value)
	Gets an T:System.Collections.Generic.ICollection`1 containing the values in the T:System.Collections.Generic.IDictionary`2. More...

Properties
List< BaseData >	AllData `[get]`
	All the data hold in this slice More...

DateTime	Time `[get]`
	Gets the timestamp for this slice of data More...

DateTime	UtcTime `[get]`
	Gets the timestamp for this slice of data in UTC More...

bool	HasData `[get]`
	Gets whether or not this slice has data More...

TradeBars	Bars `[get]`
	Gets the TradeBars for this slice of data More...

QuoteBars	QuoteBars `[get]`
	Gets the QuoteBars for this slice of data More...

Ticks	Ticks `[get]`
	Gets the Ticks for this slice of data More...

OptionChains	OptionChains `[get]`
	Gets the OptionChains for this slice of data More...

FuturesChains	FuturesChains `[get]`
	Gets the FuturesChains for this slice of data More...

FuturesChains	FutureChains `[get]`
	Gets the FuturesChains for this slice of data More...

Splits	Splits `[get]`
	Gets the Splits for this slice of data More...

Dividends	Dividends `[get]`
	Gets the Dividends for this slice of data More...

Delistings	Delistings `[get]`
	Gets the Delistings for this slice of data More...

SymbolChangedEvents	SymbolChangedEvents `[get]`
	Gets the Market.SymbolChangedEvents for this slice of data More...

MarginInterestRates	MarginInterestRates `[get]`
	Gets the Market.MarginInterestRates for this slice of data More...

virtual int	Count `[get]`
	Gets the number of symbols held in this slice More...

virtual IReadOnlyList< Symbol >	Keys `[get]`
	Gets all the symbols in this slice More...

virtual IReadOnlyList< BaseData >	Values `[get]`
	Gets a list of all the data in this slice More...

override dynamic	this[Symbol symbol] `[get]`
	Gets the data corresponding to the specified symbol. If the requested data is of MarketDataType.Tick, then a List<Tick> will be returned, otherwise, it will be the subscribed type, for example, TradeBar or event UnlinkedData for custom data. More...

Properties inherited from QuantConnect.ExtendedDictionary< dynamic >
abstract IEnumerable< Symbol >	GetKeys `[get]`
	Gets an T:System.Collections.Generic.ICollection`1 containing the Symbol objects of the T:System.Collections.Generic.IDictionary`2. More...

abstract IEnumerable< T >	GetValues `[get]`
	Gets an T:System.Collections.Generic.ICollection`1 containing the values in the T:System.Collections.Generic.IDictionary`2. More...

virtual T	this[Symbol symbol] `[get, set]`
	Indexer method for the base dictioanry to access the objects by their symbol. More...

virtual T	this[string ticker] `[get, set]`
	Indexer method for the base dictioanry to access the objects by their symbol. More...

Additional Inherited Members
Public Attributes inherited from QuantConnect.ExtendedDictionary< dynamic >
virtual bool	IsReadOnly
	Gets a value indicating whether the IDictionary object is read-only. More...

Detailed Description

Provides a data structure for all of an algorithm's data at a single time step

Definition at line 32 of file Slice.cs.

Constructor & Destructor Documentation

◆ Slice() [1/4]

QuantConnect.Data.Slice.Slice	(	DateTime	time,
		IEnumerable< BaseData >	data,
		DateTime	utcTime
	)

Initializes a new instance of the Slice class, lazily instantiating the Slice.Bars and Slice.Ticks collections on demand

Parameters

time	The timestamp for this slice of data
data	The raw data in this slice
utcTime	The timestamp for this slice of data in UTC

Definition at line 218 of file Slice.cs.

◆ Slice() [2/4]

QuantConnect.Data.Slice.Slice	(	DateTime	time,
		List< BaseData >	data,
		DateTime	utcTime
	)

Initializes a new instance of the Slice class, lazily instantiating the Slice.Bars and Slice.Ticks collections on demand

Parameters

time	The timestamp for this slice of data
data	The raw data in this slice
utcTime	The timestamp for this slice of data in UTC

Definition at line 231 of file Slice.cs.

◆ Slice() [3/4]

QuantConnect.Data.Slice.Slice ( Slice slice )

protected

Initializes a new instance used by the PythonSlice

Parameters

slice slice object to wrap

This is required so that python slice enumeration works correctly since it relies on the private _data collection

Definition at line 251 of file Slice.cs.

◆ Slice() [4/4]

QuantConnect.Data.Slice.Slice	(	DateTime	time,
		List< BaseData >	data,
		TradeBars	tradeBars,
		QuoteBars	quoteBars,
		Ticks	ticks,
		OptionChains	optionChains,
		FuturesChains	futuresChains,
		Splits	splits,
		Dividends	dividends,
		Delistings	delistings,
		SymbolChangedEvents	symbolChanges,
		MarginInterestRates	marginInterestRates,
		DateTime	utcTime,
		bool?	hasData = `null`
	)

Initializes a new instance of the Slice class

Parameters

time	The timestamp for this slice of data
data	The raw data in this slice
tradeBars	The trade bars for this slice
quoteBars	The quote bars for this slice
ticks	This ticks for this slice
optionChains	The option chains for this slice
futuresChains	The futures chains for this slice
splits	The splits for this slice
dividends	The dividends for this slice
delistings	The delistings for this slice
symbolChanges	The symbol changed events for this slice
marginInterestRates	The margin interest rates for this slice
utcTime	The timestamp for this slice of data in UTC
hasData	true if this slice contains data

Definition at line 293 of file Slice.cs.

Member Function Documentation

◆ Get< T >() [1/2]

DataDictionary<T> QuantConnect.Data.Slice.Get< T > ( )

Gets the DataDictionary<T> for all data of the specified type

Template Parameters

T	The type of data we want, for example, TradeBar or UnlinkedData, etc...

Returns: The DataDictionary<T> containing the data of the specified type

Type Constraints

T

:

IBaseData

Definition at line 343 of file Slice.cs.

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◆ Get()

dynamic QuantConnect.Data.Slice.Get ( Type type )

Gets the data of the specified type.

Parameters

type	The type of data we seek

Returns: The DataDictionary<T> instance for the requested type

Definition at line 354 of file Slice.cs.

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◆ GetImpl()

dynamic QuantConnect.Data.Slice.GetImpl	(	Type	type,
		Slice	instance
	)

protected

Gets the data of the specified type.

Supports both C# and Python use cases

Definition at line 363 of file Slice.cs.

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◆ Get< T >() [2/2]

T QuantConnect.Data.Slice.Get< T > ( Symbol symbol )

Gets the data of the specified symbol and type.

Template Parameters

T	The type of data we seek

Parameters

symbol The specific symbol was seek

Returns: The data for the requested symbol

Type Constraints

T

:

BaseData

Definition at line 477 of file Slice.cs.

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◆ ContainsKey()

virtual bool QuantConnect.Data.Slice.ContainsKey ( Symbol symbol )

virtual

Determines whether this instance contains data for the specified symbol

Parameters

symbol The symbol we seek data for

Returns: True if this instance contains data for the symbol, false otherwise

Reimplemented in QuantConnect.Python.PythonSlice.

Definition at line 488 of file Slice.cs.

◆ TryGetValue()

override bool QuantConnect.Data.Slice.TryGetValue	(	Symbol	symbol,
		out dynamic	data
	)

Gets the data associated with the specified symbol

Parameters

symbol	The symbol we want data for
data	The data for the specifed symbol, or null if no data was found

Returns: True if data was found, false otherwise

Definition at line 499 of file Slice.cs.

◆ MergeSlice()

void QuantConnect.Data.Slice.MergeSlice ( Slice inputSlice )

Merge two slice with same Time

Parameters

inputSlice slice instance

Will change the input collection for re-use

Definition at line 516 of file Slice.cs.

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◆ GetEnumerator()

IEnumerator<KeyValuePair<Symbol, BaseData> > QuantConnect.Data.Slice.GetEnumerator ( )

Returns an enumerator that iterates through the collection.

Returns: A T:System.Collections.Generic.IEnumerator`1 that can be used to iterate through the collection.

Definition at line 674 of file Slice.cs.

Member Data Documentation

◆ GetKeys

override IEnumerable<Symbol> QuantConnect.Data.Slice.GetKeys => _data.Value.Keys

protected

Gets an T:System.Collections.Generic.ICollection`1 containing the Symbol objects of the T:System.Collections.Generic.IDictionary`2.

Returns: An T:System.Collections.Generic.ICollection`1 containing the Symbol objects of the object that implements T:System.Collections.Generic.IDictionary`2.

Definition at line 192 of file Slice.cs.

◆ GetValues

override IEnumerable<dynamic> QuantConnect.Data.Slice.GetValues => GetKeyValuePairEnumerable().Select(data => (dynamic)data.Value)

protected

Gets an T:System.Collections.Generic.ICollection`1 containing the values in the T:System.Collections.Generic.IDictionary`2.

Returns: An T:System.Collections.Generic.ICollection`1 containing the values in the object that implements T:System.Collections.Generic.IDictionary`2.

Definition at line 200 of file Slice.cs.

Property Documentation

◆ AllData

List<BaseData> QuantConnect.Data.Slice.AllData

get

All the data hold in this slice

Definition at line 56 of file Slice.cs.

◆ Time

DateTime QuantConnect.Data.Slice.Time

get

Gets the timestamp for this slice of data

Definition at line 62 of file Slice.cs.

◆ UtcTime

DateTime QuantConnect.Data.Slice.UtcTime

get

Gets the timestamp for this slice of data in UTC

Definition at line 70 of file Slice.cs.

◆ HasData

bool QuantConnect.Data.Slice.HasData

get

Gets whether or not this slice has data

Definition at line 78 of file Slice.cs.

◆ Bars

TradeBars QuantConnect.Data.Slice.Bars

get

Gets the TradeBars for this slice of data

Definition at line 86 of file Slice.cs.

◆ QuoteBars

QuoteBars QuantConnect.Data.Slice.QuoteBars

get

Gets the QuoteBars for this slice of data

Definition at line 94 of file Slice.cs.

◆ Ticks

Ticks QuantConnect.Data.Slice.Ticks

get

Gets the Ticks for this slice of data

Definition at line 102 of file Slice.cs.

◆ OptionChains

OptionChains QuantConnect.Data.Slice.OptionChains

get

Gets the OptionChains for this slice of data

Definition at line 110 of file Slice.cs.

◆ FuturesChains

FuturesChains QuantConnect.Data.Slice.FuturesChains

get

Gets the FuturesChains for this slice of data

Definition at line 118 of file Slice.cs.

◆ FutureChains

FuturesChains QuantConnect.Data.Slice.FutureChains

get

Gets the FuturesChains for this slice of data

Definition at line 126 of file Slice.cs.

◆ Splits

Splits QuantConnect.Data.Slice.Splits

get

Gets the Splits for this slice of data

Definition at line 134 of file Slice.cs.

◆ Dividends

Dividends QuantConnect.Data.Slice.Dividends

get

Gets the Dividends for this slice of data

Definition at line 142 of file Slice.cs.

◆ Delistings

Delistings QuantConnect.Data.Slice.Delistings

get

Gets the Delistings for this slice of data

Definition at line 150 of file Slice.cs.

◆ SymbolChangedEvents

SymbolChangedEvents QuantConnect.Data.Slice.SymbolChangedEvents

get

Gets the Market.SymbolChangedEvents for this slice of data

Definition at line 158 of file Slice.cs.

◆ MarginInterestRates

MarginInterestRates QuantConnect.Data.Slice.MarginInterestRates

get

Gets the Market.MarginInterestRates for this slice of data

Definition at line 166 of file Slice.cs.

◆ Count

virtual int QuantConnect.Data.Slice.Count

get

Gets the number of symbols held in this slice

Definition at line 174 of file Slice.cs.

◆ Keys

virtual IReadOnlyList<Symbol> QuantConnect.Data.Slice.Keys

get

Gets all the symbols in this slice

Definition at line 182 of file Slice.cs.

◆ Values

virtual IReadOnlyList<BaseData> QuantConnect.Data.Slice.Values

get

Gets a list of all the data in this slice

Definition at line 206 of file Slice.cs.

◆ this[Symbol symbol]

override dynamic QuantConnect.Data.Slice.this[Symbol symbol]

get

Gets the data corresponding to the specified symbol. If the requested data is of MarketDataType.Tick, then a List<Tick> will be returned, otherwise, it will be the subscribed type, for example, TradeBar or event UnlinkedData for custom data.

Parameters

symbol The data's symbols

Returns: The data for the specified symbol

Definition at line 326 of file Slice.cs.

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

Common/Data/Slice.cs

Public Member Functions

Protected Member Functions

Protected Attributes

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Slice() [1/4]

◆ Slice() [2/4]

◆ Slice() [3/4]

◆ Slice() [4/4]

Member Function Documentation

◆ Get< T >() [1/2]

◆ Get()

◆ GetImpl()

◆ Get< T >() [2/2]

◆ ContainsKey()

◆ TryGetValue()

◆ MergeSlice()

◆ GetEnumerator()

Member Data Documentation

◆ GetKeys

◆ GetValues

Property Documentation

◆ AllData

◆ Time

◆ UtcTime

◆ HasData

◆ Bars

◆ QuoteBars

◆ Ticks

◆ OptionChains

◆ FuturesChains

◆ FutureChains

◆ Splits

◆ Dividends

◆ Delistings

◆ SymbolChangedEvents

◆ MarginInterestRates

◆ Count

◆ Keys

◆ Values

◆ this[Symbol symbol]