QuantConnect.Lean.Engine.DataFeeds.AggregationManager Class Reference

Aggregates ticks and bars based on given subscriptions. Current implementation is based on IDataConsolidator that consolidates ticks and put them into enumerator. More...

Inheritance diagram for QuantConnect.Lean.Engine.DataFeeds.AggregationManager:

Public Member Functions
void	Initialize (DataAggregatorInitializeParameters parameters)
	Initialize this instance More...
IEnumerator< BaseData >	Add (SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
	Add new subscription to current IDataAggregator instance More...
bool	Remove (SubscriptionDataConfig dataConfig)
	Removes the handler with the specified identifier More...
void	Update (BaseData input)
	Add new data to aggregator More...
void	Dispose ()
	Dispose of the aggregation manager. More...

Protected Member Functions
virtual IDataConsolidator	GetConsolidator (SubscriptionDataConfig config)
	Gets the consolidator to aggregate data for the given config More...

Properties
ITimeProvider	TimeProvider = RealTimeProvider.Instance [get, set]
	Continuous UTC time provider More...

Detailed Description

Aggregates ticks and bars based on given subscriptions. Current implementation is based on IDataConsolidator that consolidates ticks and put them into enumerator.

Definition at line 33 of file AggregationManager.cs.

Member Function Documentation

Initialize()

void QuantConnect.Lean.Engine.DataFeeds.AggregationManager.Initialize

(

DataAggregatorInitializeParameters

parameters

)

Initialize this instance

Parameters

parameters

The parameters dto instance

Implements QuantConnect.Data.IDataAggregator.

Definition at line 48 of file AggregationManager.cs.

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Add()

IEnumerator<BaseData> QuantConnect.Lean.Engine.DataFeeds.AggregationManager.Add	(	SubscriptionDataConfig	dataConfig,
		EventHandler	newDataAvailableHandler
	)

Add new subscription to current IDataAggregator instance

Parameters

dataConfig	defines the parameters to subscribe to a data feed
newDataAvailableHandler	handler to be fired on new data available

Returns

The new enumerator for this subscription request

Implements QuantConnect.Data.IDataAggregator.

Definition at line 60 of file AggregationManager.cs.

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Remove()

bool QuantConnect.Lean.Engine.DataFeeds.AggregationManager.Remove

(

SubscriptionDataConfig

dataConfig

)

Removes the handler with the specified identifier

Parameters

dataConfig

Subscription data configuration to be removed

Implements QuantConnect.Data.IDataAggregator.

Definition at line 81 of file AggregationManager.cs.

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Update()

void QuantConnect.Lean.Engine.DataFeeds.AggregationManager.Update

(

BaseData

input

)

Add new data to aggregator

Parameters

input

The new data

Implements QuantConnect.Data.IDataAggregator.

Definition at line 108 of file AggregationManager.cs.

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Dispose()

void QuantConnect.Lean.Engine.DataFeeds.AggregationManager.Dispose

(

)

Dispose of the aggregation manager.

Definition at line 142 of file AggregationManager.cs.

GetConsolidator()

virtual IDataConsolidator QuantConnect.Lean.Engine.DataFeeds.AggregationManager.GetConsolidator ( SubscriptionDataConfig  config )

protectedvirtual

Gets the consolidator to aggregate data for the given config

Definition at line 147 of file AggregationManager.cs.

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Property Documentation

TimeProvider

ITimeProvider QuantConnect.Lean.Engine.DataFeeds.AggregationManager.TimeProvider = RealTimeProvider.Instance

getsetprotected

Continuous UTC time provider

Definition at line 42 of file AggregationManager.cs.

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

• Engine/DataFeeds/AggregationManager.cs