Lean
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The FillForwardEnumerator wraps an existing base data enumerator and inserts extra 'base data' instances on a specified fill forward resolution More...
Public Member Functions | |
FillForwardEnumerator (IEnumerator< BaseData > enumerator, SecurityExchange exchange, IReadOnlyRef< TimeSpan > fillForwardResolution, bool isExtendedMarketHours, DateTime subscriptionEndTime, TimeSpan dataResolution, DateTimeZone dataTimeZone) | |
Initializes a new instance of the FillForwardEnumerator class that accepts a reference to the fill forward resolution, useful if the fill forward resolution is dynamic and changing as the enumeration progresses More... | |
bool | MoveNext () |
Advances the enumerator to the next element of the collection. More... | |
void | Dispose () |
Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources. More... | |
void | Reset () |
Sets the enumerator to its initial position, which is before the first element in the collection. More... | |
Protected Member Functions | |
virtual bool | RequiresFillForwardData (TimeSpan fillForwardResolution, BaseData previous, BaseData next, out BaseData fillForward) |
Determines whether or not fill forward is required, and if true, will produce the new fill forward data More... | |
Protected Attributes | |
readonly SecurityExchange | Exchange |
The exchange used to determine when to insert fill forward data More... | |
Properties | |
BaseData | Current [get] |
Gets the element in the collection at the current position of the enumerator. More... | |
The FillForwardEnumerator wraps an existing base data enumerator and inserts extra 'base data' instances on a specified fill forward resolution
Definition at line 35 of file FillForwardEnumerator.cs.
QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.FillForwardEnumerator | ( | IEnumerator< BaseData > | enumerator, |
SecurityExchange | exchange, | ||
IReadOnlyRef< TimeSpan > | fillForwardResolution, | ||
bool | isExtendedMarketHours, | ||
DateTime | subscriptionEndTime, | ||
TimeSpan | dataResolution, | ||
DateTimeZone | dataTimeZone | ||
) |
Initializes a new instance of the FillForwardEnumerator class that accepts a reference to the fill forward resolution, useful if the fill forward resolution is dynamic and changing as the enumeration progresses
enumerator | The source enumerator to be filled forward |
exchange | The exchange used to determine when to insert fill forward data |
fillForwardResolution | The resolution we'd like to receive data on |
isExtendedMarketHours | True to use the exchange's extended market hours, false to use the regular market hours |
subscriptionEndTime | The end time of the subscrition, once passing this date the enumerator will stop |
dataResolution | The source enumerator's data resolution |
dataTimeZone | The time zone of the underlying source data. This is used for rounding calculations and is NOT the time zone on the BaseData instances (unless of course data time zone equals the exchange time zone) |
Definition at line 68 of file FillForwardEnumerator.cs.
bool QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.MoveNext | ( | ) |
Advances the enumerator to the next element of the collection.
T:System.InvalidOperationException | The collection was modified after the enumerator was created. |
<filterpriority>2</filterpriority>
Definition at line 116 of file FillForwardEnumerator.cs.
void QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.Dispose | ( | ) |
Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
<filterpriority>2</filterpriority>
Definition at line 225 of file FillForwardEnumerator.cs.
void QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.Reset | ( | ) |
Sets the enumerator to its initial position, which is before the first element in the collection.
T:System.InvalidOperationException | The collection was modified after the enumerator was created. |
<filterpriority>2</filterpriority>
Definition at line 234 of file FillForwardEnumerator.cs.
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protectedvirtual |
Determines whether or not fill forward is required, and if true, will produce the new fill forward data
fillForwardResolution | |
previous | The last piece of data emitted by this enumerator |
next | The next piece of data on the source enumerator |
fillForward | When this function returns true, this will have a non-null value, null when the function returns false |
Reimplemented in QuantConnect.Lean.Engine.DataFeeds.Enumerators.LiveFillForwardEnumerator.
Definition at line 247 of file FillForwardEnumerator.cs.
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protected |
The exchange used to determine when to insert fill forward data
Definition at line 53 of file FillForwardEnumerator.cs.
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get |
Gets the element in the collection at the current position of the enumerator.
Definition at line 95 of file FillForwardEnumerator.cs.