The FillForwardEnumerator wraps an existing base data enumerator and inserts extra 'base data' instances on a specified fill forward resolution More...

Inheritance diagram for QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator:

[legend]

Public Member Functions
	FillForwardEnumerator (IEnumerator< BaseData > enumerator, SecurityExchange exchange, IReadOnlyRef< TimeSpan > fillForwardResolution, bool isExtendedMarketHours, DateTime subscriptionEndTime, TimeSpan dataResolution, DateTimeZone dataTimeZone, bool dailyStrictEndTimeEnabled, Type dataType=null)
	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...

Properties
SecurityExchange	Exchange `[get]`
	The exchange used to determine when to insert fill forward data More...

BaseData	Current `[get]`
	Gets the element in the collection at the current position of the enumerator. More...

Detailed Description

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.

Constructor & Destructor Documentation

◆ FillForwardEnumerator()

QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.FillForwardEnumerator	(	IEnumerator< BaseData >	enumerator,
		SecurityExchange	exchange,
		IReadOnlyRef< TimeSpan >	fillForwardResolution,
		bool	isExtendedMarketHours,
		DateTime	subscriptionEndTime,
		TimeSpan	dataResolution,
		DateTimeZone	dataTimeZone,
		bool	dailyStrictEndTimeEnabled,
		Type	dataType = `null`
	)

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

Parameters

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 subscription, 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)
dailyStrictEndTimeEnabled	True if daily strict end times are enabled
dataType	The configuration data type this enumerator is for

Definition at line 72 of file FillForwardEnumerator.cs.

Member Function Documentation

◆ MoveNext()

bool QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.MoveNext ( )

Advances the enumerator to the next element of the collection.

Returns: true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.

Exceptions

T:System.InvalidOperationException The collection was modified after the enumerator was created.

Definition at line 143 of file FillForwardEnumerator.cs.

Here is the call graph for this function:

◆ Dispose()

void QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.Dispose ( )

Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.

Definition at line 259 of file FillForwardEnumerator.cs.

◆ Reset()

void QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.Reset ( )

Sets the enumerator to its initial position, which is before the first element in the collection.

Exceptions

T:System.InvalidOperationException The collection was modified after the enumerator was created.

Definition at line 268 of file FillForwardEnumerator.cs.

◆ RequiresFillForwardData()

virtual bool QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.RequiresFillForwardData	(	TimeSpan	fillForwardResolution,
		BaseData	previous,
		BaseData	next,
		out BaseData	fillForward
	)

protectedvirtual

Determines whether or not fill forward is required, and if true, will produce the new fill forward data

Parameters

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

Returns: True when a new fill forward piece of data was produced and should be emitted by this enumerator

Reimplemented in QuantConnect.Lean.Engine.DataFeeds.Enumerators.LiveFillForwardEnumerator.

Definition at line 281 of file FillForwardEnumerator.cs.

Here is the call graph for this function:

Here is the caller graph for this function:

Property Documentation

◆ Exchange

SecurityExchange QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.Exchange

getprotected

The exchange used to determine when to insert fill forward data

Definition at line 55 of file FillForwardEnumerator.cs.

◆ Current

BaseData QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.Current

get

Gets the element in the collection at the current position of the enumerator.

Returns: The element in the collection at the current position of the enumerator.

Definition at line 122 of file FillForwardEnumerator.cs.

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

Engine/DataFeeds/Enumerators/FillForwardEnumerator.cs

Public Member Functions

Protected Member Functions

Properties