An implementation of the FillForwardEnumerator that uses an ITimeProvider to determine if a fill forward bar needs to be emitted More...

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

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Public Member Functions
	LiveFillForwardEnumerator (ITimeProvider timeProvider, IEnumerator< BaseData > enumerator, SecurityExchange exchange, IReadOnlyRef< TimeSpan > fillForwardResolution, bool isExtendedMarketHours, DateTime subscriptionEndTime, TimeSpan dataResolution, DateTimeZone dataTimeZone)
	Initializes a new instance of the LiveFillForwardEnumerator 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...

Public Member Functions inherited from 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 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
override 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...

Additional Inherited Members
Protected Attributes inherited from QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator
readonly SecurityExchange	Exchange
	The exchange used to determine when to insert fill forward data More...

Properties inherited from QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator
BaseData	Current `[get]`
	Gets the element in the collection at the current position of the enumerator. More...

Detailed Description

An implementation of the FillForwardEnumerator that uses an ITimeProvider to determine if a fill forward bar needs to be emitted

Definition at line 30 of file LiveFillForwardEnumerator.cs.

Constructor & Destructor Documentation

◆ LiveFillForwardEnumerator()

QuantConnect.Lean.Engine.DataFeeds.Enumerators.LiveFillForwardEnumerator.LiveFillForwardEnumerator	(	ITimeProvider	timeProvider,
		IEnumerator< BaseData >	enumerator,
		SecurityExchange	exchange,
		IReadOnlyRef< TimeSpan >	fillForwardResolution,
		bool	isExtendedMarketHours,
		DateTime	subscriptionEndTime,
		TimeSpan	dataResolution,
		DateTimeZone	dataTimeZone
	)

Initializes a new instance of the LiveFillForwardEnumerator 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

timeProvider	The source of time used to gauage when this enumerator should emit extra bars when null data is returned from the source enumerator
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	Time zone of the underlying source data

Definition at line 48 of file LiveFillForwardEnumerator.cs.

Member Function Documentation

◆ RequiresFillForwardData()

override bool QuantConnect.Lean.Engine.DataFeeds.Enumerators.LiveFillForwardEnumerator.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, this may be null
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 from QuantConnect.Lean.Engine.DataFeeds.Enumerators.FillForwardEnumerator.

Definition at line 62 of file LiveFillForwardEnumerator.cs.

Here is the call graph for this function:

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

Engine/DataFeeds/Enumerators/LiveFillForwardEnumerator.cs

Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ LiveFillForwardEnumerator()

Member Function Documentation

◆ RequiresFillForwardData()