Dynamic data class for Python algorithms. Stores properties of python instances in DynamicData dictionary More...

Inheritance diagram for QuantConnect.Python.PythonData:

Public Member Functions
	PythonData ()
	Constructor for initializing the PythonData class More...

	PythonData (PyObject pythonData)
	Constructor for initializing the PythonData class with wrapped PyObject More...

override SubscriptionDataSource	GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
	Source Locator for algorithm written in Python. More...

override BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
	Generic Reader Implementation for Python Custom Data. More...

override bool	RequiresMapping ()
	Indicates if there is support for mapping More...

override bool	IsSparseData ()
	Indicates that the data set is expected to be sparse More...

override Resolution	DefaultResolution ()
	Gets the default resolution for this data and security type More...

override List< Resolution >	SupportedResolutions ()
	Gets the supported resolution for this data and security type More...

bool	IsOfType (Type type)
	Helper method to determine if the current instance is of the provided type More...

Public Member Functions inherited from QuantConnect.Data.DynamicData
DynamicMetaObject	GetMetaObject (Expression parameter)
	Get the metaObject required for Dynamism. More...

object	SetProperty (string name, object value)
	Sets the property with the specified name to the value. This is a case-insensitve search. More...

object	GetProperty (string name)
	Gets the property's value with the specified name. This is a case-insensitve search. More...

bool	HasProperty (string name)
	Gets whether or not this dynamic data instance has a property with the specified name. This is a case-insensitve search. More...

IDictionary< string, object >	GetStorageDictionary ()
	Gets the storage dictionary Python algorithms need this information since DynamicMetaObject does not work More...

override BaseData	Clone ()
	Return a new instance clone of this object, used in fill forward More...

Public Member Functions inherited from QuantConnect.Data.BaseData
	BaseData ()
	Constructor for initialising the dase data class More...

virtual BaseData	Reader (SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode)
	Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. More...

virtual bool	ShouldCacheToSecurity ()
	Indicates whether this contains data that should be stored in the security cache More...

virtual DateTimeZone	DataTimeZone ()
	Specifies the data time zone for this data type. This is useful for custom data types More...

void	UpdateTrade (decimal lastTrade, decimal tradeSize)
	Updates this base data with a new trade More...

void	UpdateQuote (decimal bidPrice, decimal bidSize, decimal askPrice, decimal askSize)
	Updates this base data with new quote information More...

void	UpdateBid (decimal bidPrice, decimal bidSize)
	Updates this base data with the new quote bid information More...

void	UpdateAsk (decimal askPrice, decimal askSize)
	Updates this base data with the new quote ask information More...

virtual void	Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
	Update routine to build a bar/tick from a data update. More...

virtual BaseData	Clone (bool fillForward)
	Return a new instance clone of this object, used in fill forward More...

override string	ToString ()
	Formats a string with the symbol and value. More...

virtual BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
	Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. More...

virtual string	GetSource (SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
	Return the URL string source of the file. This will be converted to a stream More...

Properties
override DateTime?	EndTime `[get, set]`
	The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered More...

object?	this[string index] `[get, set]`
	Indexes into this PythonData, where index is key to the dynamic property More...

Properties inherited from QuantConnect.Data.BaseData
MarketDataType	DataType = MarketDataType.Base `[get, set]`
	Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More...

bool	IsFillForward `[get]`
	True if this is a fill forward piece of data More...

DateTime	Time `[get, set]`
	Current time marker of this data packet. More...

virtual DateTime	EndTime `[get, set]`
	The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered More...

Symbol	Symbol = Symbol.Empty `[get, set]`
	Symbol representation for underlying Security More...

virtual decimal	Value `[get, set]`
	Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price. More...

Properties inherited from QuantConnect.Data.IBaseData
MarketDataType	DataType `[get, set]`
	Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More...

DateTime	Time `[get, set]`
	Time keeper of data – all data is timeseries based. More...

DateTime	EndTime `[get, set]`
	End time of data More...

Symbol	Symbol `[get, set]`
	Symbol for underlying Security More...

decimal	Value `[get, set]`
	All timeseries data is a time-value pair: More...

decimal	Price `[get]`
	Alias of Value. More...

Additional Inherited Members
Static Public Member Functions inherited from QuantConnect.Data.BaseData
static IEnumerable< BaseData >	DeserializeMessage (string serialized)
	Deserialize the message from the data server More...

Public Attributes inherited from QuantConnect.Data.BaseData
virtual decimal	Price => Value
	As this is a backtesting platform we'll provide an alias of value as price. More...

Static Protected Attributes inherited from QuantConnect.Data.BaseData
static readonly List< Resolution >	AllResolutions
	A list of all Resolution More...

static readonly List< Resolution >	DailyResolution = new List<Resolution> { Resolution.Daily }
	A list of Resolution.Daily More...

static readonly List< Resolution >	MinuteResolution = new List<Resolution> { Resolution.Minute }
	A list of Resolution.Minute More...

static readonly List< Resolution >	HighResolution = new List<Resolution> { Resolution.Minute, Resolution.Second, Resolution.Tick }
	A list of high Resolution, including minute, second, and tick. More...

static readonly List< Resolution >	OptionResolutions = new List<Resolution> { Resolution.Daily, Resolution.Hour, Resolution.Minute }
	A list of resolutions support by Options More...

Detailed Description

Dynamic data class for Python algorithms. Stores properties of python instances in DynamicData dictionary

Definition at line 27 of file PythonData.cs.

Constructor & Destructor Documentation

◆ PythonData() [1/2]

QuantConnect.Python.PythonData.PythonData ( )

Constructor for initializing the PythonData class

Definition at line 67 of file PythonData.cs.

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◆ PythonData() [2/2]

QuantConnect.Python.PythonData.PythonData ( PyObject pythonData )

Constructor for initializing the PythonData class with wrapped PyObject

Parameters

pythonData

Definition at line 76 of file PythonData.cs.

Member Function Documentation

◆ GetSource()

override SubscriptionDataSource QuantConnect.Python.PythonData.GetSource	(	SubscriptionDataConfig	config,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Source Locator for algorithm written in Python.

Parameters

config	Subscription configuration object
date	Date of the data file we're looking for
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: STRING API Url.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 99 of file PythonData.cs.

◆ Reader()

override BaseData QuantConnect.Python.PythonData.Reader	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Generic Reader Implementation for Python Custom Data.

Parameters

config	Subscription configuration
line	CSV line of data from the source
date	Date of the requested line
isLiveMode	true if we're in live mode, false for backtesting mode

Returns

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 116 of file PythonData.cs.

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◆ RequiresMapping()

override bool QuantConnect.Python.PythonData.RequiresMapping ( )

virtual

Indicates if there is support for mapping

Returns: True indicates mapping should be used

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 133 of file PythonData.cs.

◆ IsSparseData()

override bool QuantConnect.Python.PythonData.IsSparseData ( )

virtual

Indicates that the data set is expected to be sparse

Relies on the Symbol property value

Returns: True if the data set represented by this type is expected to be sparse

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 150 of file PythonData.cs.

◆ DefaultResolution()

override Resolution QuantConnect.Python.PythonData.DefaultResolution ( )

virtual

Gets the default resolution for this data and security type

This is a method and not a property so that python custom data types can override it

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 167 of file PythonData.cs.

◆ SupportedResolutions()

override List<Resolution> QuantConnect.Python.PythonData.SupportedResolutions ( )

virtual

Gets the supported resolution for this data and security type

This is a method and not a property so that python custom data types can override it

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 184 of file PythonData.cs.

◆ IsOfType()

bool QuantConnect.Python.PythonData.IsOfType ( Type type )

Helper method to determine if the current instance is of the provided type

Parameters

type	Target type to check against

Returns: True if this instance is of the provided type

Definition at line 219 of file PythonData.cs.

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Property Documentation

◆ EndTime

override DateTime? QuantConnect.Python.PythonData.EndTime

getset

The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered

This property is overriden to allow different values for Time and EndTime if they are set in the Reader. In the base implementation EndTime equals Time

Definition at line 48 of file PythonData.cs.

◆ this[string index]

object? QuantConnect.Python.PythonData.this[string index]

getset

Indexes into this PythonData, where index is key to the dynamic property

Parameters

index the index

Returns: Dynamic property of a given index

Definition at line 202 of file PythonData.cs.

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

Common/Python/PythonData.cs

Public Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ PythonData() [1/2]

◆ PythonData() [2/2]

Member Function Documentation

◆ GetSource()

◆ Reader()

◆ RequiresMapping()

◆ IsSparseData()

◆ DefaultResolution()

◆ SupportedResolutions()

◆ IsOfType()

Property Documentation

◆ EndTime

◆ this[string index]