Process a directory of algoseek futures files into separate resolutions. More...

Public Member Functions
	AlgoSeekFuturesConverter (List< Resolution > resolutions, DateTime referenceDate, string remote, string source, string destination, HashSet< string > symbolFilter=null)
	Create a new instance of the AlgoSeekFutures Converter. Parse a single input directory into an output. More...

void	Convert ()
	Give the reference date and source directory, convert the algoseek data into n-resolutions LEAN format. More...

void	Package (DateTime date)
	Compress the queue buffers directly to a zip file. Lightening fast as streaming ram-> compressed zip. More...

Detailed Description

Process a directory of algoseek futures files into separate resolutions.

Constructor & Destructor Documentation

QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesConverter.AlgoSeekFuturesConverter	(	List< Resolution >	resolutions,
		DateTime	referenceDate,
		string	remote,
		string	source,
		string	destination,
		HashSet< string >	symbolFilter = `null`
	)

Create a new instance of the AlgoSeekFutures Converter. Parse a single input directory into an output.

Parameters

resolutions	Convert this resolution
referenceDate	Datetime to be added to the milliseconds since midnight. Algoseek data is stored in channel files (XX.bz2) and in a source directory
remote	Remote directory of the .bz algoseek files
source	Source directory of the .csv algoseek files
destination	Destination directory of the processed future files
symbolFilter	Collection of underlying ticker to process.

void QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesConverter.Convert ( )

Give the reference date and source directory, convert the algoseek data into n-resolutions LEAN format.

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void QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesConverter.Package ( DateTime date )

Compress the queue buffers directly to a zip file. Lightening fast as streaming ram-> compressed zip.

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