QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesProcessor Class Reference

Processor for caching and consolidating ticks; then flushing the ticks in memory to disk when triggered. More...

Public Member Functions
bool	ShouldWriteToDisk ()
	If no data has been consolidated, do not write to disk More...
	AlgoSeekFuturesProcessor (Symbol symbol, DateTime date, TickType tickType, Resolution resolution, string dataDirectory)
	Create a new AlgoSeekFuturesProcessor for enquing consolidated bars and flushing them to disk More...
void	Process (Tick data)
	Process the tick; add to the con More...
void	FlushBuffer (DateTime frontierTime, bool finalFlush)
	Write the in memory queues to the disk. More...

Properties
string	EntryPath [get, set]
	Zip entry name for the futures contract More...
string	ZipPath [get, set]
	Zip file path for the futures contract collection More...
Symbol	Symbol [get]
	Public access to the processor symbol More...
Resolution	Resolution [get]
	Accessor for the final enumerator More...
TickType	TickType [get, set]
	Type of this futures processor. ASOP's are grouped trade type for file writing. More...

Detailed Description

Processor for caching and consolidating ticks; then flushing the ticks in memory to disk when triggered.

Definition at line 31 of file AlgoSeekFuturesProcessor.cs.

Constructor & Destructor Documentation

AlgoSeekFuturesProcessor()

QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesProcessor.AlgoSeekFuturesProcessor	(	Symbol	symbol,
		DateTime	date,
		TickType	tickType,
		Resolution	resolution,
		string	dataDirectory
	)

Create a new AlgoSeekFuturesProcessor for enquing consolidated bars and flushing them to disk

Parameters

symbol	Symbol for the processor
date	Reference date for the processor
tickType	TradeBar or QuoteBar to generate
resolution	Resolution to consolidate
dataDirectory	Data directory for LEAN

Definition at line 122 of file AlgoSeekFuturesProcessor.cs.

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Member Function Documentation

ShouldWriteToDisk()

bool QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesProcessor.ShouldWriteToDisk

(

)

If no data has been consolidated, do not write to disk

Definition at line 109 of file AlgoSeekFuturesProcessor.cs.

Process()

void QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesProcessor.Process

(

Tick

data

)

Process the tick; add to the con

Parameters

data

Definition at line 188 of file AlgoSeekFuturesProcessor.cs.

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FlushBuffer()

void QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesProcessor.FlushBuffer	(	DateTime	frontierTime,
		bool	finalFlush
	)

Write the in memory queues to the disk.

Parameters

frontierTime	Current foremost tick time
finalFlush	Indicates is this is the final push to disk at the end of the data

Definition at line 203 of file AlgoSeekFuturesProcessor.cs.

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Property Documentation

EntryPath

string QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesProcessor.EntryPath

getset

Zip entry name for the futures contract

Definition at line 52 of file AlgoSeekFuturesProcessor.cs.

ZipPath

string QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesProcessor.ZipPath

getset

Zip file path for the futures contract collection

Definition at line 68 of file AlgoSeekFuturesProcessor.cs.

Symbol

Symbol QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesProcessor.Symbol

get

Public access to the processor symbol

Definition at line 84 of file AlgoSeekFuturesProcessor.cs.

Resolution

Resolution QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesProcessor.Resolution

get

Accessor for the final enumerator

Definition at line 92 of file AlgoSeekFuturesProcessor.cs.

TickType

TickType QuantConnect.ToolBox.AlgoSeekFuturesConverter.AlgoSeekFuturesProcessor.TickType

getset

Type of this futures processor. ASOP's are grouped trade type for file writing.

Definition at line 101 of file AlgoSeekFuturesProcessor.cs.

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

• ToolBox/AlgoSeekFuturesConverter/AlgoSeekFuturesProcessor.cs