QuantConnect.ToolBox.RandomDataGenerator.TickGenerator Class Reference

Generates random tick data according to the settings provided More...

Inheritance diagram for QuantConnect.ToolBox.RandomDataGenerator.TickGenerator:

Public Member Functions
	TickGenerator (RandomDataGeneratorSettings settings, TickType[] tickTypes, Security security, IRandomValueGenerator random)
IEnumerable< Tick >	GenerateTicks ()
	Generates and enumerates data points for current symbol More...
virtual Tick	NextTick (DateTime dateTime, TickType tickType, decimal maximumPercentDeviation)
	Generates a random Tick that is at most the specified maximumPercentDeviation away from the previous price and is of the requested tickType More...
Tick	NextOpenInterest (DateTime dateTime, decimal previousValue, decimal maximumPercentDeviation)
	Generates a random Tick that is at most the specified maximumPercentDeviation away from the previousValue and is of the Open Interest More...
virtual DateTime	NextTickTime (DateTime previous, Resolution resolution, DataDensity density)
	Generates a random DateTime suitable for use as a tick's emit time. If the density provided is DataDensity.Dense, then at least one tick will be generated per resolution step. If the density provided is DataDensity.Sparse, then at least one tick will be generated every 5 resolution steps. if the density provided is DataDensity.VerySparse, then at least one tick will be generated every 50 resolution steps. Times returned are guaranteed to be within market hours for the specified Symbol More...

Detailed Description

Generates random tick data according to the settings provided

Definition at line 28 of file TickGenerator.cs.

Member Function Documentation

GenerateTicks()

IEnumerable<Tick> QuantConnect.ToolBox.RandomDataGenerator.TickGenerator.GenerateTicks

(

)

Generates and enumerates data points for current symbol

Implements QuantConnect.ToolBox.RandomDataGenerator.ITickGenerator.

Definition at line 60 of file TickGenerator.cs.

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NextTick()

virtual Tick QuantConnect.ToolBox.RandomDataGenerator.TickGenerator.NextTick ( DateTime  dateTime, TickType  tickType, decimal  maximumPercentDeviation  )

virtual

Generates a random Tick that is at most the specified maximumPercentDeviation away from the previous price and is of the requested tickType

Parameters

dateTime	The time of the generated tick
tickType	The type of Tick to be generated
maximumPercentDeviation	The maximum percentage to deviate from the previous price for example, 1 would indicate a maximum of 1% deviation from the previous price. For a previous price of 100, this would yield a price between 99 and 101 inclusive

Returns

A random Tick value that is within the specified maximumPercentDeviation from the previous price

Implements QuantConnect.ToolBox.RandomDataGenerator.ITickGenerator.

Definition at line 142 of file TickGenerator.cs.

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NextOpenInterest()

Tick QuantConnect.ToolBox.RandomDataGenerator.TickGenerator.NextOpenInterest	(	DateTime	dateTime,
		decimal	previousValue,
		decimal	maximumPercentDeviation
	)

Generates a random Tick that is at most the specified maximumPercentDeviation away from the previousValue and is of the Open Interest

Parameters

dateTime	The time of the generated tick
previousValue	The previous price, used as a reference for generating new random prices for the next time step
maximumPercentDeviation	The maximum percentage to deviate from the previousValue , for example, 1 would indicate a maximum of 1% deviation from the previousValue . For a previous price of 100, this would yield a price between 99 and 101 inclusive

Returns

A random Tick value that is within the specified maximumPercentDeviation from the previousValue

Definition at line 197 of file TickGenerator.cs.

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NextTickTime()

virtual DateTime QuantConnect.ToolBox.RandomDataGenerator.TickGenerator.NextTickTime ( DateTime  previous, Resolution  resolution, DataDensity  density  )

virtual

Generates a random DateTime suitable for use as a tick's emit time. If the density provided is DataDensity.Dense, then at least one tick will be generated per resolution step. If the density provided is DataDensity.Sparse, then at least one tick will be generated every 5 resolution steps. if the density provided is DataDensity.VerySparse, then at least one tick will be generated every 50 resolution steps. Times returned are guaranteed to be within market hours for the specified Symbol

Parameters

previous	The previous tick time
resolution	The requested resolution of data
density	The requested data density

Returns

A new DateTime that is after previous according to the specified resolution and density specified

Implements QuantConnect.ToolBox.RandomDataGenerator.ITickGenerator.

Definition at line 222 of file TickGenerator.cs.

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

• ToolBox/RandomDataGenerator/TickGenerator.cs