Lean fundamentals universe data class More...

Inheritance diagram for QuantConnect.Data.Fundamental.FundamentalUniverse:

Public Member Functions
	FundamentalUniverse ()
	Creates a new instance More...

	FundamentalUniverse (DateTime time, Symbol symbol)
	Creates a new instance More...

override SubscriptionDataSource	GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
	Return the URL string source of the file. This will be converted to a stream More...

override BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
	Will read a new instance from the given line More...

override BaseData	Clone ()
	Will clone the current instance More...

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

override Symbol	UniverseSymbol (string market=null)
	Creates the universe symbol for the target market More...

Public Member Functions inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection
	BaseDataCollection ()
	Initializes a new default instance of the BaseDataCollection c;ass More...

	BaseDataCollection (DateTime time, Symbol symbol, IEnumerable< BaseData > data=null)
	Initializes a new instance of the BaseDataCollection class More...

	BaseDataCollection (DateTime time, DateTime endTime, Symbol symbol, IEnumerable< BaseData > data=null, BaseData underlying=null, HashSet< Symbol > filteredContracts=null)
	Initializes a new instance of the BaseDataCollection class More...

	BaseDataCollection (DateTime time, DateTime endTime, Symbol symbol, List< BaseData > data, BaseData underlying, HashSet< Symbol > filteredContracts)
	Initializes a new instance of the BaseDataCollection class More...

	BaseDataCollection (BaseDataCollection other)
	Copy constructor for BaseDataCollection More...

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

virtual void	Add (BaseData newDataPoint)
	Adds a new data point to this collection More...

virtual void	AddRange (IEnumerable< BaseData > newDataPoints)
	Adds a new data points to this collection More...

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

IEnumerator< BaseData >	GetEnumerator ()
	Returns an IEnumerator for this enumerable Object. The enumerator provides a simple way to access all the contents of a collection. 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	RequiresMapping ()
	Indicates if there is support for mapping More...

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

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

Static Public Member Functions
static FundamentalUniverseFactory	USA (Func< IEnumerable< Fundamental >, IEnumerable< Symbol >> selector, UniverseSettings universeSettings=null)
	Creates a new fundamental universe for the USA market More...

static FundamentalUniverseFactory	USA (PyObject selector, UniverseSettings universeSettings=null)
	Creates a new fundamental universe for the USA market More...

static FundamentalUniverseFactory	USA (Func< IEnumerable< Fundamental >, object > selector, UniverseSettings universeSettings=null)
	Creates a new fundamental universe for the USA market More...

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

Additional Inherited Members
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...

Protected Member Functions inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection
	BaseDataCollection (DateTime time, DateTime endTime, Symbol symbol, BaseData underlying, HashSet< Symbol > filteredContracts)
	Helper method to create an instance without setting the data list More...

Static Protected Member Functions inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection
static bool	TryGetCachedSymbol (string ticker, out Symbol symbol)
	Tries to get a symbol from the cache More...

static void	CacheSymbol (string ticker, Symbol symbol)
	Caches a symbol 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...

Properties inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection
BaseData	Underlying `[get, set]`
	The associated underlying price data if any More...

HashSet< Symbol >	FilteredContracts `[get, set]`
	Gets or sets the contracts selected by the universe More...

List< BaseData >	Data `[get, set]`
	Gets the data list More...

override DateTime	EndTime `[get, set]`
	Gets or sets the end time of this data 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...

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

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

Properties inherited from QuantConnect.Data.ISymbolProvider
Symbol	Symbol `[get, set]`
	Gets the Symbol More...

Detailed Description

Lean fundamentals universe data class

Definition at line 32 of file FundamentalUniverse.cs.

Constructor & Destructor Documentation

◆ FundamentalUniverse() [1/2]

QuantConnect.Data.Fundamental.FundamentalUniverse.FundamentalUniverse ( )

Creates a new instance

Definition at line 39 of file FundamentalUniverse.cs.

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◆ FundamentalUniverse() [2/2]

QuantConnect.Data.Fundamental.FundamentalUniverse.FundamentalUniverse	(	DateTime	time,
		Symbol	symbol
	)

Creates a new instance

Parameters

time	The current time
symbol	The associated symbol

Definition at line 48 of file FundamentalUniverse.cs.

Member Function Documentation

◆ GetSource()

override SubscriptionDataSource QuantConnect.Data.Fundamental.FundamentalUniverse.GetSource	(	SubscriptionDataConfig	config,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Return the URL string source of the file. This will be converted to a stream

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 55 of file FundamentalUniverse.cs.

◆ Reader()

override BaseData QuantConnect.Data.Fundamental.FundamentalUniverse.Reader	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Will read a new instance from the given line

Parameters

config	The associated requested configuration
line	The line to parse
date	The current time
isLiveMode	True if live mode

Returns: A new instance or null

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 69 of file FundamentalUniverse.cs.

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◆ Clone()

override BaseData QuantConnect.Data.Fundamental.FundamentalUniverse.Clone ( )

virtual

Will clone the current instance

Returns: The cloned instance

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 87 of file FundamentalUniverse.cs.

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◆ DefaultResolution()

override Resolution QuantConnect.Data.Fundamental.FundamentalUniverse.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 97 of file FundamentalUniverse.cs.

◆ UniverseSymbol()

override Symbol QuantConnect.Data.Fundamental.FundamentalUniverse.UniverseSymbol ( string market = null )

virtual

Creates the universe symbol for the target market

Returns: The universe symbol to use

Reimplemented from QuantConnect.Data.UniverseSelection.BaseDataCollection.

Definition at line 106 of file FundamentalUniverse.cs.

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◆ USA() [1/3]

static FundamentalUniverseFactory QuantConnect.Data.Fundamental.FundamentalUniverse.USA	(	Func< IEnumerable< Fundamental >, IEnumerable< Symbol >>	selector,
		UniverseSettings	universeSettings = `null`
	)

static

Creates a new fundamental universe for the USA market

Parameters

selector	The selector function
universeSettings	The universe settings to use, will default to algorithms if not provided

Returns: A configured new universe instance

Definition at line 119 of file FundamentalUniverse.cs.

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◆ USA() [2/3]

static FundamentalUniverseFactory QuantConnect.Data.Fundamental.FundamentalUniverse.USA	(	PyObject	selector,
		UniverseSettings	universeSettings = `null`
	)

static

Creates a new fundamental universe for the USA market

Parameters

selector	The selector function
universeSettings	The universe settings to use, will default to algorithms if not provided

Returns: A configured new universe instance

Definition at line 130 of file FundamentalUniverse.cs.

◆ USA() [3/3]

static FundamentalUniverseFactory QuantConnect.Data.Fundamental.FundamentalUniverse.USA	(	Func< IEnumerable< Fundamental >, object >	selector,
		UniverseSettings	universeSettings = `null`
	)

static

Creates a new fundamental universe for the USA market

Parameters

selector	The selector function
universeSettings	The universe settings to use, will default to algorithms if not provided

Returns: A configured new universe instance

Definition at line 141 of file FundamentalUniverse.cs.

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

Common/Data/Fundamental/FundamentalUniverse.cs

Public Member Functions

Static Public Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FundamentalUniverse() [1/2]

◆ FundamentalUniverse() [2/2]

Member Function Documentation

◆ GetSource()

◆ Reader()

◆ Clone()

◆ DefaultResolution()

◆ UniverseSymbol()

◆ USA() [1/3]

◆ USA() [2/3]

◆ USA() [3/3]