Security data filter interface. Defines pattern for the user defined data filter techniques. More...

Inheritance diagram for QuantConnect.Securities.Interfaces.ISecurityDataFilter:

Public Member Functions
bool	Filter (Security vehicle, BaseData data)
	Filter out a tick from this security, with this new data: More...

Detailed Description

Security data filter interface. Defines pattern for the user defined data filter techniques.

Intended for use primarily with US equities tick data. The tick data is provided in raw and complete format which is more information that more retail feeds provide. In order to match retail feeds the ticks much be filtered to show only public-on market trading.

For tradebars this filter has already been done.

Definition at line 30 of file ISecurityDataFilter.cs.

Member Function Documentation

◆ Filter()

bool QuantConnect.Securities.Interfaces.ISecurityDataFilter.Filter	(	Security	vehicle,
		BaseData	data
	)

Filter out a tick from this security, with this new data:

Parameters

data	New data packet we're checking
vehicle	Security of this filter.

Implemented in QuantConnect.Securities.SecurityDataFilterPythonWrapper, QuantConnect.Securities.Forex.ForexDataFilter, QuantConnect.Securities.Equity.EquityDataFilter, and QuantConnect.Securities.SecurityDataFilter.

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

Common/Securities/Interfaces/ISecurityDataFilter.cs

Public Member Functions

Detailed Description

Member Function Documentation

◆ Filter()