Lean  $LEAN_TAG$
QuantConnect.Data Namespace Reference

Classes

class  BaseData
 Abstract base data class of QuantConnect. It is intended to be extended to define generic user customizable data types while at the same time implementing the basics of data where possible More...
 
class  BaseDataRequest
 Abstract sharing logic for data requests More...
 
class  Channel
 Represents a subscription channel More...
 
class  ConsolidatorWrapper
 Helper class to wrap a consolidator and keep track of the next scan time we should trigger
 
class  ConstantDividendYieldModel
 Constant dividend yield model More...
 
class  ConstantRiskFreeRateInterestRateModel
 Constant risk free rate interest rate model More...
 
class  DataMonitor
 Monitors data requests and reports on missing data More...
 
class  DataQueueHandlerSubscriptionManager
 Count number of subscribers for each channel (Symbol, Socket) pair More...
 
class  DiskDataCacheProvider
 Simple data cache provider, writes and reads directly from disk Used as default for LeanDataWriter More...
 
class  DividendYieldProvider
 Estimated annualized continuous dividend yield at given date More...
 
class  DynamicData
 Dynamic Data Class: Accept flexible data, adapting to the columns provided by source. More...
 
class  EventBasedDataQueueHandlerSubscriptionManager
 Overrides DataQueueHandlerSubscriptionManager methods using events More...
 
class  FuncRiskFreeRateInterestRateModel
 Constant risk free rate interest rate model More...
 
class  GetSetPropertyDynamicMetaObject
 Provides an implementation of DynamicMetaObject that uses get/set methods to update values in the dynamic object. More...
 
class  HistoryExtensions
 
class  HistoryProviderBase
 Provides a base type for all history providers More...
 
class  HistoryProviderInitializeParameters
 Represents the set of parameters for the IHistoryProvider.Initialize method More...
 
class  HistoryRequest
 Represents a request for historical data More...
 
class  HistoryRequestFactory
 Helper class used to create new HistoryRequest More...
 
interface  IBaseData
 Base Data Class: Type, Timestamp, Key – Base Features. More...
 
interface  IDataAggregator
 Aggregates ticks and bars based on given subscriptions. More...
 
interface  IDividendYieldModel
 Represents a model that provides dividend yield data More...
 
class  IndexedBaseData
 Abstract indexed base data class of QuantConnect. It is intended to be extended to define customizable data types which are stored using an intermediate index source More...
 
class  InterestRateProvider
 Fed US Primary Credit Rate at given date More...
 
interface  IRiskFreeInterestRateModel
 Represents a model that provides risk free interest rate data More...
 
interface  ISubscriptionEnumeratorFactory
 Create an IEnumerator<BaseData> More...
 
class  LeanDataWriter
 Data writer for saving an IEnumerable of BaseData into the LEAN data directory. More...
 
class  RiskFreeInterestRateModelExtensions
 Provide extension and static methods for IRiskFreeInterestRateModel More...
 
class  Slice
 Provides a data structure for all of an algorithm's data at a single time step More...
 
class  SliceExtensions
 Provides extension methods to slices and slice enumerables More...
 
class  SubscriptionDataConfig
 Subscription data required including the type of data. More...
 
class  SubscriptionDataConfigExtensions
 Helper methods used to determine different configurations properties for a given set of SubscriptionDataConfig More...
 
class  SubscriptionDataConfigList
 Provides convenient methods for holding several SubscriptionDataConfig More...
 
class  SubscriptionDataSource
 Represents the source location and transport medium for a subscription More...
 
class  SubscriptionManager
 Enumerable Subscription Management Class More...
 

Enumerations

enum  FileFormat {
  FileFormat.Csv, FileFormat.Binary, FileFormat.ZipEntryName, FileFormat.UnfoldingCollection,
  FileFormat.Index, FileFormat.FoldingCollection
}
 Specifies the format of data in a subscription More...
 

Enumeration Type Documentation

◆ FileFormat

Specifies the format of data in a subscription

Enumerator
Csv 

Comma separated values (0)

Binary 

Binary file data (1)

ZipEntryName 

Only the zip entry names are read in as symbols (2)

UnfoldingCollection 

Reader returns a BaseDataCollection object (3)

Lean will unfold the collection and consume it as individual data points

Index 

Data stored using an intermediate index source (4)

FoldingCollection 

Data type inherits from BaseDataCollection. Reader method can return a non BaseDataCollection type which will be folded, based on unique time, into an instance of the data type (5)

Definition at line 21 of file FileFormat.cs.