QuantConnect.Data.Consolidators Namespace Reference

Classes
class	BaseDataConsolidator
	Type capable of consolidating trade bars from any base data instance More...
class	BaseTimelessConsolidator
	Represents a timeless consolidator which depends on the given values. This consolidator is meant to consolidate data into bars that do not depend on time, e.g., RangeBar's. More...
class	Calendar
	Helper class that provides Func<DateTime,CalendarInfo> used to define consolidation calendar More...
struct	CalendarInfo
	Calendar Info for storing information related to the start and period of a consolidator More...
class	CalendarType
	Calendar Type Class; now obsolete routes functions to Calendar More...
class	ClassicRangeConsolidator
	This consolidator can transform a stream of IBaseData instances into a stream of RangeBar. The difference between this consolidator and RangeConsolidator, is that this last one creates intermediate/ phantom RangeBar's (RangeBar's with zero volume) if the price rises up or falls down by above/below two times the range size. Therefore, RangeConsolidator leaves no space between two adyacent RangeBar's since it always start a new RangeBar one range above the last RangeBar's High value or one range below the last RangeBar's Low value, where one range equals to one minimum price change. More...
class	ClassicRenkoConsolidator
	This consolidator can transform a stream of IBaseData instances into a stream of RenkoBar More...
class	DataConsolidator
	Represents a type that consumes BaseData instances and fires an event with consolidated and/or aggregated data. More...
class	DynamicDataConsolidator
	A data csolidator that can make trade bars from DynamicData derived types. This is useful for aggregating Quandl and other highly flexible dynamic custom data types. More...
class	FilteredIdentityDataConsolidator
	Provides an implementation of IDataConsolidator that preserve the input data unmodified. The input data is filtering by the specified predicate function More...
interface	IDataConsolidator
	Represents a type capable of taking BaseData updates and firing events containing new 'consolidated' data. These types can be used to produce larger bars, or even be used to transform the data before being sent to another component. The most common usage of these types is with indicators. More...
class	IdentityDataConsolidator
	Represents the simplest DataConsolidator implementation, one that is defined by a straight pass through of the data. No projection or aggregation is performed. More...
class	OpenInterestConsolidator
	Type capable of consolidating open interest More...
class	PeriodCountConsolidatorBase
	Provides a base class for consolidators that emit data based on the passing of a period of time or after seeing a max count of data points. More...
class	QuoteBarConsolidator
	Consolidates QuoteBars into larger QuoteBars More...
class	RangeConsolidator
	This consolidator can transform a stream of IBaseData instances into a stream of RangeBar More...
class	RenkoConsolidator
	This consolidator can transform a stream of BaseData instances into a stream of RenkoBar with Renko type RenkoType.Wicked. More...
class	SequentialConsolidator
	This consolidator wires up the events on its First and Second consolidators such that data flows from the First to Second consolidator. It's output comes from the Second. More...
class	TickConsolidator
	A data consolidator that can make bigger bars from ticks over a given time span or a count of pieces of data. More...
class	TickQuoteBarConsolidator
	Consolidates ticks into quote bars. This consolidator ignores trade ticks More...
class	TradeBarConsolidator
	A data consolidator that can make bigger bars from smaller ones over a given time span or a count of pieces of data. More...
class	TradeBarConsolidatorBase
	A data consolidator that can make bigger bars from any base data More...
class	VolumeRenkoConsolidator
	This consolidator can transform a stream of BaseData instances into a stream of RenkoBar with a constant volume for each bar. More...
class	WickedRenkoConsolidator
	This consolidator can transform a stream of BaseData instances into a stream of RenkoBar with Renko type RenkoType.Wicked. /// More...

Functions
delegate void	DataConsolidatedHandler (object sender, IBaseData consolidated)
	Event handler type for the IDataConsolidator.DataConsolidated event More...

Function Documentation

DataConsolidatedHandler()

delegate void QuantConnect.Data.Consolidators.DataConsolidatedHandler	(	object	sender,
		IBaseData	consolidated
	)

Event handler type for the IDataConsolidator.DataConsolidated event

Parameters

sender	The consolidator that fired the event
consolidated	The consolidated piece of data