QuantConnect.Data.Market Namespace Reference

Classes
class	Bar
	Base Bar Class: Open, High, Low, Close and Period. More...
class	BaseChain
	Base representation of an entire chain of contracts for a single underlying security. This type is IEnumerable<T> where T is OptionContract, FuturesContract, etc. More...
class	BaseChains
	Collection of BaseChain<T, TContractsCollection> keyed by canonical option symbol More...
class	BaseContract
	Defines a base for a single contract, like an option or future contract More...
class	BaseRenkoBar
	Represents a bar sectioned not by time, but by some amount of movement in a set field, where: More...
class	DataDictionary
	Provides a base class for types holding base data instances keyed by symbol More...
class	DataDictionaryExtensions
	Provides extension methods for the DataDictionary class More...
class	Delisting
	Delisting event of a security More...
class	Delistings
	Collections of Delisting keyed by Symbol More...
class	Dividend
	Dividend event from a security More...
class	Dividends
	Collection of dividends keyed by Symbol More...
class	FuturesChain
	Represents an entire chain of futures contracts for a single underlying This type is IEnumerable<FuturesContract> More...
class	FuturesChains
	Collection of FuturesChain keyed by canonical futures symbol More...
class	FuturesContract
	Defines a single futures contract at a specific expiration More...
class	FuturesContracts
	Collection of FuturesContract keyed by futures symbol More...
class	Greeks
	Defines the greeks More...
interface	IBar
	Generic bar interface with Open, High, Low and Close. More...
interface	IBaseDataBar
	Represents a type that is both a bar and base data More...
class	MarginInterestRate
	Margin interest rate data source More...
class	MarginInterestRates
	Collection of dividends keyed by Symbol More...
class	ModeledGreeks
	Defines the greeks
class	NullGreeks
	Defines greeks that are all zero
class	OpenInterest
	Defines a data type that represents open interest for given security More...
class	OptionChain
	Represents an entire chain of option contracts for a single underlying security. This type is IEnumerable<OptionContract> More...
class	OptionChains
	Collection of OptionChain keyed by canonical option symbol More...
class	OptionContract
	Defines a single option contract at a specific expiration and strike price More...
class	OptionContracts
	Collection of OptionContract keyed by option symbol More...
class	QuoteBar
	QuoteBar class for second and minute resolution data: An OHLC implementation of the QuantConnect BaseData class with parameters for candles. More...
class	QuoteBars
	Collection of QuoteBar keyed by symbol More...
class	RangeBar
	Represents a bar sectioned not by time, but by some amount of movement in a value (for example, Closing price moving in $10 bar sizes) More...
class	RenkoBar
	Represents a bar sectioned not by time, but by some amount of movement in a value (for example, Closing price moving in $10 bar sizes) More...
class	Split
	Split event from a security More...
class	Splits
	Collection of splits keyed by Symbol More...
class	SymbolChangedEvent
	Symbol changed event of a security. This is generated when a symbol is remapped for a given security, for example, at EOD 2014.04.02 GOOG turned into GOOGL, but are the same More...
class	SymbolChangedEvents
	Collection of SymbolChangedEvent keyed by the original, requested symbol More...
class	Tick
	Tick class is the base representation for tick data. It is grouped into a Ticks object which implements IDictionary and passed into an OnData event handler. More...
class	Ticks
	Ticks collection which implements an IDictionary-string-list of ticks. This way users can iterate over the string indexed ticks of the requested symbol. More...
class	TradeBar
	TradeBar class for second and minute resolution data: An OHLC implementation of the QuantConnect BaseData class with parameters for candles. More...
class	TradeBars
	Collection of TradeBars to create a data type for generic data handler: More...
class	VolumeRenkoBar
	Represents a bar sectioned not by time, but by some amount of movement in volume More...

Enumerations
enum	BarDirection { BarDirection.Rising, BarDirection.NoDelta, BarDirection.Falling }
	Enum for Bar Direction More...
enum	RenkoType { RenkoType.Classic, RenkoType.Wicked }
	The type of the RenkoBar being created. Used by RenkoConsolidator, ClassicRenkoConsolidator and VolumeRenkoConsolidator More...

Enumeration Type Documentation

BarDirection

enum QuantConnect.Data.Market.BarDirection

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Enum for Bar Direction

Enumerator
Rising	Rising bar (0)
NoDelta	No change (1)
Falling	Falling bar (2)

Definition at line 21 of file BarDirection.cs.

RenkoType

enum QuantConnect.Data.Market.RenkoType

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The type of the RenkoBar being created. Used by RenkoConsolidator, ClassicRenkoConsolidator and VolumeRenkoConsolidator

Classic implementation was not entirely accurate for Renko consolidator so we have replaced it with a new implementation and maintain the classic for backwards compatibility and comparison.

Enumerator
Classic	Indicates that the RenkoConsolidator works in its original implementation; Specifically: It only returns a single bar, at most, irrespective of tick movement It will emit consecutive bars side by side By default even bars are created (0) the Classic mode has only been retained for backwards compatibility with existing code.
Wicked	Indicates that the RenkoConsolidator works properly; Specifically: returns zero or more bars per tick, as appropriate. Will not emit consecutive bars side by side Creates (1)

Definition at line 25 of file RenkoType.cs.