BaseTimelessConsolidator

QuantConnect.Data.Consolidators.BaseTimelessConsolidator

BaseTimelessConsolidator(
    value_selector: Any, volume_selector: Any = None
)

BaseTimelessConsolidator(
    selector: Callable[[IBaseData], float] = None,
    volume_selector: Callable[[IBaseData], float] = None,
)

Bases: Generic[QuantConnect_Data_Consolidators_BaseTimelessConsolidator_T], ConsolidatorBase

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.

Initializes a new instance of the BaseTimelessConsolidator{T} class.

Parameters:

Name	Type	Description	Default
value_selector	Optional[Any]	Extracts the value from a data instance to be formed into a new bar which inherits from IBaseData. The default	None
volume_selector	Any | Callable[[IBaseData], float]	Extracts the volume from a data instance. The default value is null which does	None
selector	Optional[Callable[[IBaseData], float]]	Extracts the value from a data instance to be formed into a new bar which inherits from IBaseData. The default	None

selector

selector: Callable[[IBaseData], float]

Extracts the value from a data instance to be formed into a T.

This Property is protected.

volume_selector

volume_selector: Callable[[IBaseData], float]

Extracts the volume from a data instance. The default value is null which does not aggregate volume per bar.

This Property is protected.

current_bar

current_bar: QuantConnect_Data_Consolidators_BaseTimelessConsolidator_T

Bar being created

This Property is protected.

working_data

working_data: IBaseData

Gets a clone of the data being currently consolidated

input_type

input_type: Type

Gets the type consumed by this consolidator

output_type

output_type: Type

Gets T which is the type emitted in the IDataConsolidator.data_consolidated event.

data_consolidated

data_consolidated: _EventContainer[
    Callable[
        [
            Object,
            QuantConnect_Data_Consolidators_BaseTimelessConsolidator_T,
        ],
        Any,
    ],
    Any,
]

Typed event handler that fires when a new piece of data is produced

consolidated

consolidated: IBaseData

Gets the most recently consolidated piece of data. This will be null if this consolidator has not produced any data yet.

DEFAULT_WINDOW_SIZE

DEFAULT_WINDOW_SIZE: int

The default number of values to keep in the rolling window history

window

window: RollingWindow[QuantConnect_Indicators_WindowBase_T]

A rolling window keeping a history of values. The most recent value is at index 0. Uses lazy initialization to support Python subclasses that do not call base constructors.

current

current: QuantConnect_Indicators_WindowBase_T

Gets the most recent value. The protected setter adds the value to the rolling window.

previous

previous: QuantConnect_Indicators_WindowBase_T

Gets the previous value, or default if fewer than two values have been produced.

create_new_bar

create_new_bar(
    data: IBaseData, current_value: float, volume: float
) -> None

Creates a new bar with the given data

This Class is protected.

Parameters:

Name	Type	Description	Default
data	IBaseData	The new data for the bar	required
current_value	float	The new value for the bar	required
volume	float	The new volume to the bar	required

dispose

dispose() -> None

Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.

fire_data_consolidated

fire_data_consolidated(consolidated: IBaseData) -> None

Raises the strongly typed DataConsolidated event

This Class is protected.

Parameters:

Name	Type	Description	Default
consolidated	IBaseData	The newly consolidated data	required

reset

reset() -> None

Resets the consolidator

scan

scan(current_local_time: Union[datetime, date]) -> None

Scans this consolidator to see if it should emit a bar due to time passing

Parameters:

Name	Type	Description	Default
current_local_time	Union[datetime, date]	The current time in the local time zone (same as BaseData.time)	required

update

update(data: IBaseData) -> None

Updates this consolidator with the specified data

Parameters:

Name	Type	Description	Default
data	IBaseData	The new data for the consolidator	required

update_bar

update_bar(
    time: Union[datetime, date],
    current_value: float,
    volume: float,
) -> None

Updates the current RangeBar being created with the given data. Additionally, if it's the case, it consolidates the current RangeBar

This Class is protected.

Parameters:

Name	Type	Description	Default
time	Union[datetime, date]	Time of the given data	required
current_value	float	Value of the given data	required
volume	float	Volume of the given data	required

__getitem__

__getitem__(i: int) -> QuantConnect_Indicators_WindowBase_T

Indexes the history window, where index 0 is the most recent value.

Parameters:

Name	Type	Description	Default
i	int	The index	required

Returns:

Type	Description
QuantConnect_Indicators_WindowBase_T	The ith most recent value.

__iter__

__iter__() -> (
    Iterator[QuantConnect_Indicators_WindowBase_T]
)

get_enumerator

get_enumerator() -> (
    IEnumerator[QuantConnect_Indicators_WindowBase_T]
)

Returns an enumerator that iterates through the history window.

reset_window

reset_window() -> None

Resets the rolling window, clearing all stored values.

This Class is protected.

on_data_consolidated

on_data_consolidated(consolidated: IBaseData) -> None

Event invocator for the DataConsolidated event. Populates the rolling window, raises the strongly typed and interface events, and finally updates the consolidated property.

This Class is protected.