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DynamicDataConsolidator

QuantConnect.Data.Consolidators.DynamicDataConsolidator 

DynamicDataConsolidator(period: timedelta)

DynamicDataConsolidator(max_count: int)

DynamicDataConsolidator(max_count: int, period: timedelta)

DynamicDataConsolidator(
    func: Callable[[datetime], CalendarInfo],
)

Bases: TradeBarConsolidatorBase[DynamicData]

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.

Signature descriptions:

  • Creates a consolidator to produce a new 'TradeBar' representing the period.

  • Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data.

  • Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first.

Parameters:

Name Type Description Default
period Optional[timedelta]

The minimum span of time before emitting a consolidated bar

 None
max_count Optional[int]

The number of pieces to accept before emiting a consolidated bar

 None
func Optional[Callable[[datetime], CalendarInfo]]

Func that defines the start time of a consolidated data

 None

consolidated 

consolidated: IBaseData

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

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 the type produced by this consolidator

data_consolidated 

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

Event handler that fires when a new piece of data is produced. We define this as a 'new' event so we can expose it as a t_consolidated instead of a BaseData instance

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.

is_time_based 

is_time_based: bool

Returns true if this consolidator is time-based, false otherwise

This Property is protected.

period 

period: Optional[timedelta]

Gets the time period for this consolidator

This Property is protected.

working_bar 

working_bar: TradeBar

Gets a copy of the current 'workingBar'.

aggregate_bar 

aggregate_bar(
    working_bar: TradeBar, data: DynamicData
) -> None

Aggregates the new 'data' into the 'working_bar'. The 'working_bar' will be null following the event firing

This Class is protected.

Parameters:

Name Type Description Default
working_bar TradeBar

The bar we're building, null if the event was just fired and we're starting a new trade bar

 required
data DynamicData

The new 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: QuantConnect_Data_Consolidators_PeriodCountConsolidatorBase_T,
) -> None

Updates this consolidator with the specified data. This method is responsible for raising the DataConsolidated event In time span mode, the bar range is closed on the left and open on the right: [T, T+TimeSpan). For example, if time span is 1 minute, we have [10:00, 10:01): so data at 10:01 is not included in the bar starting at 10:00.

Parameters:

Name Type Description Default
data QuantConnect_Data_Consolidators_PeriodCountConsolidatorBase_T

The new data for the consolidator

 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.

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 exposed by derived consolidators that produce a more specific bar type. Invoked after the rolling window is populated and before the shared event so every handler sees the same window. Consolidators whose output is a base data bar do not need to override this, the shared data_consolidated event already carries their bar.

This Class is protected.

Parameters:

Name Type Description Default
consolidated IBaseData

The newly consolidated data

 required

on_data_consolidated 

on_data_consolidated(
    e: QuantConnect_Data_Consolidators_PeriodCountConsolidatorBase_TConsolidated,
) -> None

Event invocator for the data_consolidated event

This Class is protected.

Parameters:

Name Type Description Default
e QuantConnect_Data_Consolidators_PeriodCountConsolidatorBase_TConsolidated

The consolidated data

 required

get_rounded_bar_time 

get_rounded_bar_time(
    time: Union[datetime, date],
) -> datetime

get_rounded_bar_time(input_data: IBaseData) -> datetime

Signature descriptions:

  • Gets a rounded-down bar time. Called by AggregateBar in derived classes.

  • Gets a rounded-down bar start time. Called by AggregateBar in derived classes.

Parameters:

Name Type Description Default
time Optional[Union[datetime, date]]

The bar time to be rounded down

 None
input_data Optional[IBaseData]

The input data point

 None

Returns:

Type Description
datetime

Depends on the signature used. Case 1: [The rounded bar time.]; Case 2: [The rounded bar start time.]

reset_working_bar 

reset_working_bar() -> None

Resets the working bar

This Class is protected.

should_process 

should_process(
    data: QuantConnect_Data_Consolidators_PeriodCountConsolidatorBase_T,
) -> bool

Determines whether or not the specified data should be processed

This Class is protected.

Parameters:

Name Type Description Default
data QuantConnect_Data_Consolidators_PeriodCountConsolidatorBase_T

The data to check

 required

Returns:

Type Description
bool

True if the consolidator should process this data, false otherwise.