MarketHourAwareConsolidator

QuantConnect.Data.Consolidators.MarketHourAwareConsolidator

MarketHourAwareConsolidator(
    daily_strict_end_time_enabled: bool,
    resolution: Resolution,
    data_type: Type,
    tick_type: TickType,
    extended_market_hours: bool,
)

MarketHourAwareConsolidator(
    daily_strict_end_time_enabled: bool,
    period: timedelta,
    data_type: Type,
    tick_type: TickType,
    extended_market_hours: bool,
)

Bases: Object, IDataConsolidator

Consolidator for open markets bar only, extended hours bar are not consolidated.

Signature descriptions:

• Initializes a new instance of the MarketHourAwareConsolidator class.

• Initializes a new instance of the MarketHourAwareConsolidator class for an arbitrary period. Intraday periods are anchored to the market open without extending past the close.

Parameters:

Name	Type	Description	Default
resolution	Optional[Resolution]	The resolution.	None
data_type	Type	The target data type	required
tick_type	TickType	The target tick type	required
extended_market_hours	bool	True if extended market hours should be consolidated	required
daily_strict_end_time_enabled	bool	True if daily strict end times should be enabled	required
period	Optional[timedelta]	The consolidation period	None

period

period: timedelta

The consolidation period requested

This Property is protected.

consolidator

consolidator: IDataConsolidator

The consolidator instance

This Property is protected.

exchange_hours

exchange_hours: SecurityExchangeHours

The associated security exchange hours instance

This Property is protected.

data_time_zone

data_time_zone: Any

The associated data time zone

This Property is protected.

consolidated

consolidated: IBaseData

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

input_type

input_type: Type

Gets the type consumed by this consolidator

working_data

working_data: IBaseData

Gets a clone of the data being currently consolidated

output_type

output_type: Type

Gets the type produced by this consolidator

data_consolidated

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

Event handler that fires when a new piece of data is produced

create_consolidator

create_consolidator(
    resolution: Resolution,
    data_type: Type,
    tick_type: TickType,
) -> IDataConsolidator

create_consolidator(
    calendar: Callable[[datetime], CalendarInfo],
    data_type: Type,
    tick_type: TickType,
) -> IDataConsolidator

Signature descriptions:

• Creates the inner consolidator that produces the requested data_type output.

• Creates the underlying calendar based consolidator for the given data type, used for arbitrary periods

daily_strict_end_time

daily_strict_end_time(
    date_time: Union[datetime, date],
) -> CalendarInfo

Determines a bar start time and period

This Class is protected.

dispose

dispose() -> None

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

forward_consolidated_bar

forward_consolidated_bar(
    sender: Any, consolidated: IBaseData
) -> None

Will forward the underlying consolidated bar to consumers on this object

This Class is protected.

initialize

initialize(data: IBaseData) -> None

Perform late initialization based on the datas symbol

This Class is protected.

intraday_calendar

intraday_calendar(
    date_time: Union[datetime, date],
) -> CalendarInfo

Determines a bar start time and period for intraday consolidation, anchored to the market open without extending past the market close so a bar never spans across closed market hours

This Class is protected.

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 QuantConnect.Data.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

use_strict_end_time

use_strict_end_time(
    symbol: Union[Symbol, str, BaseContract, Security],
) -> bool

Useful for testing

This Class is protected.