SequentialConsolidator

QuantConnect.Data.Consolidators.SequentialConsolidator

SequentialConsolidator(
    first: Union[
        IDataConsolidator, PythonConsolidator, timedelta
    ],
    second: Union[
        IDataConsolidator, PythonConsolidator, timedelta
    ],
)

Bases: ConsolidatorBase

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.

Creates a new consolidator that will pump date through the first, and then the output of the first into the second. This enables 'wrapping' or 'composing' of consolidators

Parameters:

Name	Type	Description	Default
first	Union[IDataConsolidator, PythonConsolidator, timedelta]	The first consolidator to receive data	required
second	Union[IDataConsolidator, PythonConsolidator, timedelta]	The consolidator to receive first's output	required

first

first: IDataConsolidator

Gets the first consolidator to receive data

second

second: IDataConsolidator

Gets the second consolidator that ends up receiving data produced by the first

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

consolidated

consolidated: IBaseData

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

data_consolidated

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

Event handler that fires when a new piece of data is produced. This is the single subscription point, shared by the IDataConsolidator interface and by derived consolidators whose output is a base data bar, so subscribing and unsubscribing always target the same handler list.

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.

dispose

dispose() -> None

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

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

__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.

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(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.