BaseRenkoBar

QuantConnect.Data.Market.BaseRenkoBar

BaseRenkoBar()

BaseRenkoBar(original: TradeBar)

BaseRenkoBar(
    time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract],
    open: float,
    high: float,
    low: float,
    close: float,
    volume: float,
    period: Optional[timedelta] = None,
)

Bases: TradeBar, IBaseDataBar

Represents a bar sectioned not by time, but by some amount of movement in a set field, where: - Open : Gets the opening value that started this bar - Close : Gets the closing value or the current value if the bar has not yet closed. - High : Gets the highest value encountered during this bar - Low : Gets the lowest value encountered during this bar

Signature descriptions:

• Default initializer to setup an empty tradebar.

• Cloner constructor for implementing fill forward. Return a new instance with the same values as this original.

• Initialize Trade Bar with OHLC Values:

Parameters:

Name	Type	Description	Default
original	Optional[TradeBar]	Original tradebar object we seek to clone	None
time	Optional[Union[datetime, date]]	DateTime Timestamp of the bar	None
symbol	Optional[Union[Symbol, str, BaseContract]]	Market MarketType Symbol	None
open	Optional[float]	Decimal Opening Price	None
high	Optional[float]	Decimal High Price of this bar	None
low	Optional[float]	Decimal Low Price of this bar	None
close	Optional[float]	Decimal Close price of this bar	None
volume	Optional[float]	Volume sum over day	None
period	Optional[Optional[timedelta]]	The period of this bar, specify null for default of 1 minute	None

type

type: RenkoType

Gets the kind of the bar

brick_size

brick_size: float

The preset size of the consolidated bar

end_time

end_time: datetime

Gets the end time of this renko bar or the most recent update time if it is_closed

start

start: datetime

Gets the time this bar started

is_closed

is_closed: bool

Gets whether or not this bar is considered closed.

open

open: float

Opening price of the bar: Defined as the price at the start of the time period.

high

high: float

High price of the TradeBar during the time period.

low

low: float

Low price of the TradeBar during the time period.

close

close: float

Closing price of the TradeBar. Defined as the price at Start Time + TimeSpan.

symbol

symbol: Symbol

Symbol representation for underlying Security

data_type

data_type: MarketDataType

Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.

time

time: datetime

Current time marker of this data packet.

value

value: float

Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price.

price

price: float

As this is a backtesting platform we'll provide an alias of value as price.

ALL_RESOLUTIONS

ALL_RESOLUTIONS: List[Resolution] = ...

A list of all Resolution

This codeEntityType is protected.

DAILY_RESOLUTION

DAILY_RESOLUTION: List[Resolution] = ...

A list of Resolution.DAILY

This codeEntityType is protected.

MINUTE_RESOLUTION

MINUTE_RESOLUTION: List[Resolution] = ...

A list of Resolution.MINUTE

This codeEntityType is protected.

HIGH_RESOLUTION

HIGH_RESOLUTION: List[Resolution] = ...

A list of high Resolution, including minute, second, and tick.

This codeEntityType is protected.

OPTION_RESOLUTIONS

OPTION_RESOLUTIONS: List[Resolution] = ...

A list of resolutions support by Options

This codeEntityType is protected.

is_fill_forward

is_fill_forward: bool

True if this is a fill forward piece of data

initialized

initialized: int

This codeEntityType is protected.

volume

volume: float

Volume:

period

period: timedelta

The period of this trade bar, (second, minute, daily, ect...)

get_source

get_source(
    config: SubscriptionDataConfig,
    date: datetime,
    is_live_mode: bool,
) -> SubscriptionDataSource

Return the URL string source of the file. This will be converted to a stream

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Configuration object	required
date	datetime	Date of this source file	required
is_live_mode	bool	true if we're in live mode, false for backtesting mode	required

Returns:

Type	Description
SubscriptionDataSource	String URL of source file.

reader

reader(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
    is_live_mode: bool,
) -> BaseData

Reader Method :: using set of arguements we specify read out type. Enumerate until the end of the data stream or file. E.g. Read CSV file line by line and convert into data types.

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Config.	required
line	str	Line.	required
date	datetime	Date.	required
is_live_mode	bool	true if we're in live mode, false for backtesting mode	required

Returns:

Type	Description
BaseData	BaseData type set by Subscription Method.

clone

clone(fill_forward: bool) -> BaseData

clone() -> BaseData

Signature descriptions:

• Return a new instance clone of this object, used in fill forward

• Return a new instance clone of this object

Parameters:

Name	Type	Description	Default
fill_forward	Optional[bool]	True if this is a fill forward clone	None

Returns:

Type	Description
BaseData	A clone of the current object.

requires_mapping

requires_mapping() -> bool

Indicates if there is support for mapping

Returns:

Type	Description
bool	True indicates mapping should be used.

data_time_zone

data_time_zone() -> Any

Specifies the data time zone for this data type. This is useful for custom data types

Returns:

Type	Description
Any	The DateTimeZone of this data type.

default_resolution

default_resolution() -> Resolution

Gets the default resolution for this data and security type

deserialize_message

deserialize_message(serialized: str) -> Iterable[BaseData]

Deserialize the message from the data server

Parameters:

Name	Type	Description	Default
serialized	str	The data server's message	required

Returns:

Type	Description
Iterable[BaseData]	An enumerable of base data, if unsuccessful, returns an empty enumerable.

is_sparse_data

is_sparse_data() -> bool

Indicates that the data set is expected to be sparse

Returns:

Type	Description
bool	True if the data set represented by this type is expected to be sparse.

should_cache_to_security

should_cache_to_security() -> bool

Indicates whether this contains data that should be stored in the security cache

Returns:

Type	Description
bool	Whether this contains data that should be stored in the security cache.

supported_resolutions

supported_resolutions() -> List[Resolution]

Gets the supported resolution for this data and security type

to_string

to_string() -> str

Formats a string with the symbol and value.

Returns:

Type	Description
str	string - a string formatted as SPY: 167.753.

update

update(
    last_trade: float,
    bid_price: float,
    ask_price: float,
    volume: float,
    bid_size: float,
    ask_size: float,
) -> None

Update the tradebar - build the bar from this pricing information:

Parameters:

Name	Type	Description	Default
last_trade	float	This trade price	required
bid_price	float	Current bid price (not used)	required
ask_price	float	Current asking price (not used)	required
volume	float	Volume of this trade	required
bid_size	float	The size of the current bid, if available	required
ask_size	float	The size of the current ask, if available	required

update_ask

update_ask(ask_price: float, ask_size: float) -> None

Updates this base data with the new quote ask information

Parameters:

Name	Type	Description	Default
ask_price	float	The current ask price	required
ask_size	float	The current ask size	required

update_bid

update_bid(bid_price: float, bid_size: float) -> None

Updates this base data with the new quote bid information

Parameters:

Name	Type	Description	Default
bid_price	float	The current bid price	required
bid_size	float	The current bid size	required

update_quote

update_quote(
    bid_price: float,
    bid_size: float,
    ask_price: float,
    ask_size: float,
) -> None

Updates this base data with new quote information

Parameters:

Name	Type	Description	Default
bid_price	float	The current bid price	required
bid_size	float	The current bid size	required
ask_price	float	The current ask price	required
ask_size	float	The current ask size	required

update_trade

update_trade(last_trade: float, trade_size: float) -> None

Updates this base data with a new trade

Parameters:

Name	Type	Description	Default
last_trade	float	The price of the last trade	required
trade_size	float	The quantity traded	required

parse_cfd

parse_cfd(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
) -> TradeBar

parse_cfd(
    config: SubscriptionDataConfig,
    stream_reader: StreamReader,
    date: datetime,
) -> TradeBar

Parses CFD trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Symbols, Resolution, DataType,	required
line	Optional[str]	Line from the data file requested	None
date	datetime	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight	required
stream_reader	Optional[StreamReader]	The data stream of the requested file	None

parse_crypto

parse_crypto(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
) -> TradeBar

parse_crypto(
    config: SubscriptionDataConfig,
    stream_reader: StreamReader,
    date: datetime,
) -> TradeBar

Parses crypto trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Symbols, Resolution, DataType,	required
line	Optional[str]	Line from the data file requested	None
date	datetime	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight	required
stream_reader	Optional[StreamReader]	The data stream of the requested file	None

parse_equity

parse_equity(
    config: SubscriptionDataConfig,
    stream_reader: StreamReader,
    date: datetime,
) -> TradeBar

parse_equity(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
) -> TradeBar

Parses equity trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Symbols, Resolution, DataType,	required
stream_reader	Optional[StreamReader]	The data stream of the requested file	None
date	datetime	Date of this reader request	required
line	Optional[str]	Line from the data file requested	None

parse_forex

parse_forex(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
) -> TradeBar

parse_forex(
    config: SubscriptionDataConfig,
    stream_reader: StreamReader,
    date: datetime,
) -> TradeBar

Parses forex trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Symbols, Resolution, DataType,	required
line	Optional[str]	Line from the data file requested	None
date	datetime	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight	required
stream_reader	Optional[StreamReader]	The data stream of the requested file	None

parse_future

parse_future(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
) -> TradeBar

parse_future(
    config: SubscriptionDataConfig,
    stream_reader: StreamReader,
    date: datetime,
) -> TradeBar

Parses Future trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Symbols, Resolution, DataType,	required
line	Optional[str]	Line from the data file requested	None
date	datetime	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight	required
stream_reader	Optional[StreamReader]	The data stream of the requested file	None

parse_index

parse_index(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
) -> TradeBar

parse_index(
    config: SubscriptionDataConfig,
    stream_reader: StreamReader,
    date: datetime,
) -> TradeBar

Parse an index bar from the LEAN disk format

parse_option

parse_option(
    config: SubscriptionDataConfig,
    line: str,
    date: datetime,
) -> TradeBar

parse_option(
    config: SubscriptionDataConfig,
    stream_reader: StreamReader,
    date: datetime,
) -> TradeBar

Parses Option trade bar data into the specified tradebar type, useful for custom types with OHLCV data deriving from TradeBar

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Symbols, Resolution, DataType,	required
line	Optional[str]	Line from the data file requested	None
date	datetime	The base data used to compute the time of the bar since the line specifies a milliseconds since midnight	required
stream_reader	Optional[StreamReader]	The data stream of the requested file	None

parse

parse(
    config: SubscriptionDataConfig,
    line: str,
    base_date: datetime,
) -> TradeBar

Parses the trade bar data line assuming QC data formats