OpenInterest

QuantConnect.Data.Market.OpenInterest

OpenInterest()

OpenInterest(original: OpenInterest)

OpenInterest(
    time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract],
    open_interest: float,
)

OpenInterest(
    config: SubscriptionDataConfig,
    symbol: Union[Symbol, str, BaseContract],
    line: str,
    base_date: Union[datetime, date],
)

OpenInterest(
    config: SubscriptionDataConfig,
    line: str,
    date: Union[datetime, date],
)

Bases: Tick

Defines a data type that represents open interest for given security

Signature descriptions:

• Initializes a new instance of the OpenInterest class

• Cloner constructor for fill forward engine implementation. Clone the original OI into this new one:

• Initializes a new instance of the OpenInterest class with data

• Constructor for QuantConnect open interest data

• Parse an open interest data line from quantconnect zip source files.

Parameters:

Name	Type	Description	Default
original	Optional[OpenInterest]	Original OI we're cloning	None
time	Optional[Union[datetime, date]]	Full date and time	None
symbol	Optional[Union[Symbol, str, BaseContract]]	Underlying equity security symbol	None
open_interest	Optional[float]	Open Interest value	None
config	Optional[SubscriptionDataConfig]	Subscription configuration	None
line	Optional[str]	CSV line of data from QC OI csv	None
base_date	Optional[Union[datetime, date]]	The base date of the OI	None
date	Optional[Union[datetime, date]]	Base date for the open interest (date is stored as int milliseconds since midnight)	None

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.

end_time

end_time: datetime

The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered

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

tick_type

tick_type: TickType

Type of the Tick: Trade or Quote.

quantity

quantity: float

Quantity exchanged in a trade.

exchange_code

exchange_code: str

Exchange code this tick came from Exchanges

exchange

exchange: str

Exchange name this tick came from Exchanges

sale_condition

sale_condition: str

Sale condition for the tick.

parsed_sale_condition

parsed_sale_condition: int

For performance parsed sale condition for the tick.

suspicious

suspicious: bool

Bool whether this is a suspicious tick

bid_price

bid_price: float

Bid Price for Tick

ask_price

ask_price: float

Asking price for the Tick quote.

last_price

last_price: float

Alias for "Value" - the last sale for this asset.

bid_size

bid_size: float

Size of bid quote.

ask_size

ask_size: float

Size of ask quote.

clone

clone() -> BaseData

Clone implementation for open interest class:

Returns:

Type	Description
BaseData	New tick object clone of the current class values.

get_source

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

Get source for OI data feed - not used with QuantConnect data sources implementation.

Parameters:

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

Returns:

Type	Description
SubscriptionDataSource	String source location of the file to be opened with a stream.

reader

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

Tick implementation of reader method: read a line of data from the source and convert it to an open interest object.

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Subscription configuration object for algorithm	required
line	str	Line from the datafeed source	required
date	datetime	Date of this reader request	required
is_live_mode	bool	true if we're in live mode, false for backtesting mode	required

Returns:

Type	Description
BaseData	New initialized open interest 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 tick price information - not used.

Parameters:

Name	Type	Description	Default
last_trade	float	This trade price	required
bid_price	float	Current bid price	required
ask_price	float	Current asking price	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

is_valid

is_valid() -> bool

Check if tick contains valid data (either a trade, or a bid or ask)

set_value

set_value() -> None

Sets the tick Value based on ask and bid price