QuoteBar

QuantConnect.Data.Market.QuoteBar

QuoteBar()

QuoteBar(
    time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract],
    bid: IBar,
    last_bid_size: float,
    ask: IBar,
    last_ask_size: float,
    period: Optional[timedelta] = None,
)

Bases: BaseData, IBaseDataBar

QuoteBar class for second and minute resolution data: An OHLC implementation of the QuantConnect BaseData class with parameters for candles.

Signature descriptions:

• Default initializer to setup an empty quotebar.

• Initialize Quote Bar with Bid(OHLC) and Ask(OHLC) Values:

Parameters:

Name	Type	Description	Default
time	Optional[Union[datetime, date]]	DateTime Timestamp of the bar	None
symbol	Optional[Union[Symbol, str, BaseContract]]	Market MarketType Symbol	None
bid	Optional[IBar]	Bid OLHC bar	None
last_bid_size	Optional[float]	Average bid size over period	None
ask	Optional[IBar]	Ask OLHC bar	None
last_ask_size	Optional[float]	Average ask size over period	None
period	Optional[Optional[timedelta]]	The period of this bar, specify null for default of 1 minute	None

last_bid_size

last_bid_size: float

Average bid size

last_ask_size

last_ask_size: float

Average ask size

bid

bid: Bar

Bid OHLC

ask

ask: Bar

Ask OHLC

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 QuoteBar during the time period.

low

low: float

Low price of the QuoteBar during the time period.

close

close: float

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

end_time

end_time: datetime

The closing time of this bar, computed via the Time and Period

period

period: timedelta

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

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

parse_cfd

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

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

Parse a quotebar representing a cfd without a scaling factor

Parameters:

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

Returns:

Type	Description
QuoteBar	QuoteBar with the bid/ask set to same values.

parse_equity

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

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

Parse a quotebar representing an equity with a scaling factor

Parameters:

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

Returns:

Type	Description
QuoteBar	QuoteBar with the bid/ask set to same values.

parse_forex

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

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

Parse a quotebar representing a forex without a scaling factor

Parameters:

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

Returns:

Type	Description
QuoteBar	QuoteBar with the bid/ask set to same values.

parse_future

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

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

Parse a quotebar representing a future with a scaling factor

Parameters:

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

Returns:

Type	Description
QuoteBar	QuoteBar with the bid/ask set to same values.

parse_option

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

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

Parse a quotebar representing an option with a scaling factor

Parameters:

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

Returns:

Type	Description
QuoteBar	QuoteBar with the bid/ask set to same values.

clone

clone() -> BaseData

Return a new instance clone of this quote bar, used in fill forward

Returns:

Type	Description
BaseData	A clone of the current quote bar.

collapse

collapse() -> TradeBar

Collapses QuoteBars into TradeBars object when algorithm requires FX data, but calls OnData(TradeBars) TODO: (2017) Remove this method in favor of using OnData(Slice)

Returns:

Type	Description
TradeBar	TradeBars.

get_source

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

Get Source for Custom Data File

What source file location would you prefer for each type of usage:

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.

reader

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

QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	Symbols, Resolution, DataType,	required
line	str	Line from the data file requested	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	Enumerable iterator for returning each line of the required data.

to_string

to_string() -> str

Convert this QuoteBar to string form.

Returns:

Type	Description
str	String representation of the QuoteBar.

update

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

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

Parameters:

Name	Type	Description	Default
last_trade	float	The last 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, if not, pass 0	required
ask_size	float	The size of the current ask, if available, if not, pass 0	required

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

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