TradeBar

QuantConnect.Data.Market.TradeBar

TradeBar()

TradeBar(original: TradeBar)

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

Bases: BaseData, IBaseDataBar

TradeBar 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 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`

initialized

initialized: int

This codeEntityType is protected.

volume

volume: float

Volume:

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.

end_time

end_time: datetime

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

period

period: timedelta

The period of this trade 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

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.

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`

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.

parse

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

Parses the trade bar data line assuming QC data formats

reader

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

TradeBar 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

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

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