USTreasuryAuctions

QuantConnect.DataSource.USTreasuryAuctions

USTreasuryAuctions(
    time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract, Security],
    data: List[BaseData] = None,
)

USTreasuryAuctions(
    time: Union[datetime, date],
    end_time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract, Security],
    data: List[BaseData] = None,
    underlying: BaseData = None,
    filtered_contracts: HashSet[Symbol] = None,
)

USTreasuryAuctions(
    time: Union[datetime, date],
    end_time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract, Security],
    data: List[BaseData],
    underlying: BaseData,
    filtered_contracts: HashSet[Symbol],
)

USTreasuryAuctions(
    time: Union[datetime, date],
    end_time: Union[datetime, date],
    symbol: Union[Symbol, str, BaseContract, Security],
    underlying: BaseData,
    filtered_contracts: HashSet[Symbol],
)

USTreasuryAuctions()

USTreasuryAuctions(other: BaseDataCollection)

Bases: BaseDataCollection

Every U.S. Treasury auction of one benchmark whose results arrive at the same time. Almost always a single auction; cash management bills, and a few days in 1984, 1985, 1986 and 2008, carry several. Auctions are folded by end time, so they can come from different days (a result posted late reaches the next day's run): read each auction's own BaseData.time for its date, not the collection's.

Signature descriptions:

Initializes a new instance of the BaseDataCollection class
Helper method to create an instance without setting the data list
Initializes a new default instance of the BaseDataCollection c;ass
Copy constructor for BaseDataCollection

Parameters:

Name	Type	Description	Default
`time`	`Optional[Union[datetime, date]]`	The time of this data	`None`
`symbol`	`Optional[Union[Symbol, str, BaseContract, Security]]`	A common identifier for all data in this packet	`None`
`data`	`Optional[List[BaseData]]`	The data to add to this collection	`None`
`end_time`	`Optional[Union[datetime, date]]`	The end time of this data	`None`
`underlying`	`Optional[BaseData]`	The associated underlying price data if any	`None`
`filtered_contracts`	`Optional[HashSet[Symbol]]`	The contracts selected by the universe	`None`
`other`	`Optional[BaseDataCollection]`	The base data collection being copied	`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

Gets or sets the end time of this data

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 Field is protected.

DAILY_RESOLUTION

DAILY_RESOLUTION: List[Resolution] = ...

A list of Resolution.DAILY

This Field is protected.

MINUTE_RESOLUTION

MINUTE_RESOLUTION: List[Resolution] = ...

A list of Resolution.MINUTE

This Field is protected.

HIGH_RESOLUTION

HIGH_RESOLUTION: List[Resolution] = ...

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

This Field is protected.

OPTION_RESOLUTIONS

OPTION_RESOLUTIONS: List[Resolution] = ...

A list of resolutions support by Options

This Field is protected.

is_fill_forward

is_fill_forward: bool

True if this is a fill forward piece of data

underlying

underlying: BaseData

The associated underlying price data if any

filtered_contracts

filtered_contracts: HashSet[Symbol]

Gets or sets the contracts selected by the universe

data

data: List[BaseData]

Gets the data list

clone

clone() -> BaseData

Creates a copy of the instance

data_time_zone

data_time_zone() -> Any

Data time zone, New York

default_resolution

default_resolution() -> Resolution

Default resolution

get_source

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

Location of the source file: one file per benchmark holding every auction of it, folded by end time

is_sparse_data

is_sparse_data() -> bool

Sparse data: a benchmark is auctioned weekly at most

reader

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

Reads one line of the file into one auction result. The engine folds the lines with the same end time into one collection.

requires_mapping

requires_mapping() -> bool

Not linked to a traded security

supported_resolutions

supported_resolutions() -> List[Resolution]

Supported resolutions

to_string

to_string() -> str

String representation for debugging

deserialize_message

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

Deserialize the message from the data server

Parameters:

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

Returns:

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

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.

update

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

Update routine to build a bar/tick from a data update.

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	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

iter

__iter__() -> Iterator[BaseData]

add

add(new_data_point: BaseData) -> None

Adds a new data point to this collection

Parameters:

Name	Type	Description	Default
`new_data_point`	`BaseData`	The new data point to add	required

add_range

add_range(new_data_points: List[BaseData]) -> None

Adds a new data points to this collection

Parameters:

Name	Type	Description	Default
`new_data_points`	`List[BaseData]`	The new data points to add	required

get_enumerator

get_enumerator() -> IEnumerator[BaseData]

Returns an IEnumerator for this enumerable Object. The enumerator provides a simple way to access all the contents of a collection.

universe_symbol

universe_symbol(market: str = None) -> Symbol

Creates the universe symbol for the target market

Returns:

Type	Description
`Symbol`	The universe symbol to use.