AggregationManager

QuantConnect.Lean.Engine.DataFeeds.AggregationManager

Bases: Object, IDataAggregator

Aggregates ticks and bars based on given subscriptions. Current implementation is based on IDataConsolidator that consolidates ticks and put them into enumerator.

time_provider

time_provider: ITimeProvider

Continuous UTC time provider

This codeEntityType is protected.

add

add(
    data_config: SubscriptionDataConfig,
    new_data_available_handler: Callable[
        [Object, EventArgs], Any
    ],
) -> IEnumerator[BaseData]

Add new subscription to current IDataAggregator instance

Parameters:

Name	Type	Description	Default
data_config	SubscriptionDataConfig	defines the parameters to subscribe to a data feed	required
new_data_available_handler	Callable[[Object, EventArgs], Any]	handler to be fired on new data available	required

Returns:

Type	Description
IEnumerator[BaseData]	The new enumerator for this subscription request.

dispose

dispose() -> None

Dispose of the aggregation manager.

get_consolidator

get_consolidator(
    config: SubscriptionDataConfig,
) -> IDataConsolidator

Gets the consolidator to aggregate data for the given config

This codeEntityType is protected.

initialize

initialize(
    parameters: DataAggregatorInitializeParameters,
) -> None

Initialize this instance

Parameters:

Name	Type	Description	Default
parameters	DataAggregatorInitializeParameters	The parameters dto instance	required

remove

remove(data_config: SubscriptionDataConfig) -> bool

Removes the handler with the specified identifier

Parameters:

Name	Type	Description	Default
data_config	SubscriptionDataConfig	Subscription data configuration to be removed	required

update

update(input: BaseData) -> None

Add new data to aggregator

Parameters:

Name	Type	Description	Default
input	BaseData	The new data	required