DataManager

QuantConnect.Lean.Engine.DataFeeds.DataManager

DataManager(
    data_feed: IDataFeed,
    universe_selection: UniverseSelection,
    algorithm: IAlgorithm,
    time_keeper: ITimeKeeper,
    market_hours_database: MarketHoursDatabase,
    live_mode: bool,
    registered_types_provider: IRegisteredSecurityDataTypesProvider,
    data_permission_manager: IDataPermissionManager,
)

Bases: Object, IAlgorithmSubscriptionManager, IDataFeedSubscriptionManager, IDataManager

DataManager will manage the subscriptions for both the DataFeeds and the SubscriptionManager

Creates a new instance of the DataManager

subscription_added

subscription_added: _EventContainer[
    Callable[[Object, Subscription], Any], Any
]

Event fired when a new subscription is added

subscription_removed

subscription_removed: _EventContainer[
    Callable[[Object, Subscription], Any], Any
]

Event fired when an existing subscription is removed

data_feed_subscriptions

data_feed_subscriptions: SubscriptionCollection

Gets the data feed subscription collection

subscription_manager_subscriptions

subscription_manager_subscriptions: Iterable[
    SubscriptionDataConfig
]

Gets all the current data config subscriptions that are being processed for the SubscriptionManager

available_data_types

available_data_types: Dictionary[
    SecurityType, List[TickType]
]

The different TickType each SecurityType supports

universe_selection

universe_selection: UniverseSelection

Get the universe selection instance

add

add(
    data_type: Type,
    symbol: Union[Symbol, str, BaseContract],
    resolution: Optional[Resolution] = None,
    fill_forward: bool = True,
    extended_market_hours: bool = False,
    is_filtered_subscription: bool = True,
    is_internal_feed: bool = False,
    is_custom_data: bool = False,
    data_normalization_mode: DataNormalizationMode = ...,
    data_mapping_mode: DataMappingMode = ...,
    contract_depth_offset: int = 0,
) -> SubscriptionDataConfig

add(
    symbol: Union[Symbol, str, BaseContract],
    resolution: Optional[Resolution] = None,
    fill_forward: bool = True,
    extended_market_hours: bool = False,
    is_filtered_subscription: bool = True,
    is_internal_feed: bool = False,
    is_custom_data: bool = False,
    subscription_data_types: List[
        Tuple[Type, TickType]
    ] = None,
    data_normalization_mode: DataNormalizationMode = ...,
    data_mapping_mode: DataMappingMode = ...,
    contract_depth_offset: int = 0,
) -> List[SubscriptionDataConfig]

Signature descriptions:

• Creates and adds a list of SubscriptionDataConfig for a given symbol and configuration. Can optionally pass in desired subscription data type to use. If the config already existed will return existing instance instead

• Creates and adds a list of SubscriptionDataConfig for a given symbol and configuration. Can optionally pass in desired subscription data types to use. If the config already existed will return existing instance instead

add_subscription

add_subscription(request: SubscriptionRequest) -> bool

Adds a new Subscription to provide data for the specified security.

Parameters:

Name	Type	Description	Default
request	SubscriptionRequest	Defines the SubscriptionRequest to be added	required

Returns:

Type	Description
bool	True if the subscription was created and added successfully, false otherwise.

get_subscription_data_configs

get_subscription_data_configs(
    symbol: Union[Symbol, str, BaseContract] = None,
    include_internal_configs: bool = False,
) -> List[SubscriptionDataConfig]

Gets a list of all registered SubscriptionDataConfig for a given Symbol

lookup_subscription_config_data_types

lookup_subscription_config_data_types(
    symbol_security_type: SecurityType,
    resolution: Resolution,
    is_canonical: bool,
) -> List[Tuple[Type, TickType]]

Get the data feed types for a given SecurityTypeResolution

Parameters:

Name	Type	Description	Default
symbol_security_type	SecurityType	The SecurityType used to determine the types	required
resolution	Resolution	The resolution of the data requested	required
is_canonical	bool	Indicates whether the security is Canonical (future and options)	required

Returns:

Type	Description
List[Tuple[Type, TickType]]	Types that should be added to the SubscriptionDataConfig.

remove_all_subscriptions

remove_all_subscriptions() -> None

Will remove all current Subscription

remove_subscription

remove_subscription(
    configuration: SubscriptionDataConfig,
    universe: Universe = None,
) -> bool

Removes the Subscription, if it exists

Parameters:

Name	Type	Description	Default
configuration	SubscriptionDataConfig	The SubscriptionDataConfig of the subscription to remove	required
universe	Universe	Universe requesting to remove Subscription. Default value, null, will remove all universes	None

Returns:

Type	Description
bool	True if the subscription was successfully removed, false otherwise.

subscription_manager_count

subscription_manager_count() -> int

Returns the amount of data config subscriptions processed for the SubscriptionManager

subscription_manager_get_or_add

subscription_manager_get_or_add(
    new_config: SubscriptionDataConfig,
) -> SubscriptionDataConfig

Gets existing or adds new SubscriptionDataConfig

Returns:

Type	Description
SubscriptionDataConfig	Returns the SubscriptionDataConfig instance used.