AuxiliaryDataEnumerator

QuantConnect.Lean.Engine.DataFeeds.Enumerators.AuxiliaryDataEnumerator

AuxiliaryDataEnumerator(
    config: SubscriptionDataConfig,
    factor_file_provider: IFactorFileProvider,
    map_file_provider: IMapFileProvider,
    tradable_date_event_providers: List[
        ITradableDateEventProvider
    ],
    tradable_day_notifier: ITradableDatesNotifier,
    start_time: Union[datetime, date],
)

Bases: Object, IEnumerator[BaseData]

Auxiliary data enumerator that will, initialize and call the ITradableDateEventProvider.get_events implementation each time there is a new tradable day for every ITradableDateEventProvider provided.

Creates a new instance

Parameters:

Name	Type	Description	Default
config	SubscriptionDataConfig	The SubscriptionDataConfig	required
factor_file_provider	IFactorFileProvider	The factor file provider to use	required
map_file_provider	IMapFileProvider	The MapFile provider to use	required
tradable_date_event_providers	List[ITradableDateEventProvider]	The tradable dates event providers	required
tradable_day_notifier	ITradableDatesNotifier	Tradable dates provider	required
start_time	Union[datetime, date]	Start date for the data request	required

config

config: SubscriptionDataConfig

The associated data configuration

This codeEntityType is protected.

current

current: BaseData

Last read BaseData object from this type and source

dispose

dispose() -> None

Dispose of the Stream Reader and close out the source stream and file connections.

initialize

initialize() -> None

Initializes the underlying tradable data event providers

This codeEntityType is protected.

move_next

move_next() -> bool

Advances the enumerator to the next element.

Returns:

Type	Description
bool	Always true.

new_tradable_date

new_tradable_date(
    sender: Any, event_args: NewTradableDateEventArgs
) -> None

Handle a new tradable date, drives the ITradableDateEventProvider instances

This codeEntityType is protected.

reset

reset() -> None

Reset the IEnumeration