LiveFillForwardEnumerator

QuantConnect.Lean.Engine.DataFeeds.Enumerators.LiveFillForwardEnumerator

LiveFillForwardEnumerator(
    time_provider: ITimeProvider,
    enumerator: IEnumerator[BaseData],
    exchange: SecurityExchange,
    fill_forward_resolution: IReadOnlyRef[timedelta],
    is_extended_market_hours: bool,
    subscription_start_time: Union[datetime, date],
    subscription_end_time: Union[datetime, date],
    data_resolution: Resolution,
    data_time_zone: Any,
    daily_strict_end_time_enabled: bool,
    data_type: Type = None,
    last_point_tracker: LastPointTracker = None,
)

Bases: FillForwardEnumerator

An implementation of the FillForwardEnumerator that uses an ITimeProvider to determine if a fill forward bar needs to be emitted

Initializes a new instance of the LiveFillForwardEnumerator class that accepts a reference to the fill forward resolution, useful if the fill forward resolution is dynamic and changing as the enumeration progresses

Parameters:

Name	Type	Description	Default
`time_provider`	`ITimeProvider`	The source of time used to gauage when this enumerator should emit extra bars when null data is returned from the source enumerator	required
`enumerator`	`IEnumerator[BaseData]`	The source enumerator to be filled forward	required
`exchange`	`SecurityExchange`	The exchange used to determine when to insert fill forward data	required
`fill_forward_resolution`	`IReadOnlyRef[timedelta]`	The resolution we'd like to receive data on	required
`is_extended_market_hours`	`bool`	True to use the exchange's extended market hours, false to use the regular market hours	required
`subscription_start_time`	`Union[datetime, date]`	The start time of the subscription	required
`subscription_end_time`	`Union[datetime, date]`	The end time of the subscription, once passing this date the enumerator will stop	required
`data_resolution`	`Resolution`	The source enumerator's data resolution	required
`data_time_zone`	`Any`	Time zone of the underlying source data	required
`daily_strict_end_time_enabled`	`bool`	True if daily strict end times are enabled	required
`data_type`	`Type`	The configuration data type this enumerator is for	`None`
`last_point_tracker`	`LastPointTracker`	A reference to the last point emitted before this enumerator is first enumerated	`None`

use_strict_end_time

use_strict_end_time: bool

Whether to use strict daily end times

This codeEntityType is protected.

exchange

exchange: SecurityExchange

The exchange used to determine when to insert fill forward data

This codeEntityType is protected.

current

current: BaseData

Gets the element in the collection at the current position of the enumerator.

get_maximum_data_timeout

get_maximum_data_timeout(
    resolution: Resolution,
) -> timedelta

Helper method to know how much we should wait before fill forwarding a bar in live trading

requires_fill_forward_data

requires_fill_forward_data(
    fill_forward_resolution: timedelta,
    previous: BaseData,
    next: BaseData,
    fill_forward: Optional[BaseData],
) -> Tuple[bool, BaseData]

Determines whether or not fill forward is required, and if true, will produce the new fill forward data

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
`fill_forward_resolution`	`timedelta`		required
`previous`	`BaseData`	The last piece of data emitted by this enumerator	required
`next`	`BaseData`	The next piece of data on the source enumerator, this may be null	required
`fill_forward`	`Optional[BaseData]`	When this function returns true, this will have a non-null value, null when the function returns false	required

Returns:

Type	Description
`Tuple[bool, BaseData]`	True when a new fill forward piece of data was produced and should be emitted by this enumerator.

dispose

dispose() -> None

Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.

move_next

move_next() -> bool

Advances the enumerator to the next element of the collection.

Returns:

Type	Description
`bool`	true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.

reset

reset() -> None

Sets the enumerator to its initial position, which is before the first element in the collection.