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QuantConnect.Data.Market.QuoteBar Class Reference

QuoteBar class for second and minute resolution data: An OHLC implementation of the QuantConnect BaseData class with parameters for candles. More...

Inheritance diagram for QuantConnect.Data.Market.QuoteBar:
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Public Member Functions

 QuoteBar ()
 Default initializer to setup an empty quotebar. More...
 
 QuoteBar (DateTime time, Symbol symbol, IBar bid, decimal lastBidSize, IBar ask, decimal lastAskSize, TimeSpan? period=null)
 Initialize Quote Bar with Bid(OHLC) and Ask(OHLC) Values: More...
 
override void Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
 Update the quotebar - build the bar from this pricing information: More...
 
override BaseData Reader (SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode)
 QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine. More...
 
override BaseData Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
 QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine. More...
 
QuoteBar ParseFuture (SubscriptionDataConfig config, string line, DateTime date)
 Parse a quotebar representing a future with a scaling factor More...
 
QuoteBar ParseFuture (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
 Parse a quotebar representing a future with a scaling factor More...
 
QuoteBar ParseOption (SubscriptionDataConfig config, string line, DateTime date)
 Parse a quotebar representing an option with a scaling factor More...
 
QuoteBar ParseOption (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
 Parse a quotebar representing an option with a scaling factor More...
 
QuoteBar ParseCfd (SubscriptionDataConfig config, string line, DateTime date)
 Parse a quotebar representing a cfd without a scaling factor More...
 
QuoteBar ParseCfd (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
 Parse a quotebar representing a cfd without a scaling factor More...
 
QuoteBar ParseForex (SubscriptionDataConfig config, string line, DateTime date)
 Parse a quotebar representing a forex without a scaling factor More...
 
QuoteBar ParseForex (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
 Parse a quotebar representing a forex without a scaling factor More...
 
QuoteBar ParseEquity (SubscriptionDataConfig config, string line, DateTime date)
 Parse a quotebar representing an equity with a scaling factor More...
 
QuoteBar ParseEquity (SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
 Parse a quotebar representing an equity with a scaling factor More...
 
override SubscriptionDataSource GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
 Get Source for Custom Data File

What source file location would you prefer for each type of usage:

More...
 
override BaseData Clone ()
 Return a new instance clone of this quote bar, used in fill forward More...
 
TradeBar Collapse ()
 Collapses QuoteBars into TradeBars object when algorithm requires FX data, but calls OnData(TradeBars) TODO: (2017) Remove this method in favor of using OnData(Slice) More...
 
override string ToString ()
 Convert this QuoteBar to string form. More...
 
- Public Member Functions inherited from QuantConnect.Data.BaseData
 BaseData ()
 Constructor for initialising the dase data class More...
 
virtual bool RequiresMapping ()
 Indicates if there is support for mapping More...
 
virtual bool IsSparseData ()
 Indicates that the data set is expected to be sparse More...
 
virtual bool ShouldCacheToSecurity ()
 Indicates whether this contains data that should be stored in the security cache More...
 
virtual Resolution DefaultResolution ()
 Gets the default resolution for this data and security type More...
 
virtual List< ResolutionSupportedResolutions ()
 Gets the supported resolution for this data and security type More...
 
virtual DateTimeZone DataTimeZone ()
 Specifies the data time zone for this data type. This is useful for custom data types More...
 
void UpdateTrade (decimal lastTrade, decimal tradeSize)
 Updates this base data with a new trade More...
 
void UpdateQuote (decimal bidPrice, decimal bidSize, decimal askPrice, decimal askSize)
 Updates this base data with new quote information More...
 
void UpdateBid (decimal bidPrice, decimal bidSize)
 Updates this base data with the new quote bid information More...
 
void UpdateAsk (decimal askPrice, decimal askSize)
 Updates this base data with the new quote ask information More...
 
virtual BaseData Clone (bool fillForward)
 Return a new instance clone of this object, used in fill forward More...
 
override string ToString ()
 Formats a string with the symbol and value. More...
 
virtual BaseData Reader (SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed)
 Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. More...
 
virtual string GetSource (SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
 Return the URL string source of the file. This will be converted to a stream More...
 

Properties

decimal LastBidSize [get, set]
 Average bid size More...
 
decimal LastAskSize [get, set]
 Average ask size More...
 
Bar Bid [get, set]
 Bid OHLC More...
 
Bar Ask [get, set]
 Ask OHLC More...
 
decimal Open [get]
 Opening price of the bar: Defined as the price at the start of the time period. More...
 
decimal High [get]
 High price of the QuoteBar during the time period. More...
 
decimal Low [get]
 Low price of the QuoteBar during the time period. More...
 
decimal Close [get]
 Closing price of the QuoteBar. Defined as the price at Start Time + TimeSpan. More...
 
override DateTime EndTime [get, set]
 The closing time of this bar, computed via the Time and Period More...
 
TimeSpan Period [get, set]
 The period of this quote bar, (second, minute, daily, ect...) More...
 
- Properties inherited from QuantConnect.Data.BaseData
MarketDataType DataType = MarketDataType.Base [get, set]
 Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More...
 
bool IsFillForward [get]
 True if this is a fill forward piece of data More...
 
DateTime Time [get, set]
 Current time marker of this data packet. More...
 
virtual DateTime EndTime [get, set]
 The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered More...
 
Symbol Symbol = Symbol.Empty [get, set]
 Symbol representation for underlying Security More...
 
virtual decimal Value [get, set]
 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. More...
 
- Properties inherited from QuantConnect.Data.IBaseData
MarketDataType DataType [get, set]
 Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More...
 
DateTime Time [get, set]
 Time keeper of data – all data is timeseries based. More...
 
DateTime EndTime [get, set]
 End time of data More...
 
Symbol Symbol [get, set]
 Symbol for underlying Security More...
 
decimal Value [get, set]
 All timeseries data is a time-value pair: More...
 
decimal Price [get]
 Alias of Value. More...
 
- Properties inherited from QuantConnect.Data.Market.IBar
decimal Open [get]
 Opening price of the bar: Defined as the price at the start of the time period. More...
 
decimal High [get]
 High price of the bar during the time period. More...
 
decimal Low [get]
 Low price of the bar during the time period. More...
 
decimal Close [get]
 Closing price of the bar. Defined as the price at Start Time + TimeSpan. More...
 

Additional Inherited Members

- Static Public Member Functions inherited from QuantConnect.Data.BaseData
static IEnumerable< BaseDataDeserializeMessage (string serialized)
 Deserialize the message from the data server More...
 
- Public Attributes inherited from QuantConnect.Data.BaseData
virtual decimal Price => Value
 As this is a backtesting platform we'll provide an alias of value as price. More...
 
- Static Protected Attributes inherited from QuantConnect.Data.BaseData
static readonly List< ResolutionAllResolutions
 A list of all Resolution More...
 
static readonly List< ResolutionDailyResolution = new List<Resolution> { Resolution.Daily }
 A list of Resolution.Daily More...
 
static readonly List< ResolutionMinuteResolution = new List<Resolution> { Resolution.Minute }
 A list of Resolution.Minute More...
 
static readonly List< ResolutionHighResolution = new List<Resolution> { Resolution.Minute, Resolution.Second, Resolution.Tick }
 A list of high Resolution, including minute, second, and tick. More...
 
static readonly List< ResolutionOptionResolutions = new List<Resolution> { Resolution.Daily, Resolution.Hour, Resolution.Minute }
 A list of resolutions support by Options More...
 

Detailed Description

QuoteBar class for second and minute resolution data: An OHLC implementation of the QuantConnect BaseData class with parameters for candles.

Definition at line 32 of file QuoteBar.cs.

Constructor & Destructor Documentation

◆ QuoteBar() [1/2]

QuantConnect.Data.Market.QuoteBar.QuoteBar ( )

Default initializer to setup an empty quotebar.

Definition at line 207 of file QuoteBar.cs.

◆ QuoteBar() [2/2]

QuantConnect.Data.Market.QuoteBar.QuoteBar ( DateTime  time,
Symbol  symbol,
IBar  bid,
decimal  lastBidSize,
IBar  ask,
decimal  lastAskSize,
TimeSpan?  period = null 
)

Initialize Quote Bar with Bid(OHLC) and Ask(OHLC) Values:

Parameters
timeDateTime Timestamp of the bar
symbolMarket MarketType Symbol
bidBid OLHC bar
lastBidSizeAverage bid size over period
askAsk OLHC bar
lastAskSizeAverage ask size over period
periodThe period of this bar, specify null for default of 1 minute

Definition at line 228 of file QuoteBar.cs.

Member Function Documentation

◆ Update()

override void QuantConnect.Data.Market.QuoteBar.Update ( decimal  lastTrade,
decimal  bidPrice,
decimal  askPrice,
decimal  volume,
decimal  bidSize,
decimal  askSize 
)
virtual

Update the quotebar - build the bar from this pricing information:

Parameters
lastTradeThe last trade price
bidPriceCurrent bid price
askPriceCurrent asking price
volumeVolume of this trade
bidSizeThe size of the current bid, if available, if not, pass 0
askSizeThe size of the current ask, if available, if not, pass 0

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 251 of file QuoteBar.cs.

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◆ Reader() [1/2]

override BaseData QuantConnect.Data.Market.QuoteBar.Reader ( SubscriptionDataConfig  config,
StreamReader  stream,
DateTime  date,
bool  isLiveMode 
)
virtual

QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.

Parameters
configSymbols, Resolution, DataType,
streamThe file data stream
dateDate of this reader request
isLiveModetrue if we're in live mode, false for backtesting mode
Returns
Enumerable iterator for returning each line of the required data.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 284 of file QuoteBar.cs.

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◆ Reader() [2/2]

override BaseData QuantConnect.Data.Market.QuoteBar.Reader ( SubscriptionDataConfig  config,
string  line,
DateTime  date,
bool  isLiveMode 
)
virtual

QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.

Parameters
configSymbols, Resolution, DataType,
lineLine from the data file requested
dateDate of this reader request
isLiveModetrue if we're in live mode, false for backtesting mode
Returns
Enumerable iterator for returning each line of the required data.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 333 of file QuoteBar.cs.

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◆ ParseFuture() [1/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseFuture ( SubscriptionDataConfig  config,
string  line,
DateTime  date 
)

Parse a quotebar representing a future with a scaling factor

Parameters
configSymbols, Resolution, DataType
lineLine from the data file requested
dateDate of this reader request
Returns
QuoteBar with the bid/ask set to same values

Definition at line 431 of file QuoteBar.cs.

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◆ ParseFuture() [2/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseFuture ( SubscriptionDataConfig  config,
StreamReader  streamReader,
DateTime  date 
)

Parse a quotebar representing a future with a scaling factor

Parameters
configSymbols, Resolution, DataType
streamReaderThe data stream of the requested file
dateDate of this reader request
Returns
QuoteBar with the bid/ask set to same values

Definition at line 443 of file QuoteBar.cs.

◆ ParseOption() [1/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseOption ( SubscriptionDataConfig  config,
string  line,
DateTime  date 
)

Parse a quotebar representing an option with a scaling factor

Parameters
configSymbols, Resolution, DataType
lineLine from the data file requested
dateDate of this reader request
Returns
QuoteBar with the bid/ask set to same values

Definition at line 455 of file QuoteBar.cs.

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◆ ParseOption() [2/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseOption ( SubscriptionDataConfig  config,
StreamReader  streamReader,
DateTime  date 
)

Parse a quotebar representing an option with a scaling factor

Parameters
configSymbols, Resolution, DataType
streamReaderThe data stream of the requested file
dateDate of this reader request
Returns
QuoteBar with the bid/ask set to same values

Definition at line 467 of file QuoteBar.cs.

◆ ParseCfd() [1/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseCfd ( SubscriptionDataConfig  config,
string  line,
DateTime  date 
)

Parse a quotebar representing a cfd without a scaling factor

Parameters
configSymbols, Resolution, DataType
lineLine from the data file requested
dateDate of this reader request
Returns
QuoteBar with the bid/ask set to same values

Definition at line 491 of file QuoteBar.cs.

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◆ ParseCfd() [2/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseCfd ( SubscriptionDataConfig  config,
StreamReader  streamReader,
DateTime  date 
)

Parse a quotebar representing a cfd without a scaling factor

Parameters
configSymbols, Resolution, DataType
streamReaderThe data stream of the requested file
dateDate of this reader request
Returns
QuoteBar with the bid/ask set to same values

Definition at line 503 of file QuoteBar.cs.

◆ ParseForex() [1/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseForex ( SubscriptionDataConfig  config,
string  line,
DateTime  date 
)

Parse a quotebar representing a forex without a scaling factor

Parameters
configSymbols, Resolution, DataType
lineLine from the data file requested
dateDate of this reader request
Returns
QuoteBar with the bid/ask set to same values

Definition at line 515 of file QuoteBar.cs.

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◆ ParseForex() [2/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseForex ( SubscriptionDataConfig  config,
StreamReader  streamReader,
DateTime  date 
)

Parse a quotebar representing a forex without a scaling factor

Parameters
configSymbols, Resolution, DataType
streamReaderThe data stream of the requested file
dateDate of this reader request
Returns
QuoteBar with the bid/ask set to same values

Definition at line 527 of file QuoteBar.cs.

◆ ParseEquity() [1/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseEquity ( SubscriptionDataConfig  config,
string  line,
DateTime  date 
)

Parse a quotebar representing an equity with a scaling factor

Parameters
configSymbols, Resolution, DataType
lineLine from the data file requested
dateDate of this reader request
Returns
QuoteBar with the bid/ask set to same values

Definition at line 539 of file QuoteBar.cs.

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◆ ParseEquity() [2/2]

QuoteBar QuantConnect.Data.Market.QuoteBar.ParseEquity ( SubscriptionDataConfig  config,
StreamReader  streamReader,
DateTime  date 
)

Parse a quotebar representing an equity with a scaling factor

Parameters
configSymbols, Resolution, DataType
streamReaderThe data stream of the requested file
dateDate of this reader request
Returns
QuoteBar with the bid/ask set to same values

Definition at line 551 of file QuoteBar.cs.

◆ GetSource()

override SubscriptionDataSource QuantConnect.Data.Market.QuoteBar.GetSource ( SubscriptionDataConfig  config,
DateTime  date,
bool  isLiveMode 
)
virtual

Get Source for Custom Data File

What source file location would you prefer for each type of usage:

Parameters
configConfiguration object
dateDate of this source request if source spread across multiple files
isLiveModetrue if we're in live mode, false for backtesting mode
Returns
String source location of the file

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 709 of file QuoteBar.cs.

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◆ Clone()

override BaseData QuantConnect.Data.Market.QuoteBar.Clone ( )
virtual

Return a new instance clone of this quote bar, used in fill forward

Returns
A clone of the current quote bar

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 729 of file QuoteBar.cs.

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◆ Collapse()

TradeBar QuantConnect.Data.Market.QuoteBar.Collapse ( )

Collapses QuoteBars into TradeBars object when algorithm requires FX data, but calls OnData(TradeBars) TODO: (2017) Remove this method in favor of using OnData(Slice)

Returns
TradeBars

Definition at line 751 of file QuoteBar.cs.

◆ ToString()

override string QuantConnect.Data.Market.QuoteBar.ToString ( )

Convert this QuoteBar to string form.

Returns
String representation of the QuoteBar

Definition at line 760 of file QuoteBar.cs.

Property Documentation

◆ LastBidSize

decimal QuantConnect.Data.Market.QuoteBar.LastBidSize
getset

Average bid size

Definition at line 41 of file QuoteBar.cs.

◆ LastAskSize

decimal QuantConnect.Data.Market.QuoteBar.LastAskSize
getset

Average ask size

Definition at line 47 of file QuoteBar.cs.

◆ Bid

Bar QuantConnect.Data.Market.QuoteBar.Bid
getset

Bid OHLC

Definition at line 53 of file QuoteBar.cs.

◆ Ask

Bar QuantConnect.Data.Market.QuoteBar.Ask
getset

Ask OHLC

Definition at line 59 of file QuoteBar.cs.

◆ Open

decimal QuantConnect.Data.Market.QuoteBar.Open
get

Opening price of the bar: Defined as the price at the start of the time period.

Definition at line 65 of file QuoteBar.cs.

◆ High

decimal QuantConnect.Data.Market.QuoteBar.High
get

High price of the QuoteBar during the time period.

Definition at line 97 of file QuoteBar.cs.

◆ Low

decimal QuantConnect.Data.Market.QuoteBar.Low
get

Low price of the QuoteBar during the time period.

Definition at line 129 of file QuoteBar.cs.

◆ Close

decimal QuantConnect.Data.Market.QuoteBar.Close
get

Closing price of the QuoteBar. Defined as the price at Start Time + TimeSpan.

Definition at line 161 of file QuoteBar.cs.

◆ EndTime

override DateTime QuantConnect.Data.Market.QuoteBar.EndTime
getset

The closing time of this bar, computed via the Time and Period

Definition at line 193 of file QuoteBar.cs.

◆ Period

TimeSpan QuantConnect.Data.Market.QuoteBar.Period
getset

The period of this quote bar, (second, minute, daily, ect...)

Definition at line 202 of file QuoteBar.cs.


The documentation for this class was generated from the following file: