Enumerable Subscription Management Class More...

Public Member Functions
	SubscriptionManager (ITimeKeeper timeKeeper)
	Creates a new instance More...

SubscriptionDataConfig	Add (Symbol symbol, Resolution resolution, DateTimeZone timeZone, DateTimeZone exchangeTimeZone, bool isCustomData=false, bool fillForward=true, bool extendedMarketHours=false)
	Add Market Data Required (Overloaded method for backwards compatibility). More...

SubscriptionDataConfig	Add (Type dataType, TickType tickType, Symbol symbol, Resolution resolution, DateTimeZone dataTimeZone, DateTimeZone exchangeTimeZone, bool isCustomData, bool fillForward=true, bool extendedMarketHours=false, bool isInternalFeed=false, bool isFilteredSubscription=true, DataNormalizationMode dataNormalizationMode=DataNormalizationMode.Adjusted)
	Add Market Data Required - generic data typing support as long as Type implements BaseData. More...

void	AddConsolidator (Symbol symbol, IDataConsolidator consolidator, TickType? tickType=null)
	Add a consolidator for the symbol More...

void	AddConsolidator (Symbol symbol, PyObject pyConsolidator)
	Add a custom python consolidator for the symbol More...

void	RemoveConsolidator (Symbol symbol, IDataConsolidator consolidator)
	Removes the specified consolidator for the symbol More...

void	ScanPastConsolidators (DateTime newUtcTime, IAlgorithm algorithm)
	Will trigger past consolidator scans More...

IReadOnlyList< TickType >	GetDataTypesForSecurity (SecurityType securityType)
	Get the available data types for a security More...

List< Tuple< Type, TickType > >	LookupSubscriptionConfigDataTypes (SecurityType symbolSecurityType, Resolution resolution, bool isCanonical)
	Get the data feed types for a given SecurityType Resolution More...

void	SetDataManager (IAlgorithmSubscriptionManager subscriptionManager)
	Sets the Subscription Manager More...

Static Public Member Functions
static Dictionary< SecurityType, List< TickType > >	DefaultDataTypes ()
	Hard code the set of default available data feeds More...

static bool	IsSubscriptionValidForConsolidator (SubscriptionDataConfig subscription, IDataConsolidator consolidator, TickType? desiredTickType=null)
	Checks if the subscription is valid for the consolidator More...

Public Attributes
ISubscriptionDataConfigService	SubscriptionDataConfigService => _subscriptionManager
	Instance that implements ISubscriptionDataConfigService More...

IEnumerable< SubscriptionDataConfig >	Subscriptions => _subscriptionManager.SubscriptionManagerSubscriptions.Where(config => !config.IsInternalFeed)
	Returns an IEnumerable of Subscriptions More...

Dictionary< SecurityType, List< TickType > >	AvailableDataTypes => _subscriptionManager.AvailableDataTypes
	The different TickType each SecurityType supports More...

int	Count => _subscriptionManager.SubscriptionManagerCount()
	Get the count of assets: More...

Detailed Description

Enumerable Subscription Management Class

Definition at line 32 of file SubscriptionManager.cs.

Constructor & Destructor Documentation

◆ SubscriptionManager()

QuantConnect.Data.SubscriptionManager.SubscriptionManager ( ITimeKeeper timeKeeper )

Creates a new instance

Definition at line 63 of file SubscriptionManager.cs.

Member Function Documentation

◆ Add() [1/2]

SubscriptionDataConfig QuantConnect.Data.SubscriptionManager.Add	(	Symbol	symbol,
		Resolution	resolution,
		DateTimeZone	timeZone,
		DateTimeZone	exchangeTimeZone,
		bool	isCustomData = `false`,
		bool	fillForward = `true`,
		bool	extendedMarketHours = `false`
	)

Add Market Data Required (Overloaded method for backwards compatibility).

Parameters

symbol	Symbol of the asset we're like
resolution	Resolution of Asset Required
timeZone	The time zone the subscription's data is time stamped in
exchangeTimeZone	Specifies the time zone of the exchange for the security this subscription is for. This is this output time zone, that is, the time zone that will be used on BaseData instances
isCustomData	True if this is custom user supplied data, false for normal QC data
fillForward	when there is no data pass the last tradebar forward
extendedMarketHours	Request premarket data as well when true

Returns: The newly created SubscriptionDataConfig or existing instance if it already existed

Definition at line 86 of file SubscriptionManager.cs.

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◆ Add() [2/2]

SubscriptionDataConfig QuantConnect.Data.SubscriptionManager.Add	(	Type	dataType,
		TickType	tickType,
		Symbol	symbol,
		Resolution	resolution,
		DateTimeZone	dataTimeZone,
		DateTimeZone	exchangeTimeZone,
		bool	isCustomData,
		bool	fillForward = `true`,
		bool	extendedMarketHours = `false`,
		bool	isInternalFeed = `false`,
		bool	isFilteredSubscription = `true`,
		DataNormalizationMode	dataNormalizationMode = `DataNormalizationMode.Adjusted`
	)

Add Market Data Required - generic data typing support as long as Type implements BaseData.

Parameters

dataType	Set the type of the data we're subscribing to.
tickType	Tick type for the subscription.
symbol	Symbol of the asset we're like
resolution	Resolution of Asset Required
dataTimeZone	The time zone the subscription's data is time stamped in
exchangeTimeZone	Specifies the time zone of the exchange for the security this subscription is for. This is this output time zone, that is, the time zone that will be used on BaseData instances
isCustomData	True if this is custom user supplied data, false for normal QC data
fillForward	when there is no data pass the last tradebar forward
extendedMarketHours	Request premarket data as well when true
isInternalFeed	Set to true to prevent data from this subscription from being sent into the algorithm's OnData events
isFilteredSubscription	True if this subscription should have filters applied to it (market hours/user filters from security), false otherwise
dataNormalizationMode	Define how data is normalized

Returns: The newly created SubscriptionDataConfig or existing instance if it already existed

Definition at line 135 of file SubscriptionManager.cs.

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◆ AddConsolidator() [1/2]

void QuantConnect.Data.SubscriptionManager.AddConsolidator	(	Symbol	symbol,
		IDataConsolidator	consolidator,
		TickType?	tickType = `null`
	)

Add a consolidator for the symbol

Parameters

symbol	Symbol of the asset to consolidate
consolidator	The consolidator
tickType	Desired tick type for the subscription

Definition at line 163 of file SubscriptionManager.cs.

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◆ AddConsolidator() [2/2]

void QuantConnect.Data.SubscriptionManager.AddConsolidator	(	Symbol	symbol,
		PyObject	pyConsolidator
	)

Add a custom python consolidator for the symbol

Parameters

symbol	Symbol of the asset to consolidate
pyConsolidator	The custom python consolidator

Definition at line 206 of file SubscriptionManager.cs.

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◆ RemoveConsolidator()

void QuantConnect.Data.SubscriptionManager.RemoveConsolidator	(	Symbol	symbol,
		IDataConsolidator	consolidator
	)

Removes the specified consolidator for the symbol

Parameters

symbol	The symbol the consolidator is receiving data from
consolidator	The consolidator instance to be removed

Definition at line 221 of file SubscriptionManager.cs.

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◆ ScanPastConsolidators()

void QuantConnect.Data.SubscriptionManager.ScanPastConsolidators	(	DateTime	newUtcTime,
		IAlgorithm	algorithm
	)

Will trigger past consolidator scans

Parameters

newUtcTime	The new utc time
algorithm	The algorithm instance

Definition at line 246 of file SubscriptionManager.cs.

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◆ DefaultDataTypes()

static Dictionary<SecurityType, List<TickType> > QuantConnect.Data.SubscriptionManager.DefaultDataTypes ( )

static

Hard code the set of default available data feeds

Definition at line 276 of file SubscriptionManager.cs.

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◆ GetDataTypesForSecurity()

IReadOnlyList<TickType> QuantConnect.Data.SubscriptionManager.GetDataTypesForSecurity ( SecurityType securityType )

Get the available data types for a security

Definition at line 298 of file SubscriptionManager.cs.

◆ LookupSubscriptionConfigDataTypes()

List<Tuple<Type, TickType> > QuantConnect.Data.SubscriptionManager.LookupSubscriptionConfigDataTypes	(	SecurityType	symbolSecurityType,
		Resolution	resolution,
		bool	isCanonical
	)

Get the data feed types for a given SecurityType Resolution

Parameters

symbolSecurityType	The SecurityType used to determine the types
resolution	The resolution of the data requested
isCanonical	Indicates whether the security is Canonical (future and options)

Returns: Types that should be added to the SubscriptionDataConfig

Definition at line 310 of file SubscriptionManager.cs.

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◆ SetDataManager()

void QuantConnect.Data.SubscriptionManager.SetDataManager ( IAlgorithmSubscriptionManager subscriptionManager )

Sets the Subscription Manager

Definition at line 322 of file SubscriptionManager.cs.

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◆ IsSubscriptionValidForConsolidator()

static bool QuantConnect.Data.SubscriptionManager.IsSubscriptionValidForConsolidator	(	SubscriptionDataConfig	subscription,
		IDataConsolidator	consolidator,
		TickType?	desiredTickType = `null`
	)

static

Checks if the subscription is valid for the consolidator

Parameters

subscription	The subscription configuration
consolidator	The consolidator
desiredTickType	The desired tick type for the subscription. If not given is null.

Returns: true if the subscription is valid for the consolidator

Definition at line 334 of file SubscriptionManager.cs.

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Member Data Documentation

◆ SubscriptionDataConfigService

ISubscriptionDataConfigService QuantConnect.Data.SubscriptionManager.SubscriptionDataConfigService => _subscriptionManager

Instance that implements ISubscriptionDataConfigService

Definition at line 42 of file SubscriptionManager.cs.

◆ Subscriptions

IEnumerable<SubscriptionDataConfig> QuantConnect.Data.SubscriptionManager.Subscriptions => _subscriptionManager.SubscriptionManagerSubscriptions.Where(config => !config.IsInternalFeed)

Returns an IEnumerable of Subscriptions

Will not return internal subscriptions

Definition at line 48 of file SubscriptionManager.cs.

◆ AvailableDataTypes

Dictionary<SecurityType, List<TickType> > QuantConnect.Data.SubscriptionManager.AvailableDataTypes => _subscriptionManager.AvailableDataTypes

The different TickType each SecurityType supports

Definition at line 53 of file SubscriptionManager.cs.

◆ Count

int QuantConnect.Data.SubscriptionManager.Count => _subscriptionManager.SubscriptionManagerCount()

Get the count of assets:

Definition at line 58 of file SubscriptionManager.cs.

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

Common/Data/SubscriptionManager.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Detailed Description

Constructor & Destructor Documentation

◆ SubscriptionManager()

Member Function Documentation

◆ Add() [1/2]

◆ Add() [2/2]

◆ AddConsolidator() [1/2]

◆ AddConsolidator() [2/2]

◆ RemoveConsolidator()

◆ ScanPastConsolidators()

◆ DefaultDataTypes()

◆ GetDataTypesForSecurity()

◆ LookupSubscriptionConfigDataTypes()

◆ SetDataManager()

◆ IsSubscriptionValidForConsolidator()

Member Data Documentation

◆ SubscriptionDataConfigService

◆ Subscriptions

◆ AvailableDataTypes

◆ Count