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QuantConnect.Data.UniverseSelection.ETFConstituentData Class Reference
Inheritance diagram for QuantConnect.Data.UniverseSelection.ETFConstituentData:
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Additional Inherited Members

- Public Member Functions inherited from QuantConnect.Data.UniverseSelection.ETFConstituentUniverse
override SubscriptionDataSource GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
 Return the URL string source of the file. This will be converted to a stream More...
 
override BaseData Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
 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...
 
override bool RequiresMapping ()
 Indicates if there is support for mapping More...
 
override BaseData Clone ()
 Creates a copy of the instance More...
 
override bool IsSparseData ()
 Indicates that the data set is expected to be sparse More...
 
override Resolution DefaultResolution ()
 Gets the default resolution for this data and security type More...
 
override List< ResolutionSupportedResolutions ()
 Gets the supported resolution for this data and security type More...
 
override DateTimeZone DataTimeZone ()
 Specifies the data time zone for this data type. This is useful for custom data types More...
 
- Public Member Functions inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection
 BaseDataCollection ()
 Initializes a new default instance of the BaseDataCollection c;ass More...
 
 BaseDataCollection (DateTime time, Symbol symbol, IEnumerable< BaseData > data=null)
 Initializes a new instance of the BaseDataCollection class More...
 
 BaseDataCollection (DateTime time, DateTime endTime, Symbol symbol, IEnumerable< BaseData > data=null, BaseData underlying=null, HashSet< Symbol > filteredContracts=null)
 Initializes a new instance of the BaseDataCollection class More...
 
 BaseDataCollection (DateTime time, DateTime endTime, Symbol symbol, List< BaseData > data, BaseData underlying, HashSet< Symbol > filteredContracts)
 Initializes a new instance of the BaseDataCollection class More...
 
virtual Symbol UniverseSymbol (string market=null)
 Creates the universe symbol for the target market More...
 
override bool ShouldCacheToSecurity ()
 Indicates whether this contains data that should be stored in the security cache More...
 
virtual void Add (BaseData newDataPoint)
 Adds a new data point to this collection More...
 
virtual void AddRange (IEnumerable< BaseData > newDataPoints)
 Adds a new data points to this collection More...
 
IEnumerator< BaseDataGetEnumerator ()
 Returns an IEnumerator for this enumerable Object. The enumerator provides a simple way to access all the contents of a collection. More...
 
- Public Member Functions inherited from QuantConnect.Data.BaseData
 BaseData ()
 Constructor for initialising the dase data class More...
 
virtual BaseData Reader (SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode)
 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. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. 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 void Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
 Update routine to build a bar/tick from a data update. 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...
 
- 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...
 
- Properties inherited from QuantConnect.Data.UniverseSelection.ETFConstituentUniverse
DateTime? LastUpdate [get, set]
 Time of the previous ETF constituent data update More...
 
decimal? Weight [get, set]
 The percentage of the ETF allocated to this constituent More...
 
decimal? SharesHeld [get, set]
 Number of shares held in the ETF More...
 
decimal? MarketValue [get, set]
 Market value of the current asset held in U.S. dollars More...
 
TimeSpan Period = TimeSpan.FromDays(1) [get, set]
 Period of the data More...
 
override DateTime EndTime [get, set]
 Time that the data became available to use More...
 
- Properties inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection
BaseData Underlying [get, set]
 The associated underlying price data if any More...
 
HashSet< SymbolFilteredContracts [get, set]
 Gets or sets the contracts selected by the universe More...
 
List< BaseDataData [get, set]
 Gets the data list More...
 
override DateTime EndTime [get, set]
 Gets or sets the end time of this data 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...
 

Detailed Description

Definition at line 26 of file ETFConstituentUniverse.cs.


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