ETF constituent data More...

Inheritance diagram for QuantConnect.Data.UniverseSelection.ETFConstituentUniverse:

Public Member Functions
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< Resolution >	SupportedResolutions ()
	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< BaseData >	GetEnumerator ()
	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...

Properties
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< Symbol >	FilteredContracts `[get, set]`
	Gets or sets the contracts selected by the universe More...

List< BaseData >	Data `[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...

Additional Inherited Members
Static Public Member Functions inherited from QuantConnect.Data.BaseData
static IEnumerable< BaseData >	DeserializeMessage (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< Resolution >	AllResolutions
	A list of all Resolution More...

static readonly List< Resolution >	DailyResolution = new List<Resolution> { Resolution.Daily }
	A list of Resolution.Daily More...

static readonly List< Resolution >	MinuteResolution = new List<Resolution> { Resolution.Minute }
	A list of Resolution.Minute More...

static readonly List< Resolution >	HighResolution = new List<Resolution> { Resolution.Minute, Resolution.Second, Resolution.Tick }
	A list of high Resolution, including minute, second, and tick. More...

static readonly List< Resolution >	OptionResolutions = new List<Resolution> { Resolution.Daily, Resolution.Hour, Resolution.Minute }
	A list of resolutions support by Options More...

Detailed Description

ETF constituent data

Definition at line 31 of file ETFConstituentUniverse.cs.

Member Function Documentation

◆ GetSource()

override SubscriptionDataSource QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.GetSource	(	SubscriptionDataConfig	config,
		DateTime	date,
		bool	isLiveMode
	)

virtual

Return the URL string source of the file. This will be converted to a stream

Parameters

config	Configuration object
date	Date of this source file
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: String URL of source file.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 74 of file ETFConstituentUniverse.cs.

◆ Reader()

override BaseData QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.Reader	(	SubscriptionDataConfig	config,
		string	line,
		DateTime	date,
		bool	isLiveMode
	)

virtual

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.

Parameters

config	Subscription data config setup object
line	Line of the source document
date	Date of the requested data
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: Instance of the T:BaseData object generated by this line of the CSV

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 98 of file ETFConstituentUniverse.cs.

Here is the call graph for this function:

◆ RequiresMapping()

override bool QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.RequiresMapping ( )

virtual

Indicates if there is support for mapping

Returns: True indicates mapping should be used

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 137 of file ETFConstituentUniverse.cs.

◆ Clone()

override BaseData QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.Clone ( )

virtual

Creates a copy of the instance

Returns: Clone of the instance

Reimplemented from QuantConnect.Data.UniverseSelection.BaseDataCollection.

Definition at line 146 of file ETFConstituentUniverse.cs.

◆ IsSparseData()

override bool QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.IsSparseData ( )

virtual

Indicates that the data set is expected to be sparse

Relies on the Symbol property value

This is a method and not a property so that python custom data types can override it

Returns: True if the data set represented by this type is expected to be sparse

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 168 of file ETFConstituentUniverse.cs.

◆ DefaultResolution()

override Resolution QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.DefaultResolution ( )

virtual

Gets the default resolution for this data and security type

This is a method and not a property so that python custom data types can override it.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 180 of file ETFConstituentUniverse.cs.

◆ SupportedResolutions()

override List<Resolution> QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.SupportedResolutions ( )

virtual

Gets the supported resolution for this data and security type

Relies on the Symbol property value

This is a method and not a property so that python custom data types can override it

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 191 of file ETFConstituentUniverse.cs.

◆ DataTimeZone()

override DateTimeZone QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.DataTimeZone ( )

virtual

Specifies the data time zone for this data type. This is useful for custom data types

Will throw InvalidOperationException for security types other than SecurityType.Base

Returns: The DateTimeZone of this data type

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 202 of file ETFConstituentUniverse.cs.

Property Documentation

◆ LastUpdate

DateTime? QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.LastUpdate

getset

Time of the previous ETF constituent data update

Definition at line 36 of file ETFConstituentUniverse.cs.

◆ Weight

decimal? QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.Weight

getset

The percentage of the ETF allocated to this constituent

Definition at line 41 of file ETFConstituentUniverse.cs.

◆ SharesHeld

decimal? QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.SharesHeld

getset

Number of shares held in the ETF

Definition at line 46 of file ETFConstituentUniverse.cs.

◆ MarketValue

decimal? QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.MarketValue

getset

Market value of the current asset held in U.S. dollars

Definition at line 51 of file ETFConstituentUniverse.cs.

◆ Period

TimeSpan QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.Period = TimeSpan.FromDays(1)

getset

Period of the data

Definition at line 56 of file ETFConstituentUniverse.cs.

◆ EndTime

override DateTime QuantConnect.Data.UniverseSelection.ETFConstituentUniverse.EndTime

getset

Time that the data became available to use

Definition at line 62 of file ETFConstituentUniverse.cs.

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

Common/Data/UniverseSelection/ETFConstituentUniverse.cs

Public Member Functions

Properties

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ GetSource()

◆ Reader()

◆ RequiresMapping()

◆ Clone()

◆ IsSparseData()

◆ DefaultResolution()

◆ SupportedResolutions()

◆ DataTimeZone()

Property Documentation

◆ LastUpdate

◆ Weight

◆ SharesHeld

◆ MarketValue

◆ Period

◆ EndTime