Lean  $LEAN_TAG$
QuantConnect.Research.QuantBook Class Reference

Provides access to data for quantitative analysis More...

Inheritance diagram for QuantConnect.Research.QuantBook:
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Public Member Functions

 QuantBook ()
 QuantBook constructor. Provides access to data for quantitative analysis More...
 
PyObject GetFundamental (PyObject input, string selector=null, DateTime? start=null, DateTime? end=null)
 Python implementation of GetFundamental, get fundamental data for input symbols or tickers More...
 
IEnumerable< DataDictionary< dynamic > > GetFundamental (IEnumerable< Symbol > symbols, string selector=null, DateTime? start=null, DateTime? end=null)
 Get fundamental data from given symbols More...
 
IEnumerable< DataDictionary< dynamic > > GetFundamental (Symbol symbol, string selector=null, DateTime? start=null, DateTime? end=null)
 Get fundamental data for a given symbol More...
 
IEnumerable< DataDictionary< dynamic > > GetFundamental (IEnumerable< string > tickers, string selector=null, DateTime? start=null, DateTime? end=null)
 Get fundamental data for a given set of tickers More...
 
dynamic GetFundamental (string ticker, string selector=null, DateTime? start=null, DateTime? end=null)
 Get fundamental data for a given ticker More...
 
OptionHistory OptionHistory (Symbol symbol, string targetOption, DateTime start, DateTime? end=null, Resolution? resolution=null, bool fillForward=true, bool extendedMarketHours=false)
 Gets OptionHistory object for a given symbol, date and resolution More...
 
OptionHistory GetOptionHistory (Symbol symbol, string targetOption, DateTime start, DateTime? end=null, Resolution? resolution=null, bool fillForward=true, bool extendedMarketHours=false)
 Gets OptionHistory object for a given symbol, date and resolution More...
 
OptionHistory OptionHistory (Symbol symbol, DateTime start, DateTime? end=null, Resolution? resolution=null, bool fillForward=true, bool extendedMarketHours=false)
 Gets OptionHistory object for a given symbol, date and resolution More...
 
OptionHistory GetOptionHistory (Symbol symbol, DateTime start, DateTime? end=null, Resolution? resolution=null, bool fillForward=true, bool extendedMarketHours=false)
 Gets OptionHistory object for a given symbol, date and resolution More...
 
FutureHistory FutureHistory (Symbol symbol, DateTime start, DateTime? end=null, Resolution? resolution=null, bool fillForward=true, bool extendedMarketHours=false)
 Gets FutureHistory object for a given symbol, date and resolution More...
 
FutureHistory GetFutureHistory (Symbol symbol, DateTime start, DateTime? end=null, Resolution? resolution=null, bool fillForward=true, bool extendedMarketHours=false)
 Gets FutureHistory object for a given symbol, date and resolution More...
 
PyObject Indicator (IndicatorBase< IndicatorDataPoint > indicator, Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Gets the historical data of an indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
PyObject Indicator (IndicatorBase< IBaseDataBar > indicator, Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
PyObject Indicator (IndicatorBase< TradeBar > indicator, Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
PyObject Indicator (IndicatorBase< IndicatorDataPoint > indicator, Symbol symbol, TimeSpan span, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Gets the historical data of an indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
PyObject Indicator (IndicatorBase< IBaseDataBar > indicator, Symbol symbol, TimeSpan span, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
PyObject Indicator (IndicatorBase< TradeBar > indicator, Symbol symbol, TimeSpan span, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
PyObject Indicator (IndicatorBase< IndicatorDataPoint > indicator, Symbol symbol, DateTime start, DateTime end, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Gets the historical data of an indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
PyObject Indicator (IndicatorBase< IBaseDataBar > indicator, Symbol symbol, DateTime start, DateTime end, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
PyObject Indicator (IndicatorBase< TradeBar > indicator, Symbol symbol, DateTime start, DateTime end, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
IEnumerable< IEnumerable< T2 > > UniverseHistory< T1, T2 > (DateTime start, DateTime? end=null, Func< IEnumerable< T2 >, IEnumerable< Symbol >> func=null)
 Will return the universe selection data and will optionally perform selection More...
 
IEnumerable< IEnumerable< BaseData > > UniverseHistory (Universe universe, DateTime start, DateTime? end=null)
 Will return the universe selection data and will optionally perform selection More...
 
PyObject UniverseHistory (PyObject universe, DateTime start, DateTime? end=null, PyObject func=null)
 Will return the universe selection data and will optionally perform selection More...
 
PyDict GetPortfolioStatistics (PyObject dataFrame)
 Gets Portfolio Statistics from a pandas.DataFrame with equity and benchmark values More...
 
- Public Member Functions inherited from QuantConnect.Algorithm.QCAlgorithm
 QCAlgorithm ()
 QCAlgorithm Base Class Constructor - Initialize the underlying QCAlgorithm components. QCAlgorithm manages the transactions, portfolio, charting and security subscriptions for the users algorithms. More...
 
virtual void Initialize ()
 Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. More...
 
virtual void PostInitialize ()
 Called by setup handlers after Initialize and allows the algorithm a chance to organize the data gather in the Initialize method More...
 
virtual void OnWarmupFinished ()
 Called when the algorithm has completed initialization and warm up. More...
 
string GetParameter (string name, string defaultValue=null)
 Gets the parameter with the specified name. If a parameter with the specified name does not exist, the given default value is returned if any, else null More...
 
int GetParameter (string name, int defaultValue)
 Gets the parameter with the specified name parsed as an integer. If a parameter with the specified name does not exist, or the conversion is not possible, the given default value is returned More...
 
double GetParameter (string name, double defaultValue)
 Gets the parameter with the specified name parsed as a double. If a parameter with the specified name does not exist, or the conversion is not possible, the given default value is returned More...
 
decimal GetParameter (string name, decimal defaultValue)
 Gets the parameter with the specified name parsed as a decimal. If a parameter with the specified name does not exist, or the conversion is not possible, the given default value is returned More...
 
IReadOnlyDictionary< string, string > GetParameters ()
 Gets a read-only dictionary with all current parameters More...
 
void SetParameters (Dictionary< string, string > parameters)
 Sets the parameters from the dictionary More...
 
void SetAvailableDataTypes (Dictionary< SecurityType, List< TickType >> availableDataTypes)
 Set the available data feeds in the SecurityManager More...
 
void SetSecurityInitializer (ISecurityInitializer securityInitializer)
 Sets the security initializer, used to initialize/configure securities after creation. The initializer will be applied to all universes and manually added securities. More...
 
void SetSecurityInitializer (Action< Security, bool > securityInitializer)
 Sets the security initializer function, used to initialize/configure securities after creation. The initializer will be applied to all universes and manually added securities. More...
 
void SetSecurityInitializer (Action< Security > securityInitializer)
 Sets the security initializer function, used to initialize/configure securities after creation. The initializer will be applied to all universes and manually added securities. More...
 
void SetOptionChainProvider (IOptionChainProvider optionChainProvider)
 Sets the option chain provider, used to get the list of option contracts for an underlying symbol More...
 
void SetFutureChainProvider (IFutureChainProvider futureChainProvider)
 Sets the future chain provider, used to get the list of future contracts for an underlying symbol More...
 
virtual void OnData (Slice slice)
 Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event More...
 
virtual void OnSecuritiesChanged (SecurityChanges changes)
 Event fired each time the we add/remove securities from the data feed More...
 
virtual void OnMarginCall (List< SubmitOrderRequest > requests)
 Margin call event handler. This method is called right before the margin call orders are placed in the market. More...
 
virtual void OnMarginCallWarning ()
 Margin call warning event handler. This method is called when Portfolio.MarginRemaining is under 5% of your Portfolio.TotalPortfolioValue More...
 
virtual void OnEndOfDay ()
 End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets). More...
 
virtual void OnEndOfDay (string symbol)
 End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets). More...
 
virtual void OnEndOfDay (Symbol symbol)
 End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets). More...
 
virtual void OnEndOfAlgorithm ()
 End of algorithm run event handler. This method is called at the end of a backtest or live trading operation. Intended for closing out logs. More...
 
virtual void OnOrderEvent (OrderEvent orderEvent)
 Order fill event handler. On an order fill update the resulting information is passed to this method. More...
 
virtual void OnAssignmentOrderEvent (OrderEvent assignmentEvent)
 Option assignment event handler. On an option assignment event for short legs the resulting information is passed to this method. More...
 
virtual void OnBrokerageMessage (BrokerageMessageEvent messageEvent)
 Brokerage message event handler. This method is called for all types of brokerage messages. More...
 
virtual void OnBrokerageDisconnect ()
 Brokerage disconnected event handler. This method is called when the brokerage connection is lost. More...
 
virtual void OnBrokerageReconnect ()
 Brokerage reconnected event handler. This method is called when the brokerage connection is restored after a disconnection. More...
 
void SetDateTime (DateTime frontier)
 Update the internal algorithm time frontier. More...
 
void SetTimeZone (string timeZone)
 Sets the time zone of the Time property in the algorithm More...
 
void SetTimeZone (DateTimeZone timeZone)
 Sets the time zone of the Time property in the algorithm More...
 
void SetBrokerageModel (BrokerageName brokerage, AccountType accountType=AccountType.Margin)
 Sets the brokerage to emulate in backtesting or paper trading. This can be used for brokerages that have been implemented in LEAN More...
 
void SetBrokerageModel (IBrokerageModel model)
 Sets the brokerage to emulate in backtesting or paper trading. This can be used to set a custom brokerage model. More...
 
void SetBrokerageMessageHandler (IBrokerageMessageHandler handler)
 Sets the implementation used to handle messages from the brokerage. The default implementation will forward messages to debug or error and when a BrokerageMessageType.Error occurs, the algorithm is stopped. More...
 
void SetRiskFreeInterestRateModel (IRiskFreeInterestRateModel model)
 Sets the risk free interest rate model to be used in the algorithm More...
 
void SetBenchmark (SecurityType securityType, string symbol)
 Sets the benchmark used for computing statistics of the algorithm to the specified symbol More...
 
void SetBenchmark (string ticker)
 Sets the benchmark used for computing statistics of the algorithm to the specified ticker, defaulting to SecurityType.Equity if the ticker doesn't exist in the algorithm More...
 
void SetBenchmark (Symbol symbol)
 Sets the benchmark used for computing statistics of the algorithm to the specified symbol More...
 
void SetBenchmark (Func< DateTime, decimal > benchmark)
 Sets the specified function as the benchmark, this function provides the value of the benchmark at each date/time requested More...
 
void SetName (string name)
 Sets name to the currently running backtest More...
 
void AddTag (string tag)
 Adds a tag to the algorithm More...
 
void SetTags (HashSet< string > tags)
 Sets the tags for the algorithm More...
 
void SetAccountCurrency (string accountCurrency, decimal? startingCash=null)
 Sets the account currency cash symbol this algorithm is to manage, as well as the starting cash in this currency if given More...
 
void SetCash (double startingCash)
 Set initial cash for the strategy while backtesting. During live mode this value is ignored and replaced with the actual cash of your brokerage account. More...
 
void SetCash (int startingCash)
 Set initial cash for the strategy while backtesting. During live mode this value is ignored and replaced with the actual cash of your brokerage account. More...
 
void SetCash (decimal startingCash)
 Set initial cash for the strategy while backtesting. During live mode this value is ignored and replaced with the actual cash of your brokerage account. More...
 
void SetCash (string symbol, decimal startingCash, decimal conversionRate=0)
 Set the cash for the specified symbol More...
 
void SetStartDate (int year, int month, int day)
 Set the start date for backtest. More...
 
void SetEndDate (int year, int month, int day)
 Set the end date for a backtest run More...
 
void SetAlgorithmId (string algorithmId)
 Set the algorithm id (backtestId or live deployId for the algorithm). More...
 
void SetStartDate (DateTime start)
 Set the start date for the backtest More...
 
void SetEndDate (DateTime end)
 Set the end date for a backtest. More...
 
void SetLocked ()
 Lock the algorithm initialization to avoid user modifiying cash and data stream subscriptions More...
 
bool GetLocked ()
 Gets whether or not this algorithm has been locked and fully initialized More...
 
void SetLiveMode (bool live)
 Set live mode state of the algorithm run: Public setter for the algorithm property LiveMode. More...
 
void SetAlgorithmMode (AlgorithmMode algorithmMode)
 Sets the algorithm running mode More...
 
void SetDeploymentTarget (DeploymentTarget deploymentTarget)
 Sets the algorithm deployment target More...
 
void SetTradeBuilder (ITradeBuilder tradeBuilder)
 Set the ITradeBuilder implementation to generate trades from executions and market price updates More...
 
Security AddSecurity (SecurityType securityType, string ticker, Resolution? resolution=null, bool fillForward=true, bool extendedMarketHours=false, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null)
 Add specified data to our data subscriptions. QuantConnect will funnel this data to the handle data routine. More...
 
Security AddSecurity (SecurityType securityType, string ticker, Resolution? resolution, bool fillForward, decimal leverage, bool extendedMarketHours, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null)
 Add specified data to required list. QC will funnel this data to the handle data routine. More...
 
Security AddSecurity (SecurityType securityType, string ticker, Resolution? resolution, string market, bool fillForward, decimal leverage, bool extendedMarketHours, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null)
 Set a required SecurityType-symbol and resolution for algorithm More...
 
Security AddSecurity (Symbol symbol, Resolution? resolution=null, bool fillForward=true, decimal leverage=Security.NullLeverage, bool extendedMarketHours=false, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int contractDepthOffset=0)
 Set a required SecurityType-symbol and resolution for algorithm More...
 
Equity AddEquity (string ticker, Resolution? resolution=null, string market=null, bool fillForward=true, decimal leverage=Security.NullLeverage, bool extendedMarketHours=false, DataNormalizationMode? dataNormalizationMode=null)
 Creates and adds a new Equity security to the algorithm More...
 
Option AddOption (string underlying, Resolution? resolution=null, string market=null, bool fillForward=true, decimal leverage=Security.NullLeverage)
 Creates and adds a new equity Option security to the algorithm More...
 
Option AddOption (Symbol underlying, Resolution? resolution=null, string market=null, bool fillForward=true, decimal leverage=Security.NullLeverage)
 Creates and adds a new Option security to the algorithm. This method can be used to add options with non-equity asset classes to the algorithm (e.g. Future Options). More...
 
Option AddOption (Symbol underlying, string targetOption, Resolution? resolution=null, string market=null, bool fillForward=true, decimal leverage=Security.NullLeverage)
 Creates and adds a new Option security to the algorithm. This method can be used to add options with non-equity asset classes to the algorithm (e.g. Future Options). More...
 
Future AddFuture (string ticker, Resolution? resolution=null, string market=null, bool fillForward=true, decimal leverage=Security.NullLeverage, bool extendedMarketHours=false, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int contractDepthOffset=0)
 Creates and adds a new Future security to the algorithm More...
 
Future AddFutureContract (Symbol symbol, Resolution? resolution=null, bool fillForward=true, decimal leverage=Security.NullLeverage, bool extendedMarketHours=false)
 Creates and adds a new single Future contract to the algorithm More...
 
void AddFutureOption (Symbol symbol, Func< OptionFilterUniverse, OptionFilterUniverse > optionFilter=null)
 Creates and adds a new Future Option contract to the algorithm. More...
 
Option AddFutureOptionContract (Symbol symbol, Resolution? resolution=null, bool fillForward=true, decimal leverage=Security.NullLeverage, bool extendedMarketHours=false)
 Adds a future option contract to the algorithm. More...
 
Option AddIndexOption (string ticker, Resolution? resolution=null, string market=Market.USA, bool fillForward=true)
 Creates and adds index options to the algorithm. More...
 
Option AddIndexOption (Symbol symbol, Resolution? resolution=null, bool fillForward=true)
 Creates and adds index options to the algorithm. More...
 
Option AddIndexOption (Symbol symbol, string targetOption, Resolution? resolution=null, bool fillForward=true)
 Creates and adds index options to the algorithm. More...
 
Option AddIndexOptionContract (Symbol symbol, Resolution? resolution=null, bool fillForward=true)
 Adds an index option contract to the algorithm. More...
 
Option AddOptionContract (Symbol symbol, Resolution? resolution=null, bool fillForward=true, decimal leverage=Security.NullLeverage, bool extendedMarketHours=false)
 Creates and adds a new single Option contract to the algorithm More...
 
Forex AddForex (string ticker, Resolution? resolution=null, string market=null, bool fillForward=true, decimal leverage=Security.NullLeverage)
 Creates and adds a new Forex security to the algorithm More...
 
Cfd AddCfd (string ticker, Resolution? resolution=null, string market=null, bool fillForward=true, decimal leverage=Security.NullLeverage)
 Creates and adds a new Cfd security to the algorithm More...
 
Index AddIndex (string ticker, Resolution? resolution=null, string market=null, bool fillForward=true)
 Creates and adds a new Index security to the algorithm More...
 
Crypto AddCrypto (string ticker, Resolution? resolution=null, string market=null, bool fillForward=true, decimal leverage=Security.NullLeverage)
 Creates and adds a new Crypto security to the algorithm More...
 
CryptoFuture AddCryptoFuture (string ticker, Resolution? resolution=null, string market=null, bool fillForward=true, decimal leverage=Security.NullLeverage)
 Creates and adds a new CryptoFuture security to the algorithm More...
 
bool RemoveOptionContract (Symbol symbol)
 Removes the security with the specified symbol. This will cancel all open orders and then liquidate any existing holdings More...
 
bool RemoveSecurity (Symbol symbol)
 Removes the security with the specified symbol. This will cancel all open orders and then liquidate any existing holdings More...
 
Security AddData< T > (string ticker, Resolution? resolution=null)
 AddData

Template Parameters
Ta new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)
More...
 
Security AddData< T > (Symbol underlying, Resolution? resolution=null)
 AddData

Template Parameters
Ta new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)
More...
 
Security AddData< T > (string ticker, Resolution? resolution, bool fillForward, decimal leverage=1.0m)
 AddData

Template Parameters
Ta new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)
More...
 
Security AddData< T > (Symbol underlying, Resolution? resolution, bool fillForward, decimal leverage=1.0m)
 AddData

Template Parameters
Ta new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)
More...
 
Security AddData< T > (string ticker, Resolution? resolution, DateTimeZone timeZone, bool fillForward=false, decimal leverage=1.0m)
 AddData

Template Parameters
Ta new user defined data source, requiring only the minimum config options.
More...
 
Security AddData< T > (Symbol underlying, Resolution? resolution, DateTimeZone timeZone, bool fillForward=false, decimal leverage=1.0m)
 AddData

Template Parameters
Ta new user defined data source, requiring only the minimum config options.
More...
 
Security AddData< T > (string ticker, SymbolProperties properties, SecurityExchangeHours exchangeHours, Resolution? resolution=null, bool fillForward=false, decimal leverage=1.0m)
 AddData

Template Parameters
Ta new user defined data source including symbol properties and exchange hours, all other vars are not required and will use defaults.
More...
 
void Debug (string message)
 Send a debug message to the web console: More...
 
void Debug (int message)
 Send a debug message to the web console: More...
 
void Debug (double message)
 Send a debug message to the web console: More...
 
void Debug (decimal message)
 Send a debug message to the web console: More...
 
void Log (string message)
 Added another method for logging if user guessed. More...
 
void Log (int message)
 Added another method for logging if user guessed. More...
 
void Log (double message)
 Added another method for logging if user guessed. More...
 
void Log (decimal message)
 Added another method for logging if user guessed. More...
 
void Error (string message)
 Send a string error message to the Console. More...
 
void Error (int message)
 Send a int error message to the Console. More...
 
void Error (double message)
 Send a double error message to the Console. More...
 
void Error (decimal message)
 Send a decimal error message to the Console. More...
 
void Error (Exception error)
 Send a string error message to the Console. More...
 
void Quit (string message="")
 Terminate the algorithm after processing the current event handler. More...
 
void SetQuit (bool quit)
 Set the Quit flag property of the algorithm. More...
 
Symbol Symbol (string ticker)
 Converts the string 'ticker' symbol into a full Symbol object This requires that the string 'ticker' has been added to the algorithm More...
 
string Ticker (Symbol symbol)
 For the given symbol will resolve the ticker it used at the current algorithm date More...
 
void SetHistoryProvider (IHistoryProvider historyProvider)
 Set the historical data provider More...
 
void SetRunTimeError (Exception exception)
 Set the runtime error More...
 
void SetStatus (AlgorithmStatus status)
 Set the state of a live deployment More...
 
string Download (string address)
 Downloads the requested resource as a string. The resource to download is specified as a string containing the URI. More...
 
string Download (string address, IEnumerable< KeyValuePair< string, string >> headers)
 Downloads the requested resource as a string. The resource to download is specified as a string containing the URI. More...
 
string Download (string address, IEnumerable< KeyValuePair< string, string >> headers, string userName, string password)
 Downloads the requested resource as a string. The resource to download is specified as a string containing the URI. More...
 
ScheduledEvent Train (Action trainingCode)
 Schedules the provided training code to execute immediately More...
 
ScheduledEvent Train (IDateRule dateRule, ITimeRule timeRule, Action trainingCode)
 Schedules the training code to run using the specified date and time rules More...
 
void SetCurrentSlice (Slice slice)
 Sets the current slice More...
 
void SetApi (IApi api)
 Provide the API for the algorithm. More...
 
void SetObjectStore (IObjectStore objectStore)
 Sets the object store More...
 
bool Shortable (Symbol symbol)
 Determines if the Symbol is shortable at the brokerage More...
 
bool Shortable (Symbol symbol, decimal shortQuantity, int? updateOrderId=null)
 Determines if the Symbol is shortable at the brokerage More...
 
long ShortableQuantity (Symbol symbol)
 Gets the quantity shortable for the given asset More...
 
Symbol ISIN (string isin, DateTime? tradingDate=null)
 Converts an ISIN identifier into a Symbol More...
 
string ISIN (Symbol symbol)
 Converts a Symbol into an ISIN identifier More...
 
Symbol CompositeFIGI (string compositeFigi, DateTime? tradingDate=null)
 Converts a composite FIGI identifier into a Symbol More...
 
string CompositeFIGI (Symbol symbol)
 Converts a Symbol into a composite FIGI identifier More...
 
Symbol CUSIP (string cusip, DateTime? tradingDate=null)
 Converts a CUSIP identifier into a Symbol More...
 
string CUSIP (Symbol symbol)
 Converts a Symbol into a CUSIP identifier More...
 
Symbol SEDOL (string sedol, DateTime? tradingDate=null)
 Converts a SEDOL identifier into a Symbol More...
 
string SEDOL (Symbol symbol)
 Converts a Symbol into a SEDOL identifier More...
 
Symbol[] CIK (int cik, DateTime? tradingDate=null)
 Converts a CIK identifier into Symbol array More...
 
int? CIK (Symbol symbol)
 Converts a Symbol into a CIK identifier More...
 
Fundamental Fundamentals (Symbol symbol)
 Get the fundamental data for the requested symbol at the current time More...
 
List< FundamentalFundamentals (List< Symbol > symbols)
 Get the fundamental data for the requested symbols at the current time More...
 
void SetStatisticsService (IStatisticsService statisticsService)
 Sets the statistics service instance to be used by the algorithm More...
 
void FrameworkPostInitialize ()
 Called by setup handlers after Initialize and allows the algorithm a chance to organize the data gather in the Initialize method More...
 
void OnFrameworkData (Slice slice)
 Used to send data updates to algorithm framework models More...
 
void OnFrameworkSecuritiesChanged (SecurityChanges changes)
 Used to send security changes to algorithm framework models More...
 
void SetUniverseSelection (IUniverseSelectionModel universeSelection)
 Sets the universe selection model More...
 
void AddUniverseSelection (IUniverseSelectionModel universeSelection)
 Adds a new universe selection model More...
 
void SetAlpha (IAlphaModel alpha)
 Sets the alpha model More...
 
void AddAlpha (IAlphaModel alpha)
 Adds a new alpha model More...
 
void SetPortfolioConstruction (IPortfolioConstructionModel portfolioConstruction)
 Sets the portfolio construction model More...
 
void SetExecution (IExecutionModel execution)
 Sets the execution model More...
 
void SetRiskManagement (IRiskManagementModel riskManagement)
 Sets the risk management model More...
 
void AddRiskManagement (IRiskManagementModel riskManagement)
 Adds a new risk management model More...
 
void EmitInsights (params Insight[] insights)
 Manually emit insights from an algorithm. This is typically invoked before calls to submit orders in algorithms written against QCAlgorithm that have been ported into the algorithm framework. More...
 
void EmitInsights (Insight insight)
 Manually emit insights from an algorithm. This is typically invoked before calls to submit orders in algorithms written against QCAlgorithm that have been ported into the algorithm framework. More...
 
void SetAlpha (PyObject alpha)
 Sets the alpha model More...
 
void AddAlpha (PyObject alpha)
 Adds a new alpha model More...
 
void SetExecution (PyObject execution)
 Sets the execution model More...
 
void SetPortfolioConstruction (PyObject portfolioConstruction)
 Sets the portfolio construction model More...
 
void SetUniverseSelection (PyObject universeSelection)
 Sets the universe selection model More...
 
void AddUniverseSelection (PyObject universeSelection)
 Adds a new universe selection model More...
 
void SetRiskManagement (PyObject riskManagement)
 Sets the risk management model More...
 
void AddRiskManagement (PyObject riskManagement)
 Adds a new risk management model More...
 
void SetWarmup (TimeSpan timeSpan)
 Sets the warm up period to the specified value More...
 
void SetWarmUp (TimeSpan timeSpan)
 Sets the warm up period to the specified value More...
 
void SetWarmup (TimeSpan timeSpan, Resolution? resolution)
 Sets the warm up period to the specified value More...
 
void SetWarmUp (TimeSpan timeSpan, Resolution? resolution)
 Sets the warm up period to the specified value More...
 
void SetWarmup (int barCount)
 Sets the warm up period by resolving a start date that would send that amount of data into the algorithm. The highest (smallest) resolution in the securities collection will be used. For example, if an algorithm has minute and daily data and 200 bars are requested, that would use 200 minute bars. More...
 
void SetWarmUp (int barCount)
 Sets the warm up period by resolving a start date that would send that amount of data into the algorithm. The highest (smallest) resolution in the securities collection will be used. For example, if an algorithm has minute and daily data and 200 bars are requested, that would use 200 minute bars. More...
 
void SetWarmup (int barCount, Resolution? resolution)
 Sets the warm up period by resolving a start date that would send that amount of data into the algorithm. More...
 
void SetWarmUp (int barCount, Resolution? resolution)
 Sets the warm up period by resolving a start date that would send that amount of data into the algorithm. More...
 
void SetFinishedWarmingUp ()
 Sets IAlgorithm.IsWarmingUp to false to indicate this algorithm has finished its warm up More...
 
IEnumerable< SliceHistory (TimeSpan span, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection. More...
 
IEnumerable< SliceHistory (int periods, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection. More...
 
IEnumerable< BaseDataCollectionHistory (Universe universe, int periods, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection. More...
 
IEnumerable< BaseDataCollectionHistory (Universe universe, TimeSpan span, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for all symbols of the requested type over the requested span. The symbol's configured values for resolution and fill forward behavior will be used The symbols must exist in the Securities collection. More...
 
IEnumerable< BaseDataCollectionHistory (Universe universe, DateTime start, DateTime end, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols between the specified dates. The symbols must exist in the Securities collection. More...
 
IEnumerable< DataDictionary< T > > History< T > (TimeSpan span, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode ? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for all symbols of the requested type over the requested span. The symbol's configured values for resolution and fill forward behavior will be used The symbols must exist in the Securities collection. More...
 
IEnumerable< DataDictionary< T > > History< T > (IEnumerable< Symbol > symbols, TimeSpan span, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols over the requested span. The symbols must exist in the Securities collection. More...
 
IEnumerable< DataDictionary< T > > History< T > (IEnumerable< Symbol > symbols, int periods, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols. The exact number of bars will be returned for each symbol. This may result in some data start earlier/later than others due to when various exchanges are open. The symbols must exist in the Securities collection. More...
 
IEnumerable< DataDictionary< T > > History< T > (IEnumerable< Symbol > symbols, DateTime start, DateTime end, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols between the specified dates. The symbols must exist in the Securities collection. More...
 
IEnumerable< THistory< T > (Symbol symbol, TimeSpan span, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbol over the request span. The symbol must exist in the Securities collection. More...
 
IEnumerable< TradeBarHistory (Symbol symbol, int periods, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
IEnumerable< THistory< T > (Symbol symbol, int periods, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
IEnumerable< THistory< T > (Symbol symbol, DateTime start, DateTime end, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbol between the specified dates. The symbol must exist in the Securities collection. More...
 
IEnumerable< TradeBarHistory (Symbol symbol, TimeSpan span, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbol over the request span. The symbol must exist in the Securities collection. More...
 
IEnumerable< TradeBarHistory (Symbol symbol, DateTime start, DateTime end, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbol over the request span. The symbol must exist in the Securities collection. More...
 
IEnumerable< SliceHistory (IEnumerable< Symbol > symbols, TimeSpan span, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols over the requested span. The symbol's configured values for resolution and fill forward behavior will be used The symbols must exist in the Securities collection. More...
 
IEnumerable< SliceHistory (IEnumerable< Symbol > symbols, int periods, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols. The exact number of bars will be returned for each symbol. This may result in some data start earlier/later than others due to when various exchanges are open. The symbols must exist in the Securities collection. More...
 
IEnumerable< SliceHistory (IEnumerable< Symbol > symbols, DateTime start, DateTime end, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols between the specified dates. The symbols must exist in the Securities collection. More...
 
IEnumerable< SliceHistory (HistoryRequest request)
 Executes the specified history request More...
 
IEnumerable< SliceHistory (IEnumerable< HistoryRequest > requests)
 Executes the specified history requests More...
 
IEnumerable< BaseDataGetLastKnownPrices (Security security)
 Yields data to warmup a security for all it's subscribed data types More...
 
IEnumerable< BaseDataGetLastKnownPrices (Symbol symbol)
 Yields data to warmup a security for all it's subscribed data types More...
 
BaseData GetLastKnownPrice (Security security)
 Get the last known price using the history provider. Useful for seeding securities with the correct price More...
 
AccelerationBands ABANDS (Symbol symbol, int period, decimal width=4, MovingAverageType movingAverageType=MovingAverageType.Simple, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new Acceleration Bands indicator. More...
 
AccumulationDistribution AD (Symbol symbol, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new AccumulationDistribution indicator. More...
 
AccumulationDistributionOscillator ADOSC (Symbol symbol, int fastPeriod, int slowPeriod, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new AccumulationDistributionOscillator indicator. More...
 
Alpha A (Symbol target, Symbol reference, int alphaPeriod=1, int betaPeriod=252, Resolution? resolution=null, decimal? riskFreeRate=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a Alpha indicator for the given target symbol in relation with the reference used. The indicator will be automatically updated on the given resolution. More...
 
AutoRegressiveIntegratedMovingAverage ARIMA (Symbol symbol, int arOrder, int diffOrder, int maOrder, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new ARIMA indicator. More...
 
AverageDirectionalIndex ADX (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new Average Directional Index indicator. The indicator will be automatically updated on the given resolution. More...
 
AwesomeOscillator AO (Symbol symbol, int slowPeriod, int fastPeriod, MovingAverageType type, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new Awesome Oscillator from the specified periods. More...
 
AverageDirectionalMovementIndexRating ADXR (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new AverageDirectionalMovementIndexRating indicator. More...
 
ArnaudLegouxMovingAverage ALMA (Symbol symbol, int period, int sigma=6, decimal offset=0.85m, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new ArnaudLegouxMovingAverage indicator. More...
 
AbsolutePriceOscillator APO (Symbol symbol, int fastPeriod, int slowPeriod, MovingAverageType movingAverageType, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new AbsolutePriceOscillator indicator. More...
 
AroonOscillator AROON (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new AroonOscillator indicator which will compute the AroonUp and AroonDown (as well as the delta) More...
 
AroonOscillator AROON (Symbol symbol, int upPeriod, int downPeriod, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new AroonOscillator indicator which will compute the AroonUp and AroonDown (as well as the delta) More...
 
AverageTrueRange ATR (Symbol symbol, int period, MovingAverageType type=MovingAverageType.Simple, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new AverageTrueRange indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
AugenPriceSpike APS (Symbol symbol, int period=3, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates an AugenPriceSpike indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
BollingerBands BB (Symbol symbol, int period, decimal k, MovingAverageType movingAverageType=MovingAverageType.Simple, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new BollingerBands indicator which will compute the MiddleBand, UpperBand, LowerBand, and StandardDeviation More...
 
Beta B (Symbol target, Symbol reference, int period, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a Beta indicator for the given target symbol in relation with the reference used. The indicator will be automatically updated on the given resolution. More...
 
BalanceOfPower BOP (Symbol symbol, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new Balance Of Power indicator. The indicator will be automatically updated on the given resolution. More...
 
CoppockCurve CC (Symbol symbol, int shortRocPeriod=11, int longRocPeriod=14, int lwmaPeriod=10, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Initializes a new instance of the CoppockCurve indicator More...
 
Correlation C (Symbol target, Symbol reference, int period, CorrelationType correlationType=CorrelationType.Pearson, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a Correlation indicator for the given target symbol in relation with the reference used. The indicator will be automatically updated on the given resolution. More...
 
CommodityChannelIndex CCI (Symbol symbol, int period, MovingAverageType movingAverageType=MovingAverageType.Simple, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new CommodityChannelIndex indicator. The indicator will be automatically updated on the given resolution. More...
 
ChaikinMoneyFlow CMF (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new ChaikinMoneyFlow indicator. More...
 
DeMarkerIndicator DEM (Symbol symbol, int period, MovingAverageType type, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 
DonchianChannel DCH (Symbol symbol, int upperPeriod, int lowerPeriod, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new Donchian Channel indicator which will compute the Upper Band and Lower Band. The indicator will be automatically updated on the given resolution. More...
 
DonchianChannel DCH (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Overload shorthand to create a new symmetric Donchian Channel indicator which has the upper and lower channels set to the same period length. More...
 
Delta D (Symbol symbol, Symbol mirrorOption=null, decimal? riskFreeRate=null, decimal? dividendYield=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, Resolution? resolution=null)
 Creates a new Delta indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
Delta Δ (Symbol symbol, Symbol mirrorOption=null, decimal? riskFreeRate=null, decimal? dividendYield=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, Resolution? resolution=null)
 Creates a new Delta indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
DoubleExponentialMovingAverage DEMA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new DoubleExponentialMovingAverage indicator. More...
 
DetrendedPriceOscillator DPO (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new DetrendedPriceOscillator indicator. More...
 
ExponentialMovingAverage EMA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates an ExponentialMovingAverage indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
ExponentialMovingAverage EMA (Symbol symbol, int period, decimal smoothingFactor, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates an ExponentialMovingAverage indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
EaseOfMovementValue EMV (Symbol symbol, int period=1, int scale=10000, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates an EaseOfMovementValue indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
FilteredIdentity FilteredIdentity (Symbol symbol, Func< IBaseData, IBaseDataBar > selector=null, Func< IBaseData, bool > filter=null, string fieldName=null)
 Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
FilteredIdentity FilteredIdentity (Symbol symbol, Resolution resolution, Func< IBaseData, IBaseDataBar > selector=null, Func< IBaseData, bool > filter=null, string fieldName=null)
 Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
FilteredIdentity FilteredIdentity (Symbol symbol, TimeSpan resolution, Func< IBaseData, IBaseDataBar > selector=null, Func< IBaseData, bool > filter=null, string fieldName=null)
 Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
FisherTransform FISH (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates an FisherTransform indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
FractalAdaptiveMovingAverage FRAMA (Symbol symbol, int period, int longPeriod=198, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates an FractalAdaptiveMovingAverage (FRAMA) indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
Gamma G (Symbol symbol, Symbol mirrorOption=null, decimal? riskFreeRate=null, decimal? dividendYield=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, Resolution? resolution=null)
 Creates a new Gamma indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
Gamma Γ (Symbol symbol, Symbol mirrorOption=null, decimal? riskFreeRate=null, decimal? dividendYield=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, Resolution? resolution=null)
 Creates a new Gamma indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
HeikinAshi HeikinAshi (Symbol symbol, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new Heikin-Ashi indicator. More...
 
HilbertTransform HT (Symbol symbol, int length, decimal inPhaseMultiplicationFactor, decimal quadratureMultiplicationFactor, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Hilbert Transform indicator More...
 
HullMovingAverage HMA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new HullMovingAverage indicator. The Hull moving average is a series of nested weighted moving averages, is fast and smooth. More...
 
IchimokuKinkoHyo ICHIMOKU (Symbol symbol, int tenkanPeriod, int kijunPeriod, int senkouAPeriod, int senkouBPeriod, int senkouADelayPeriod, int senkouBDelayPeriod, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new IchimokuKinkoHyo indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
Identity Identity (Symbol symbol, Func< IBaseData, decimal > selector=null, string fieldName=null)
 Creates a new Identity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
Identity Identity (Symbol symbol, Resolution resolution, Func< IBaseData, decimal > selector=null, string fieldName=null)
 Creates a new Identity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
Identity Identity (Symbol symbol, TimeSpan resolution, Func< IBaseData, decimal > selector=null, string fieldName=null)
 Creates a new Identity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
ImpliedVolatility IV (Symbol symbol, Symbol mirrorOption=null, decimal? riskFreeRate=null, decimal? dividendYield=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, int period=252, Resolution? resolution=null)
 Creates a new ImpliedVolatility indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
KaufmanAdaptiveMovingAverage KAMA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new KaufmanAdaptiveMovingAverage indicator. More...
 
KaufmanAdaptiveMovingAverage KAMA (Symbol symbol, int period, int fastEmaPeriod, int slowEmaPeriod, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new KaufmanAdaptiveMovingAverage indicator. More...
 
KaufmanEfficiencyRatio KER (Symbol symbol, int period=2, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates an KaufmanEfficiencyRatio indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
KeltnerChannels KCH (Symbol symbol, int period, decimal k, MovingAverageType movingAverageType=MovingAverageType.Simple, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new Keltner Channels indicator. The indicator will be automatically updated on the given resolution. More...
 
LogReturn LOGR (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new LogReturn indicator. More...
 
LeastSquaresMovingAverage LSMA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates and registers a new Least Squares Moving Average instance. More...
 
LinearWeightedMovingAverage LWMA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new LinearWeightedMovingAverage indicator. This indicator will linearly distribute the weights across the periods. More...
 
MovingAverageConvergenceDivergence MACD (Symbol symbol, int fastPeriod, int slowPeriod, int signalPeriod, MovingAverageType type=MovingAverageType.Exponential, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a MACD indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
MeanAbsoluteDeviation MAD (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new MeanAbsoluteDeviation indicator. More...
 
VolumeProfile VP (Symbol symbol, int period=2, decimal valueAreaVolumePercentage=0.70m, decimal priceRangeRoundOff=0.05m, Resolution resolution=Resolution.Daily, Func< IBaseData, TradeBar > selector=null)
 Creates an Market Profile indicator for the symbol with Volume Profile (VOL) mode. The indicator will be automatically updated on the given resolution. More...
 
TimeProfile TP (Symbol symbol, int period=2, decimal valueAreaVolumePercentage=0.70m, decimal priceRangeRoundOff=0.05m, Resolution resolution=Resolution.Daily, Func< IBaseData, TradeBar > selector=null)
 Creates an Market Profile indicator for the symbol with Time Price Opportunity (TPO) mode. The indicator will be automatically updated on the given resolution. More...
 
TimeSeriesForecast TSF (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Time Series Forecast indicator More...
 
Maximum MAX (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Maximum indicator to compute the maximum value More...
 
MoneyFlowIndex MFI (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new MoneyFlowIndex indicator. The indicator will be automatically updated on the given resolution. More...
 
MassIndex MASS (Symbol symbol, int emaPeriod=9, int sumPeriod=25, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new Mass Index indicator. The indicator will be automatically updated on the given resolution. More...
 
MidPoint MIDPOINT (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new MidPoint indicator. More...
 
MidPrice MIDPRICE (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new MidPrice indicator. More...
 
Minimum MIN (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Minimum indicator to compute the minimum value More...
 
Momentum MOM (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Momentum indicator. This will compute the absolute n-period change in the security. The indicator will be automatically updated on the given resolution. More...
 
MomersionIndicator MOMERSION (Symbol symbol, int? minPeriod, int fullPeriod, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Momersion indicator. More...
 
MomentumPercent MOMP (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new MomentumPercent indicator. This will compute the n-period percent change in the security. The indicator will be automatically updated on the given resolution. More...
 
NormalizedAverageTrueRange NATR (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new NormalizedAverageTrueRange indicator. More...
 
OnBalanceVolume OBV (Symbol symbol, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new On Balance Volume indicator. This will compute the cumulative total volume based on whether the close price being higher or lower than the previous period. The indicator will be automatically updated on the given resolution. More...
 
PivotPointsHighLow PPHL (Symbol symbol, int lengthHigh, int lengthLow, int lastStoredValues=100, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new PivotPointsHighLow indicator More...
 
PercentagePriceOscillator PPO (Symbol symbol, int fastPeriod, int slowPeriod, MovingAverageType movingAverageType, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new PercentagePriceOscillator indicator. More...
 
ParabolicStopAndReverse PSAR (Symbol symbol, decimal afStart=0.02m, decimal afIncrement=0.02m, decimal afMax=0.2m, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new Parabolic SAR indicator More...
 
RegressionChannel RC (Symbol symbol, int period, decimal k, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new RegressionChannel indicator which will compute the LinearRegression, UpperChannel and LowerChannel lines, the intercept and slope More...
 
RelativeMovingAverage RMA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Relative Moving Average indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
RateOfChange ROC (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new RateOfChange indicator. This will compute the n-period rate of change in the security. The indicator will be automatically updated on the given resolution. More...
 
RateOfChangePercent ROCP (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new RateOfChangePercent indicator. This will compute the n-period percentage rate of change in the security. The indicator will be automatically updated on the given resolution. More...
 
RateOfChangeRatio ROCR (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new RateOfChangeRatio indicator. More...
 
RelativeStrengthIndex RSI (Symbol symbol, int period, MovingAverageType movingAverageType=MovingAverageType.Wilders, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new RelativeStrengthIndex indicator. This will produce an oscillator that ranges from 0 to 100 based on the ratio of average gains to average losses over the specified period. More...
 
RelativeVigorIndex RVI (Symbol symbol, int period, MovingAverageType movingAverageType=MovingAverageType.Simple, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new RelativeVigorIndex indicator. More...
 
RelativeDailyVolume RDV (Symbol symbol, int period=2, Resolution resolution=Resolution.Daily, Func< IBaseData, TradeBar > selector=null)
 Creates an RelativeDailyVolume indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
Rho R (Symbol symbol, Symbol mirrorOption=null, decimal? riskFreeRate=null, decimal? dividendYield=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, Resolution? resolution=null)
 Creates a new Rho indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
Rho ρ (Symbol symbol, Symbol mirrorOption=null, decimal? riskFreeRate=null, decimal? dividendYield=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, Resolution? resolution=null)
 Creates a new Rho indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
SuperTrend STR (Symbol symbol, int period, decimal multiplier, MovingAverageType movingAverageType=MovingAverageType.Wilders, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new SuperTrend indicator. More...
 
SharpeRatio SR (Symbol symbol, int sharpePeriod, decimal? riskFreeRate=null, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new SharpeRatio indicator. More...
 
SortinoRatio SORTINO (Symbol symbol, int sortinoPeriod, double minimumAcceptableReturn=0.0, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Sortino indicator. More...
 
SimpleMovingAverage SMA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates an SimpleMovingAverage indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
SchaffTrendCycle STC (Symbol symbol, int cyclePeriod, int fastPeriod, int slowPeriod, MovingAverageType movingAverageType=MovingAverageType.Exponential, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Schaff Trend Cycle indicator More...
 
StandardDeviation STD (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new StandardDeviation indicator. This will return the population standard deviation of samples over the specified period. More...
 
TargetDownsideDeviation TDD (Symbol symbol, int period, double minimumAcceptableReturn=0, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new TargetDownsideDeviation indicator. The target downside deviation is defined as the root-mean-square, or RMS, of the deviations of the realized return’s underperformance from the target return where all returns above the target return are treated as underperformance of 0. More...
 
Stochastic STO (Symbol symbol, int period, int kPeriod, int dPeriod, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new Stochastic indicator. More...
 
Stochastic STO (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Overload short hand to create a new Stochastic indicator; defaulting to the 3 period for dStoch More...
 
Sum SUM (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Sum indicator. More...
 
SwissArmyKnife SWISS (Symbol symbol, int period, double delta, SwissArmyKnifeTool tool, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates Swiss Army Knife transformation for the symbol. The indicator will be automatically updated on the given resolution. More...
 
Theta T (Symbol symbol, Symbol mirrorOption=null, decimal? riskFreeRate=null, decimal? dividendYield=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, Resolution? resolution=null)
 Creates a new Theta indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
Theta Θ (Symbol symbol, Symbol mirrorOption=null, decimal? riskFreeRate=null, decimal? dividendYield=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, Resolution? resolution=null)
 Creates a new Theta indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
T3MovingAverage T3 (Symbol symbol, int period, decimal volumeFactor=0.7m, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new T3MovingAverage indicator. More...
 
TripleExponentialMovingAverage TEMA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new TripleExponentialMovingAverage indicator. More...
 
TrueStrengthIndex TSI (Symbol symbol, int longTermPeriod=25, int shortTermPeriod=13, int signalPeriod=7, MovingAverageType signalType=MovingAverageType.Exponential, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a TrueStrengthIndex indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
TrueRange TR (Symbol symbol, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new TrueRange indicator. More...
 
TriangularMovingAverage TRIMA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new TriangularMovingAverage indicator. More...
 
Trix TRIX (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Trix indicator. More...
 
UltimateOscillator ULTOSC (Symbol symbol, int period1, int period2, int period3, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new UltimateOscillator indicator. More...
 
Vega V (Symbol symbol, Symbol mirrorOption=null, decimal? riskFreeRate=null, decimal? dividendYield=null, OptionPricingModelType optionModel=OptionPricingModelType.BlackScholes, OptionPricingModelType? ivModel=null, Resolution? resolution=null)
 Creates a new Vega indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
VariableIndexDynamicAverage VIDYA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Chande's Variable Index Dynamic Average indicator. More...
 
Variance VAR (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Variance indicator. This will return the population variance of samples over the specified period. More...
 
Variance V (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new Variance indicator. This will return the population variance of samples over the specified period. More...
 
ValueAtRisk VAR (Symbol symbol, int period, double confidenceLevel, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a new ValueAtRisk indicator. More...
 
VolumeWeightedAveragePriceIndicator VWAP (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates an VolumeWeightedAveragePrice (VWAP) indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
IntradayVwap VWAP (Symbol symbol)
 Creates the canonical VWAP indicator that resets each day. The indicator will be automatically updated on the security's configured resolution. More...
 
WilliamsPercentR WILR (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, IBaseDataBar > selector=null)
 Creates a new Williams R indicator. This will compute the percentage change of the current closing price in relation to the high and low of the past N periods. The indicator will be automatically updated on the given resolution. More...
 
WilderMovingAverage WWMA (Symbol symbol, int period, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates a WilderMovingAverage indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
WilderSwingIndex SI (Symbol symbol, decimal limitMove, Resolution? resolution=Resolution.Daily, Func< IBaseData, TradeBar > selector=null)
 Creates a Wilder Swing Index (SI) indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
WilderAccumulativeSwingIndex ASI (Symbol symbol, decimal limitMove, Resolution? resolution=Resolution.Daily, Func< IBaseData, TradeBar > selector=null)
 Creates a Wilder Accumulative Swing Index (ASI) indicator for the symbol. The indicator will be automatically updated on the given resolution. More...
 
ArmsIndex TRIN (IEnumerable< Symbol > symbols, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new Arms Index indicator More...
 
ArmsIndex TRIN (Symbol[] symbols, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new Arms Index indicator More...
 
AdvanceDeclineRatio ADR (IEnumerable< Symbol > symbols, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new Advance/Decline Ratio indicator More...
 
AdvanceDeclineVolumeRatio ADVR (IEnumerable< Symbol > symbols, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new Advance/Decline Volume Ratio indicator More...
 
AdvanceDeclineDifference ADDIFF (IEnumerable< Symbol > symbols, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new Advance/Decline Difference indicator More...
 
McClellanOscillator MOSC (IEnumerable< Symbol > symbols, int fastPeriod=19, int slowPeriod=39, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new McClellan Oscillator indicator More...
 
McClellanOscillator MOSC (Symbol[] symbols, int fastPeriod=19, int slowPeriod=39, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new McClellan Oscillator indicator More...
 
McClellanSummationIndex MSI (IEnumerable< Symbol > symbols, int fastPeriod=19, int slowPeriod=39, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new McClellan Summation Index indicator More...
 
McClellanSummationIndex MSI (Symbol[] symbols, int fastPeriod=19, int slowPeriod=39, Resolution? resolution=null, Func< IBaseData, TradeBar > selector=null)
 Creates a new McClellan Summation Index indicator More...
 
string CreateIndicatorName (Symbol symbol, FormattableString type, Resolution? resolution)
 Creates a new name for an indicator created with the convenience functions (SMA, EMA, ect...) More...
 
string CreateIndicatorName (Symbol symbol, string type, Resolution? resolution)
 Creates a new name for an indicator created with the convenience functions (SMA, EMA, ect...) More...
 
void RegisterIndicator (Symbol symbol, IndicatorBase< IndicatorDataPoint > indicator, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates and registers a new consolidator to receive automatic updates at the specified resolution as well as configures the indicator to receive updates from the consolidator. More...
 
void RegisterIndicator (Symbol symbol, IndicatorBase< IndicatorDataPoint > indicator, TimeSpan? resolution=null, Func< IBaseData, decimal > selector=null)
 Creates and registers a new consolidator to receive automatic updates at the specified resolution as well as configures the indicator to receive updates from the consolidator. More...
 
void RegisterIndicator (Symbol symbol, IndicatorBase< IndicatorDataPoint > indicator, IDataConsolidator consolidator, Func< IBaseData, decimal > selector=null)
 Registers the consolidator to receive automatic updates as well as configures the indicator to receive updates from the consolidator. More...
 
void RegisterIndicator< T > (Symbol symbol, IndicatorBase< T > indicator, Resolution? resolution=null)
 Registers the consolidator to receive automatic updates as well as configures the indicator to receive updates from the consolidator. More...
 
void RegisterIndicator< T > (Symbol symbol, IndicatorBase< T > indicator, Resolution? resolution, Func< IBaseData, T > selector)
 Registers the consolidator to receive automatic updates as well as configures the indicator to receive updates from the consolidator. More...
 
void RegisterIndicator< T > (Symbol symbol, IndicatorBase< T > indicator, TimeSpan? resolution, Func< IBaseData, T > selector=null)
 Registers the consolidator to receive automatic updates as well as configures the indicator to receive updates from the consolidator. More...
 
void RegisterIndicator< T > (Symbol symbol, IndicatorBase< T > indicator, IDataConsolidator consolidator, Func< IBaseData, T > selector=null)
 Registers the consolidator to receive automatic updates as well as configures the indicator to receive updates from the consolidator. More...
 
void UnregisterIndicator (IndicatorBase indicator)
 Will unregister an indicator and it's associated consolidator instance so they stop receiving data updates More...
 
void DeregisterIndicator (IndicatorBase indicator)
 Will deregister an indicator and it's associated consolidator instance so they stop receiving data updates More...
 
void WarmUpIndicator (Symbol symbol, IndicatorBase< IndicatorDataPoint > indicator, Resolution? resolution=null, Func< IBaseData, decimal > selector=null)
 Warms up a given indicator with historical data More...
 
void WarmUpIndicator (Symbol symbol, IndicatorBase< IndicatorDataPoint > indicator, TimeSpan period, Func< IBaseData, decimal > selector=null)
 Warms up a given indicator with historical data More...
 
void WarmUpIndicator< T > (Symbol symbol, IndicatorBase< T > indicator, Resolution? resolution=null, Func< IBaseData, T > selector=null)
 Warms up a given indicator with historical data More...
 
void WarmUpIndicator< T > (Symbol symbol, IndicatorBase< T > indicator, TimeSpan period, Func< IBaseData, T > selector=null)
 Warms up a given indicator with historical data More...
 
IDataConsolidator ResolveConsolidator (Symbol symbol, Resolution? resolution, Type dataType=null)
 Gets the default consolidator for the specified symbol and resolution More...
 
IDataConsolidator ResolveConsolidator (Symbol symbol, TimeSpan? timeSpan, Type dataType=null)
 Gets the default consolidator for the specified symbol and resolution More...
 
IDataConsolidator Consolidate (Symbol symbol, Resolution period, Action< TradeBar > handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
IDataConsolidator Consolidate (Symbol symbol, TimeSpan period, Action< TradeBar > handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
IDataConsolidator Consolidate (Symbol symbol, Resolution period, Action< QuoteBar > handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
IDataConsolidator Consolidate (Symbol symbol, TimeSpan period, Action< QuoteBar > handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
IDataConsolidator Consolidate< T > (Symbol symbol, TimeSpan period, Action< T > handler)
 Registers the handler to receive consolidated data for the specified symbol and tick type. The handler and tick type must match. More...
 
IDataConsolidator Consolidate< T > (Symbol symbol, Resolution period, TickType? tickType, Action< T > handler)
 Registers the handler to receive consolidated data for the specified symbol and tick type. The handler and tick type must match. More...
 
IDataConsolidator Consolidate< T > (Symbol symbol, TimeSpan period, TickType? tickType, Action< T > handler)
 Registers the handler to receive consolidated data for the specified symbol and tick type. The handler and tick type must match. More...
 
IDataConsolidator Consolidate (Symbol symbol, Func< DateTime, CalendarInfo > calendar, Action< QuoteBar > handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
IDataConsolidator Consolidate (Symbol symbol, Func< DateTime, CalendarInfo > calendar, Action< TradeBar > handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
IDataConsolidator Consolidate< T > (Symbol symbol, Func< DateTime, CalendarInfo > calendar, Action< T > handler)
 Registers the handler to receive consolidated data for the specified symbol and tick type. The handler and tick type must match. More...
 
IDataConsolidator Consolidate< T > (Symbol symbol, Func< DateTime, CalendarInfo > calendar, TickType? tickType, Action< T > handler)
 Registers the handler to receive consolidated data for the specified symbol and tick type. The handler and tick type must match. More...
 
void AddChart (Chart chart)
 Add a Chart object to algorithm collection More...
 
void Plot (string series, decimal value)
 Plot a chart using string series name, with value. More...
 
void Record (string series, int value)
 Plot a chart using string series name, with int value. Alias of Plot(); More...
 
void Record (string series, double value)
 Plot a chart using string series name, with double value. Alias of Plot(); More...
 
void Record (string series, decimal value)
 Plot a chart using string series name, with decimal value. Alias of Plot(); More...
 
void Plot (string series, double value)
 Plot a chart using string series name, with double value. More...
 
void Plot (string series, int value)
 Plot a chart using string series name, with int value. More...
 
void Plot (string series, float value)
 Plot a chart using string series name, with float value. More...
 
void Plot (string chart, string series, double value)
 Plot a chart to string chart name, using string series name, with double value. More...
 
void Plot (string chart, string series, int value)
 Plot a chart to string chart name, using string series name, with int value More...
 
void Plot (string chart, string series, float value)
 Plot a chart to string chart name, using string series name, with float value More...
 
void Plot (string chart, string series, decimal value)
 Plot a value to a chart of string-chart name, with string series name, and decimal value. If chart does not exist, create it. More...
 
void Plot (string series, double open, double high, double low, double close)
 Plot a candlestick to the default/primary chart series by the given series name. More...
 
void Plot (string series, float open, float high, float low, float close)
 Plot a candlestick to the default/primary chart series by the given series name. More...
 
void Plot (string series, int open, int high, int low, int close)
 Plot a candlestick to the default/primary chart series by the given series name. More...
 
void Plot (string series, decimal open, decimal high, decimal low, decimal close)
 Plot a candlestick to the default/primary chart series by the given series name. More...
 
void Plot (string chart, string series, double open, double high, double low, double close)
 Plot a candlestick to the given series of the given chart. More...
 
void Plot (string chart, string series, float open, float high, float low, float close)
 Plot a candlestick to the given series of the given chart. More...
 
void Plot (string chart, string series, int open, int high, int low, int close)
 Plot a candlestick to the given series of the given chart. More...
 
void Plot (string chart, string series, decimal open, decimal high, decimal low, decimal close)
 Plot a candlestick to a chart of string-chart name, with string series name, and decimal value. If chart does not exist, create it. More...
 
void Plot (string series, TradeBar bar)
 Plot a candlestick to the given series of the given chart. More...
 
void Plot (string chart, string series, TradeBar bar)
 Plot a candlestick to the given series of the given chart. More...
 
void AddSeries (string chart, string series, SeriesType seriesType, string unit="$")
 Add a series object for charting. This is useful when initializing charts with series other than type = line. If a series exists in the chart with the same name, then it is replaced. More...
 
void Plot (string chart, params IndicatorBase[] indicators)
 Plots the value of each indicator on the chart More...
 
void PlotIndicator (string chart, params IndicatorBase[] indicators)
 Automatically plots each indicator when a new value is available More...
 
void PlotIndicator (string chart, bool waitForReady, params IndicatorBase[] indicators)
 Automatically plots each indicator when a new value is available, optionally waiting for indicator.IsReady to return true More...
 
void SetRuntimeStatistic (string name, string value)
 Set a runtime statistic for the algorithm. Runtime statistics are shown in the top banner of a live algorithm GUI. More...
 
void SetRuntimeStatistic (string name, decimal value)
 Set a runtime statistic for the algorithm. Runtime statistics are shown in the top banner of a live algorithm GUI. More...
 
void SetRuntimeStatistic (string name, int value)
 Set a runtime statistic for the algorithm. Runtime statistics are shown in the top banner of a live algorithm GUI. More...
 
void SetRuntimeStatistic (string name, double value)
 Set a runtime statistic for the algorithm. Runtime statistics are shown in the top banner of a live algorithm GUI. More...
 
void SetSummaryStatistic (string name, string value)
 Set a custom summary statistic for the algorithm. More...
 
void SetSummaryStatistic (string name, int value)
 Set a custom summary statistic for the algorithm. More...
 
void SetSummaryStatistic (string name, double value)
 Set a custom summary statistic for the algorithm. More...
 
void SetSummaryStatistic (string name, decimal value)
 Set a custom summary statistic for the algorithm. More...
 
IEnumerable< ChartGetChartUpdates (bool clearChartData=false)
 Get the chart updates by fetch the recent points added and return for dynamic Charting. More...
 
void SetPandasConverter ()
 Sets pandas converter More...
 
Security AddData (PyObject type, string ticker, Resolution? resolution=null)
 AddData a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time). This method is meant for custom data types that require a ticker, but have no underlying Symbol. Examples of data sources that meet this criteria are U.S. Treasury Yield Curve Rates and Trading Economics data More...
 
Security AddData (PyObject type, Symbol underlying, Resolution? resolution=null)
 AddData a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time). This adds a Symbol to the Underlying property in the custom data Symbol object. Use this method when adding custom data with a ticker from the past, such as "AOL" before it became "TWX", or if you need to filter using custom data and place trades on the Symbol associated with the custom data. More...
 
Security AddData (PyObject type, string ticker, Resolution? resolution, DateTimeZone timeZone, bool fillForward=false, decimal leverage=1.0m)
 AddData a new user defined data source, requiring only the minimum config options. This method is meant for custom data types that require a ticker, but have no underlying Symbol. Examples of data sources that meet this criteria are U.S. Treasury Yield Curve Rates and Trading Economics data More...
 
Security AddData (PyObject type, Symbol underlying, Resolution? resolution, DateTimeZone timeZone, bool fillForward=false, decimal leverage=1.0m)
 AddData a new user defined data source, requiring only the minimum config options. This adds a Symbol to the Underlying property in the custom data Symbol object. Use this method when adding custom data with a ticker from the past, such as "AOL" before it became "TWX", or if you need to filter using custom data and place trades on the Symbol associated with the custom data. More...
 
Security AddData (Type dataType, string ticker, Resolution? resolution, DateTimeZone timeZone, bool fillForward=false, decimal leverage=1.0m)
 AddData a new user defined data source, requiring only the minimum config options. This method is meant for custom data types that require a ticker, but have no underlying Symbol. Examples of data sources that meet this criteria are U.S. Treasury Yield Curve Rates and Trading Economics data More...
 
Security AddData (Type dataType, Symbol underlying, Resolution? resolution=null, DateTimeZone timeZone=null, bool fillForward=false, decimal leverage=1.0m)
 AddData a new user defined data source, requiring only the minimum config options. This adds a Symbol to the Underlying property in the custom data Symbol object. Use this method when adding custom data with a ticker from the past, such as "AOL" before it became "TWX", or if you need to filter using custom data and place trades on the Symbol associated with the custom data. More...
 
Security AddData (PyObject type, string ticker, SymbolProperties properties, SecurityExchangeHours exchangeHours, Resolution? resolution=null, bool fillForward=false, decimal leverage=1.0m)
 AddData a new user defined data source including symbol properties and exchange hours, all other vars are not required and will use defaults. This overload reflects the C# equivalent for custom properties and market hours More...
 
void AddFutureOption (Symbol futureSymbol, PyObject optionFilter)
 Creates and adds a new Future Option contract to the algorithm. More...
 
Universe AddUniverse (PyObject pyObject)
 Creates a new universe and adds it to the algorithm. This is for coarse fundamental US Equity data and will be executed on day changes in the NewYork time zone (TimeZones.NewYork More...
 
Universe AddUniverse (PyObject pyObject, PyObject pyfine)
 Creates a new universe and adds it to the algorithm. This is for coarse and fine fundamental US Equity data and will be executed on day changes in the NewYork time zone (TimeZones.NewYork More...
 
Universe AddUniverse (string name, Resolution resolution, PyObject pySelector)
 Creates a new universe and adds it to the algorithm. This can be used to return a list of string symbols retrieved from anywhere and will loads those symbols under the US Equity market. More...
 
Universe AddUniverse (string name, PyObject pySelector)
 Creates a new universe and adds it to the algorithm. This can be used to return a list of string symbols retrieved from anywhere and will loads those symbols under the US Equity market. More...
 
Universe AddUniverse (SecurityType securityType, string name, Resolution resolution, string market, UniverseSettings universeSettings, PyObject pySelector)
 Creates a new user defined universe that will fire on the requested resolution during market hours. More...
 
Universe AddUniverse (PyObject T, string name, PyObject selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, Resolution.Daily, Market.USA, and UniverseSettings More...
 
Universe AddUniverse (PyObject T, string name, Resolution resolution, PyObject selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, Market.USA and UniverseSettings More...
 
Universe AddUniverse (PyObject T, string name, Resolution resolution, UniverseSettings universeSettings, PyObject selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, and Market.USA More...
 
Universe AddUniverse (PyObject T, string name, UniverseSettings universeSettings, PyObject selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, Resolution.Daily, and Market.USA More...
 
Universe AddUniverse (PyObject T, SecurityType securityType, string name, Resolution resolution, string market, PyObject selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. More...
 
Universe AddUniverse (PyObject T, SecurityType securityType, string name, Resolution resolution, string market, UniverseSettings universeSettings, PyObject selector)
 Creates a new universe and adds it to the algorithm More...
 
Universe AddUniverse (Type dataType, SecurityType? securityType=null, string name=null, Resolution? resolution=null, string market=null, UniverseSettings universeSettings=null, PyObject pySelector=null)
 Creates a new universe and adds it to the algorithm More...
 
void AddUniverseOptions (PyObject universe, PyObject optionFilter)
 Creates a new universe selection model and adds it to the algorithm. This universe selection model will chain to the security changes of a given Universe selection output and create a new OptionChainUniverse for each of them More...
 
void RegisterIndicator (Symbol symbol, PyObject indicator, Resolution? resolution=null, PyObject selector=null)
 Registers the consolidator to receive automatic updates as well as configures the indicator to receive updates from the consolidator. More...
 
void RegisterIndicator (Symbol symbol, PyObject indicator, TimeSpan? resolution=null, PyObject selector=null)
 Registers the consolidator to receive automatic updates as well as configures the indicator to receive updates from the consolidator. More...
 
void RegisterIndicator (Symbol symbol, PyObject indicator, PyObject pyObject, PyObject selector=null)
 Registers the consolidator to receive automatic updates as well as configures the indicator to receive updates from the consolidator. More...
 
void RegisterIndicator (Symbol symbol, PyObject indicator, IDataConsolidator consolidator, PyObject selector=null)
 Registers the consolidator to receive automatic updates as well as configures the indicator to receive updates from the consolidator. More...
 
void WarmUpIndicator (Symbol symbol, PyObject indicator, Resolution? resolution=null, PyObject selector=null)
 Warms up a given indicator with historical data More...
 
void Plot (string series, PyObject pyObject)
 Plot a chart using string series name, with value. More...
 
void Plot (string chart, Indicator first, Indicator second=null, Indicator third=null, Indicator fourth=null)
 Plots the value of each indicator on the chart More...
 
void Plot (string chart, BarIndicator first, BarIndicator second=null, BarIndicator third=null, BarIndicator fourth=null)
 Plots the value of each indicator on the chart More...
 
void Plot (string chart, TradeBarIndicator first, TradeBarIndicator second=null, TradeBarIndicator third=null, TradeBarIndicator fourth=null)
 Plots the value of each indicator on the chart More...
 
void PlotIndicator (string chart, PyObject first, PyObject second=null, PyObject third=null, PyObject fourth=null)
 Automatically plots each indicator when a new value is available More...
 
void PlotIndicator (string chart, bool waitForReady, PyObject first, PyObject second=null, PyObject third=null, PyObject fourth=null)
 Automatically plots each indicator when a new value is available More...
 
FilteredIdentity FilteredIdentity (Symbol symbol, PyObject selector=null, PyObject filter=null, string fieldName=null)
 Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
FilteredIdentity FilteredIdentity (Symbol symbol, Resolution resolution, PyObject selector=null, PyObject filter=null, string fieldName=null)
 Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
FilteredIdentity FilteredIdentity (Symbol symbol, TimeSpan resolution, PyObject selector=null, PyObject filter=null, string fieldName=null)
 Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution More...
 
PyObject History (PyObject tickers, int periods, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection. More...
 
PyObject History (PyObject tickers, TimeSpan span, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols over the requested span. The symbols must exist in the Securities collection. More...
 
PyObject History (PyObject tickers, DateTime start, DateTime end, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols between the specified dates. The symbols must exist in the Securities collection. More...
 
PyObject History (PyObject type, PyObject tickers, DateTime start, DateTime end, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols between the specified dates. The symbols must exist in the Securities collection. More...
 
PyObject History (PyObject type, PyObject tickers, int periods, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols. The exact number of bars will be returned for each symbol. This may result in some data start earlier/later than others due to when various exchanges are open. The symbols must exist in the Securities collection. More...
 
PyObject History (PyObject type, PyObject tickers, TimeSpan span, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols over the requested span. The symbols must exist in the Securities collection. More...
 
PyObject History (PyObject type, Symbol symbol, DateTime start, DateTime end, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols between the specified dates. The symbols must exist in the Securities collection. More...
 
PyObject History (PyObject type, Symbol symbol, int periods, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols. The exact number of bars will be returned for each symbol. This may result in some data start earlier/later than others due to when various exchanges are open. The symbols must exist in the Securities collection. More...
 
PyObject History (PyObject type, Symbol symbol, TimeSpan span, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Gets the historical data for the specified symbols over the requested span. The symbols must exist in the Securities collection. More...
 
void SetBenchmark (PyObject benchmark)
 Sets the specified function as the benchmark, this function provides the value of the benchmark at each date/time requested More...
 
void SetBrokerageModel (PyObject model)
 Sets the brokerage to emulate in backtesting or paper trading. This can be used to set a custom brokerage model. More...
 
void SetRiskFreeInterestRateModel (PyObject model)
 Sets the risk free interest rate model to be used in the algorithm More...
 
void SetSecurityInitializer (PyObject securityInitializer)
 Sets the security initializer function, used to initialize/configure securities after creation More...
 
string Download (string address, PyObject headers)
 Downloads the requested resource as a string. The resource to download is specified as a string containing the URI. More...
 
string Download (string address, PyObject headers, string userName, string password)
 Downloads the requested resource as a string. The resource to download is specified as a string containing the URI. More...
 
void Debug (PyObject message)
 Send a debug message to the web console: More...
 
void Error (PyObject message)
 Send a string error message to the Console. More...
 
void Log (PyObject message)
 Added another method for logging if user guessed. More...
 
void Quit (PyObject message)
 Terminate the algorithm after processing the current event handler. More...
 
IDataConsolidator Consolidate (Symbol symbol, Resolution period, PyObject handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
IDataConsolidator Consolidate (Symbol symbol, Resolution period, TickType? tickType, PyObject handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
IDataConsolidator Consolidate (Symbol symbol, TimeSpan period, PyObject handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
IDataConsolidator Consolidate (Symbol symbol, TimeSpan period, TickType? tickType, PyObject handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
IDataConsolidator Consolidate (Symbol symbol, Func< DateTime, CalendarInfo > calendar, PyObject handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
ScheduledEvent Train (PyObject trainingCode)
 Schedules the provided training code to execute immediately More...
 
ScheduledEvent Train (IDateRule dateRule, ITimeRule timeRule, PyObject trainingCode)
 Schedules the training code to run using the specified date and time rules More...
 
IDataConsolidator Consolidate (Symbol symbol, Func< DateTime, CalendarInfo > calendar, TickType? tickType, PyObject handler)
 Registers the handler to receive consolidated data for the specified symbol More...
 
OrderTicket Buy (Symbol symbol, int quantity)
 Buy Stock (Alias of Order) More...
 
OrderTicket Buy (Symbol symbol, double quantity)
 Buy Stock (Alias of Order) More...
 
OrderTicket Buy (Symbol symbol, decimal quantity)
 Buy Stock (Alias of Order) More...
 
OrderTicket Buy (Symbol symbol, float quantity)
 Buy Stock (Alias of Order) More...
 
OrderTicket Sell (Symbol symbol, int quantity)
 Sell stock (alias of Order) More...
 
OrderTicket Sell (Symbol symbol, double quantity)
 Sell stock (alias of Order) More...
 
OrderTicket Sell (Symbol symbol, float quantity)
 Sell stock (alias of Order) More...
 
OrderTicket Sell (Symbol symbol, decimal quantity)
 Sell stock (alias of Order) More...
 
OrderTicket Order (Symbol symbol, double quantity)
 Issue an order/trade for asset: Alias wrapper for Order(string, int); More...
 
OrderTicket Order (Symbol symbol, int quantity)
 Issue an order/trade for asset More...
 
OrderTicket Order (Symbol symbol, decimal quantity)
 Issue an order/trade for asset More...
 
OrderTicket Order (Symbol symbol, decimal quantity, bool asynchronous=false, string tag="", IOrderProperties orderProperties=null)
 Wrapper for market order method: submit a new order for quantity of symbol using type order. More...
 
OrderTicket MarketOrder (Symbol symbol, int quantity, bool asynchronous=false, string tag="", IOrderProperties orderProperties=null)
 Market order implementation: Send a market order and wait for it to be filled. More...
 
OrderTicket MarketOrder (Symbol symbol, double quantity, bool asynchronous=false, string tag="", IOrderProperties orderProperties=null)
 Market order implementation: Send a market order and wait for it to be filled. More...
 
OrderTicket MarketOrder (Symbol symbol, decimal quantity, bool asynchronous=false, string tag="", IOrderProperties orderProperties=null)
 Market order implementation: Send a market order and wait for it to be filled. More...
 
OrderTicket MarketOrder (Security security, decimal quantity, bool asynchronous=false, string tag="", IOrderProperties orderProperties=null)
 Market order implementation: Send a market order and wait for it to be filled. More...
 
OrderTicket MarketOnOpenOrder (Symbol symbol, double quantity, string tag="", IOrderProperties orderProperties=null)
 Market on open order implementation: Send a market order when the exchange opens More...
 
OrderTicket MarketOnOpenOrder (Symbol symbol, int quantity, string tag="", IOrderProperties orderProperties=null)
 Market on open order implementation: Send a market order when the exchange opens More...
 
OrderTicket MarketOnOpenOrder (Symbol symbol, decimal quantity, string tag="", IOrderProperties orderProperties=null)
 Market on open order implementation: Send a market order when the exchange opens More...
 
OrderTicket MarketOnCloseOrder (Symbol symbol, int quantity, string tag="", IOrderProperties orderProperties=null)
 Market on close order implementation: Send a market order when the exchange closes More...
 
OrderTicket MarketOnCloseOrder (Symbol symbol, double quantity, string tag="", IOrderProperties orderProperties=null)
 Market on close order implementation: Send a market order when the exchange closes More...
 
OrderTicket MarketOnCloseOrder (Symbol symbol, decimal quantity, string tag="", IOrderProperties orderProperties=null)
 Market on close order implementation: Send a market order when the exchange closes More...
 
OrderTicket LimitOrder (Symbol symbol, int quantity, decimal limitPrice, string tag="", IOrderProperties orderProperties=null)
 Send a limit order to the transaction handler: More...
 
OrderTicket LimitOrder (Symbol symbol, double quantity, decimal limitPrice, string tag="", IOrderProperties orderProperties=null)
 Send a limit order to the transaction handler: More...
 
OrderTicket LimitOrder (Symbol symbol, decimal quantity, decimal limitPrice, string tag="", IOrderProperties orderProperties=null)
 Send a limit order to the transaction handler: More...
 
OrderTicket StopMarketOrder (Symbol symbol, int quantity, decimal stopPrice, string tag="", IOrderProperties orderProperties=null)
 Create a stop market order and return the newly created order id; or negative if the order is invalid More...
 
OrderTicket StopMarketOrder (Symbol symbol, double quantity, decimal stopPrice, string tag="", IOrderProperties orderProperties=null)
 Create a stop market order and return the newly created order id; or negative if the order is invalid More...
 
OrderTicket StopMarketOrder (Symbol symbol, decimal quantity, decimal stopPrice, string tag="", IOrderProperties orderProperties=null)
 Create a stop market order and return the newly created order id; or negative if the order is invalid More...
 
OrderTicket TrailingStopOrder (Symbol symbol, int quantity, decimal trailingAmount, bool trailingAsPercentage, string tag="", IOrderProperties orderProperties=null)
 Create a trailing stop order and return the newly created order id; or negative if the order is invalid. It will calculate the stop price using the trailing amount and the current market price. More...
 
OrderTicket TrailingStopOrder (Symbol symbol, double quantity, decimal trailingAmount, bool trailingAsPercentage, string tag="", IOrderProperties orderProperties=null)
 Create a trailing stop order and return the newly created order id; or negative if the order is invalid. It will calculate the stop price using the trailing amount and the current market price. More...
 
OrderTicket TrailingStopOrder (Symbol symbol, decimal quantity, decimal trailingAmount, bool trailingAsPercentage, string tag="", IOrderProperties orderProperties=null)
 Create a trailing stop order and return the newly created order id; or negative if the order is invalid. It will calculate the stop price using the trailing amount and the current market price. More...
 
OrderTicket TrailingStopOrder (Symbol symbol, int quantity, decimal stopPrice, decimal trailingAmount, bool trailingAsPercentage, string tag="", IOrderProperties orderProperties=null)
 Create a trailing stop order and return the newly created order id; or negative if the order is invalid More...
 
OrderTicket TrailingStopOrder (Symbol symbol, double quantity, decimal stopPrice, decimal trailingAmount, bool trailingAsPercentage, string tag="", IOrderProperties orderProperties=null)
 Create a trailing stop order and return the newly created order id; or negative if the order is invalid More...
 
OrderTicket TrailingStopOrder (Symbol symbol, decimal quantity, decimal stopPrice, decimal trailingAmount, bool trailingAsPercentage, string tag="", IOrderProperties orderProperties=null)
 Create a trailing stop order and return the newly created order id; or negative if the order is invalid More...
 
OrderTicket StopLimitOrder (Symbol symbol, int quantity, decimal stopPrice, decimal limitPrice, string tag="", IOrderProperties orderProperties=null)
 Send a stop limit order to the transaction handler: More...
 
OrderTicket StopLimitOrder (Symbol symbol, double quantity, decimal stopPrice, decimal limitPrice, string tag="", IOrderProperties orderProperties=null)
 Send a stop limit order to the transaction handler: More...
 
OrderTicket StopLimitOrder (Symbol symbol, decimal quantity, decimal stopPrice, decimal limitPrice, string tag="", IOrderProperties orderProperties=null)
 Send a stop limit order to the transaction handler: More...
 
OrderTicket LimitIfTouchedOrder (Symbol symbol, int quantity, decimal triggerPrice, decimal limitPrice, string tag="", IOrderProperties orderProperties=null)
 Send a limit if touched order to the transaction handler: More...
 
OrderTicket LimitIfTouchedOrder (Symbol symbol, double quantity, decimal triggerPrice, decimal limitPrice, string tag="", IOrderProperties orderProperties=null)
 Send a limit if touched order to the transaction handler: More...
 
OrderTicket LimitIfTouchedOrder (Symbol symbol, decimal quantity, decimal triggerPrice, decimal limitPrice, string tag="", IOrderProperties orderProperties=null)
 Send a limit if touched order to the transaction handler: More...
 
OrderTicket ExerciseOption (Symbol optionSymbol, int quantity, bool asynchronous=false, string tag="", IOrderProperties orderProperties=null)
 Send an exercise order to the transaction handler More...
 
IEnumerable< OrderTicketBuy (OptionStrategy strategy, int quantity, bool asynchronous=false, string tag="", IOrderProperties orderProperties=null)
 Buy Option Strategy (Alias of Order) More...
 
IEnumerable< OrderTicketSell (OptionStrategy strategy, int quantity, bool asynchronous=false, string tag="", IOrderProperties orderProperties=null)
 Sell Option Strategy (alias of Order) More...
 
IEnumerable< OrderTicketOrder (OptionStrategy strategy, int quantity, bool asynchronous=false, string tag="", IOrderProperties orderProperties=null)
 Issue an order/trade for buying/selling an option strategy More...
 
List< OrderTicketComboMarketOrder (List< Leg > legs, int quantity, bool asynchronous=false, string tag="", IOrderProperties orderProperties=null)
 Issue a combo market order/trade for multiple assets More...
 
List< OrderTicketComboLegLimitOrder (List< Leg > legs, int quantity, string tag="", IOrderProperties orderProperties=null)
 Issue a combo leg limit order/trade for multiple assets, each having its own limit price. More...
 
List< OrderTicketComboLimitOrder (List< Leg > legs, int quantity, decimal limitPrice, string tag="", IOrderProperties orderProperties=null)
 Issue a combo limit order/trade for multiple assets. A single limit price is defined for the combo order and will fill only if the sum of the assets price compares properly to the limit price, depending on the direction. More...
 
OrderTicket SubmitOrderRequest (SubmitOrderRequest request)
 Will submit an order request to the algorithm More...
 
List< int > Liquidate (Symbol symbolToLiquidate=null, string tag="Liquidated")
 Liquidate all holdings and cancel open orders. Called at the end of day for tick-strategies. More...
 
void SetMaximumOrders (int max)
 Maximum number of orders for the algorithm More...
 
void SetHoldings (List< PortfolioTarget > targets, bool liquidateExistingHoldings=false, string tag="", IOrderProperties orderProperties=null)
 Sets holdings for a collection of targets. The implementation will order the provided targets executing first those that reduce a position, freeing margin. More...
 
void SetHoldings (Symbol symbol, double percentage, bool liquidateExistingHoldings=false, string tag="", IOrderProperties orderProperties=null)
 Alias for SetHoldings to avoid the M-decimal errors. More...
 
void SetHoldings (Symbol symbol, float percentage, bool liquidateExistingHoldings=false, string tag="", IOrderProperties orderProperties=null)
 Alias for SetHoldings to avoid the M-decimal errors. More...
 
void SetHoldings (Symbol symbol, int percentage, bool liquidateExistingHoldings=false, string tag="", IOrderProperties orderProperties=null)
 Alias for SetHoldings to avoid the M-decimal errors. More...
 
void SetHoldings (Symbol symbol, decimal percentage, bool liquidateExistingHoldings=false, string tag="", IOrderProperties orderProperties=null)
 Automatically place a market order which will set the holdings to between 100% or -100% of PORTFOLIO VALUE. E.g. SetHoldings("AAPL", 0.1); SetHoldings("IBM", -0.2); -> Sets portfolio as long 10% APPL and short 20% IBM E.g. SetHoldings("AAPL", 2); -> Sets apple to 2x leveraged with all our cash. If the market is closed, place a market on open order. More...
 
decimal CalculateOrderQuantity (Symbol symbol, double target)
 Calculate the order quantity to achieve target-percent holdings. More...
 
decimal CalculateOrderQuantity (Symbol symbol, decimal target)
 Calculate the order quantity to achieve target-percent holdings. More...
 
OrderTicket Order (Symbol symbol, int quantity, OrderType type, bool asynchronous=false, string tag="", IOrderProperties orderProperties=null)
 Obsolete implementation of Order method accepting a OrderType. This was deprecated since it was impossible to generate other orders via this method. Any calls to this method will always default to a Market Order. More...
 
OrderTicket Order (Symbol symbol, decimal quantity, OrderType type)
 Obsolete method for placing orders. More...
 
OrderTicket Order (Symbol symbol, int quantity, OrderType type)
 Obsolete method for placing orders. More...
 
bool IsMarketOpen (Symbol symbol)
 Determines if the exchange for the specified symbol is open at the current time. More...
 
void OnEndOfTimeStep ()
 Invoked at the end of every time step. This allows the algorithm to process events before advancing to the next time step. More...
 
Universe AddUniverse (Universe universe)
 Adds the universe to the algorithm More...
 
Universe AddUniverse< T > (Func< IEnumerable< BaseData >, IEnumerable< Symbol >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, Resolution.Daily, Market.USA, and UniverseSettings More...
 
Universe AddUniverse< T > (Func< IEnumerable< BaseData >, IEnumerable< string >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, Resolution.Daily, Market.USA, and UniverseSettings More...
 
Universe AddUniverse< T > (string name, Func< IEnumerable< BaseData >, IEnumerable< Symbol >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, Resolution.Daily, Market.USA, and UniverseSettings More...
 
Universe AddUniverse< T > (string name, Func< IEnumerable< BaseData >, IEnumerable< string >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, Resolution.Daily, Market.USA, and UniverseSettings More...
 
Universe AddUniverse< T > (string name, UniverseSettings universeSettings, Func< IEnumerable< BaseData >, IEnumerable< Symbol >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, Resolution.Daily, and Market.USA More...
 
Universe AddUniverse< T > (string name, UniverseSettings universeSettings, Func< IEnumerable< BaseData >, IEnumerable< string >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, Resolution.Daily, and Market.USA More...
 
Universe AddUniverse< T > (string name, Resolution resolution, Func< IEnumerable< BaseData >, IEnumerable< Symbol >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, Market.USA and UniverseSettings More...
 
Universe AddUniverse< T > (string name, Resolution resolution, Func< IEnumerable< BaseData >, IEnumerable< string >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, Market.USA and UniverseSettings More...
 
Universe AddUniverse< T > (string name, Resolution resolution, UniverseSettings universeSettings, Func< IEnumerable< BaseData >, IEnumerable< Symbol >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, and Market.USA More...
 
Universe AddUniverse< T > (string name, Resolution resolution, UniverseSettings universeSettings, Func< IEnumerable< BaseData >, IEnumerable< string >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. This universe will use the defaults of SecurityType.Equity, and Market.USA More...
 
Universe AddUniverse< T > (string name, Resolution resolution, string market, Func< IEnumerable< BaseData >, IEnumerable< Symbol >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. More...
 
Universe AddUniverse< T > (SecurityType securityType, string name, Resolution resolution, string market, Func< IEnumerable< BaseData >, IEnumerable< string >> selector)
 Creates a new universe and adds it to the algorithm. This will use the default universe settings specified via the UniverseSettings property. More...
 
Universe AddUniverse< T > (SecurityType securityType, string name, Resolution resolution, string market, UniverseSettings universeSettings, Func< IEnumerable< BaseData >, IEnumerable< string >> selector)
 Creates a new universe and adds it to the algorithm More...
 
Universe AddUniverse< T > (string name=null, Resolution? resolution=null, string market=null, UniverseSettings universeSettings=null, Func< IEnumerable< BaseData >, IEnumerable< Symbol >> selector=null)
 Creates a new universe and adds it to the algorithm More...
 
Universe AddUniverse (Func< IEnumerable< Fundamental >, IEnumerable< Symbol >> selector)
 Creates a new universe and adds it to the algorithm. This is for coarse fundamental US Equity data and will be executed on day changes in the NewYork time zone (TimeZones.NewYork More...
 
Universe AddUniverse (Func< IEnumerable< CoarseFundamental >, IEnumerable< Symbol >> coarseSelector, Func< IEnumerable< FineFundamental >, IEnumerable< Symbol >> fineSelector)
 Creates a new universe and adds it to the algorithm. This is for coarse and fine fundamental US Equity data and will be executed on day changes in the NewYork time zone (TimeZones.NewYork More...
 
Universe AddUniverse (Universe universe, Func< IEnumerable< Fundamental >, IEnumerable< Symbol >> fineSelector)
 Creates a new universe and adds it to the algorithm. This is for fine fundamental US Equity data and will be executed on day changes in the NewYork time zone (TimeZones.NewYork More...
 
Universe AddUniverse (string name, Func< DateTime, IEnumerable< string >> selector)
 Creates a new universe and adds it to the algorithm. This can be used to return a list of string symbols retrieved from anywhere and will loads those symbols under the US Equity market. More...
 
Universe AddUniverse (string name, Resolution resolution, Func< DateTime, IEnumerable< string >> selector)
 Creates a new universe and adds it to the algorithm. This can be used to return a list of string symbols retrieved from anywhere and will loads those symbols under the US Equity market. More...
 
Universe AddUniverse (SecurityType securityType, string name, Resolution resolution, string market, UniverseSettings universeSettings, Func< DateTime, IEnumerable< string >> selector)
 Creates a new user defined universe that will fire on the requested resolution during market hours. More...
 
void AddUniverseOptions (Symbol underlyingSymbol, Func< OptionFilterUniverse, OptionFilterUniverse > optionFilter)
 Adds a new universe that creates options of the security by monitoring any changes in the Universe the provided security is in. Additionally, a filter can be applied to the options generated when the universe of the security changes. More...
 
void AddUniverseOptions (Universe universe, Func< OptionFilterUniverse, OptionFilterUniverse > optionFilter)
 Creates a new universe selection model and adds it to the algorithm. This universe selection model will chain to the security changes of a given Universe selection output and create a new OptionChainUniverse for each of them More...
 

Additional Inherited Members

- Static Public Member Functions inherited from QuantConnect.Algorithm.QCAlgorithm
static IDataConsolidator CreateConsolidator (TimeSpan period, Type consolidatorInputType, TickType? tickType=null)
 Creates a new consolidator for the specified period, generating the requested output type. More...
 
- Public Attributes inherited from QuantConnect.Algorithm.QCAlgorithm
IReadOnlyDictionary< Symbol, SecurityActiveSecurities => UniverseManager.ActiveSecurities
 Read-only dictionary containing all active securities. An active security is a security that is currently selected by the universe or has holdings or open orders. More...
 
string AccountCurrency => Portfolio.CashBook.AccountCurrency
 Gets the account currency More...
 
ITimeKeeper TimeKeeper => _timeKeeper
 Gets the time keeper instance More...
 
DateTime StartDate => _startDate
 Value of the user set start-date from the backtest. More...
 
- Protected Member Functions inherited from QuantConnect.Algorithm.QCAlgorithm
IEnumerable< DataDictionary< T > > GetDataTypedHistory< T > (IEnumerable< HistoryRequest > requests)
 Centralized logic to get data typed history for a given list of requests. More...
 
IEnumerable< HistoryRequestCreateDateRangeHistoryRequests (IEnumerable< Symbol > symbols, DateTime startAlgoTz, DateTime endAlgoTz, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Helper method to create history requests from a date range More...
 
IEnumerable< HistoryRequestCreateDateRangeHistoryRequests (IEnumerable< Symbol > symbols, Type requestedType, DateTime startAlgoTz, DateTime endAlgoTz, Resolution? resolution=null, bool? fillForward=null, bool? extendedMarketHours=null, DataMappingMode? dataMappingMode=null, DataNormalizationMode? dataNormalizationMode=null, int? contractDepthOffset=null)
 Helper method to create history requests from a date range with custom data type More...
 
PyObject GetDataFrame (IEnumerable< Slice > data, Type dataType=null)
 
PyObject GetDataFrame< T > (IEnumerable< T > data)
 
- Static Protected Attributes inherited from QuantConnect.Algorithm.QCAlgorithm
const int MaxNameAndTagsLength = 200
 Maximum length of the name or tags of a backtest More...
 
const int MaxTagsCount = 100
 Maximum number of tags allowed for a backtest More...
 
- Properties inherited from QuantConnect.Algorithm.QCAlgorithm
MarketHoursDatabase MarketHoursDatabase [get]
 Gets the market hours database in use by this algorithm More...
 
SymbolPropertiesDatabase SymbolPropertiesDatabase [get]
 Gets the symbol properties database in use by this algorithm More...
 
SecurityManager Securities [get, set]
 Security collection is an array of the security objects such as Equities and FOREX. Securities data manages the properties of tradeable assets such as price, open and close time and holdings information. More...
 
SecurityPortfolioManager Portfolio [get, set]
 Portfolio object provieds easy access to the underlying security-holding properties; summed together in a way to make them useful. This saves the user time by providing common portfolio requests in a single More...
 
SubscriptionManager SubscriptionManager [get, set]
 Generic Data Manager - Required for compiling all data feeds in order, and passing them into algorithm event methods. The subscription manager contains a list of the data feed's we're subscribed to and properties of each data feed. More...
 
SignalExportManager SignalExport [get]
 SignalExport - Allows sending export signals to different 3rd party API's. For example, it allows to send signals to Collective2, CrunchDAO and Numerai API's More...
 
int ProjectId [get, set]
 The project id associated with this algorithm if any More...
 
IBrokerageModel BrokerageModel [get]
 Gets the brokerage model - used to model interactions with specific brokerages. More...
 
BrokerageName BrokerageName [get]
 Gets the brokerage name. More...
 
IBrokerageMessageHandler BrokerageMessageHandler [get, set]
 Gets the brokerage message handler used to decide what to do with each message sent from the brokerage More...
 
IRiskFreeInterestRateModel RiskFreeInterestRateModel [get]
 Gets the risk free interest rate model used to get the interest rates More...
 
NotificationManager Notify [get, set]
 Notification Manager for Sending Live Runtime Notifications to users about important events. More...
 
ScheduleManager Schedule [get]
 Gets schedule manager for adding/removing scheduled events More...
 
AlgorithmStatus Status [get, set]
 Gets or sets the current status of the algorithm More...
 
ISecurityInitializer SecurityInitializer [get]
 Gets an instance that is to be used to initialize newly created securities. More...
 
ITradeBuilder TradeBuilder [get]
 Gets the Trade Builder to generate trades from executions More...
 
CandlestickPatterns CandlestickPatterns [get]
 Gets an instance to access the candlestick pattern helper methods More...
 
DateRules DateRules [get]
 Gets the date rules helper object to make specifying dates for events easier More...
 
TimeRules TimeRules [get]
 Gets the time rules helper object to make specifying times for events easier More...
 
TradingCalendar TradingCalendar [get]
 Gets trading calendar populated with trading events More...
 
IAlgorithmSettings Settings [get]
 Gets the user settings for the algorithm More...
 
IOptionChainProvider OptionChainProvider [get]
 Gets the option chain provider, used to get the list of option contracts for an underlying symbol More...
 
IFutureChainProvider FutureChainProvider [get]
 Gets the future chain provider, used to get the list of future contracts for an underlying symbol More...
 
IOrderProperties DefaultOrderProperties [get, set]
 Gets the default order properties More...
 
string Name [get, set]
 Public name for the algorithm as automatically generated by the IDE. Intended for helping distinguish logs by noting the algorithm-id. More...
 
HashSet< string >?? Tags [get, set]
 A list of tags associated with the algorithm or the backtest, useful for categorization More...
 
DateTime Time [get]
 Read-only value for current time frontier of the algorithm in terms of the TimeZone More...
 
DateTime UtcTime [get]
 Current date/time in UTC. More...
 
DateTimeZone TimeZone [get]
 Gets the time zone used for the Time property. The default value is TimeZones.NewYork More...
 
DateTime EndDate [get]
 Value of the user set start-date from the backtest. Controls the period of the backtest. More...
 
string AlgorithmId [get]
 Algorithm Id for this backtest or live algorithm. More...
 
bool LiveMode [get]
 Boolean property indicating the algorithm is currently running in live mode. More...
 
AlgorithmMode AlgorithmMode [get]
 Algorithm running mode. More...
 
DeploymentTarget DeploymentTarget [get]
 Deployment target, either local or cloud. More...
 
ConcurrentQueue< string > DebugMessages [get, set]
 Storage for debugging messages before the event handler has passed control back to the Lean Engine. More...
 
ConcurrentQueue< string > LogMessages [get, set]
 Storage for log messages before the event handlers have passed control back to the Lean Engine. More...
 
Exception RunTimeError [get, set]
 Gets the run time error from the algorithm, or null if none was encountered. More...
 
ConcurrentQueue< string > ErrorMessages [get, set]
 List of error messages generated by the user's code calling the "Error" function. More...
 
Slice CurrentSlice [get]
 Returns the current Slice object More...
 
ObjectStore ObjectStore [get]
 Gets the object store, used for persistence More...
 
StatisticsResults??? Statistics [get]
 The current statistics for the running algorithm. More...
 
IBenchmark Benchmark [get]
 Benchmark More...
 
bool DebugMode [get, set]
 Enables additional logging of framework models including: All insights, portfolio targets, order events, and any risk management altered targets More...
 
IUniverseSelectionModel UniverseSelection [get, set]
 Gets or sets the universe selection model. More...
 
IAlphaModel Alpha [get, set]
 Gets or sets the alpha model More...
 
InsightManager Insights [get]
 Gets the insight manager More...
 
IPortfolioConstructionModel PortfolioConstruction [get, set]
 Gets or sets the portfolio construction model More...
 
IExecutionModel Execution [get, set]
 Gets or sets the execution model More...
 
IRiskManagementModel RiskManagement [get, set]
 Gets or sets the risk management model More...
 
IHistoryProvider HistoryProvider [get, set]
 Gets or sets the history provider for the algorithm More...
 
bool IsWarmingUp [get]
 Gets whether or not this algorithm is still warming up More...
 
bool EnableAutomaticIndicatorWarmUp = false [get, set]
 Gets whether or not WarmUpIndicator is allowed to warm up indicators/> More...
 
ConcurrentDictionary< string, string > RuntimeStatistics = new ConcurrentDictionary<string, string>() [get]
 Access to the runtime statistics property. User provided statistics. More...
 
virtual PandasConverter PandasConverter [get]
 PandasConverter for this Algorithm More...
 
SecurityTransactionManager Transactions [get, set]
 Transaction Manager - Process transaction fills and order management. More...
 
UniverseManager UniverseManager [get]
 Gets universe manager which holds universes keyed by their symbol More...
 
UniverseSettings UniverseSettings [get]
 Gets the universe settings to be used when adding securities via universe selection More...
 
UniverseDefinitions Universe [get]
 Gets a helper that provides pre-defined universe definitions, such as top dollar volume More...
 
- Events inherited from QuantConnect.Algorithm.QCAlgorithm
AlgorithmEvent< GeneratedInsightsCollectionInsightsGenerated
 Event fired when the algorithm generates insights More...
 
AlgorithmEvent< string > NameUpdated
 Event fired algorithm's name is changed More...
 
AlgorithmEvent< HashSet< string > > TagsUpdated
 Event fired when the tag collection is updated More...
 

Detailed Description

Provides access to data for quantitative analysis

Definition at line 46 of file QuantBook.cs.

Constructor & Destructor Documentation

◆ QuantBook()

QuantConnect.Research.QuantBook.QuantBook ( )

QuantBook constructor. Provides access to data for quantitative analysis

Definition at line 89 of file QuantBook.cs.

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Member Function Documentation

◆ GetFundamental() [1/5]

PyObject QuantConnect.Research.QuantBook.GetFundamental ( PyObject  input,
string  selector = null,
DateTime?  start = null,
DateTime?  end = null 
)

Python implementation of GetFundamental, get fundamental data for input symbols or tickers

Parameters
inputThe symbols or tickers to retrieve fundamental data for
selectorSelects a value from the Fundamental data to filter the request output
startThe start date of selected data
endThe end date of selected data
Returns
pandas DataFrame

Definition at line 221 of file QuantBook.cs.

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◆ GetFundamental() [2/5]

IEnumerable<DataDictionary<dynamic> > QuantConnect.Research.QuantBook.GetFundamental ( IEnumerable< Symbol symbols,
string  selector = null,
DateTime?  start = null,
DateTime?  end = null 
)

Get fundamental data from given symbols

Parameters
symbolsThe symbols to retrieve fundamental data for
selectorSelects a value from the Fundamental data to filter the request output
startThe start date of selected data
endThe end date of selected data
Returns
Enumerable collection of DataDictionaries, one dictionary for each day there is data

Definition at line 254 of file QuantBook.cs.

◆ GetFundamental() [3/5]

IEnumerable<DataDictionary<dynamic> > QuantConnect.Research.QuantBook.GetFundamental ( Symbol  symbol,
string  selector = null,
DateTime?  start = null,
DateTime?  end = null 
)

Get fundamental data for a given symbol

Parameters
symbolThe symbol to retrieve fundamental data for
selectorSelects a value from the Fundamental data to filter the request output
startThe start date of selected data
endThe end date of selected data
Returns
Enumerable collection of DataDictionaries, one Dictionary for each day there is data.

Definition at line 273 of file QuantBook.cs.

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◆ GetFundamental() [4/5]

IEnumerable<DataDictionary<dynamic> > QuantConnect.Research.QuantBook.GetFundamental ( IEnumerable< string >  tickers,
string  selector = null,
DateTime?  start = null,
DateTime?  end = null 
)

Get fundamental data for a given set of tickers

Parameters
tickersThe tickers to retrieve fundamental data for
selectorSelects a value from the Fundamental data to filter the request output
startThe start date of selected data
endThe end date of selected data
Returns
Enumerable collection of DataDictionaries, one dictionary for each day there is data.

Definition at line 292 of file QuantBook.cs.

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◆ GetFundamental() [5/5]

dynamic QuantConnect.Research.QuantBook.GetFundamental ( string  ticker,
string  selector = null,
DateTime?  start = null,
DateTime?  end = null 
)

Get fundamental data for a given ticker

Parameters
symbolThe symbol to retrieve fundamental data for
selectorSelects a value from the Fundamental data to filter the request output
startThe start date of selected data
endThe end date of selected data
Returns
Enumerable collection of DataDictionaries, one Dictionary for each day there is data.

Definition at line 312 of file QuantBook.cs.

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◆ OptionHistory() [1/2]

OptionHistory QuantConnect.Research.QuantBook.OptionHistory ( Symbol  symbol,
string  targetOption,
DateTime  start,
DateTime?  end = null,
Resolution resolution = null,
bool  fillForward = true,
bool  extendedMarketHours = false 
)

Gets OptionHistory object for a given symbol, date and resolution

Parameters
symbolThe symbol to retrieve historical option data for
targetOptionThe target option ticker. This is useful when the option ticker does not match the underlying, e.g. SPX index and the SPXW weekly option. If null is provided will use underlying
startThe history request start time
endThe history request end time. Defaults to 1 day if null
resolutionThe resolution to request
fillForwardTrue to fill forward missing data, false otherwise
extendedMarketHoursTrue to include extended market hours data, false otherwise
Returns
A OptionHistory object that contains historical option data.

Definition at line 341 of file QuantBook.cs.

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◆ GetOptionHistory() [1/2]

OptionHistory QuantConnect.Research.QuantBook.GetOptionHistory ( Symbol  symbol,
string  targetOption,
DateTime  start,
DateTime?  end = null,
Resolution resolution = null,
bool  fillForward = true,
bool  extendedMarketHours = false 
)

Gets OptionHistory object for a given symbol, date and resolution

Parameters
symbolThe symbol to retrieve historical option data for
targetOptionThe target option ticker. This is useful when the option ticker does not match the underlying, e.g. SPX index and the SPXW weekly option. If null is provided will use underlying
startThe history request start time
endThe history request end time. Defaults to 1 day if null
resolutionThe resolution to request
fillForwardTrue to fill forward missing data, false otherwise
extendedMarketHoursTrue to include extended market hours data, false otherwise
Returns
A OptionHistory object that contains historical option data.

Definition at line 361 of file QuantBook.cs.

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◆ OptionHistory() [2/2]

OptionHistory QuantConnect.Research.QuantBook.OptionHistory ( Symbol  symbol,
DateTime  start,
DateTime?  end = null,
Resolution resolution = null,
bool  fillForward = true,
bool  extendedMarketHours = false 
)

Gets OptionHistory object for a given symbol, date and resolution

Parameters
symbolThe symbol to retrieve historical option data for
startThe history request start time
endThe history request end time. Defaults to 1 day if null
resolutionThe resolution to request
fillForwardTrue to fill forward missing data, false otherwise
extendedMarketHoursTrue to include extended market hours data, false otherwise
Returns
A OptionHistory object that contains historical option data.

Definition at line 377 of file QuantBook.cs.

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◆ GetOptionHistory() [2/2]

OptionHistory QuantConnect.Research.QuantBook.GetOptionHistory ( Symbol  symbol,
DateTime  start,
DateTime?  end = null,
Resolution resolution = null,
bool  fillForward = true,
bool  extendedMarketHours = false 
)

Gets OptionHistory object for a given symbol, date and resolution

Parameters
symbolThe symbol to retrieve historical option data for
startThe history request start time
endThe history request end time. Defaults to 1 day if null
resolutionThe resolution to request
fillForwardTrue to fill forward missing data, false otherwise
extendedMarketHoursTrue to include extended market hours data, false otherwise
Returns
A OptionHistory object that contains historical option data.

Definition at line 460 of file QuantBook.cs.

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◆ FutureHistory()

FutureHistory QuantConnect.Research.QuantBook.FutureHistory ( Symbol  symbol,
DateTime  start,
DateTime?  end = null,
Resolution resolution = null,
bool  fillForward = true,
bool  extendedMarketHours = false 
)

Gets FutureHistory object for a given symbol, date and resolution

Parameters
symbolThe symbol to retrieve historical future data for
startThe history request start time
endThe history request end time. Defaults to 1 day if null
resolutionThe resolution to request
fillForwardTrue to fill forward missing data, false otherwise
extendedMarketHoursTrue to include extended market hours data, false otherwise
Returns
A FutureHistory object that contains historical future data.

Definition at line 476 of file QuantBook.cs.

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◆ GetFutureHistory()

FutureHistory QuantConnect.Research.QuantBook.GetFutureHistory ( Symbol  symbol,
DateTime  start,
DateTime?  end = null,
Resolution resolution = null,
bool  fillForward = true,
bool  extendedMarketHours = false 
)

Gets FutureHistory object for a given symbol, date and resolution

Parameters
symbolThe symbol to retrieve historical future data for
startThe history request start time
endThe history request end time. Defaults to 1 day if null
resolutionThe resolution to request
fillForwardTrue to fill forward missing data, false otherwise
extendedMarketHoursTrue to include extended market hours data, false otherwise
Returns
A FutureHistory object that contains historical future data.

Definition at line 520 of file QuantBook.cs.

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◆ Indicator() [1/9]

PyObject QuantConnect.Research.QuantBook.Indicator ( IndicatorBase< IndicatorDataPoint indicator,
Symbol  symbol,
int  period,
Resolution resolution = null,
Func< IBaseData, decimal >  selector = null 
)

Gets the historical data of an indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection.

Parameters
symbolThe symbol to retrieve historical data for
periodsThe number of bars to request
resolutionThe resolution to request
selectorSelects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
Returns
pandas.DataFrame of historical data of an indicator

Definition at line 535 of file QuantBook.cs.

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◆ Indicator() [2/9]

PyObject QuantConnect.Research.QuantBook.Indicator ( IndicatorBase< IBaseDataBar indicator,
Symbol  symbol,
int  period,
Resolution resolution = null,
Func< IBaseData, IBaseDataBar selector = null 
)

Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection.

Parameters
symbolThe symbol to retrieve historical data for
periodsThe number of bars to request
resolutionThe resolution to request
selectorSelects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
Returns
pandas.DataFrame of historical data of a bar indicator

Definition at line 550 of file QuantBook.cs.

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◆ Indicator() [3/9]

PyObject QuantConnect.Research.QuantBook.Indicator ( IndicatorBase< TradeBar indicator,
Symbol  symbol,
int  period,
Resolution resolution = null,
Func< IBaseData, TradeBar selector = null 
)

Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection.

Parameters
symbolThe symbol to retrieve historical data for
periodsThe number of bars to request
resolutionThe resolution to request
selectorSelects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
Returns
pandas.DataFrame of historical data of a bar indicator

Definition at line 565 of file QuantBook.cs.

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◆ Indicator() [4/9]

PyObject QuantConnect.Research.QuantBook.Indicator ( IndicatorBase< IndicatorDataPoint indicator,
Symbol  symbol,
TimeSpan  span,
Resolution resolution = null,
Func< IBaseData, decimal >  selector = null 
)

Gets the historical data of an indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection.

Parameters
indicatorIndicator
symbolThe symbol to retrieve historical data for
spanThe span over which to retrieve recent historical data
resolutionThe resolution to request
selectorSelects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
Returns
pandas.DataFrame of historical data of an indicator

Definition at line 581 of file QuantBook.cs.

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◆ Indicator() [5/9]

PyObject QuantConnect.Research.QuantBook.Indicator ( IndicatorBase< IBaseDataBar indicator,
Symbol  symbol,
TimeSpan  span,
Resolution resolution = null,
Func< IBaseData, IBaseDataBar selector = null 
)

Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection.

Parameters
indicatorIndicator
symbolThe symbol to retrieve historical data for
spanThe span over which to retrieve recent historical data
resolutionThe resolution to request
selectorSelects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
Returns
pandas.DataFrame of historical data of a bar indicator

Definition at line 597 of file QuantBook.cs.

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◆ Indicator() [6/9]

PyObject QuantConnect.Research.QuantBook.Indicator ( IndicatorBase< TradeBar indicator,
Symbol  symbol,
TimeSpan  span,
Resolution resolution = null,
Func< IBaseData, TradeBar selector = null 
)

Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection.

Parameters
indicatorIndicator
symbolThe symbol to retrieve historical data for
spanThe span over which to retrieve recent historical data
resolutionThe resolution to request
selectorSelects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
Returns
pandas.DataFrame of historical data of a bar indicator

Definition at line 613 of file QuantBook.cs.

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◆ Indicator() [7/9]

PyObject QuantConnect.Research.QuantBook.Indicator ( IndicatorBase< IndicatorDataPoint indicator,
Symbol  symbol,
DateTime  start,
DateTime  end,
Resolution resolution = null,
Func< IBaseData, decimal >  selector = null 
)

Gets the historical data of an indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection.

Parameters
indicatorIndicator
symbolThe symbol to retrieve historical data for
startThe start time in the algorithm's time zone
endThe end time in the algorithm's time zone
resolutionThe resolution to request
selectorSelects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
Returns
pandas.DataFrame of historical data of an indicator

Definition at line 630 of file QuantBook.cs.

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◆ Indicator() [8/9]

PyObject QuantConnect.Research.QuantBook.Indicator ( IndicatorBase< IBaseDataBar indicator,
Symbol  symbol,
DateTime  start,
DateTime  end,
Resolution resolution = null,
Func< IBaseData, IBaseDataBar selector = null 
)

Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection.

Parameters
indicatorIndicator
symbolThe symbol to retrieve historical data for
startThe start time in the algorithm's time zone
endThe end time in the algorithm's time zone
resolutionThe resolution to request
selectorSelects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
Returns
pandas.DataFrame of historical data of a bar indicator

Definition at line 647 of file QuantBook.cs.

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◆ Indicator() [9/9]

PyObject QuantConnect.Research.QuantBook.Indicator ( IndicatorBase< TradeBar indicator,
Symbol  symbol,
DateTime  start,
DateTime  end,
Resolution resolution = null,
Func< IBaseData, TradeBar selector = null 
)

Gets the historical data of a bar indicator for the specified symbol. The exact number of bars will be returned. The symbol must exist in the Securities collection.

Parameters
indicatorIndicator
symbolThe symbol to retrieve historical data for
startThe start time in the algorithm's time zone
endThe end time in the algorithm's time zone
resolutionThe resolution to request
selectorSelects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
Returns
pandas.DataFrame of historical data of a bar indicator

Definition at line 664 of file QuantBook.cs.

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◆ UniverseHistory< T1, T2 >()

IEnumerable<IEnumerable<T2> > QuantConnect.Research.QuantBook.UniverseHistory< T1, T2 > ( DateTime  start,
DateTime?  end = null,
Func< IEnumerable< T2 >, IEnumerable< Symbol >>  func = null 
)

Will return the universe selection data and will optionally perform selection

Template Parameters
T1The universe selection universe data type, for example Fundamentals
T2The selection data type, for example Fundamental
Parameters
startThe start date
endOptionally the end date, will default to today
funcOptionally the universe selection function
Returns
Enumerable of universe selection data for each date, filtered if the func was provided
Type Constraints
T1 :BaseDataCollection 
T2 :IBaseData 

Definition at line 679 of file QuantBook.cs.

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◆ UniverseHistory() [1/2]

IEnumerable<IEnumerable<BaseData> > QuantConnect.Research.QuantBook.UniverseHistory ( Universe  universe,
DateTime  start,
DateTime?  end = null 
)

Will return the universe selection data and will optionally perform selection

Parameters
universeThe universe to fetch the data for
startThe start date
endOptionally the end date, will default to today
Returns
Enumerable of universe selection data for each date, filtered if the func was provided

Definition at line 717 of file QuantBook.cs.

◆ UniverseHistory() [2/2]

PyObject QuantConnect.Research.QuantBook.UniverseHistory ( PyObject  universe,
DateTime  start,
DateTime?  end = null,
PyObject  func = null 
)

Will return the universe selection data and will optionally perform selection

Parameters
universeThe universe to fetch the data for
startThe start date
endOptionally the end date, will default to today
funcOptionally the universe selection function
Returns
Enumerable of universe selection data for each date, filtered if the func was provided

Definition at line 730 of file QuantBook.cs.

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◆ GetPortfolioStatistics()

PyDict QuantConnect.Research.QuantBook.GetPortfolioStatistics ( PyObject  dataFrame)

Gets Portfolio Statistics from a pandas.DataFrame with equity and benchmark values

Parameters
dataFramepandas.DataFrame with the information required to compute the Portfolio statistics
Returns
PortfolioStatistics object wrapped in a PyDict with the portfolio statistics.

Definition at line 766 of file QuantBook.cs.

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