wehub-resource-sync
112 lines
4.8 KiB
C#
112 lines
4.8 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using QuantConnect.Data.Market;
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using Python.Runtime;
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namespace QuantConnect.Data.Consolidators
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{
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/// <summary>
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/// Consolidates ticks into quote bars. This consolidator ignores trade ticks
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/// </summary>
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public class TickQuoteBarConsolidator : PeriodCountConsolidatorBase<Tick, QuoteBar>
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="TickQuoteBarConsolidator"/> class
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/// </summary>
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/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
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/// <param name="startTime">Optionally the bar start time anchor to use</param>
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public TickQuoteBarConsolidator(TimeSpan period, TimeSpan? startTime = null)
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: base(period, startTime)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="TickQuoteBarConsolidator"/> class
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/// </summary>
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/// <param name="maxCount">The number of pieces to accept before emitting a consolidated bar</param>
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public TickQuoteBarConsolidator(int maxCount)
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: base(maxCount)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="TickQuoteBarConsolidator"/> class
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/// </summary>
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/// <param name="maxCount">The number of pieces to accept before emitting a consolidated bar</param>
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/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
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public TickQuoteBarConsolidator(int maxCount, TimeSpan period)
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: base(maxCount, period)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="TickQuoteBarConsolidator"/> class
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/// </summary>
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/// <param name="func">Func that defines the start time of a consolidated data</param>
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public TickQuoteBarConsolidator(Func<DateTime, CalendarInfo> func)
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: base(func)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="TickQuoteBarConsolidator"/> class
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/// </summary>
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/// <param name="pyfuncobj">Python function object that defines the start time of a consolidated data</param>
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public TickQuoteBarConsolidator(PyObject pyfuncobj)
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: base(pyfuncobj)
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{
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}
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/// <summary>
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/// Determines whether or not the specified data should be processed
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/// </summary>
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/// <param name="data">The data to check</param>
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/// <returns>True if the consolidator should process this data, false otherwise</returns>
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protected override bool ShouldProcess(Tick data)
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{
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return data.TickType == TickType.Quote;
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}
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/// <summary>
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/// Aggregates the new 'data' into the 'workingBar'. The 'workingBar' will be
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/// null following the event firing
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/// </summary>
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/// <param name="workingBar">The bar we're building, null if the event was just fired and we're starting a new consolidated bar</param>
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/// <param name="data">The new data</param>
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protected override void AggregateBar(ref QuoteBar workingBar, Tick data)
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{
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if (workingBar == null)
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{
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workingBar = new QuoteBar(GetRoundedBarTime(data), data.Symbol, null, decimal.Zero, null, decimal.Zero, Period);
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// open ask and bid should match previous close ask and bid
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if (Consolidated != null)
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{
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// note that we will only fill forward previous close ask and bid when a new data point comes in and we generate a new working bar which is not a fill forward bar
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var previous = Consolidated as QuoteBar;
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workingBar.Update(decimal.Zero, previous.Bid?.Close ?? decimal.Zero, previous.Ask?.Close ?? decimal.Zero, decimal.Zero, previous.LastBidSize, previous.LastAskSize);
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}
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}
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// update the bid and ask
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workingBar.Update(decimal.Zero, data.BidPrice, data.AskPrice, decimal.Zero, data.BidSize, data.AskSize);
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if (!Period.HasValue) workingBar.EndTime = GetRoundedBarTime(data.EndTime);
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}
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}
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}
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