wehub-resource-sync
85 lines
3.6 KiB
C#
85 lines
3.6 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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/// A data consolidator that can make bigger bars from any base data
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///
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/// This type acts as the base for other consolidators that produce bars on a given time step or for a count of data.
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/// </summary>
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/// <typeparam name="T">The input type into the consolidator's Update method</typeparam>
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public abstract class TradeBarConsolidatorBase<T> : PeriodCountConsolidatorBase<T, TradeBar>
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where T : IBaseData
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{
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/// <summary>
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/// Creates a consolidator to produce a new 'TradeBar' representing the period
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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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protected TradeBarConsolidatorBase(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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/// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data
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/// </summary>
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/// <param name="maxCount">The number of pieces to accept before emiting a consolidated bar</param>
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protected TradeBarConsolidatorBase(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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/// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first
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/// </summary>
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/// <param name="maxCount">The number of pieces to accept before emiting 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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protected TradeBarConsolidatorBase(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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/// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first
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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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protected TradeBarConsolidatorBase(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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/// Creates a consolidator to produce a new 'TradeBar' representing the last count pieces of data or the period, whichever comes first
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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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protected TradeBarConsolidatorBase(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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/// Gets a copy of the current 'workingBar'.
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/// </summary>
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public TradeBar WorkingBar => (TradeBar) WorkingData;
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}
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}
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