wehub-resource-sync
726 lines
30 KiB
C#
726 lines
30 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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using System;
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using System.Globalization;
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using System.IO;
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using System.Runtime.CompilerServices;
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using ProtoBuf;
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using QuantConnect.Logging;
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using QuantConnect.Python;
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using QuantConnect.Util;
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using static QuantConnect.StringExtensions;
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namespace QuantConnect.Data.Market
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{
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/// <summary>
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/// QuoteBar class for second and minute resolution data:
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/// An OHLC implementation of the QuantConnect BaseData class with parameters for candles.
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/// </summary>
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[ProtoContract(SkipConstructor = true)]
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public class QuoteBar : BaseData, IBaseDataBar
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{
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// scale factor used in QC equity/option/indexOption data files
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private const decimal _scaleFactor = 1 / 10000m;
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/// <summary>
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/// Average bid size
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/// </summary>
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[ProtoMember(201)]
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[PandasColumn("bidsize")]
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public decimal LastBidSize { get; set; }
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/// <summary>
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/// Average ask size
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/// </summary>
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[ProtoMember(202)]
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[PandasColumn("asksize")]
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public decimal LastAskSize { get; set; }
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/// <summary>
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/// Bid OHLC
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/// </summary>
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[ProtoMember(203)]
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public Bar Bid { get; set; }
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/// <summary>
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/// Ask OHLC
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/// </summary>
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[ProtoMember(204)]
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public Bar Ask { get; set; }
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/// <summary>
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/// Opening price of the bar: Defined as the price at the start of the time period.
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/// </summary>
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public decimal Open
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{
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get
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{
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if (Bid != null && Ask != null)
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{
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if (Bid.Open != 0m && Ask.Open != 0m)
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return (Bid.Open + Ask.Open) / 2m;
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if (Bid.Open != 0)
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return Bid.Open;
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if (Ask.Open != 0)
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return Ask.Open;
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return 0m;
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}
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if (Bid != null)
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{
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return Bid.Open;
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}
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if (Ask != null)
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{
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return Ask.Open;
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}
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return 0m;
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}
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}
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/// <summary>
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/// High price of the QuoteBar during the time period.
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/// </summary>
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public decimal High
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{
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get
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{
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if (Bid != null && Ask != null)
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{
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if (Bid.High != 0m && Ask.High != 0m)
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return (Bid.High + Ask.High) / 2m;
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if (Bid.High != 0)
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return Bid.High;
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if (Ask.High != 0)
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return Ask.High;
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return 0m;
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}
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if (Bid != null)
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{
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return Bid.High;
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}
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if (Ask != null)
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{
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return Ask.High;
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}
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return 0m;
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}
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}
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/// <summary>
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/// Low price of the QuoteBar during the time period.
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/// </summary>
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public decimal Low
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{
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get
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{
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if (Bid != null && Ask != null)
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{
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if (Bid.Low != 0m && Ask.Low != 0m)
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return (Bid.Low + Ask.Low) / 2m;
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if (Bid.Low != 0)
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return Bid.Low;
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if (Ask.Low != 0)
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return Ask.Low;
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return 0m;
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}
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if (Bid != null)
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{
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return Bid.Low;
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}
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if (Ask != null)
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{
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return Ask.Low;
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}
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return 0m;
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}
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}
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/// <summary>
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/// Closing price of the QuoteBar. Defined as the price at Start Time + TimeSpan.
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/// </summary>
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public decimal Close
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{
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get
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{
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if (Bid != null && Ask != null)
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{
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if (Bid.Close != 0m && Ask.Close != 0m)
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return (Bid.Close + Ask.Close) / 2m;
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if (Bid.Close != 0)
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return Bid.Close;
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if (Ask.Close != 0)
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return Ask.Close;
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return 0m;
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}
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if (Bid != null)
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{
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return Bid.Close;
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}
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if (Ask != null)
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{
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return Ask.Close;
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}
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return Value;
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}
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}
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/// <summary>
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/// The closing time of this bar, computed via the Time and Period
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/// </summary>
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[PandasIgnore]
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public override DateTime EndTime
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{
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get { return Time + Period; }
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set { Period = value - Time; }
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}
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/// <summary>
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/// The period of this quote bar, (second, minute, daily, ect...)
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/// </summary>
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[ProtoMember(205)]
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[PandasIgnore]
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public TimeSpan Period { get; set; }
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/// <summary>
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/// Default initializer to setup an empty quotebar.
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/// </summary>
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public QuoteBar()
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: this(false)
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{
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}
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/// <summary>
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/// Default initializer to setup an empty quotebar.
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/// </summary>
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public QuoteBar(bool empty)
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{
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DataType = MarketDataType.QuoteBar;
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if (empty)
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{
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return;
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}
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Symbol = Symbol.Empty;
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Time = new DateTime();
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Bid = new Bar();
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Ask = new Bar();
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Value = 0;
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Period = QuantConnect.Time.OneMinute;
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}
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/// <summary>
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/// Initialize Quote Bar with Bid(OHLC) and Ask(OHLC) Values:
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/// </summary>
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/// <param name="time">DateTime Timestamp of the bar</param>
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/// <param name="symbol">Market MarketType Symbol</param>
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/// <param name="bid">Bid OLHC bar</param>
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/// <param name="lastBidSize">Average bid size over period</param>
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/// <param name="ask">Ask OLHC bar</param>
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/// <param name="lastAskSize">Average ask size over period</param>
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/// <param name="period">The period of this bar, specify null for default of 1 minute</param>
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public QuoteBar(DateTime time, Symbol symbol, IBar bid, decimal lastBidSize, IBar ask, decimal lastAskSize, TimeSpan? period = null)
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{
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Symbol = symbol;
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Time = time;
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Bid = bid == null ? null : new Bar(bid.Open, bid.High, bid.Low, bid.Close);
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Ask = ask == null ? null : new Bar(ask.Open, ask.High, ask.Low, ask.Close);
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if (Bid != null) LastBidSize = lastBidSize;
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if (Ask != null) LastAskSize = lastAskSize;
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Value = Close;
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Period = period ?? QuantConnect.Time.OneMinute;
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DataType = MarketDataType.QuoteBar;
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}
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/// <summary>
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/// Update the quotebar - build the bar from this pricing information:
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/// </summary>
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/// <param name="lastTrade">The last trade price</param>
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/// <param name="bidPrice">Current bid price</param>
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/// <param name="askPrice">Current asking price</param>
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/// <param name="volume">Volume of this trade</param>
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/// <param name="bidSize">The size of the current bid, if available, if not, pass 0</param>
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/// <param name="askSize">The size of the current ask, if available, if not, pass 0</param>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public override void Update(decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
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{
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// update our bid and ask bars - handle null values, this is to give good values for midpoint OHLC
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if (Bid == null && bidPrice != 0) Bid = new Bar(bidPrice, bidPrice, bidPrice, bidPrice);
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else if (Bid != null) Bid.Update(ref bidPrice);
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if (Ask == null && askPrice != 0) Ask = new Bar(askPrice, askPrice, askPrice, askPrice);
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else if (Ask != null) Ask.Update(ref askPrice);
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if (bidSize > 0)
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{
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LastBidSize = bidSize;
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}
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if (askSize > 0)
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{
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LastAskSize = askSize;
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}
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// be prepared for updates without trades
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if (lastTrade != 0) Value = lastTrade;
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else if (askPrice != 0) Value = askPrice;
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else if (bidPrice != 0) Value = bidPrice;
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}
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/// <summary>
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/// QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType, </param>
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/// <param name="stream">The file data stream</param>
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/// <param name="date">Date of this reader request</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>Enumerable iterator for returning each line of the required data.</returns>
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[StubsIgnore]
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public override BaseData Reader(SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode)
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{
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try
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{
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switch (config.SecurityType)
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{
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case SecurityType.Equity:
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return ParseEquity(config, stream, date);
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case SecurityType.Forex:
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case SecurityType.Crypto:
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case SecurityType.CryptoFuture:
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return ParseForex(config, stream, date);
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case SecurityType.Cfd:
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return ParseCfd(config, stream, date);
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case SecurityType.Option:
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case SecurityType.FutureOption:
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case SecurityType.IndexOption:
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return ParseOption(config, stream, date);
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case SecurityType.Future:
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return ParseFuture(config, stream, date);
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}
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}
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catch (Exception err)
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{
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Log.Error(Invariant($"QuoteBar.Reader(): Error parsing stream, Symbol: {config.Symbol.Value}, SecurityType: {config.SecurityType}, ") +
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Invariant($"Resolution: {config.Resolution}, Date: {date.ToStringInvariant("yyyy-MM-dd")}, Message: {err}")
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);
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}
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// we need to consume a line anyway, to advance the stream
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stream.ReadLine();
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// if we couldn't parse it above return a default instance
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return new QuoteBar { Symbol = config.Symbol, Period = config.Increment };
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}
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/// <summary>
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/// QuoteBar Reader: Fetch the data from the QC storage and feed it line by line into the engine.
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType, </param>
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/// <param name="line">Line from the data file requested</param>
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/// <param name="date">Date of this reader request</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>Enumerable iterator for returning each line of the required data.</returns>
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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try
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{
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switch (config.SecurityType)
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{
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case SecurityType.Equity:
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return ParseEquity(config, line, date);
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case SecurityType.Forex:
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case SecurityType.Crypto:
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case SecurityType.CryptoFuture:
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return ParseForex(config, line, date);
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case SecurityType.Cfd:
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return ParseCfd(config, line, date);
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case SecurityType.Option:
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case SecurityType.FutureOption:
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case SecurityType.IndexOption:
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return ParseOption(config, line, date);
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case SecurityType.Future:
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return ParseFuture(config, line, date);
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}
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}
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catch (Exception err)
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{
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Log.Error(Invariant($"QuoteBar.Reader(): Error parsing line: '{line}', Symbol: {config.Symbol.Value}, SecurityType: {config.SecurityType}, ") +
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Invariant($"Resolution: {config.Resolution}, Date: {date.ToStringInvariant("yyyy-MM-dd")}, Message: {err}")
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);
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}
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// if we couldn't parse it above return a default instance
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return new QuoteBar { Symbol = config.Symbol, Period = config.Increment };
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}
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/// <summary>
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/// Parse a quotebar representing a future with a scaling factor
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType</param>
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/// <param name="line">Line from the data file requested</param>
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/// <param name="date">Date of this reader request</param>
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/// <returns><see cref="QuoteBar"/> with the bid/ask set to same values</returns>
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public QuoteBar ParseFuture(SubscriptionDataConfig config, string line, DateTime date)
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{
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return ParseQuote(config, date, line, false);
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}
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/// <summary>
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/// Parse a quotebar representing a future with a scaling factor
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType</param>
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/// <param name="streamReader">The data stream of the requested file</param>
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/// <param name="date">Date of this reader request</param>
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/// <returns><see cref="QuoteBar"/> with the bid/ask set to same values</returns>
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public QuoteBar ParseFuture(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
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{
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return ParseQuote(config, date, streamReader, false);
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}
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/// <summary>
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/// Parse a quotebar representing an option with a scaling factor
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType</param>
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/// <param name="line">Line from the data file requested</param>
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/// <param name="date">Date of this reader request</param>
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/// <returns><see cref="QuoteBar"/> with the bid/ask set to same values</returns>
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public QuoteBar ParseOption(SubscriptionDataConfig config, string line, DateTime date)
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{
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return ParseQuote(config, date, line, LeanData.OptionUseScaleFactor(config.Symbol));
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}
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/// <summary>
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/// Parse a quotebar representing an option with a scaling factor
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType</param>
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/// <param name="streamReader">The data stream of the requested file</param>
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/// <param name="date">Date of this reader request</param>
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/// <returns><see cref="QuoteBar"/> with the bid/ask set to same values</returns>
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public QuoteBar ParseOption(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
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{
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// scale factor only applies for equity and index options
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return ParseQuote(config, date, streamReader, useScaleFactor: LeanData.OptionUseScaleFactor(config.Symbol));
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}
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/// <summary>
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/// Parse a quotebar representing a cfd without a scaling factor
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType</param>
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/// <param name="line">Line from the data file requested</param>
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/// <param name="date">Date of this reader request</param>
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/// <returns><see cref="QuoteBar"/> with the bid/ask set to same values</returns>
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public QuoteBar ParseCfd(SubscriptionDataConfig config, string line, DateTime date)
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{
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return ParseQuote(config, date, line, false);
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}
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/// <summary>
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/// Parse a quotebar representing a cfd without a scaling factor
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType</param>
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/// <param name="streamReader">The data stream of the requested file</param>
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/// <param name="date">Date of this reader request</param>
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/// <returns><see cref="QuoteBar"/> with the bid/ask set to same values</returns>
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public QuoteBar ParseCfd(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
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{
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return ParseQuote(config, date, streamReader, false);
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}
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/// <summary>
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/// Parse a quotebar representing a forex without a scaling factor
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType</param>
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/// <param name="line">Line from the data file requested</param>
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/// <param name="date">Date of this reader request</param>
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/// <returns><see cref="QuoteBar"/> with the bid/ask set to same values</returns>
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public QuoteBar ParseForex(SubscriptionDataConfig config, string line, DateTime date)
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{
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return ParseQuote(config, date, line, false);
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}
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/// <summary>
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/// Parse a quotebar representing a forex without a scaling factor
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType</param>
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/// <param name="streamReader">The data stream of the requested file</param>
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/// <param name="date">Date of this reader request</param>
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/// <returns><see cref="QuoteBar"/> with the bid/ask set to same values</returns>
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public QuoteBar ParseForex(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
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{
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return ParseQuote(config, date, streamReader, false);
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}
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/// <summary>
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/// Parse a quotebar representing an equity with a scaling factor
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType</param>
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/// <param name="line">Line from the data file requested</param>
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/// <param name="date">Date of this reader request</param>
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/// <returns><see cref="QuoteBar"/> with the bid/ask set to same values</returns>
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public QuoteBar ParseEquity(SubscriptionDataConfig config, string line, DateTime date)
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{
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return ParseQuote(config, date, line, true);
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}
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/// <summary>
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/// Parse a quotebar representing an equity with a scaling factor
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType</param>
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/// <param name="streamReader">The data stream of the requested file</param>
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/// <param name="date">Date of this reader request</param>
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/// <returns><see cref="QuoteBar"/> with the bid/ask set to same values</returns>
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public QuoteBar ParseEquity(SubscriptionDataConfig config, StreamReader streamReader, DateTime date)
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{
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return ParseQuote(config, date, streamReader, true);
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}
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/// <summary>
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/// "Scaffold" code - If the data being read is formatted as a QuoteBar, use this method to deserialize it
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/// </summary>
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/// <param name="config">Symbols, Resolution, DataType, </param>
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/// <param name="streamReader">The data stream of the requested file</param>
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/// <param name="date">Date of this reader request</param>
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/// <param name="useScaleFactor">Whether the data has a scaling factor applied</param>
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/// <returns><see cref="QuoteBar"/> with the bid/ask prices set appropriately</returns>
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private QuoteBar ParseQuote(SubscriptionDataConfig config, DateTime date, StreamReader streamReader, bool useScaleFactor)
|
|
{
|
|
// Non-equity asset classes will not use scaling, including options that have a non-equity underlying asset class.
|
|
var scaleFactor = useScaleFactor
|
|
? _scaleFactor
|
|
: 1;
|
|
|
|
var quoteBar = new QuoteBar
|
|
{
|
|
Period = config.Increment,
|
|
Symbol = config.Symbol
|
|
};
|
|
|
|
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
|
|
{
|
|
// hourly and daily have different time format, and can use slow, robust c# parser.
|
|
quoteBar.Time = streamReader.GetDateTime().ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
|
|
}
|
|
else
|
|
{
|
|
// Using custom int conversion for speed on high resolution data.
|
|
quoteBar.Time = date.Date.AddMilliseconds(streamReader.GetInt32()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
|
|
}
|
|
|
|
var open = streamReader.GetDecimal();
|
|
var high = streamReader.GetDecimal();
|
|
var low = streamReader.GetDecimal();
|
|
var close = streamReader.GetDecimal();
|
|
var lastSize = streamReader.GetDecimal();
|
|
// only create the bid if it exists in the file
|
|
if (open != 0 || high != 0 || low != 0 || close != 0)
|
|
{
|
|
// the Bid/Ask bars were already create above, we don't need to recreate them but just set their values
|
|
quoteBar.Bid.Open = open * scaleFactor;
|
|
quoteBar.Bid.High = high * scaleFactor;
|
|
quoteBar.Bid.Low = low * scaleFactor;
|
|
quoteBar.Bid.Close = close * scaleFactor;
|
|
quoteBar.LastBidSize = lastSize;
|
|
}
|
|
else
|
|
{
|
|
quoteBar.Bid = null;
|
|
}
|
|
|
|
open = streamReader.GetDecimal();
|
|
high = streamReader.GetDecimal();
|
|
low = streamReader.GetDecimal();
|
|
close = streamReader.GetDecimal();
|
|
lastSize = streamReader.GetDecimal();
|
|
// only create the ask if it exists in the file
|
|
if (open != 0 || high != 0 || low != 0 || close != 0)
|
|
{
|
|
// the Bid/Ask bars were already create above, we don't need to recreate them but just set their values
|
|
quoteBar.Ask.Open = open * scaleFactor;
|
|
quoteBar.Ask.High = high * scaleFactor;
|
|
quoteBar.Ask.Low = low * scaleFactor;
|
|
quoteBar.Ask.Close = close * scaleFactor;
|
|
quoteBar.LastAskSize = lastSize;
|
|
}
|
|
else
|
|
{
|
|
quoteBar.Ask = null;
|
|
}
|
|
|
|
quoteBar.Value = quoteBar.Close;
|
|
return quoteBar;
|
|
}
|
|
|
|
/// <summary>
|
|
/// "Scaffold" code - If the data being read is formatted as a QuoteBar, use this method to deserialize it
|
|
/// TODO: Once all Forex data refactored to use QuoteBar formatted data, use only this method
|
|
/// </summary>
|
|
/// <param name="config">Symbols, Resolution, DataType, </param>
|
|
/// <param name="line">Line from the data file requested</param>
|
|
/// <param name="date">Date of this reader request</param>
|
|
/// <param name="useScaleFactor">Whether the data has a scaling factor applied</param>
|
|
/// <returns><see cref="QuoteBar"/> with the bid/ask prices set appropriately</returns>
|
|
private QuoteBar ParseQuote(SubscriptionDataConfig config, DateTime date, string line, bool useScaleFactor)
|
|
{
|
|
var scaleFactor = useScaleFactor
|
|
? _scaleFactor
|
|
: 1;
|
|
|
|
var quoteBar = new QuoteBar
|
|
{
|
|
Period = config.Increment,
|
|
Symbol = config.Symbol
|
|
};
|
|
|
|
var csv = line.ToCsv(11);
|
|
if (config.Resolution == Resolution.Daily || config.Resolution == Resolution.Hour)
|
|
{
|
|
// hourly and daily have different time format, and can use slow, robust c# parser.
|
|
quoteBar.Time = DateTime.ParseExact(csv[0], DateFormat.TwelveCharacter, CultureInfo.InvariantCulture).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
|
|
}
|
|
else
|
|
{
|
|
// Using custom "ToDecimal" conversion for speed on high resolution data.
|
|
quoteBar.Time = date.Date.AddMilliseconds((double)csv[0].ToDecimal()).ConvertTo(config.DataTimeZone, config.ExchangeTimeZone);
|
|
}
|
|
|
|
// only create the bid if it exists in the file
|
|
if (csv[1].Length != 0 || csv[2].Length != 0 || csv[3].Length != 0 || csv[4].Length != 0)
|
|
{
|
|
// the Bid/Ask bars were already create above, we don't need to recreate them but just set their values
|
|
quoteBar.Bid.Open = csv[1].ToDecimal() * scaleFactor;
|
|
quoteBar.Bid.High = csv[2].ToDecimal() * scaleFactor;
|
|
quoteBar.Bid.Low = csv[3].ToDecimal() * scaleFactor;
|
|
quoteBar.Bid.Close = csv[4].ToDecimal() * scaleFactor;
|
|
quoteBar.LastBidSize = csv[5].ToDecimal();
|
|
}
|
|
else
|
|
{
|
|
quoteBar.Bid = null;
|
|
}
|
|
|
|
// only create the ask if it exists in the file
|
|
if (csv[6].Length != 0 || csv[7].Length != 0 || csv[8].Length != 0 || csv[9].Length != 0)
|
|
{
|
|
// the Bid/Ask bars were already create above, we don't need to recreate them but just set their values
|
|
quoteBar.Ask.Open = csv[6].ToDecimal() * scaleFactor;
|
|
quoteBar.Ask.High = csv[7].ToDecimal() * scaleFactor;
|
|
quoteBar.Ask.Low = csv[8].ToDecimal() * scaleFactor;
|
|
quoteBar.Ask.Close = csv[9].ToDecimal() * scaleFactor;
|
|
quoteBar.LastAskSize = csv[10].ToDecimal();
|
|
}
|
|
else
|
|
{
|
|
quoteBar.Ask = null;
|
|
}
|
|
|
|
quoteBar.Value = quoteBar.Close;
|
|
return quoteBar;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Get Source for Custom Data File
|
|
/// >> What source file location would you prefer for each type of usage:
|
|
/// </summary>
|
|
/// <param name="config">Configuration object</param>
|
|
/// <param name="date">Date of this source request if source spread across multiple files</param>
|
|
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
|
|
/// <returns>String source location of the file</returns>
|
|
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
|
|
{
|
|
if (isLiveMode)
|
|
{
|
|
// this data type is streamed in live mode
|
|
return new SubscriptionDataSource(string.Empty, SubscriptionTransportMedium.Streaming);
|
|
}
|
|
|
|
var source = LeanData.GenerateZipFilePath(Globals.DataFolder, config.Symbol, date, config.Resolution, config.TickType);
|
|
if (config.SecurityType == SecurityType.Future || config.SecurityType.IsOption())
|
|
{
|
|
source += "#" + LeanData.GenerateZipEntryName(config.Symbol, date, config.Resolution, config.TickType);
|
|
}
|
|
return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Return a new instance clone of this quote bar, used in fill forward
|
|
/// </summary>
|
|
/// <returns>A clone of the current quote bar</returns>
|
|
public override BaseData Clone()
|
|
{
|
|
return new QuoteBar
|
|
{
|
|
Ask = Ask == null ? null : Ask.Clone(),
|
|
Bid = Bid == null ? null : Bid.Clone(),
|
|
LastAskSize = LastAskSize,
|
|
LastBidSize = LastBidSize,
|
|
Symbol = Symbol,
|
|
Time = Time,
|
|
Period = Period,
|
|
Value = Value,
|
|
DataType = DataType
|
|
};
|
|
}
|
|
|
|
/// <summary>
|
|
/// Collapses QuoteBars into TradeBars object when
|
|
/// algorithm requires FX data, but calls OnData(<see cref="TradeBars"/>)
|
|
/// TODO: (2017) Remove this method in favor of using OnData(<see cref="Slice"/>)
|
|
/// </summary>
|
|
/// <returns><see cref="TradeBars"/></returns>
|
|
public TradeBar Collapse()
|
|
{
|
|
return new TradeBar(Time, Symbol, Open, High, Low, Close, 0, Period);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Convert this <see cref="QuoteBar"/> to string form.
|
|
/// </summary>
|
|
/// <returns>String representation of the <see cref="QuoteBar"/></returns>
|
|
public override string ToString()
|
|
{
|
|
return $"{Symbol}: " +
|
|
$"Bid: O: {Bid?.Open.SmartRounding()} " +
|
|
$"Bid: H: {Bid?.High.SmartRounding()} " +
|
|
$"Bid: L: {Bid?.Low.SmartRounding()} " +
|
|
$"Bid: C: {Bid?.Close.SmartRounding()} " +
|
|
$"Ask: O: {Ask?.Open.SmartRounding()} " +
|
|
$"Ask: H: {Ask?.High.SmartRounding()} " +
|
|
$"Ask: L: {Ask?.Low.SmartRounding()} " +
|
|
$"Ask: C: {Ask?.Close.SmartRounding()} ";
|
|
}
|
|
}
|
|
}
|