Michael Handschuh
591f6b2127
Refactors existing consolidators, indicators, and helper methods to depend on IBaseData instead of BaseData. These updates also defines an IBaseDataBar to act as an abstraction point between TradeBar and QuoteBar.
105 lines
3.0 KiB
C#
105 lines
3.0 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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namespace QuantConnect.Data
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{
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/// <summary>
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/// Base Data Class: Type, Timestamp, Key -- Base Features.
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/// </summary>
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public interface IBaseData
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{
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/// <summary>
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/// Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC.
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/// </summary>
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MarketDataType DataType
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{
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get;
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set;
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}
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/// <summary>
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/// Time keeper of data -- all data is timeseries based.
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/// </summary>
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DateTime Time
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{
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get;
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set;
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}
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DateTime EndTime
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{
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get;
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set;
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}
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/// <summary>
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/// Symbol for underlying Security
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/// </summary>
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Symbol Symbol
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{
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get;
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set;
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}
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/// <summary>
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/// All timeseries data is a time-value pair:
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/// </summary>
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decimal Value
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{
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get;
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set;
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}
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/// <summary>
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/// Alias of Value.
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/// </summary>
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decimal Price
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{
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get;
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}
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/// <summary>
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/// Reader Method :: using set of arguements we specify read out type. Enumerate
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/// until the end of the data stream or file. E.g. Read CSV file line by line and convert
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/// into data types.
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/// </summary>
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/// <returns>BaseData type set by Subscription Method.</returns>
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BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint datafeed);
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/// <summary>
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/// Return the URL string source of the file. This will be converted to a stream
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/// </summary>
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/// <param name="datafeed">Type of datafeed we're reqesting - backtest or live</param>
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/// <param name="config">Configuration object</param>
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/// <param name="date">Date of this source file</param>
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/// <returns>String URL of source file.</returns>
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string GetSource(SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed);
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/// <summary>
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/// Return a new instance clone of this object
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/// </summary>
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/// <returns></returns>
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BaseData Clone();
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} // End Base Data Class
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} // End QC Namespace
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