Michael Handschuh
8c1867193b
Provides dynamic access to cached security data keyed by the type's name. For example, `security.Data.GetAll<Tick>()` would yield a list of ticks. Likewise, using the dynamic accessors, `((dynamic)security.Data).Tick` would return the same list. In C# you'll need to cast security.Data to a dynamic. In python, all C# objects are viewed as dynamic, so python can simply access `security.Data.Tick` directly. See #3620
76 lines
2.8 KiB
C#
76 lines
2.8 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 Newtonsoft.Json;
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using QuantConnect.Data;
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using QuantConnect.Data.Custom.SEC;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Provides an example algorithm showcasing the <see cref="Security.Data"/> features
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/// </summary>
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public class DynamicSecurityDataAlgorithm : QCAlgorithm
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{
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private Security GOOGL;
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private const string Ticker = "GOOGL";
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public override void Initialize()
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{
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SetStartDate(2015, 10, 22);
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SetEndDate(2015, 10, 30);
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GOOGL = AddEquity(Ticker, Resolution.Daily);
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AddData<SECReport8K>(Ticker);
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AddData<SECReport10Q>(Ticker);
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}
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public override void OnData(Slice slice)
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{
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dynamic securityData = GOOGL.Data;
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// check if a particular type of data is available
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if (GOOGL.Data.HasData<SECReport8K>())
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{
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// access data using C# generics for strong typing
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// GetAll<T> returns an IReadOnlyList<T>
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var sec8k = GOOGL.Data.GetAll<SECReport8K>();
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Log($"GOOGL.Data.GetAll<SECReport8K>(): {sec8k}");
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// access data using dynamic access. this is the recommended access
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// pattern for python as well.
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sec8k = securityData.SECReport8K;
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Log($"GOOGL.Data.SECReport8K: {sec8k}");
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}
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// you can access data of all types in this manner, even for TradeBar data
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if (GOOGL.Data.HasData<TradeBar>())
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{
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// Get<T> returns the last item in the list
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var tradeBar = GOOGL.Data.Get<TradeBar>();
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Log($"GOOGL.Data.Get<TradeBar>(): {JsonConvert.SerializeObject(tradeBar, Formatting.Indented)}");
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// the dynamic accessors always returns an IReadOnlyList<T>
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var tradeBars = securityData.TradeBar;
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Log($"GOOGL.Data.TradeBar: {JsonConvert.SerializeObject(tradeBar, Formatting.Indented)}");
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}
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}
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}
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}
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