Class DataSource

Base class for data sources, providing a bar enumerator for one or more instruments. Other than instantiating data sources through the factory method New(), and adding them to the Algorithm's DataSources property, application developers do not need to interact with data sources directly.

Inheritance

object

DataSource

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.Simulator

Assembly: TuringTrader.Simulator.dll

Syntax

public abstract class DataSource

Constructors

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DataSource(Dictionary<DataSourceParam, string>)

Create and initialize data source object.

Declaration

protected DataSource(Dictionary<DataSourceParam, string> info)

Parameters

Type	Name	Description
System.Collections.Generic.Dictionary<TKey, TValue><DataSourceParam, string>	info	data source info

Fields

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CachedData

Data sources using the cache make their data accessible here. This may be used for algorithms and report generators, e.g., MFE/MAE analysis, which requires access to the data independent of the simulator's current bar.

Declaration

public List<Bar> CachedData

Field Value

Type	Description
System.Collections.Generic.List<T><Bar>

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Simulator

Reference to simulator this instance is associated with.

Declaration

public SimulatorCore Simulator

Field Value

Type	Description
SimulatorCore

Properties

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Algorithm

Algorithms only: return algorithm instance.

Declaration

public virtual Algorithm Algorithm { get; }

Property Value

Type	Description
Algorithm

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DataPath

Path to data base.

Declaration

public static string DataPath { get; }

Property Value

Type	Description
string

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Info

Data source info container.

Declaration

public Dictionary<DataSourceParam, string> Info { get; protected set; }

Property Value

Type	Description
System.Collections.Generic.Dictionary<TKey, TValue><DataSourceParam, string>

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Instrument

Instrument associated with data source. Will return only first one, in case there is a one-to-many relationship.

Declaration

public Instrument Instrument { get; }

Property Value

Type	Description
Instrument

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IsAlgorithm

True, if this data source is describes an algorithm

Declaration

public virtual bool IsAlgorithm { get; }

Property Value

Type	Description
bool

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IsOption

True, if this data source describes option contracts.

Declaration

public bool IsOption { get; }

Property Value

Type	Description
bool

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OptionUnderlying

Options only: Underlying symbol.

Declaration

public string OptionUnderlying { get; }

Property Value

Type	Description
string

Methods

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LoadData(DateTime, DateTime)

Load data between time stamps into memory.

Declaration

public abstract IEnumerable<Bar> LoadData(DateTime startTime, DateTime endTime)

Parameters

Type	Name	Description
System.DateTime	startTime	beginning time stamp
System.DateTime	endTime	end time stamp

Returns

Type	Description
System.Collections.Generic.IEnumerable<T><Bar>

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New(string)

Factory function to instantiate new data source.

Declaration

public static DataSource New(string nickname)

Parameters

Type	Name	Description
string	nickname	nickname

Returns

Type	Description
DataSource	data source object

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New(Algorithm)

Factory function to instantiate new algorithm data source.

Declaration

public static DataSource New(Algorithm algo)

Parameters

Type	Name	Description
Algorithm	algo	nickname

Returns

Type	Description
DataSource	data source object