Time Modeling

If you request data for multiple securities and multiple resolutions, it can create a situation where one of your data subscriptions is ready to emit, but another subscription with a longer period is still be constructing its bar. Furthermore, if you request multiple datasets that have different time zones, your algorithm will receive the daily bars of each dataset at midnight in the respective time zone. To coordinate the data in these situations, we use the EndTime of each data point to signal when LEAN should transmit it to your algorithm.

Once your algorithm reaches the EndTime of a data point, LEAN sends the data to your OnData method. For bar data, this is the beginning of the next period. To avoid look-ahead bias, you can only access data from before this Time Frontier. The Time property of your algorithm is always equal to the Time Frontier.

Slice objects have the following properties:

To get the current Slice object, define an OnData method or use the CurrentSlice property of your algorithm. The Slice contains all the data for a given moment in time. The TradeBars and QuoteBars properties are Symbol/string indexed dictionaries. The Ticks property is a list of ticks for that moment of time, indexed by the Symbol. To check which data formats are available for each asset class, see the Data Formats page in the Asset Classes chapter.

The Slice object gives you the following ways to access your data:

• Indexing the Slice, which returns a dynamic object of your type.

def OnData(self, slice: Slice) -> None:
    data = slice[self.symbol]

public override void OnData(Slice slice)
{
    var data = slice[_symbol];
}

With minute and second resolution data, the dynamic type is TradeBar for Equities and QuoteBar for other asset classes.

• Indexing the static properties, which returns the type you specify.

def OnData(self, slice: Slice) -> None:
    trade_bar = slice.Bars[self.symbol]
    quote_bar = slice.QuoteBars[self.symbol]

public override void OnData(Slice slice)
{
    var tradeBars = slice.Bars[_symbol];
    var quoteBars = slice.QuoteBars[_symbol];
}

• Calling the Get<T>() helper method.

public override void OnData(Slice slice)
{
    var tradeBar = slice.Get<TradeBar>(_symbol);
    var quoteBar = slice.Get<QuoteBar>(_symbol);
    var ticks = slice.Get<Ticks>(_symbol);
}

Strongly typed access gives you compile-time safety, but dynamic type access can sometimes simplify coding. We recommend static types since they are easier to debug.

Check if the Slice contains the data you're looking for before you index it. If there is little trading, or you are in the same time loop as when you added the security, it may not have any data. Even if you enabled fill-forward for a security subscription, you should check if the data exists in the dictionary before you try to index it. To check if the Slice contains for a security, call the ContainsKey method. Note: if the Slice object doesn't contain any market data but it contains auxiliary data, the slice.ContainsKey(symbol) method can return true while slice[symbol] returns Nonenull.

def OnData(self, slice: Slice) -> None:
    if slice.ContainsKey(self.symbol) and slice[self.symbol] is not None:
        data = slice[self.symbol]

public override void OnData(Slice slice)
{
    if (slice.ContainsKey(_symbol))
    {
        var data = slice[_symbol];
    }
}