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Make indicators work with RenkoBars and VolumeRenkoBars (#7360)
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* Address JB comment

* Remove repeated fields in BaseRenkoBar

- Add new unit test to all indicators that inherit from
  IndicatorBase<TradeBar>. This test asserts the indicators can receive
  RenkoBar's as input

* Add Regression test and improve unit tests

- Change `Volume` property from `RenkoBar.cs` since RenkoBar's don't
  have Volume. Now it throws an error when accessed

* Address required changes

* Add Python regression test and enhance unit tests

* Enhance unit and regression tests

* Assert indicator current value at the end

* Allow more indicators to use Renko/VolumeRenkoBar
This commit is contained in:
Ricardo Andrés Marino Rojas
2023-07-10 09:27:03 -05:00
committed by GitHub
parent 9dbeb3255d
commit f8b79b8d6b
48 changed files with 776 additions and 50 deletions
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Algorithm.Python/QuantConnect.Algorithm.Python.csproj
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@@ -55,6 +55,7 @@
<Content Include="CustomPartialFillModelAlgorithm.py" />
<Content Include="AddRiskManagementAlgorithm.py" />
<Content Include="AddUniverseSelectionModelAlgorithm.py" />
<Compile Include="IndicatorWithRenkoBarsRegressionAlgorithm.py" />
<Content Include="Alphas\ContingentClaimsAnalysisDefaultPredictionAlpha.py" />
<Content Include="Alphas\GasAndCrudeOilEnergyCorrelationAlpha.py" />
<Content Include="Alphas\GlobalEquityMeanReversionIBSAlpha.py" />