Louis Szeto
020cf013df
* CustomDataRegressionAlgorithm * DescendingCustomDataObjectStoreRegressionAlgorithm * CustomDataPropertiesRegressionAlgorithm * DateTime -> should be datetime * KerasNeuralNetworkAlgorithm * OptionIndicatorsMirrorContractsRegressionAlgorithm * BybitCustomDataCryptoRegressionAlgorithm * DropboxBaseDataUniverseSelectionAlgorithm * UserDefinedUniverseAlgorithm * CompleteOrderTagUpdateAlgorithm * BasicTemplateOptionEquityStrategyAlgorithm hint * ETFConstituentUniverseFrameworkRegressionAlgorithm * FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm * SecurityDynamicPropertyPythonClassAlgorithm * hint * hinting * CallbackCommandRegressionAlgorithm * CustomWarmUpPeriodIndicatorAlgorithm * CrunchDAOSignalExportDemonstrationAlgorithm * ExpiryHelperAlphaModelFrameworkAlgorithm * ClassicRenkoConsolidatorAlgorithm * SmaCrossUniverseSelectionAlgorithm * PEP8 Fix: Assigning to a Method * SliceGetByTypeRegressionAlgorithm * MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm * MarketOnCloseOrderBufferRegressionAlgorithm * CustomIndicatorAlgorithm * ScheduledQueuingAlgorithm * ComboOrdersFillModelAlgorithm * CustomIndicatorWithExtensionAlgorithm * IndicatorWithRenkoBarsRegressionAlgorithm * CoarseFineOptionUniverseChainRegressionAlgorithm * NumeraiSignalExportDemonstrationAlgorithm * DropboxUniverseSelectionAlgorithm * WeeklyUniverseSelectionRegressionAlgorithm * AutoRegressiveIntegratedMovingAverageRegressionAlgorithm * DropboxBaseDataUniverseSelectionAlgorithm * IronCondorStrategyAlgorithm * LongAndShortButterflyPutStrategiesAlgorithm * FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm * LongAndShortCallCalendarSpreadStrategiesAlgorithm * KerasNeuralNetworkAlgorithm * LongAndShortPutCalendarSpreadStrategiesAlgorithm * OptionPriceModelForOptionStylesBaseRegressionAlgorithm * TensorFlowNeuralNetworkAlgorithm * MarketOnCloseOrderBufferRegressionAlgorithm * MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm * typing * ComboOrderTicketDemoAlgorithm * PytorchNeuralNetworkAlgorithm * MultipleSymbolConsolidationAlgorithm * fixes * revert getattr mypy syntax * address peer review * Addresses Peer-Review --------- Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
62 lines
2.7 KiB
Python
62 lines
2.7 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### Regrssion algorithm to assert we can update indicators that inherit from IndicatorBase<TradeBar> with RenkoBar's
|
|
### </summary>
|
|
### <meta name="tag" content="renko" />
|
|
### <meta name="tag" content="indicators" />
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="consolidating data" />
|
|
class IndicatorWithRenkoBarsRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def initialize(self) -> None:
|
|
self.set_start_date(2013, 10, 7)
|
|
self.set_end_date(2013, 10, 9)
|
|
|
|
self.add_equity("SPY")
|
|
self.add_equity("AIG")
|
|
|
|
spy_renko_consolidator = RenkoConsolidator(0.1)
|
|
spy_renko_consolidator.data_consolidated += self.on_spy_data_consolidated
|
|
|
|
aig_renko_consolidator = RenkoConsolidator(0.05)
|
|
aig_renko_consolidator.data_consolidated += self.on_aig_data_consolidated
|
|
|
|
self.subscription_manager.add_consolidator("SPY", spy_renko_consolidator)
|
|
self.subscription_manager.add_consolidator("AIG", aig_renko_consolidator)
|
|
|
|
self._mi = MassIndex("MassIndex", 9, 25)
|
|
self._wasi = WilderAccumulativeSwingIndex("WilderAccumulativeSwingIndex", 8)
|
|
self._wsi = WilderSwingIndex("WilderSwingIndex", 8)
|
|
self._b = Beta("Beta", 3, "AIG", "SPY")
|
|
self._indicators = [self._mi, self._wasi, self._wsi, self._b]
|
|
|
|
def on_spy_data_consolidated(self, sender: object, renko_bar: RenkoBar) -> None:
|
|
self._mi.update(renko_bar)
|
|
self._wasi.update(renko_bar)
|
|
self._wsi.update(renko_bar)
|
|
self._b.update(renko_bar)
|
|
|
|
def on_aig_data_consolidated(self, sender: object, renko_bar: RenkoBar) -> None:
|
|
self._b.update(renko_bar)
|
|
|
|
def on_end_of_algorithm(self) -> None:
|
|
for indicator in self._indicators:
|
|
if not indicator.is_ready:
|
|
raise AssertionError(f"{indicator.name} indicator should be ready")
|
|
elif indicator.current.value == 0:
|
|
raise AssertionError(f"The current value of the {indicator.name} indicator should be different than zero")
|