AlexCatarino
35e8e0891e
- Missing `event` keyword prevented pythonnet to recognize `DataConsolidated` as a event handler. - Adds python version of `RenkoConsolidatorAlgorithm`.
63 lines
2.4 KiB
Python
63 lines
2.4 KiB
Python
# 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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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Data.Consolidators import *
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from datetime import timedelta
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### <summary>
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### Demonstration of how to initialize and use the RenkoConsolidator
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### </summary>
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### <meta name="tag" content="renko" />
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### <meta name="tag" content="indicators" />
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="consolidating data" />
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class RenkoConsolidatorAlgorithm(QCAlgorithm):
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'''Demonstration of how to initialize and use the RenkoConsolidator'''
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def Initialize(self):
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self.SetStartDate(2012, 1, 1)
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self.SetEndDate(2013, 1, 1)
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self.AddEquity("SPY")
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# this is the simple constructor that will perform the
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# renko logic to the Value property of the data it receives.
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# break SPY into $2.5 renko bricks and send that data to our 'OnRenkoBar' method
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renkoClose = RenkoConsolidator(2.5)
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renkoClose.DataConsolidated += self.HandleRenkoClose
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self.SubscriptionManager.AddConsolidator("SPY", renkoClose)
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# We're doing our analysis in the OnRenkoBar method, but the framework verifies that this method exists, so we define it.
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def OnData(self, data):
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pass
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def HandleRenkoClose(self, sender, data):
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'''This function is called by our renkoClose consolidator defined in Initialize()
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Args:
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data: The new renko bar produced by the consolidator'''
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if not self.Portfolio.Invested:
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self.SetHoldings(data.Symbol, 1)
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self.Log("CLOSE - {0} - {1} {2}".format(data.Time, data.Open, data.Close)) |