Ricardo Andrés Marino Rojas
3e9fc57bb0
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* Implement RangeConsolidator It turned out that the behavior of RangeConsolidator was similar to ClassicRenkoConsolidator. Then, some of the ClassicRenkoConsolidator methods, were abstracted to new class called BaseTimelessConsolidator.cs, from which both RangeConsolidator and ClassicRenkoConsolidator could inherit, therefore resusing code. The following tasks were done: - Create RangeConsolidator.cs - Create RangeBar.cs - Create BaseTimelessConsolidator.cs - Create RangeConsolidatorTests.cs - Modify ClassicRenkoConsolidator.cs * Allow intermediate/Phantom RangeBar's - Enhance unit tests - Nit changes - Allow intermediate/Phantom RangeBar's on RangeConsolidator * Nit changes * Create ClassicRangeConsolidator and more changes - Add regression tests - Enhance unit tests * Address required changes * Address requested changes * Address requested changes * Add regression tests with Tick Resolution * Address required changes * Increase Range for RangeConsolidatorWithTickAlgo * Add more unit tests and solve bugs * Nit change
31 lines
1.2 KiB
Python
31 lines
1.2 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 AlgorithmImports import *
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from RangeConsolidatorAlgorithm import RangeConsolidatorAlgorithm
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### <summary>
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### Example algorithm of how to use ClassicRangeConsolidator
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### </summary>
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class ClassicRangeConsolidatorAlgorithm(RangeConsolidatorAlgorithm):
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def CreateRangeConsolidator(self):
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return ClassicRangeConsolidator(self.GetRange())
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def OnDataConsolidated(self, sender, rangeBar):
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super().OnDataConsolidated(sender, rangeBar)
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if rangeBar.Volume == 0:
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raise Exception("All RangeBar's should have non-zero volume, but this doesn't")
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