AlexCatarino
5006600166
Subscribe to daily data instead of minute-resolution to be able to run tests locally. Also, liquidate the position in one of the event handlers to generate more trades. - Adds regression test for that algorithm.
81 lines
3.3 KiB
Python
81 lines
3.3 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.Market 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", Resolution.Daily)
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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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# this is the full constructor that can accept a value selector and a volume selector
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# this allows us to perform the renko logic on values other than Close, even computed values!
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# break SPY into (2*o + h + l + 3*c)/7
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renko7bar = RenkoConsolidator(2.5, lambda x: (2 * x.Open + x.High + x.Low + 3 * x.Close) / 7, lambda x: x.Volume)
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renko7bar.DataConsolidated += self.HandleRenko7Bar
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self.SubscriptionManager.AddConsolidator("SPY", renko7bar)
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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(f"CLOSE - {data.Time} - {data.Open} {data.Close}")
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def HandleRenko7Bar(self, sender, data):
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'''This function is called by our renko7bar 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 self.Portfolio.Invested:
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self.Liquidate(data.Symbol)
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self.Log(f"7BAR - {data.Time} - {data.Open} {data.Close}") |