snugs
94 lines
3.6 KiB
C#
94 lines
3.6 KiB
C#
/*
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* 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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*/
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Algorithm.Examples
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{
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/// <summary>
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/// This algorithm shows how to initialize and use the RenkoConsolidator
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/// </summary>
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public class RenkoConsolidatorAlgorithm : QCAlgorithm
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{
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/// <summary>
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/// Initializes the algorithm state.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2012, 01, 01);
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SetEndDate(2013, 01, 01);
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AddSecurity(SecurityType.Equity, "SPY");
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// this is the simple constructor that will perform the renko logic to the Value
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// 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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var renkoClose = new RenkoConsolidator(2.5m);
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renkoClose.DataConsolidated += (sender, consolidated) =>
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{
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// call our event handler for renko data
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HandleRenkoClose(consolidated);
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};
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// register the consolidator for updates
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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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var renko7bar = new RenkoConsolidator<TradeBar>(2.5m, x => (2*x.Open + x.High + x.Low + 3*x.Close)/7m, x => x.Volume);
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renko7bar.DataConsolidated += (sender, consolidated) =>
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{
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HandleRenko7Bar(consolidated);
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};
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// register the consolidator for updates
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SubscriptionManager.AddConsolidator("SPY", renko7bar);
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}
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/// <summary>
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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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/// </summary>
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public void OnData(TradeBars data)
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{
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}
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/// <summary>
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/// This function is called by our renkoClose consolidator defined in Initialize()
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/// </summary>
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/// <param name="data">The new renko bar produced by the consolidator</param>
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public void HandleRenkoClose(RenkoBar data)
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{
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if (!Portfolio.Invested)
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{
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SetHoldings(data.Symbol, 1.0);
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}
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System.Console.WriteLine("CLOSE - {0} - {1} {2}", data.Time.ToString("o"), data.Open, data.Close);
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}
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/// <summary>
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/// This function is called by our renko7bar onsolidator defined in Initialize()
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/// </summary>
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/// <param name="data">The new renko bar produced by the consolidator</param>
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public void HandleRenko7Bar(RenkoBar data)
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{
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System.Console.WriteLine("7BAR - {0} - {1} {2}", data.Time.ToString("o"), data.Open, data.Close);
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}
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}
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}
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