Ricardo Andrés Marino Rojas
f8b79b8d6b
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* Address JB comment * Remove repeated fields in BaseRenkoBar - Add new unit test to all indicators that inherit from IndicatorBase<TradeBar>. This test asserts the indicators can receive RenkoBar's as input * Add Regression test and improve unit tests - Change `Volume` property from `RenkoBar.cs` since RenkoBar's don't have Volume. Now it throws an error when accessed * Address required changes * Add Python regression test and enhance unit tests * Enhance unit and regression tests * Assert indicator current value at the end * Allow more indicators to use Renko/VolumeRenkoBar
61 lines
2.6 KiB
Python
61 lines
2.6 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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### <summary>
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### Regrssion algorithm to assert we can update indicators that inherit from IndicatorBase<TradeBar> with RenkoBar's
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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 IndicatorWithRenkoBarsRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 9)
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self.AddEquity("SPY")
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self.AddEquity("AIG")
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spyRenkoConsolidator = RenkoConsolidator(0.1)
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spyRenkoConsolidator.DataConsolidated += self.OnSPYDataConsolidated
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aigRenkoConsolidator = RenkoConsolidator(0.05)
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aigRenkoConsolidator.DataConsolidated += self.OnAIGDataConsolidated
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self.SubscriptionManager.AddConsolidator("SPY", spyRenkoConsolidator)
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self.SubscriptionManager.AddConsolidator("AIG", aigRenkoConsolidator)
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self.mi = MassIndex("MassIndex", 9, 25)
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self.wasi = WilderAccumulativeSwingIndex("WilderAccumulativeSwingIndex", 8)
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self.wsi = WilderSwingIndex("WilderSwingIndex", 8)
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self.b = Beta("Beta", 3, "AIG", "SPY")
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self.indicators = [self.mi, self.wasi, self.wsi, self.b]
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def OnSPYDataConsolidated(self, sender, renkoBar):
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self.mi.Update(renkoBar)
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self.wasi.Update(renkoBar)
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self.wsi.Update(renkoBar)
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self.b.Update(renkoBar)
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def OnAIGDataConsolidated(self, sender, renkoBar):
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self.b.Update(renkoBar)
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def OnEndOfAlgorithm(self):
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for indicator in self.indicators:
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if not indicator.IsReady:
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raise Exception(f"{indicator.Name} indicator should be ready")
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elif indicator.Current.Value == 0:
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raise Exception(f"The current value of the {indicator.Name} indicator should be different than zero")
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