Louis Szeto
8730eeb8a9
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* Volume Renko Consolidator & Bar * address peer review * Minor fix on tests --------- Co-authored-by: LouisSzeto <hke0073@hotmail.com>
73 lines
3.2 KiB
Python
73 lines
3.2 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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### <summary>
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### Demostrates the use of <see cref="VolumeRenkoConsolidator"/> for creating constant volume bar
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### </summary>
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### <meta name="tag" content="renko" />
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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 VolumeRenkoConsolidatorAlgorithm(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, 11)
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self.SetCash(100000)
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self.sma = SimpleMovingAverage(10)
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self.tick_consolidated = False
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self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
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self.tradebar_volume_consolidator = VolumeRenkoConsolidator(1000000)
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self.tradebar_volume_consolidator.DataConsolidated += self.OnSPYDataConsolidated
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self.ibm = self.AddEquity("IBM", Resolution.Tick).Symbol
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self.tick_volume_consolidator = VolumeRenkoConsolidator(1000000)
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self.tick_volume_consolidator.DataConsolidated += self.OnIBMDataConsolidated
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history = self.History[TradeBar](self.spy, 1000, Resolution.Minute);
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for bar in history:
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self.tradebar_volume_consolidator.Update(bar)
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def OnSPYDataConsolidated(self, sender, bar):
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self.sma.Update(bar.EndTime, bar.Value)
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self.Debug(f"SPY {bar.Time} to {bar.EndTime} :: O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}")
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if bar.Volume != 1000000:
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raise Exception("Volume of consolidated bar does not match set value!")
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def OnIBMDataConsolidated(self, sender, bar):
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self.Debug(f"IBM {bar.Time} to {bar.EndTime} :: O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}")
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if bar.Volume != 1000000:
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raise Exception("Volume of consolidated bar does not match set value!")
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self.tick_consolidated = True
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def OnData(self, slice):
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# Update by TradeBar
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if slice.Bars.ContainsKey(self.spy):
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self.tradebar_volume_consolidator.Update(slice.Bars[self.spy])
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# Update by Tick
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if slice.Ticks.ContainsKey(self.ibm):
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for tick in slice.Ticks[self.ibm]:
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self.tick_volume_consolidator.Update(tick)
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if self.sma.IsReady and self.sma.Current.Value < self.Securities[self.spy].Price:
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self.SetHoldings(self.spy, 1)
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else:
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self.SetHoldings(self.spy, 0)
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def OnEndOfAlgorithm(self):
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if not self.tick_consolidated:
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raise Exception("Tick consolidator was never been called") |