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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
namespace QuantConnect.Algorithm.Examples
{
/// <summary>
/// This algorithm shows how to initialize and use the RenkoConsolidator
/// </summary>
public class RenkoConsolidatorAlgorithm : QCAlgorithm
{
/// <summary>
/// Initializes the algorithm state.
/// </summary>
public override void Initialize()
{
SetStartDate(2012, 01, 01);
SetEndDate(2013, 01, 01);
AddSecurity(SecurityType.Equity, "SPY");
// this is the simple constructor that will perform the renko logic to the Value
// property of the data it receives.
// break SPY into $2.5 renko bricks and send that data to our 'OnRenkoBar' method
var renkoClose = new RenkoConsolidator(2.5m);
renkoClose.DataConsolidated += (sender, consolidated) =>
{
// call our event handler for renko data
HandleRenkoClose(consolidated);
};
// register the consolidator for updates
SubscriptionManager.AddConsolidator("SPY", renkoClose);
// this is the full constructor that can accept a value selector and a volume selector
// this allows us to perform the renko logic on values other than Close, even computed values!
// break SPY into (2*o + h + l + 3*c)/7
var renko7bar = new RenkoConsolidator<TradeBar>(2.5m, x => (2*x.Open + x.High + x.Low + 3*x.Close)/7m, x => x.Volume);
renko7bar.DataConsolidated += (sender, consolidated) =>
{
HandleRenko7Bar(consolidated);
};
// register the consolidator for updates
SubscriptionManager.AddConsolidator("SPY", renko7bar);
}
/// <summary>
/// We're doing our analysis in the OnRenkoBar method, but the framework verifies that this method exists, so we define it.
/// </summary>
public void OnData(TradeBars data)
{
}
/// <summary>
/// This function is called by our renkoClose consolidator defined in Initialize()
/// </summary>
/// <param name="data">The new renko bar produced by the consolidator</param>
public void HandleRenkoClose(RenkoBar data)
{
if (!Portfolio.Invested)
{
SetHoldings(data.Symbol, 1.0);
}
System.Console.WriteLine("CLOSE - {0} - {1} {2}", data.Time.ToString("o"), data.Open, data.Close);
}
/// <summary>
/// This function is called by our renko7bar onsolidator defined in Initialize()
/// </summary>
/// <param name="data">The new renko bar produced by the consolidator</param>
public void HandleRenko7Bar(RenkoBar data)
{
System.Console.WriteLine("7BAR - {0} - {1} {2}", data.Time.ToString("o"), data.Open, data.Close);
}
}
}