chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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.
+
+from AlgorithmImports import *
+
+### <summary>
+### Demonstration of how to initialize and use the Classic RenkoConsolidator
+### </summary>
+### <meta name="tag" content="renko" />
+### <meta name="tag" content="indicators" />
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="consolidating data" />
+class ClassicRenkoConsolidatorAlgorithm(QCAlgorithm):
+    '''Demonstration of how to initialize and use the RenkoConsolidator'''
+
+    def initialize(self) -> None:
+        self.set_start_date(2012, 1, 1)
+        self.set_end_date(2013, 1, 1)
+
+        self.add_equity("SPY", Resolution.DAILY)
+
+        # 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
+        renko_close = ClassicRenkoConsolidator(2.5)
+        renko_close.data_consolidated += self.handle_renko_close
+        self.subscription_manager.add_consolidator("SPY", renko_close)
+
+        # 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
+        renko7bar = ClassicRenkoConsolidator(2.5, lambda x: (2 * x.open + x.high + x.low + 3 * x.close) / 7, lambda x: x.volume)
+        renko7bar.data_consolidated += self.handle_renko7_bar
+        self.subscription_manager.add_consolidator("SPY", renko7bar)
+
+
+    # We're doing our analysis in the on_renko_bar method, but the framework verifies that this method exists, so we define it.
+    def on_data(self, data: Slice) -> None:
+        pass
+
+
+    def handle_renko_close(self, sender: object, data: RenkoBar) -> None:
+        '''This function is called by our renko_close consolidator defined in Initialize()
+        Args:
+            data: The new renko bar produced by the consolidator'''
+        if not self.portfolio.invested:
+            self.set_holdings(data.symbol, 1)
+
+        self.log(f"CLOSE - {data.time} - {data.open} {data.close}")
+
+
+    def handle_renko7_bar(self, sender: object, data: RenkoBar) -> None:
+        '''This function is called by our renko7bar consolidator defined in Initialize()
+        Args:
+            data: The new renko bar produced by the consolidator'''
+        if self.portfolio.invested:
+            self.liquidate(data.symbol)
+        self.log(f"7BAR - {data.time} - {data.open} {data.close}")