chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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>
+### Demostrates the use of <see cref="VolumeRenkoConsolidator"/> for creating constant volume bar
+### </summary>
+### <meta name="tag" content="renko" />
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="consolidating data" />
+class VolumeRenkoConsolidatorAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 11)
+        self.set_cash(100000)
+
+        self._sma = SimpleMovingAverage(10)
+        self._tick_consolidated = False
+
+        self._spy = self.add_equity("SPY", Resolution.MINUTE).symbol
+        self._tradebar_volume_consolidator = VolumeRenkoConsolidator(1000000)
+        self._tradebar_volume_consolidator.data_consolidated += self.on_spy_data_consolidated
+
+        self._ibm = self.add_equity("IBM", Resolution.TICK).symbol
+        self._tick_volume_consolidator = VolumeRenkoConsolidator(1000000)
+        self._tick_volume_consolidator.data_consolidated += self.on_ibm_data_consolidated
+
+        history = self.history[TradeBar](self._spy, 1000, Resolution.MINUTE)
+        for bar in history:
+            self._tradebar_volume_consolidator.update(bar)
+
+    def on_spy_data_consolidated(self, sender, bar):
+        self._sma.update(bar.end_time, bar.value)
+        self.debug(f"SPY {bar.time} to {bar.end_time} :: O:{bar.open} H:{bar.high} L:{bar.low} C:{bar.close} V:{bar.volume}")
+        if bar.volume != 1000000:
+            raise AssertionError("Volume of consolidated bar does not match set value!")
+
+    def on_ibm_data_consolidated(self, sender, bar):
+        self.debug(f"IBM {bar.time} to {bar.end_time} :: O:{bar.open} H:{bar.high} L:{bar.low} C:{bar.close} V:{bar.volume}")
+        if bar.volume != 1000000:
+            raise AssertionError("Volume of consolidated bar does not match set value!")
+        self._tick_consolidated = True
+
+    def on_data(self, slice):
+        # Update by TradeBar
+        if slice.bars.contains_key(self._spy):
+            self._tradebar_volume_consolidator.update(slice.bars[self._spy])
+
+        # Update by Tick
+        if slice.ticks.contains_key(self._ibm):
+            for tick in slice.ticks[self._ibm]:
+                self._tick_volume_consolidator.update(tick)
+
+        if self._sma.is_ready and self._sma.current.value < self.securities[self._spy].price:
+            self.set_holdings(self._spy, 1)
+        else:
+            self.set_holdings(self._spy, 0)
+            
+    def on_end_of_algorithm(self):
+        if not self._tick_consolidated:
+            raise AssertionError("Tick consolidator was never been called")