wehub-resource-sync
84 lines
4.4 KiB
C#
84 lines
4.4 KiB
C#
/*
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* 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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*/
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using System;
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using QuantConnect.Data.Market;
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using Python.Runtime;
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namespace QuantConnect.Data.Consolidators
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{
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/// <summary>
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/// This consolidator can transform a stream of <see cref="IBaseData"/> instances into a stream of <see cref="RangeBar"/>.
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/// The difference between this consolidator and <see cref="RangeConsolidator"/>, is that this last one creates intermediate/
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/// phantom RangeBar's (RangeBar's with zero volume) if the price rises up or falls down by above/below two times the range
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/// size. Therefore, <see cref="RangeConsolidator"/> leaves no space between two adyacent RangeBar's since it always start
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/// a new RangeBar one range above the last RangeBar's High value or one range below the last RangeBar's Low value, where
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/// one range equals to one minimum price change.
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/// </summary>
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public class ClassicRangeConsolidator : RangeConsolidator
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="ClassicRangeConsolidator" /> class.
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/// </summary>
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/// <param name="range">The Range interval sets the range in which the price moves, which in turn initiates the formation of a new bar.
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/// One range equals to one minimum price change, where this last value is defined depending of the RangeBar's symbol</param>
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/// <param name="selector">Extracts the value from a data instance to be formed into a <see cref="RangeBar"/>. The default
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/// value is (x => x.Value) the <see cref="IBaseData.Value"/> property on <see cref="IBaseData"/></param>
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/// <param name="volumeSelector">Extracts the volume from a data instance. The default value is null which does
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/// not aggregate volume per bar, except if the input is a TradeBar.</param>
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public ClassicRangeConsolidator(
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int range,
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Func<IBaseData, decimal> selector = null,
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Func<IBaseData, decimal> volumeSelector = null)
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: base(range, selector, volumeSelector)
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{
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="RangeConsolidator" /> class.
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/// </summary>
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/// <param name="range">The Range interval sets the range in which the price moves, which in turn initiates the formation of a new bar.
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/// One range equals to one minimum price change, where this last value is defined depending of the RangeBar's symbol</param>
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/// <param name="selector">Extracts the value from a data instance to be formed into a <see cref="RangeBar"/>. The default
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/// value is (x => x.Value) the <see cref="IBaseData.Value"/> property on <see cref="IBaseData"/></param>
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/// <param name="volumeSelector">Extracts the volume from a data instance. The default value is null which does
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/// not aggregate volume per bar.</param>
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public ClassicRangeConsolidator(int range,
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PyObject selector,
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PyObject volumeSelector = null)
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: base(range, selector, volumeSelector)
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{
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}
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/// <summary>
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/// Updates the current RangeBar being created with the given data.
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/// Additionally, if it's the case, it consolidates the current RangeBar
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/// </summary>
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/// <param name="time">Time of the given data</param>
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/// <param name="currentValue">Value of the given data</param>
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/// <param name="volume">Volume of the given data</param>
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protected override void UpdateBar(DateTime time, decimal currentValue, decimal volume)
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{
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CurrentBar.Update(time, currentValue, volume);
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if (CurrentBar.IsClosed)
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{
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OnDataConsolidated(CurrentBar);
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CurrentBar = null;
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}
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}
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}
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}
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