wehub-resource-sync
242 lines
11 KiB
C#
242 lines
11 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 Python.Runtime;
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using QuantConnect.Data.Market;
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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="RenkoBar"/>
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/// </summary>
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public class ClassicRenkoConsolidator : BaseTimelessConsolidator<RenkoBar>
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{
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private decimal _barSize;
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private bool _evenBars;
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private decimal? _lastCloseValue;
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/// <summary>
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/// Bar being created
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/// </summary>
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protected override RenkoBar CurrentBar { get; set; }
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/// <summary>
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/// Gets the kind of the bar
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/// </summary>
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public RenkoType Type => RenkoType.Classic;
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/// <summary>
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/// Gets a clone of the data being currently consolidated
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/// </summary>
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public override IBaseData WorkingData => CurrentBar?.Clone();
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/// <summary>
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/// Gets <see cref="RenkoBar"/> which is the type emitted in the <see cref="IDataConsolidator.DataConsolidated"/> event.
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/// </summary>
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public override Type OutputType => typeof(RenkoBar);
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/// <summary>
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/// Initializes a new instance of the <see cref="ClassicRenkoConsolidator"/> class using the specified <paramref name="barSize"/>.
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/// The value selector will by default select <see cref="IBaseData.Value"/>
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/// The volume selector will by default select zero.
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/// </summary>
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/// <param name="barSize">The constant value size of each bar</param>
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/// <param name="evenBars">When true bar open/close will be a multiple of the barSize</param>
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public ClassicRenkoConsolidator(decimal barSize, bool evenBars = true)
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: base()
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{
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EpsilonCheck(barSize);
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_barSize = barSize;
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_evenBars = evenBars;
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}
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/// <summary>
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/// Initializes a new instance of the <see cref="ClassicRenkoConsolidator" /> class.
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/// </summary>
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/// <param name="barSize">The size of each bar in units of the value produced by <paramref name="selector"/></param>
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/// <param name="selector">Extracts the value from a data instance to be formed into a <see cref="RenkoBar"/>. 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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/// <param name="evenBars">When true bar open/close will be a multiple of the barSize</param>
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public ClassicRenkoConsolidator(
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decimal barSize,
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Func<IBaseData, decimal> selector,
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Func<IBaseData, decimal> volumeSelector = null,
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bool evenBars = true)
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: base(selector, volumeSelector)
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{
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EpsilonCheck(barSize);
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_barSize = barSize;
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_evenBars = evenBars;
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}
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/// <summary>
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///Initializes a new instance of the <see cref="ClassicRenkoConsolidator" /> class.
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/// </summary>
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/// <param name="barSize">The constant value size of each bar</param>
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/// <param name="type">The RenkoType of the bar</param>
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[Obsolete("Please use the new RenkoConsolidator if RenkoType is not Classic")]
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public ClassicRenkoConsolidator(decimal barSize, RenkoType type)
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: this(barSize, true)
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{
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if (type != RenkoType.Classic)
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{
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throw new ArgumentException("Please use the new RenkoConsolidator type if RenkoType is not Classic");
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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="ClassicRenkoConsolidator" /> class.
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/// </summary>
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/// <param name="barSize">The size of each bar in units of the value produced by <paramref name="selector"/></param>
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/// <param name="selector">Extracts the value from a data instance to be formed into a <see cref="RenkoBar"/>. 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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/// <param name="evenBars">When true bar open/close will be a multiple of the barSize</param>
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public ClassicRenkoConsolidator(decimal barSize,
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PyObject selector,
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PyObject volumeSelector = null,
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bool evenBars = true)
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: base(selector, volumeSelector)
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{
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EpsilonCheck(barSize);
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_barSize = barSize;
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_evenBars = evenBars;
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}
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/// <summary>
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/// Resets the ClassicRenkoConsolidator
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/// </summary>
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public override void Reset()
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{
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base.Reset();
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_lastCloseValue = null;
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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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_lastCloseValue = CurrentBar.Close;
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OnDataConsolidated(CurrentBar);
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CurrentBar = null;
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}
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}
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/// <summary>
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/// Creates a new bar with the given data
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/// </summary>
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/// <param name="data">The new data for the bar</param>
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/// <param name="currentValue">The new value for the bar</param>
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/// <param name="volume">The new volume to the bar</param>
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protected override void CreateNewBar(IBaseData data, decimal currentValue, decimal volume)
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{
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var open = _lastCloseValue ?? currentValue;
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if (_evenBars && !_lastCloseValue.HasValue)
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{
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open = Math.Ceiling(open / _barSize) * _barSize;
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}
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CurrentBar = new RenkoBar(data.Symbol, data.Time, _barSize, open, volume);
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}
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private static void EpsilonCheck(decimal barSize)
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{
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if (barSize < Extensions.GetDecimalEpsilon())
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{
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throw new ArgumentOutOfRangeException(nameof(barSize),
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"RenkoConsolidator bar size must be positve and greater than 1e-28");
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}
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}
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}
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/// <summary>
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/// Provides a type safe wrapper on the RenkoConsolidator class. This just allows us to define our selector functions with the real type they'll be receiving
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/// </summary>
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/// <typeparam name="TInput"></typeparam>
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public class ClassicRenkoConsolidator<TInput> : ClassicRenkoConsolidator
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where TInput : IBaseData
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="ClassicRenkoConsolidator" /> class.
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/// </summary>
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/// <param name="barSize">The size of each bar in units of the value produced by <paramref name="selector"/></param>
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/// <param name="selector">Extracts the value from a data instance to be formed into a <see cref="RenkoBar"/>. 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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/// <param name="evenBars">When true bar open/close will be a multiple of the barSize</param>
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public ClassicRenkoConsolidator(
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decimal barSize,
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Func<TInput, decimal> selector,
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Func<TInput, decimal> volumeSelector = null,
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bool evenBars = true
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)
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: base(barSize, x => selector((TInput) x),
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volumeSelector == null ? (Func<IBaseData, decimal>) null : x => volumeSelector((TInput) x), evenBars)
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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="ClassicRenkoConsolidator"/> class using the specified <paramref name="barSize"/>.
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/// The value selector will by default select <see cref="IBaseData.Value"/>
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/// The volume selector will by default select zero.
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/// </summary>
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/// <param name="barSize">The constant value size of each bar</param>
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/// <param name="evenBars">When true bar open/close will be a multiple of the barSize</param>
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public ClassicRenkoConsolidator(decimal barSize, bool evenBars = true)
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: this(barSize, x => x.Value, x => 0, evenBars)
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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="ClassicRenkoConsolidator"/> class using the specified <paramref name="barSize"/>.
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/// The value selector will by default select <see cref="IBaseData.Value"/>
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/// The volume selector will by default select zero.
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/// </summary>
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/// <param name="barSize">The constant value size of each bar</param>
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/// <param name="type">The RenkoType of the bar</param>
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[Obsolete("Please use the WickedRenkoConsolidator if RenkoType is not Classic")]
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public ClassicRenkoConsolidator(decimal barSize, RenkoType type)
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: base(barSize, type)
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{
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}
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/// <summary>
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/// Updates this consolidator with the specified data.
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/// </summary>
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/// <remarks>
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/// Type safe shim method.
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/// </remarks>
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/// <param name="data">The new data for the consolidator</param>
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public void Update(TInput data)
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{
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base.Update(data);
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}
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}
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}
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