wehub-resource-sync
116 lines
4.3 KiB
C#
116 lines
4.3 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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namespace QuantConnect.Data.Market
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{
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/// <summary>
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/// Represents a bar sectioned not by time, but by some amount of movement in volume
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/// </summary>
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public class VolumeRenkoBar : BaseRenkoBar
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{
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/// <summary>
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/// Gets whether or not this bar is considered closed.
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/// </summary>
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public override bool IsClosed => Volume >= BrickSize;
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/// <summary>
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/// Initializes a new default instance of the <see cref="RenkoBar"/> class.
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/// </summary>
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public VolumeRenkoBar()
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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="VolumeRenkoBar"/> class with the specified values
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/// </summary>
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/// <param name="symbol">symbol of the data</param>
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/// <param name="start">The current data start time</param>
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/// <param name="endTime">The current data end time</param>
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/// <param name="brickSize">The preset volume capacity of this bar</param>
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/// <param name="open">The current data open value</param>
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/// <param name="high">The current data high value</param>
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/// <param name="low">The current data low value</param>
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/// <param name="close">The current data close value</param>
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/// <param name="volume">The current data volume</param>
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public VolumeRenkoBar(Symbol symbol, DateTime start, DateTime endTime, decimal brickSize, decimal open, decimal high, decimal low, decimal close, decimal volume)
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{
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Type = RenkoType.Classic;
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BrickSize = brickSize;
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Symbol = symbol;
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Start = start;
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EndTime = endTime;
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Open = open;
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Close = close;
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Volume = volume;
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High = high;
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Low = low;
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}
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/// <summary>
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/// Updates this <see cref="VolumeRenkoBar"/> with the specified values and returns whether or not this bar is closed
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/// </summary>
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/// <param name="time">The current data end time</param>
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/// <param name="high">The current data high value</param>
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/// <param name="low">The current data low value</param>
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/// <param name="close">The current data close value</param>
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/// <param name="volume">The current data volume</param>
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/// <returns>The excess volume that the current bar cannot absorb</returns>
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public decimal Update(DateTime time, decimal high, decimal low, decimal close, decimal volume)
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{
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// can't update a closed renko bar
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if (IsClosed) return 0m;
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EndTime = time;
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var excessVolume = Volume + volume - BrickSize;
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if (excessVolume > 0)
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{
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Volume = BrickSize;
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}
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else
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{
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Volume += volume;
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}
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Close = close;
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if (high > High) High = high;
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if (low < Low) Low = low;
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return excessVolume;
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}
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/// <summary>
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/// Create a new <see cref="VolumeRenkoBar"/> with previous information rollover
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/// </summary>
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public VolumeRenkoBar Rollover()
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{
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return new VolumeRenkoBar
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{
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Type = Type,
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BrickSize = BrickSize,
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Symbol = Symbol,
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Open = Close, // rollover open is the previous close
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High = Close,
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Low = Close,
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Close = Close,
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Start = EndTime, // rollover start time is the previous end time
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EndTime = EndTime,
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Volume = 0m
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};
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}
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}
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} |