wehub-resource-sync
74 lines
3.2 KiB
Python
74 lines
3.2 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Demostrates the use of <see cref="VolumeRenkoConsolidator"/> for creating constant volume bar
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### </summary>
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### <meta name="tag" content="renko" />
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="consolidating data" />
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class VolumeRenkoConsolidatorAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013, 10, 7)
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self.set_end_date(2013, 10, 11)
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self.set_cash(100000)
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self._sma = SimpleMovingAverage(10)
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self._tick_consolidated = False
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self._spy = self.add_equity("SPY", Resolution.MINUTE).symbol
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self._tradebar_volume_consolidator = VolumeRenkoConsolidator(1000000)
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self._tradebar_volume_consolidator.data_consolidated += self.on_spy_data_consolidated
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self._ibm = self.add_equity("IBM", Resolution.TICK).symbol
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self._tick_volume_consolidator = VolumeRenkoConsolidator(1000000)
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self._tick_volume_consolidator.data_consolidated += self.on_ibm_data_consolidated
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history = self.history[TradeBar](self._spy, 1000, Resolution.MINUTE)
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for bar in history:
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self._tradebar_volume_consolidator.update(bar)
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def on_spy_data_consolidated(self, sender, bar):
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self._sma.update(bar.end_time, bar.value)
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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}")
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if bar.volume != 1000000:
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raise AssertionError("Volume of consolidated bar does not match set value!")
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def on_ibm_data_consolidated(self, sender, bar):
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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}")
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if bar.volume != 1000000:
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raise AssertionError("Volume of consolidated bar does not match set value!")
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self._tick_consolidated = True
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def on_data(self, slice):
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# Update by TradeBar
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if slice.bars.contains_key(self._spy):
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self._tradebar_volume_consolidator.update(slice.bars[self._spy])
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# Update by Tick
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if slice.ticks.contains_key(self._ibm):
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for tick in slice.ticks[self._ibm]:
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self._tick_volume_consolidator.update(tick)
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if self._sma.is_ready and self._sma.current.value < self.securities[self._spy].price:
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self.set_holdings(self._spy, 1)
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else:
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self.set_holdings(self._spy, 0)
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def on_end_of_algorithm(self):
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if not self._tick_consolidated:
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raise AssertionError("Tick consolidator was never been called")
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