wehub-resource-sync
48 lines
1.9 KiB
C#
48 lines
1.9 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 QuantConnect.Data.Market;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data;
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namespace Common.Data.Consolidators
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{
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/// <summary>
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/// This consolidator transforms a stream of <see cref="BaseData"/> instances into a stream of <see cref="RenkoBar"/>
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/// with a constant dollar volume for each bar.
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/// </summary>
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public class DollarVolumeRenkoConsolidator : VolumeRenkoConsolidator
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{
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/// <summary>
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/// Initializes a new instance of the <see cref="DollarVolumeRenkoConsolidator"/> class using the specified <paramref name="barSize"/>.
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/// </summary>
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/// <param name="barSize">The constant dollar volume size of each bar</param>
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public DollarVolumeRenkoConsolidator(decimal barSize)
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: base(barSize)
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{
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}
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/// <summary>
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/// Converts raw volume into dollar volume by multiplying it with the trade price.
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/// </summary>
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/// <param name="volume">The raw trade volume</param>
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/// <param name="price">The trade price</param>
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/// <returns>The dollar volume</returns>
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protected override decimal AdjustVolume(decimal volume, decimal price)
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{
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return volume * price;
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}
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}
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} |