wehub-resource-sync
71 lines
3.1 KiB
Python
71 lines
3.1 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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### Demonstration of how to initialize and use the Classic RenkoConsolidator
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### </summary>
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### <meta name="tag" content="renko" />
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### <meta name="tag" content="indicators" />
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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 ClassicRenkoConsolidatorAlgorithm(QCAlgorithm):
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'''Demonstration of how to initialize and use the RenkoConsolidator'''
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def initialize(self) -> None:
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self.set_start_date(2012, 1, 1)
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self.set_end_date(2013, 1, 1)
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self.add_equity("SPY", Resolution.DAILY)
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# this is the simple constructor that will perform the
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# renko logic to the Value property of the data it receives.
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# break SPY into $2.5 renko bricks and send that data to our 'OnRenkoBar' method
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renko_close = ClassicRenkoConsolidator(2.5)
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renko_close.data_consolidated += self.handle_renko_close
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self.subscription_manager.add_consolidator("SPY", renko_close)
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# this is the full constructor that can accept a value selector and a volume selector
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# this allows us to perform the renko logic on values other than Close, even computed values!
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# break SPY into (2*o + h + l + 3*c)/7
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renko7bar = ClassicRenkoConsolidator(2.5, lambda x: (2 * x.open + x.high + x.low + 3 * x.close) / 7, lambda x: x.volume)
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renko7bar.data_consolidated += self.handle_renko7_bar
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self.subscription_manager.add_consolidator("SPY", renko7bar)
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# We're doing our analysis in the on_renko_bar method, but the framework verifies that this method exists, so we define it.
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def on_data(self, data: Slice) -> None:
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pass
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def handle_renko_close(self, sender: object, data: RenkoBar) -> None:
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'''This function is called by our renko_close consolidator defined in Initialize()
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Args:
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data: The new renko bar produced by the consolidator'''
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if not self.portfolio.invested:
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self.set_holdings(data.symbol, 1)
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self.log(f"CLOSE - {data.time} - {data.open} {data.close}")
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def handle_renko7_bar(self, sender: object, data: RenkoBar) -> None:
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'''This function is called by our renko7bar consolidator defined in Initialize()
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Args:
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data: The new renko bar produced by the consolidator'''
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if self.portfolio.invested:
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self.liquidate(data.symbol)
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self.log(f"7BAR - {data.time} - {data.open} {data.close}")
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