wehub-resource-sync
62 lines
2.7 KiB
Python
62 lines
2.7 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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### Regrssion algorithm to assert we can update indicators that inherit from IndicatorBase<TradeBar> with RenkoBar's
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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 IndicatorWithRenkoBarsRegressionAlgorithm(QCAlgorithm):
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def initialize(self) -> None:
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self.set_start_date(2013, 10, 7)
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self.set_end_date(2013, 10, 9)
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self.add_equity("SPY")
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self.add_equity("AIG")
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spy_renko_consolidator = RenkoConsolidator(0.1)
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spy_renko_consolidator.data_consolidated += self.on_spy_data_consolidated
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aig_renko_consolidator = RenkoConsolidator(0.05)
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aig_renko_consolidator.data_consolidated += self.on_aig_data_consolidated
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self.subscription_manager.add_consolidator("SPY", spy_renko_consolidator)
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self.subscription_manager.add_consolidator("AIG", aig_renko_consolidator)
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self._mi = MassIndex("MassIndex", 9, 25)
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self._wasi = WilderAccumulativeSwingIndex("WilderAccumulativeSwingIndex", 8)
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self._wsi = WilderSwingIndex("WilderSwingIndex", 8)
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self._b = Beta("Beta", 3, "AIG", "SPY")
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self._indicators = [self._mi, self._wasi, self._wsi, self._b]
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def on_spy_data_consolidated(self, sender: object, renko_bar: RenkoBar) -> None:
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self._mi.update(renko_bar)
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self._wasi.update(renko_bar)
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self._wsi.update(renko_bar)
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self._b.update(renko_bar)
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def on_aig_data_consolidated(self, sender: object, renko_bar: RenkoBar) -> None:
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self._b.update(renko_bar)
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def on_end_of_algorithm(self) -> None:
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for indicator in self._indicators:
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if not indicator.is_ready:
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raise AssertionError(f"{indicator.name} indicator should be ready")
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elif indicator.current.value == 0:
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raise AssertionError(f"The current value of the {indicator.name} indicator should be different than zero")
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