wehub-resource-sync
52 lines
2.3 KiB
Python
52 lines
2.3 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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### Example algorithm of how to use RangeConsolidator
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### </summary>
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class RangeConsolidatorAlgorithm(QCAlgorithm):
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def get_resolution(self) -> Resolution:
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return Resolution.DAILY
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def get_range(self) -> int:
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return 100
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def initialize(self) -> None:
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self.set_start_and_end_dates()
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self.add_equity("SPY", self.get_resolution())
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range_consolidator = self.create_range_consolidator()
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range_consolidator.data_consolidated += self.on_data_consolidated
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self._first_data_consolidated = None
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self.subscription_manager.add_consolidator("SPY", range_consolidator)
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def set_start_and_end_dates(self) -> None:
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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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def on_end_of_algorithm(self) -> None:
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if not self._first_data_consolidated:
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raise AssertionError("The consolidator should have consolidated at least one RangeBar, but it did not consolidated any one")
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def create_range_consolidator(self) -> RangeConsolidator:
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return RangeConsolidator(self.get_range())
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def on_data_consolidated(self, sender: object, range_bar: RangeBar) -> None:
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if not self._first_data_consolidated:
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self._first_data_consolidated = range_bar
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if round(range_bar.high - range_bar.low, 2) != self.get_range() * 0.01: # The minimum price change for SPY is 0.01, therefore the range size of each bar equals Range * 0.01
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raise AssertionError(f"The difference between the High and Low for all RangeBar's should be {self.get_range() * 0.01}, but for this RangeBar was {round(range_bar.low - range_bar.high, 2)}")
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