ClassicRenkoConsolidatorAlgorithm.py

# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from AlgorithmImports import *

### <summary>
### Demonstration of how to initialize and use the Classic RenkoConsolidator
### </summary>
### <meta name="tag" content="renko" />
### <meta name="tag" content="indicators" />
### <meta name="tag" content="using data" />
### <meta name="tag" content="consolidating data" />
class ClassicRenkoConsolidatorAlgorithm(QCAlgorithm):
    '''Demonstration of how to initialize and use the RenkoConsolidator'''

    def initialize(self):

        self.set_start_date(2012, 1, 1)
        self.set_end_date(2013, 1, 1)

        self.add_equity("SPY", Resolution.DAILY)

        # this is the simple constructor that will perform the
        # renko logic to the Value property of the data it receives.

        # break SPY into $2.5 renko bricks and send that data to our 'OnRenkoBar' method
        renko_close = ClassicRenkoConsolidator(2.5)
        renko_close.data_consolidated += self.handle_renko_close
        self.subscription_manager.add_consolidator("SPY", renko_close)

        # this is the full constructor that can accept a value selector and a volume selector
        # this allows us to perform the renko logic on values other than Close, even computed values!

        # break SPY into (2*o + h + l + 3*c)/7
        renko7bar = ClassicRenkoConsolidator(2.5, lambda x: (2 * x.open + x.high + x.low + 3 * x.close) / 7, lambda x: x.volume)
        renko7bar.data_consolidated += self.handle_renko7_bar
        self.subscription_manager.add_consolidator("SPY", renko7bar)


    # We're doing our analysis in the on_renko_bar method, but the framework verifies that this method exists, so we define it.
    def on_data(self, data):
        pass


    def handle_renko_close(self, sender, data):
        '''This function is called by our renko_close consolidator defined in Initialize()
        Args:
            data: The new renko bar produced by the consolidator'''
        if not self.portfolio.invested:
            self.set_holdings(data.symbol, 1)

        self.log(f"CLOSE - {data.time} - {data.open} {data.close}")


    def handle_renko7_bar(self, sender, data):
        '''This function is called by our renko7bar consolidator defined in Initialize()
        Args:
            data: The new renko bar produced by the consolidator'''
        if self.portfolio.invested:
            self.liquidate(data.symbol)
        self.log(f"7BAR - {data.time} - {data.open} {data.close}")