/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 11, 1);
SetEndDate(2013, 12, 10); //Set End Date
SetWarmup(TimeSpan.FromDays(30));
_spy = AddEquity("SPY", Resolution.Daily).Symbol;
var renkoConsolidator = new RenkoConsolidator(2m);
renkoConsolidator.DataConsolidated += (sender, consolidated) =>
{
if (IsWarmingUp)
{
return;
}
if (!Portfolio.Invested)
{
SetHoldings(_spy, 1.0);
}
Log($"CLOSE - {consolidated.Time:o} - {consolidated.Open} {consolidated.Close}");
};
var sma = new SimpleMovingAverage("SMA", 3);
RegisterIndicator(_spy, sma, renkoConsolidator);
}
public void WickedOneRisingRenko()
{
var consolidator = new RenkoConsolidator(1.0m, RenkoType.Wicked);
var renkos = new List <RenkoBar>();
consolidator.DataConsolidated += (sender, renko) =>
renkos.Add(renko);
var tickOn1 = new DateTime(2016, 1, 1, 17, 0, 0, 0);
var tickOn2 = new DateTime(2016, 1, 1, 17, 0, 0, 1);
consolidator.Update(new IndicatorDataPoint(tickOn1, 9.0m));
consolidator.Update(new IndicatorDataPoint(tickOn2, 10.1m));
Assert.AreEqual(renkos.Count, 1);
Assert.AreEqual(renkos[0].Open, 9.0m);
Assert.AreEqual(renkos[0].High, 10.0m);
Assert.AreEqual(renkos[0].Low, 9.0m);
Assert.AreEqual(renkos[0].Close, 10.0m);
Assert.AreEqual(renkos[0].Direction, BarDirection.Rising);
Assert.AreEqual(renkos[0].Spread, 1.0m);
Assert.AreEqual(renkos[0].Start, tickOn1);
Assert.AreEqual(renkos[0].EndTime, tickOn2);
var openRenko = consolidator.OpenRenkoBar;
Assert.AreEqual(openRenko.Start, tickOn2);
Assert.AreEqual(openRenko.EndTime, tickOn2);
Assert.AreEqual(openRenko.Open, 10.0m);
Assert.AreEqual(openRenko.High, 10.1m);
Assert.AreEqual(openRenko.Low, 10.0m);
Assert.AreEqual(openRenko.Close, 10.1m);
}
public void ConsolidatesOnBrickLow()
{
RenkoBar bar = null;
var consolidator = new RenkoConsolidator(10, x => x.Value, x => 0);
consolidator.DataConsolidated += (sender, consolidated) =>
{
bar = consolidated;
};
var reference = DateTime.Today;
consolidator.Update(new IndicatorDataPoint(reference, 10m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddHours(1), 2m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddHours(2), 0m));
Assert.IsNotNull(bar);
Assert.AreEqual(10m, bar.Open);
Assert.AreEqual(0m, bar.Close);
Assert.IsTrue(bar.IsClosed);
}
public void WickedTwoRisingThenOneFallingRenkos()
{
var consolidator = new RenkoConsolidator(1.0m, RenkoType.Wicked);
var renkos = new List <RenkoBar>();
consolidator.DataConsolidated += (sender, renko) =>
renkos.Add(renko);
var tickOn1 = new DateTime(2016, 1, 1, 17, 0, 0, 0);
var tickOn2 = new DateTime(2016, 1, 1, 17, 0, 0, 1);
consolidator.Update(new IndicatorDataPoint(tickOn1, 10.0m));
consolidator.Update(new IndicatorDataPoint(tickOn1, 9.6m));
consolidator.Update(new IndicatorDataPoint(tickOn1, 10.5m));
consolidator.Update(new IndicatorDataPoint(tickOn1, 11.1m));
consolidator.Update(new IndicatorDataPoint(tickOn1, 11.0m));
consolidator.Update(new IndicatorDataPoint(tickOn1, 10.7m));
consolidator.Update(new IndicatorDataPoint(tickOn1, 11.6m));
consolidator.Update(new IndicatorDataPoint(tickOn1, 12.3m));
consolidator.Update(new IndicatorDataPoint(tickOn1, 12.3m));
consolidator.Update(new IndicatorDataPoint(tickOn1, 12.4m));
consolidator.Update(new IndicatorDataPoint(tickOn1, 11.5m));
consolidator.Update(new IndicatorDataPoint(tickOn1, 9.9m));
Assert.AreEqual(renkos.Count, 3);
Assert.AreEqual(renkos[0].Open, 10.0m);
Assert.AreEqual(renkos[0].High, 11.0m);
Assert.AreEqual(renkos[0].Low, 9.6m);
Assert.AreEqual(renkos[0].Close, 11.0m);
Assert.AreEqual(renkos[0].Direction, BarDirection.Rising);
Assert.AreEqual(renkos[0].Spread, 1.0m);
Assert.AreEqual(renkos[1].Open, 11.0m);
Assert.AreEqual(renkos[1].High, 12.0m);
Assert.AreEqual(renkos[1].Low, 10.7m);
Assert.AreEqual(renkos[1].Close, 12.0m);
Assert.AreEqual(renkos[1].Direction, BarDirection.Rising);
Assert.AreEqual(renkos[1].Spread, 1.0m);
Assert.AreEqual(renkos[2].Open, 11.0m);
Assert.AreEqual(renkos[2].High, 12.4m);
Assert.AreEqual(renkos[2].Low, 10.0m);
Assert.AreEqual(renkos[2].Close, 10.0m);
Assert.AreEqual(renkos[2].Direction, BarDirection.Falling);
Assert.AreEqual(renkos[2].Spread, 1.0m);
var openRenko = consolidator.OpenRenkoBar;
Assert.AreEqual(openRenko.Open, 10.0m);
Assert.AreEqual(openRenko.High, 10.0m);
Assert.AreEqual(openRenko.Low, 9.9m);
Assert.AreEqual(openRenko.Close, 9.9m);
}
/// <summary>
/// Initializes the algorithm state.
/// </summary>
public override void Initialize()
{
SetStartDate(2012, 01, 01);
SetEndDate(2013, 01, 01);
AddEquity("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
var renkoClose = new RenkoConsolidator(2.5m);
renkoClose.DataConsolidated += (sender, consolidated) =>
{
// call our event handler for renko data
HandleRenkoClose(consolidated);
};
// register the consolidator for updates
SubscriptionManager.AddConsolidator("SPY", renkoClose);
// 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
var renko7bar = new RenkoConsolidator <TradeBar>(2.5m, x => (2 * x.Open + x.High + x.Low + 3 * x.Close) / 7m, x => x.Volume);
renko7bar.DataConsolidated += (sender, consolidated) =>
{
HandleRenko7Bar(consolidated);
};
// register the consolidator for updates
SubscriptionManager.AddConsolidator("SPY", renko7bar);
}
public void WickedNoRisingRenkoKissLimit()
{
var consolidator = new RenkoConsolidator(1.0m, RenkoType.Wicked);
var renkos = new List <RenkoBar>();
consolidator.DataConsolidated += (sender, renko) =>
renkos.Add(renko);
var tickOn1 = new DateTime(2016, 1, 1, 17, 0, 0, 0);
var tickOn2 = new DateTime(2016, 1, 1, 17, 0, 0, 1);
consolidator.Update(new IndicatorDataPoint(tickOn1, 10.0m));
consolidator.Update(new IndicatorDataPoint(tickOn2, 11.0m));
Assert.AreEqual(renkos.Count, 0);
var openRenko = consolidator.OpenRenkoBar;
Assert.AreEqual(openRenko.Open, 10.0m);
Assert.AreEqual(openRenko.High, 11.0m);
Assert.AreEqual(openRenko.Low, 10.0m);
Assert.AreEqual(openRenko.Close, 11.0m);
}
public void CyclesUpAndDown()
{
RenkoBar bar = null;
int count = 0;
int rcount = 0;
var consolidator = new RenkoConsolidator(1m, x => x.Value, x => 0);
consolidator.DataConsolidated += (sender, consolidated) =>
{
rcount++;
bar = consolidated;
};
var reference = DateTime.Today;
// opens at 0
consolidator.Update(new IndicatorDataPoint(reference, 0));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(1), .5m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(2), 1m));
Assert.IsNotNull(bar);
Assert.AreEqual(0m, bar.Open);
Assert.AreEqual(1m, bar.Close);
Assert.AreEqual(0, bar.Volume);
Assert.AreEqual(1m, bar.High);
Assert.AreEqual(0m, bar.Low);
Assert.IsTrue(bar.IsClosed);
Assert.AreEqual(reference, bar.Start);
Assert.AreEqual(reference.AddSeconds(2), bar.EndTime);
bar = null;
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(3), 1.5m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(4), 1m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(5), .5m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(6), 0m));
Assert.IsNotNull(bar);
// ReSharper disable HeuristicUnreachableCode - ReSharper doesn't realiz this can be set via the event handler
Assert.AreEqual(1m, bar.Open);
Assert.AreEqual(0m, bar.Close);
Assert.AreEqual(0, bar.Volume);
Assert.AreEqual(1.5m, bar.High);
Assert.AreEqual(0m, bar.Low);
Assert.IsTrue(bar.IsClosed);
Assert.AreEqual(reference.AddSeconds(2), bar.Start);
Assert.AreEqual(reference.AddSeconds(6), bar.EndTime);
bar = null;
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(7), -0.5m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(8), -0.9999999m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(9), -0.01m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(10), 0.25m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(9), 0.75m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(10), 0.9999999m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(10), 0.25m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(9), -0.25m));
Assert.IsNull(bar);
consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(10), -1m));
Assert.IsNotNull(bar);
Assert.AreEqual(0m, bar.Open);
Assert.AreEqual(-1m, bar.Close);
Assert.AreEqual(0, bar.Volume);
Assert.AreEqual(0.9999999m, bar.High);
Assert.AreEqual(-1m, bar.Low);
Assert.IsTrue(bar.IsClosed);
Assert.AreEqual(reference.AddSeconds(6), bar.Start);
Assert.AreEqual(reference.AddSeconds(10), bar.EndTime);
// ReSharper restore HeuristicUnreachableCode
}
public void OututTypeIsRenkoBar()
{
var consolidator = new RenkoConsolidator(10, x => x.Value, x => 0);
Assert.AreEqual(typeof(RenkoBar), consolidator.OutputType);
}
public void WickedOutputTypeIsRenkoBar()
{
var consolidator = new RenkoConsolidator(10.0m);
Assert.AreEqual(typeof(RenkoBar), consolidator.OutputType);
}
public void ConsistentRenkos()
{
// Test Renko bar consistency amongst three consolidators starting at different times
var time = new DateTime(2016, 1, 1);
var testValues = new List <decimal>
{
1.38687m, 1.38688m, 1.38687m, 1.38686m, 1.38685m, 1.38683m,
1.38682m, 1.38682m, 1.38684m, 1.38682m, 1.38682m, 1.38680m,
1.38681m, 1.38686m, 1.38688m, 1.38688m, 1.38690m, 1.38690m,
1.38691m, 1.38692m, 1.38694m, 1.38695m, 1.38697m, 1.38697m,
1.38700m, 1.38699m, 1.38699m, 1.38699m, 1.38698m, 1.38699m,
1.38697m, 1.38698m, 1.38698m, 1.38697m, 1.38698m, 1.38698m,
1.38697m, 1.38697m, 1.38700m, 1.38702m, 1.38701m, 1.38699m,
1.38697m, 1.38698m, 1.38696m, 1.38698m, 1.38697m, 1.38695m,
1.38695m, 1.38696m, 1.38693m, 1.38692m, 1.38693m, 1.38693m,
1.38692m, 1.38693m, 1.38692m, 1.38690m, 1.38686m, 1.38685m,
1.38687m, 1.38686m, 1.38686m, 1.38686m, 1.38686m, 1.38685m,
1.38684m, 1.38678m, 1.38679m, 1.38680m, 1.38680m, 1.38681m,
1.38685m, 1.38685m, 1.38683m, 1.38682m, 1.38682m, 1.38683m,
1.38682m, 1.38683m, 1.38682m, 1.38681m, 1.38680m, 1.38681m,
1.38681m, 1.38681m, 1.38682m, 1.38680m, 1.38679m, 1.38678m,
1.38675m, 1.38678m, 1.38678m, 1.38678m, 1.38682m, 1.38681m,
1.38682m, 1.38680m, 1.38682m, 1.38683m, 1.38685m, 1.38683m,
1.38683m, 1.38684m, 1.38683m, 1.38683m, 1.38684m, 1.38685m,
1.38684m, 1.38683m, 1.38686m, 1.38685m, 1.38685m, 1.38684m,
1.38685m, 1.38682m, 1.38684m, 1.38683m, 1.38682m, 1.38683m,
1.38685m, 1.38685m, 1.38685m, 1.38683m, 1.38685m, 1.38684m,
1.38686m, 1.38693m, 1.38695m, 1.38693m, 1.38694m, 1.38693m,
1.38692m, 1.38693m, 1.38695m, 1.38697m, 1.38698m, 1.38695m,
1.38696m
};
var consolidator1 = new RenkoConsolidator(0.0001m);
var consolidator2 = new RenkoConsolidator(0.0001m);
var consolidator3 = new RenkoConsolidator(0.0001m);
// Update each of our consolidators starting at different indexes of test values
for (int i = 0; i < testValues.Count; i++)
{
var data = new IndicatorDataPoint(time.AddSeconds(i), testValues[i]);
consolidator1.Update(data);
if (i > 10)
{
consolidator2.Update(data);
}
if (i > 20)
{
consolidator3.Update(data);
}
}
// Assert that consolidator 2 and 3 price is the same as 1. Even though they started at different
// indexes they should be the same
var bar1 = consolidator1.Consolidated as RenkoBar;
var bar2 = consolidator2.Consolidated as RenkoBar;
var bar3 = consolidator3.Consolidated as RenkoBar;
Assert.AreEqual(bar1.Close, bar2.Close);
Assert.AreEqual(bar1.Close, bar3.Close);
consolidator1.Dispose();
consolidator2.Dispose();
consolidator3.Dispose();
}
