public SymbolData(QCAlgorithm algorithm, Security security, int period, Resolution resolution)
{
Security = security;
Consolidator = algorithm.ResolveConsolidator(security.Symbol, resolution);
var smaName = algorithm.CreateIndicatorName(security.Symbol, "SMA" + period, resolution);
SMA = new SimpleMovingAverage(smaName, period);
var stdName = algorithm.CreateIndicatorName(security.Symbol, "STD" + period, resolution);
STD = new StandardDeviation(stdName, period);
algorithm.SubscriptionManager.AddConsolidator(security.Symbol, Consolidator);
Consolidator.DataConsolidated += (sender, consolidated) =>
{
SMA.Update(consolidated.EndTime, consolidated.Value);
STD.Update(consolidated.EndTime, consolidated.Value);
};
}
/// <summary>
/// Initialize a new instance of <see cref="SymbolData"/>
/// </summary>
public SymbolData(QCAlgorithm algorithm, Security security)
{
Security = security;
Consolidator = algorithm.ResolveConsolidator(security.Symbol, security.Resolution);
var name = algorithm.CreateIndicatorName(security.Symbol, "VWAP", security.Resolution);
VWAP = new IntradayVwap(name);
algorithm.RegisterIndicator(security.Symbol, VWAP, Consolidator, bd => (BaseData)bd);
}
public SymbolData(QCAlgorithm algorithm, Security security, int period, Resolution resolution)
{
Security = security;
Consolidator = algorithm.ResolveConsolidator(security.Symbol, resolution);
var smaName = algorithm.CreateIndicatorName(security.Symbol, "SMA" + period, resolution);
SMA = new SimpleMovingAverage(smaName, period);
algorithm.RegisterIndicator(security.Symbol, SMA, Consolidator);
var stdName = algorithm.CreateIndicatorName(security.Symbol, "STD" + period, resolution);
STD = new StandardDeviation(stdName, period);
algorithm.RegisterIndicator(security.Symbol, STD, Consolidator);
// warmup our indicators by pushing history through the indicators
foreach (var bar in algorithm.History(Security.Symbol, period, resolution))
{
SMA.Update(bar.EndTime, bar.Value);
STD.Update(bar.EndTime, bar.Value);
}
}
public void CreateIndicatorName(Symbol symbol, string baseName, Resolution resolution, string expectation)
{
Assert.AreEqual(expectation, _algorithm.CreateIndicatorName(symbol, baseName, resolution));
}
