/// <summary>
/// Initializes the algorithm state.
/// </summary>
public override void Initialize()
{
SetStartDate(2012, 01, 01);
SetEndDate(2013, 01, 01);
AddSecurity(SecurityType.Equity, "SPY");
// 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 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 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 WickedTwoRisingThenThreeFallingGapRenkos()
{
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, 7.9m));
Assert.AreEqual(renkos.Count, 5);
Assert.AreEqual(renkos[0].Open, 10.0);
Assert.AreEqual(renkos[0].High, 11.0);
Assert.AreEqual(renkos[0].Low, 9.6);
Assert.AreEqual(renkos[0].Close, 11.0);
Assert.AreEqual(renkos[0].Direction, BarDirection.Rising);
Assert.AreEqual(renkos[0].Spread, 1.0);
Assert.AreEqual(renkos[1].Open, 11.0);
Assert.AreEqual(renkos[1].High, 12.0);
Assert.AreEqual(renkos[1].Low, 10.7);
Assert.AreEqual(renkos[1].Close, 12.0);
Assert.AreEqual(renkos[1].Direction, BarDirection.Rising);
Assert.AreEqual(renkos[1].Spread, 1.0);
Assert.AreEqual(renkos[2].Open, 11.0);
Assert.AreEqual(renkos[2].High, 12.4);
Assert.AreEqual(renkos[2].Low, 10.0);
Assert.AreEqual(renkos[2].Close, 10.0);
Assert.AreEqual(renkos[2].Direction, BarDirection.Falling);
Assert.AreEqual(renkos[2].Spread, 1.0);
Assert.AreEqual(renkos[3].Open, 10.0);
Assert.AreEqual(renkos[3].High, 10.0);
Assert.AreEqual(renkos[3].Low, 9.0);
Assert.AreEqual(renkos[3].Close, 9.0);
Assert.AreEqual(renkos[3].Direction, BarDirection.Falling);
Assert.AreEqual(renkos[3].Spread, 1.0);
Assert.AreEqual(renkos[4].Open, 9.0);
Assert.AreEqual(renkos[4].High, 9.0);
Assert.AreEqual(renkos[4].Low, 8.0);
Assert.AreEqual(renkos[4].Close, 8.0);
Assert.AreEqual(renkos[4].Direction, BarDirection.Falling);
Assert.AreEqual(renkos[4].Spread, 1.0);
var openRenko = consolidator.OpenRenkoBar;
Assert.AreEqual(openRenko.Open, 8.0);
Assert.AreEqual(openRenko.High, 8.0);
Assert.AreEqual(openRenko.Low, 7.9);
Assert.AreEqual(openRenko.Close, 7.9);
}
public void WickedThreeFallingGapRenkos()
{
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, 14.0m));
consolidator.Update(new IndicatorDataPoint(tickOn2, 10.0m));
Assert.AreEqual(renkos.Count, 3);
Assert.AreEqual(renkos[0].Start, tickOn1);
Assert.AreEqual(renkos[0].EndTime, tickOn2);
Assert.AreEqual(renkos[0].Open, 14.0m);
Assert.AreEqual(renkos[0].High, 14.0m);
Assert.AreEqual(renkos[0].Low, 13.0m);
Assert.AreEqual(renkos[0].Close, 13.0m);
Assert.AreEqual(renkos[0].Direction, BarDirection.Falling);
Assert.AreEqual(renkos[0].Spread, 1.0m);
Assert.AreEqual(renkos[1].Start, tickOn2);
Assert.AreEqual(renkos[1].EndTime, tickOn2);
Assert.AreEqual(renkos[1].Open, 13.0m);
Assert.AreEqual(renkos[1].High, 13.0m);
Assert.AreEqual(renkos[1].Low, 12.0m);
Assert.AreEqual(renkos[1].Close, 12.0m);
Assert.AreEqual(renkos[1].Direction, BarDirection.Falling);
Assert.AreEqual(renkos[1].Spread, 1.0);
Assert.AreEqual(renkos[2].Start, tickOn2);
Assert.AreEqual(renkos[2].EndTime, tickOn2);
Assert.AreEqual(renkos[2].Open, 12.0m);
Assert.AreEqual(renkos[2].High, 12.0m);
Assert.AreEqual(renkos[2].Low, 11.0m);
Assert.AreEqual(renkos[2].Close, 11.0m);
Assert.AreEqual(renkos[2].Direction, BarDirection.Falling);
Assert.AreEqual(renkos[2].Spread, 1.0m);
var openRenko = consolidator.OpenRenkoBar;
Assert.AreEqual(openRenko.Open, 11.0m);
Assert.AreEqual(openRenko.High, 11.0m);
Assert.AreEqual(openRenko.Low, 10.0m);
Assert.AreEqual(openRenko.Close, 10.0m);
}
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 WickedOutputTypeIsRenkoBar()
{
var consolidator = new RenkoConsolidator(10.0m);
Assert.AreEqual(typeof(RenkoBar), consolidator.OutputType);
}
