public void SequentialConsolidatorsFiresAllEvents()
{
var first = new IdentityDataConsolidator <BaseData>();
var second = new IdentityDataConsolidator <BaseData>();
var sequential = new SequentialConsolidator(first, second);
bool firstFired = false;
bool secondFired = false;
bool sequentialFired = false;
first.DataConsolidated += (sender, consolidated) =>
{
firstFired = true;
};
second.DataConsolidated += (sender, consolidated) =>
{
secondFired = true;
};
sequential.DataConsolidated += (sender, consolidated) =>
{
sequentialFired = true;
};
sequential.Update(new TradeBar());
Assert.IsTrue(firstFired);
Assert.IsTrue(secondFired);
Assert.IsTrue(sequentialFired);
}
public void SequentialConsolidatorAcceptsSubTypesForSecondInputType()
{
var first = new IdentityDataConsolidator <TradeBar>();
var second = new IdentityDataConsolidator <BaseData>();
var sequential = new SequentialConsolidator(first, second);
bool firstFired = false;
bool secondFired = false;
bool sequentialFired = false;
first.DataConsolidated += (sender, consolidated) =>
{
firstFired = true;
};
second.DataConsolidated += (sender, consolidated) =>
{
secondFired = true;
};
sequential.DataConsolidated += (sender, consolidated) =>
{
sequentialFired = true;
};
sequential.Update(new TradeBar());
Assert.IsTrue(firstFired);
Assert.IsTrue(secondFired);
Assert.IsTrue(sequentialFired);
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="consolidating data" />
public override void Initialize()
{
AddEquity("SPY");
AddForex("EURUSD", Resolution.Hour);
// we have data for these dates locally
var start = new DateTime(2013, 10, 07, 09, 30, 0);
SetStartDate(start);
SetEndDate(start.AddDays(1));
// define our 30 minute trade bar consolidator. we can access the 30 minute bar
// from the DataConsolidated events
var thirtyMinuteConsolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(30));
// attach our event handler. the event handler is a function that will be called each time we produce
// a new consolidated piece of data.
thirtyMinuteConsolidator.DataConsolidated += ThirtyMinuteBarHandler;
// this call adds our 30 minute consolidator to the manager to receive updates from the engine
SubscriptionManager.AddConsolidator("SPY", thirtyMinuteConsolidator);
// here we'll define a slightly more complex consolidator. what we're trying to produce is a 3
// day bar. Now we could just use a single TradeBarConsolidator like above and pass in TimeSpan.FromDays(3),
// but in reality that's not what we want. For time spans of longer than a day we'll get incorrect results around
// weekends and such. What we really want are tradeable days. So we'll create a daily consolidator, and then wrap
// it with a 3 count consolidator.
// first define a one day trade bar -- this produces a consolidated piece of data after a day has passed
var oneDayConsolidator = new TradeBarConsolidator(TimeSpan.FromDays(1));
// next define our 3 count trade bar -- this produces a consolidated piece of data after it sees 3 pieces of data
var threeCountConsolidator = new TradeBarConsolidator(3);
// here we combine them to make a new, 3 day trade bar. The SequentialConsolidator allows composition of consolidators.
// it takes the consolidated output of one consolidator (in this case, the oneDayConsolidator) and pipes it through to
// the threeCountConsolidator. His output will be a 3 day bar.
var three_oneDayBar = new SequentialConsolidator(oneDayConsolidator, threeCountConsolidator);
// attach our handler
three_oneDayBar.DataConsolidated += (sender, consolidated) => ThreeDayBarConsolidatedHandler(sender, (TradeBar)consolidated);
// this call adds our 3 day to the manager to receive updates from the engine
SubscriptionManager.AddConsolidator("SPY", three_oneDayBar);
// API convenience method for easily receiving consolidated data
Consolidate("SPY", TimeSpan.FromMinutes(45), FortyFiveMinuteBarHandler);
Consolidate("SPY", Resolution.Hour, HourBarHandler);
Consolidate("EURUSD", Resolution.Daily, DailyEurUsdBarHandler);
// requires quote data subscription
//Consolidate<QuoteBar>("EURUSD", TimeSpan.FromMinutes(45), FortyFiveMinuteBarHandler);
//Consolidate<QuoteBar>("EURUSD", Resolution.Hour, HourBarHandler);
// some securities may have trade and quote data available
//Consolidate<TradeBar>("BTCUSD", Resolution.Hour, HourBarHandler);
//Consolidate<QuoteBar>("BTCUSD", Resolution.Hour, HourBarHandler);
}