Starting to add wicko consolidator

Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj

@@ -95,6 +95,7 @@
     <Compile Include="OpeningBreakoutAlgorithm.cs" />
     <Compile Include="DropboxUniverseSelectionAlgorithm.cs" />
     <Compile Include="ParameterizedAlgorithm.cs" />
+    <Compile Include="WickoConsolidatorAlgorithm.cs" />
     <Compile Include="UniverseSelectionDefinitionsAlgorithm.cs" />
     <Compile Include="UserDefinedUniverseAlgorithm.cs" />
     <Compile Include="WarmupAlgorithm.cs" />

Algorithm.CSharp/RenkoConsolidatorAlgorithm.cs

@@ -29,38 +29,38 @@ public class RenkoConsolidatorAlgorithm : QCAlgorithm
         /// </summary>
         public override void Initialize()
         {
-            SetStartDate(2012, 01, 01);
-            SetEndDate(2013, 01, 01);
+            SetStartDate(2014, 05, 01);
+            SetEndDate(2014, 05, 15);
 
-            AddSecurity(SecurityType.Equity, "SPY");
+            AddSecurity(SecurityType.Forex, "EURUSD");
 
             // 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);
+            // break EURUSD into $2.5 renko bricks and send that data to our 'OnRenkoBar' method
+            var renkoClose = new RenkoConsolidator(0.0001m);
             renkoClose.DataConsolidated += (sender, consolidated) =>
             {
                 // call our event handler for renko data
                 HandleRenkoClose(consolidated);
             };
 
             // register the consolidator for updates
-            SubscriptionManager.AddConsolidator("SPY", renkoClose);
+            SubscriptionManager.AddConsolidator("EURUSD", 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);
+            // break EURUSD into (2*o + h + l + 3*c)/7
+            var renko7bar = new RenkoConsolidator<TradeBar>(0.0001m, 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);
+            SubscriptionManager.AddConsolidator("EURUSD", renko7bar);
         }
 
         /// <summary>

Algorithm.CSharp/WickoConsolidatorAlgorithm.cs

@@ -0,0 +1,52 @@
+/*
+ * 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.
+*/
+
+using System;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Algorithm.Examples
+{
+    public class WickoConsolidatorAlgorithm : QCAlgorithm
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2014, 05, 01);
+            SetEndDate(2014, 05, 15);
+
+            AddSecurity(SecurityType.Forex, "EURUSD");
+
+            var wickoClose = new WickoConsolidator(0.0001m);
+
+            wickoClose.DataConsolidated += (sender, consolidated) =>
+                HandleWickoClose(consolidated);
+
+            SubscriptionManager.AddConsolidator("EURUSD", wickoClose);
+        }
+
+        public void OnData(TradeBars data)
+        {
+        }
+
+        public void HandleWickoClose(WickoBar data)
+        {
+            if (!Portfolio.Invested)
+                SetHoldings(data.Symbol, 1.0);
+
+            Console.WriteLine("CLOSE - {0} - {1} {2}",
+                data.Time.ToString("o"), data.Open, data.Close);
+        }
+    }
+}

Common/Data/Consolidators/WickoConsolidator .cs

@@ -0,0 +1,203 @@
+/*
+ * 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.
+*/
+
+using System;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Data.Consolidators
+{
+    /// <summary>
+    /// This consolidator can transform a stream of <see cref="BaseData"/> instances into a stream of <see cref="RenkoBar"/>
+    /// </summary>
+    public class WickoConsolidator : DataConsolidator<IBaseData>
+    {
+        /// <summary>
+        /// Event handler that fires when a new piece of data is produced
+        /// </summary>
+        public new EventHandler<RenkoBar> DataConsolidated; 
+
+        private RenkoBar _currentBar;
+
+        private readonly decimal _barSize;
+        private readonly bool _evenBars;
+        private readonly Func<IBaseData, decimal> _selector;
+        private readonly Func<IBaseData, long> _volumeSelector;
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="RenkoConsolidator"/> class using the specified <paramref name="barSize"/>.
+        /// The value selector will by default select <see cref="IBaseData.Value"/>
+        /// The volume selector will by default select zero.
+        /// </summary>
+        /// <param name="barSize">The constant value size of each bar</param>
+        /// <param name="evenBars">When true bar open/close will be a multiple of the barSize</param>
+        public WickoConsolidator(decimal barSize, bool evenBars = true)
+        {
+            _barSize = barSize;
+            _selector = x => x.Value;
+            _volumeSelector = x => 0;
+            _evenBars = evenBars;
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="RenkoConsolidator" /> class.
+        /// </summary>
+        /// <param name="barSize">The size of each bar in units of the value produced by <paramref name="selector"/></param>
+        /// <param name="selector">Extracts the value from a data instance to be formed into a <see cref="RenkoBar"/>. The default
+        /// value is (x => x.Value) the <see cref="IBaseData.Value"/> property on <see cref="IBaseData"/></param>
+        /// <param name="volumeSelector">Extracts the volume from a data instance. The default value is null which does 
+        /// not aggregate volume per bar.</param>
+        /// <param name="evenBars">When true bar open/close will be a multiple of the barSize</param>
+        public WickoConsolidator(decimal barSize, Func<IBaseData, decimal> selector, Func<IBaseData, long> volumeSelector = null, bool evenBars = true)
+        {
+            if (barSize < Extensions.GetDecimalEpsilon())
+            {
+                throw new ArgumentOutOfRangeException("barSize", "RenkoConsolidator bar size must be positve and greater than 1e-28");
+            }
+
+            _barSize = barSize;
+            _evenBars = evenBars;
+            _selector = selector ?? (x => x.Value);
+            _volumeSelector = volumeSelector ?? (x => 0);
+        }
+
+        /// <summary>
+        /// Gets the bar size used by this consolidator
+        /// </summary>
+        public decimal BarSize
+        {
+            get { return _barSize; }
+        }
+
+        /// <summary>
+        /// Gets a clone of the data being currently consolidated
+        /// </summary>
+        public override BaseData WorkingData
+        {
+            get { return _currentBar == null ? null : _currentBar.Clone(); }
+        }
+
+        /// <summary>
+        /// Gets <see cref="RenkoBar"/> which is the type emitted in the <see cref="IDataConsolidator.DataConsolidated"/> event.
+        /// </summary>
+        public override Type OutputType
+        {
+            get { return typeof(RenkoBar); }
+        }
+
+        /// <summary>
+        /// Updates this consolidator with the specified data. This method is
+        /// responsible for raising the DataConsolidated event
+        /// </summary>
+        /// <param name="data">The new data for the consolidator</param>
+        public override void Update(IBaseData data)
+        {
+            var currentValue = _selector(data);
+            var volume = _volumeSelector(data);
+
+            decimal? close = null;
+
+            // if we're already in a bar then update it
+            if (_currentBar != null)
+            {
+                _currentBar.Update(data.Time, currentValue, volume);
+
+                // if the update caused this bar to close, fire the event and reset the bar
+                if (_currentBar.IsClosed)
+                {
+                    close = _currentBar.Close;
+                    OnDataConsolidated(_currentBar);
+                    _currentBar = null;
+                }
+            }
+
+            if (_currentBar == null)
+            {
+                var open = close ?? currentValue;
+                if (_evenBars && !close.HasValue)
+                {
+                    open = Math.Ceiling(open/_barSize)*_barSize;
+                }
+                _currentBar = new RenkoBar(data.Symbol, data.Time, _barSize, open, volume);
+            }
+        }
+
+        /// <summary>
+        /// Scans this consolidator to see if it should emit a bar due to time passing
+        /// </summary>
+        /// <param name="currentLocalTime">The current time in the local time zone (same as <see cref="BaseData.Time"/>)</param>
+        public override void Scan(DateTime currentLocalTime)
+        {
+        }
+
+        /// <summary>
+        /// Event invocator for the DataConsolidated event. This should be invoked
+        /// by derived classes when they have consolidated a new piece of data.
+        /// </summary>
+        /// <param name="consolidated">The newly consolidated data</param>
+        protected virtual void OnDataConsolidated(RenkoBar consolidated)
+        {
+            var handler = DataConsolidated;
+            if (handler != null) handler(this, consolidated);
+
+            base.OnDataConsolidated(consolidated);
+        }
+    }
+
+    /// <summary>
+    /// Provides a type safe wrapper on the RenkoConsolidator class. This just allows us to define our selector functions with the real type they'll be receiving
+    /// </summary>
+    /// <typeparam name="TInput"></typeparam>
+    public class WickoConsolidator<TInput> : RenkoConsolidator
+        where TInput : IBaseData
+    {
+        /// <summary>
+        /// Initializes a new instance of the <see cref="RenkoConsolidator" /> class.
+        /// </summary>
+        /// <param name="barSize">The size of each bar in units of the value produced by <paramref name="selector"/></param>
+        /// <param name="selector">Extracts the value from a data instance to be formed into a <see cref="RenkoBar"/>. The default
+        /// value is (x => x.Value) the <see cref="IBaseData.Value"/> property on <see cref="IBaseData"/></param>
+        /// <param name="volumeSelector">Extracts the volume from a data instance. The default value is null which does 
+        /// not aggregate volume per bar.</param>
+        /// <param name="evenBars">When true bar open/close will be a multiple of the barSize</param>
+        public WickoConsolidator(decimal barSize, Func<TInput, decimal> selector, Func<TInput, long> volumeSelector = null, bool evenBars = true)
+            : base(barSize, x => selector((TInput)x), volumeSelector == null ? (Func<IBaseData, long>) null : x => volumeSelector((TInput)x), evenBars)
+        {
+        }
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="RenkoConsolidator"/> class using the specified <paramref name="barSize"/>.
+        /// The value selector will by default select <see cref="IBaseData.Value"/>
+        /// The volume selector will by default select zero.
+        /// </summary>
+        /// <param name="barSize">The constant value size of each bar</param>
+        /// <param name="evenBars">When true bar open/close will be a multiple of the barSize</param>
+        public WickoConsolidator(decimal barSize, bool evenBars = true)
+            : base(barSize, evenBars)
+        {
+        }
+
+        /// <summary>
+        /// Updates this consolidator with the specified data.
+        /// </summary>
+        /// <remarks>
+        /// Type safe shim method.
+        /// </remarks>
+        /// <param name="data">The new data for the consolidator</param>
+        public void Update(TInput data)
+        {
+            base.Update(data);
+        }
+    }
+}