Range Consolidators

TradeBar consolidators aggregate TradeBar objects into RangeBar objects. Follow these steps to create and manage a TradeBar consolidator based on the preceding Range bar rules:

1. Create the consolidator.

To create a classic Range consolidator, pass the bar size to the ClassicRangeConsolidator constructor.

// Create a Classic Range consolidator that emits a bar when the price range moves $1
_consolidator = new ClassicRangeConsolidator(1m);

# Create a Classic Range consolidator that emits a bar when the price range moves $1
self._consolidator = ClassicRangeConsolidator(1)

The ClassicRangeConsolidator has the following default behavior:

• It uses the Valuevalue property of the IBaseData object it receives to build the Range bars
• It ignores the volume of the input data
• It enforces the high and low of each bar to be a multiple of the bar size

To build the Range bars with a different property than the Valuevalue of the IBaseData object, provide a selector argument. The selector should be a function that receives the IBaseData object and returns a decimal value.

self._consolidator = ClassicRangeConsolidator(1, selector=lambda data: data.high)

_consolidator = new ClassicRangeConsolidator(1m, data => (data as TradeBar).High);

To add a non-zero Volumevolume property to the Range bars, provide a volumeSelectorvolume_selector argument. The volumeSelectorvolume_selector should be a function that receives the IBaseData object and returns a decimal value.

self._consolidator = ClassicRangeConsolidator(1, volume_selector=lambda data: data.volume)

_consolidator = new ClassicRangeConsolidator(1m, null, data => (data as TradeBar).Volume);

2. Add an event handler to the consolidator.

_consolidator.DataConsolidated += ConsolidationHandler;

self._consolidator.data_consolidated += self._consolidation_handler

LEAN passes consolidated bars to the consolidator event handler in your algorithm. The most common error when creating consolidators is to put parenthesis () at the end of your method name when setting the event handler of the consolidator. If you use parenthesis, the method executes and the result is passed as the event handler instead of the method itself. Remember to pass the name of your method to the event system. Specifically, it should be ConsolidationHandlerself._consolidation_handler, not ConsolidationHandler()self._consolidation_handler().

3. Define the consolidation handler.

void ConsolidationHandler(object sender, RangeBar consolidatedBar)
{

}

def _consolidation_handler(self, sender: object, consolidated_bar: RangeBar) -> None:
    pass

The consolidation event handler receives bars when the price movement forms a new classic Range bar.

4. Update the consolidator.

You can automatically or manually update the consolidator.

• Automatic Updates

To automatically update a consolidator with data from the security subscription, call the AddConsolidatoradd_consolidator method of the Subscription Manager.

self.subscription_manager.add_consolidator(self._symbol, self._consolidator)

SubscriptionManager.AddConsolidator(_symbol, _consolidator);

• Manual Updates

Manual updates let you control when the consolidator updates and what data you use to update it. If you need to warm up a consolidator with data outside of the warm-up period, you can manually update the consolidator. To manually update a consolidator, call its Updateupdate method with a TradeBar object. You can update the consolidator with data from the Slice object in the OnDataon_data method or with data from a history request.

# Example 1: Update the consolidator with data from the Slice object
def on_data(self, slice: Slice) -> None:
    trade_bar = slice.bars[self._symbol]
    self._consolidator.update(trade_bar)

# Example 2: Update the consolidator with data from a history request
history = self.history[TradeBar](self._symbol, 30, Resolution.MINUTE)
for trade_bar in history:
    self._consolidator.update(trade_bar)

// Example 1: Update the consolidator with data from the Slice object
public override void OnData(Slice slice)
{
    var tradeBar = slice.Bars[_symbol];
    _consolidator.Update(tradeBar);
}

// Example 2: Update the consolidator with data from a history request
var history = History<TradeBar>(_symbol, 30, Resolution.Minute);
foreach (var tradeBar in history)
{
    _consolidator.Update(tradeBar);
}

5. If you create consolidators for securities in a dynamic universe and register them for automatic updates, remove the consolidator when the security leaves the universe.

SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);

self.subscription_manager.remove_consolidator(self._symbol, self._consolidator)

If you have a dynamic universe and don't remove consolidators, they compound internally, causing your algorithm to slow down and eventually die once it runs out of RAM. For an example of removing consolidators from universe subscriptions, see the GasAndCrudeOilEnergyCorrelationAlphaGasAndCrudeOilEnergyCorrelationAlpha in the LEAN GitHub repository.

QuoteBar consolidators aggregate QuoteBar objects into RangeBar objects. Follow these steps to create and manage a QuoteBar consolidator based on the preceding Range bar rules:

1. Create the consolidator.

To create a classic Range consolidator, pass the bar size to the ClassicRangeConsolidator constructor.

// Create a Classic Range consolidator that emits a bar when the price range moves $1
_consolidator = new ClassicRangeConsolidator(1m);

# Create a Classic Range consolidator that emits a bar when the price range moves $1
self._consolidator = ClassicRangeConsolidator(1)

The ClassicRangeConsolidator has the following default behavior:

• It uses the Valuevalue property of the IBaseData object it receives to build the Range bars
• It ignores the volume of the input data
• It enforces the high and low of each bar to be a multiple of the bar size

The following arguments enable you to create Range bars that aggregate the excessive bid-ask spread on the asset. It can help market-making algorithms to track wider spread opportunities.

self._consolidator = ClassicRangeConsolidator(10, lambda data: data.value, lambda data: data.last_bid_size - data.last_ask_size)

_consolidator = new ClassicRangeConsolidator(10, null, 
    data => (data as QuoteBar).LastBidSize - (data as QuoteBar).LastAskSize);

2. Add an event handler to the consolidator.

_consolidator.DataConsolidated += ConsolidationHandler;

self._consolidator.data_consolidated += self._consolidation_handler

LEAN passes consolidated bars to the consolidator event handler in your algorithm. The most common error when creating consolidators is to put parenthesis () at the end of your method name when setting the event handler of the consolidator. If you use parenthesis, the method executes and the result is passed as the event handler instead of the method itself. Remember to pass the name of your method to the event system. Specifically, it should be ConsolidationHandlerself._consolidation_handler, not ConsolidationHandler()self._consolidation_handler().

3. Define the consolidation handler.

void ConsolidationHandler(object sender, RangeBar consolidatedBar)
{

}

def _consolidation_handler(self, sender: object, consolidated_bar: RangeBar) -> None:
    pass

The consolidation event handler receives bars when the price movement forms a new classic Range bar.

4. Update the consolidator.

You can automatically or manually update the consolidator.

• Automatic Updates

To automatically update a consolidator with data from the security subscription, call the AddConsolidatoradd_consolidator method of the Subscription Manager.

self.subscription_manager.add_consolidator(self._symbol, self._consolidator)

SubscriptionManager.AddConsolidator(_symbol, _consolidator);

• Manual Updates

Manual updates let you control when the consolidator updates and what data you use to update it. If you need to warm up a consolidator with data outside of the warm-up period, you can manually update the consolidator. To manually update a consolidator, call its Updateupdate method with a QuoteBar object. You can update the consolidator with data from the Slice object in the OnDataon_data method or with data from a history request.

# Example 1: Update the consolidator with data from the Slice object
def on_data(self, slice: Slice) -> None:
    quote_bar = slice.quote_bars[self._symbol]
    self._consolidator.update(quote_bar)

# Example 2: Update the consolidator with data from a history request
history = self.history[QuoteBar](self._symbol, 30, Resolution.MINUTE)
for quote_bar in history:
    self._consolidator.update(quote_bar)

// Example 1: Update the consolidator with data from the Slice object
public override void OnData(Slice slice)
{
    var quoteBar = slice.QuoteBars[_symbol];
    _consolidator.Update(quoteBar);
}

// Example 2: Update the consolidator with data from a history request
var history = History<QuoteBar>(_symbol, 30, Resolution.Minute);
foreach (var quoteBar in history)
{
    _consolidator.Update(quoteBar);
}

5. If you create consolidators for securities in a dynamic universe and register them for automatic updates, remove the consolidator when the security leaves the universe.

SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);

self.subscription_manager.remove_consolidator(self._symbol, self._consolidator)

If you have a dynamic universe and don't remove consolidators, they compound internally, causing your algorithm to slow down and eventually die once it runs out of RAM. For an example of removing consolidators from universe subscriptions, see the GasAndCrudeOilEnergyCorrelationAlphaGasAndCrudeOilEnergyCorrelationAlpha in the LEAN GitHub repository.

Tick consolidators aggregate Tick objects into RangeBar objects. Follow these steps to create and manage a Tick consolidator based on the preceding Range bar rules:

1. Create the consolidator.

To create a classic Range consolidator, pass the bar size to the ClassicRangeConsolidator constructor.

// Create a Classic Range consolidator that emits a bar when the price range moves $1
_consolidator = new ClassicRangeConsolidator(1m);

# Create a Classic Range consolidator that emits a bar when the price range moves $1
self._consolidator = ClassicRangeConsolidator(1)

The ClassicRangeConsolidator has the following default behavior:

• It uses the Valuevalue property of the IBaseData object it receives to build the Range bars
• It ignores the volume of the input data
• It enforces the high and low of each bar to be a multiple of the bar size
2. Add an event handler to the consolidator.

_consolidator.DataConsolidated += ConsolidationHandler;

self._consolidator.data_consolidated += self._consolidation_handler

LEAN passes consolidated bars to the consolidator event handler in your algorithm. The most common error when creating consolidators is to put parenthesis () at the end of your method name when setting the event handler of the consolidator. If you use parenthesis, the method executes and the result is passed as the event handler instead of the method itself. Remember to pass the name of your method to the event system. Specifically, it should be ConsolidationHandlerself._consolidation_handler, not ConsolidationHandler()self._consolidation_handler().

3. Define the consolidation handler.

void ConsolidationHandler(object sender, RangeBar consolidatedBar)
{

}

def _consolidation_handler(self, sender: object, consolidated_bar: RangeBar) -> None:
    pass

The consolidation event handler receives bars when the price movement forms a new classic Range bar.

4. Update the consolidator.

You can automatically or manually update the consolidator.

• Automatic Updates

To automatically update a consolidator with data from the security subscription, call the AddConsolidatoradd_consolidator method of the Subscription Manager.

self.subscription_manager.add_consolidator(self._symbol, self._consolidator)

SubscriptionManager.AddConsolidator(_symbol, _consolidator);

• Manual Updates

Manual updates let you control when the consolidator updates and what data you use to update it. If you need to warm up a consolidator with data outside of the warm-up period, you can manually update the consolidator. To manually update a consolidator, call its Updateupdate method with a Tick object. You can update the consolidator with data from the Slice object in the OnDataon_data method or with data from a history request.

# Example 1: Update the consolidator with data from the Slice object
def on_data(self, slice: Slice) -> None:
    ticks = slice.ticks[self._symbol]
    for tick in ticks:
        self._consolidator.update(tick)

# Example 2: Update the consolidator with data from a history request
ticks = self.history[Tick](self._symbol, timedelta(minutes=3), Resolution.TICK)
for tick in ticks:
    self._consolidator.update(tick)

// Example 1: Update the consolidator with data from the Slice object
public override void OnData(Slice slice)
{
    var ticks = slice.Ticks[_symbol];
    foreach (var tick in ticks)
    {
    	_consolidator.Update(tick);
    }
}

// Example 2: Update the consolidator with data from a history request
var ticks = History<Tick>(_symbol, TimeSpan.FromMinutes(3), Resolution.Tick);
foreach (var tick in ticks)
{
    _consolidator.Update(tick);
}

5. If you create consolidators for securities in a dynamic universe and register them for automatic updates, remove the consolidator when the security leaves the universe.

SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);

self.subscription_manager.remove_consolidator(self._symbol, self._consolidator)

If you have a dynamic universe and don't remove consolidators, they compound internally, causing your algorithm to slow down and eventually die once it runs out of RAM. For an example of removing consolidators from universe subscriptions, see the GasAndCrudeOilEnergyCorrelationAlphaGasAndCrudeOilEnergyCorrelationAlpha in the LEAN GitHub repository.

Tick quote bar consolidators aggregate Tick objects that represent quotes into RangeBar objects. Follow these steps to create and manage a Tick quote bar consolidator based on the preceding Range bar rules:

1. Create the consolidator.

To create a classic Range consolidator, pass the bar size to the ClassicRangeConsolidator constructor.

// Create a Classic Range consolidator that emits a bar when the price range moves $1
_consolidator = new ClassicRangeConsolidator(1m);

# Create a Classic Range consolidator that emits a bar when the price range moves $1
self._consolidator = ClassicRangeConsolidator(1)

The ClassicRangeConsolidator has the following default behavior:

• It uses the Valuevalue property of the IBaseData object it receives to build the Range bars
• It ignores the volume of the input data
• It enforces the high and low of each bar to be a multiple of the bar size
2. Add an event handler to the consolidator.

_consolidator.DataConsolidated += ConsolidationHandler;

self._consolidator.data_consolidated += self._consolidation_handler

LEAN passes consolidated bars to the consolidator event handler in your algorithm. The most common error when creating consolidators is to put parenthesis () at the end of your method name when setting the event handler of the consolidator. If you use parenthesis, the method executes and the result is passed as the event handler instead of the method itself. Remember to pass the name of your method to the event system. Specifically, it should be ConsolidationHandlerself._consolidation_handler, not ConsolidationHandler()self._consolidation_handler().

3. Define the consolidation handler.

void ConsolidationHandler(object sender, RangeBar consolidatedBar)
{

}

def _consolidation_handler(self, sender: object, consolidated_bar: RangeBar) -> None:
    pass

The consolidation event handler receives bars when the price movement forms a new classic Range bar.

4. Update the consolidator.

You can automatically or manually update the consolidator.

• Automatic Updates

To automatically update a consolidator with data from the security subscription, call the AddConsolidatoradd_consolidator method of the Subscription Manager.

self.subscription_manager.add_consolidator(self._symbol, self._consolidator)

SubscriptionManager.AddConsolidator(_symbol, _consolidator);

• Manual Updates

Manual updates let you control when the consolidator updates and what data you use to update it. If you need to warm up a consolidator with data outside of the warm-up period, you can manually update the consolidator. To manually update a consolidator, call its Updateupdate method with a Tick object. You can update the consolidator with data from the Slice object in the OnDataon_data method or with data from a history request.

# Example 1: Update the consolidator with data from the Slice object
def on_data(self, slice: Slice) -> None:
    ticks = slice.ticks[self._symbol]
    for tick in ticks:
        self._consolidator.update(tick)

# Example 2: Update the consolidator with data from a history request
ticks = self.history[Tick](self._symbol, timedelta(minutes=3), Resolution.TICK)
for tick in ticks:
    self._consolidator.update(tick)

// Example 1: Update the consolidator with data from the Slice object
public override void OnData(Slice slice)
{
    var ticks = slice.Ticks[_symbol];
    foreach (var tick in ticks)
    {
    	_consolidator.Update(tick);
    }
}

// Example 2: Update the consolidator with data from a history request
var ticks = History<Tick>(_symbol, TimeSpan.FromMinutes(3), Resolution.Tick);
foreach (var tick in ticks)
{
    _consolidator.Update(tick);
}

5. If you create consolidators for securities in a dynamic universe and register them for automatic updates, remove the consolidator when the security leaves the universe.

SubscriptionManager.RemoveConsolidator(_symbol, _consolidator);

self.subscription_manager.remove_consolidator(self._symbol, self._consolidator)

If you have a dynamic universe and don't remove consolidators, they compound internally, causing your algorithm to slow down and eventually die once it runs out of RAM. For an example of removing consolidators from universe subscriptions, see the GasAndCrudeOilEnergyCorrelationAlphaGasAndCrudeOilEnergyCorrelationAlpha in the LEAN GitHub repository.