Renko Consolidators

TradeBar consolidators aggregate TradeBar objects into VolumeRenkoBar objects. Follow these steps to create and manage a TradeBar consolidator based on custom set volume traded:

1. Create the consolidator.

To create a Volume Renko consolidator, pass the bar size to the VolumeRenkoConsolidator constructor.

// Create a Volume Renko consolidator that emits a bar every time 10,000 units trade
_consolidator = new VolumeRenkoConsolidator(10000m);

# Create a Volume Renko consolidator that emits a bar every time 10,000 units trade
self.consolidator = VolumeRenkoConsolidator(10000)

2. Add an event handler to the consolidator.

_consolidator.DataConsolidated += ConsolidationHandler;

self.consolidator.DataConsolidated += 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, VolumeRenkoBar consolidatedBar)
{

}

def consolidation_handler(self, sender: object, consolidated_bar: VolumeRenkoBar) -> None:
    pass

The consolidation event handler receives bars when the trading volume forms a new Volume Renko 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 AddConsolidator method of the Subscription Manager.

self.SubscriptionManager.AddConsolidator(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 Update method with a TradeBar object. You can update the consolidator with data from the Slice object in the OnData method or with data from a history request.

# Example 1: Update the consolidator with data from the Slice object
def OnData(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.SubscriptionManager.RemoveConsolidator(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 VolumeRenkoBar objects. Follow these steps to create and manage a Tick consolidator based on custom set volume traded:

1. Create the consolidator.

To create a Volume Renko consolidator, pass the bar size to the VolumeRenkoConsolidator constructor.

// Create a Volume Renko consolidator that emits a bar every time 10,000 units trade
_consolidator = new VolumeRenkoConsolidator(10000m);

# Create a Volume Renko consolidator that emits a bar every time 10,000 units trade
self.consolidator = VolumeRenkoConsolidator(10000)

2. Add an event handler to the consolidator.

_consolidator.DataConsolidated += ConsolidationHandler;

self.consolidator.DataConsolidated += 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, VolumeRenkoBar consolidatedBar)
{

}

def consolidation_handler(self, sender: object, consolidated_bar: VolumeRenkoBar) -> None:
    pass

The consolidation event handler receives bars when the trading volume forms a new Volume Renko 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 AddConsolidator method of the Subscription Manager.

self.SubscriptionManager.AddConsolidator(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 Update method with a Tick object. You can update the consolidator with data from the Slice object in the OnData method or with data from a history request.

# Example 1: Update the consolidator with data from the Slice object
def OnData(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.SubscriptionManager.RemoveConsolidator(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.