QUANTCONNECT COMMUNITY
OHLC TradeBars are based on time, Second, Minute, Daily, etc.
OHLC RenkoBars are based on "box size". For example, a RenkoBar is formed when the market moves 10 ticks.
What about OHLC VolumeBars? A VolumeBar is formed when N volume has been traded. For example, each volume of 10,000 trades forms a OHLC VolumeBar. Is there a name for this?
Perhaps a Tick resolution to count the volume traded, track the OHLC, then form the TradeBar when volume has reached N size.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
QuantConnect™ 2024. All Rights Reserved
|
|
Share New Research 
Derek Melchin
Hi Michael,
This is not yet possible, but we have an open GitHub issue to add the functionality. Subscribe to our progress here.
One possible workaround for now is to use a RenkoConsolidator and update it with TradeBars made from this constructor where the OHLCV fields are all just the Volume value.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Michael Bloomfield
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!