Trading on different time frames by John Leak

John Leak INVESTOR

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Hello everyone, I have a question about changing the time frame in which a program trades. For example I have been playing with the Fractal program Marcus shared and I believe it trades within a one minute time frame. If I wanted to change the code from trading on a one minute chart to a five mintue or hour chart how would I go about making those changes.

 public class ScalpingAlgorithm : QCAlgorithm

    {

    	private WilliamsFractals _wf;

    

    	

    	private string symbol = "SPXL";

    	

        public override void Initialize() 

        {

            SetStartDate(2016, 8, 1);         

            SetEndDate(DateTime.Now);

            

            SetCash(10000);

            

            AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);

            

            Securities[symbol].FeeModel = new ConstantFeeModel(1.0m);

            

            _wf = new WilliamsFractals();

        }



        public void OnData(TradeBars data) 

        {   

        	_wf.Update(data[symbol]);

        	

            if (_wf.IsReady)

            {

				if (data[symbol].Price >= _wf.BarryUp)

				{

					SetHoldings(symbol, -1.0m);

				}

				else if (data[symbol].Price <= _wf.BarryDown)

				{

					SetHoldings(symbol, 1.0m);

				}

            }

        }

    }

}

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John Leak

Accepted Answer

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Alexandre Catarino

Hi John,

Please checkout the QuantConnect University (QCU) example "How do I Use Consolidators?" for using different time frames.

On Initialize, you need to include a TradeBarConsolidator:

public override void Initialize()

{

    SetStartDate(2016, 8, 1);         

    SetEndDate(DateTime.Now);

            

    SetCash(10000);

            

    AddSecurity(SecurityType.Equity, symbol, Resolution.Minute);

            

    Securities[symbol].FeeModel = new ConstantFeeModel(1.0m);

            

    _wf = new WilliamsFractals();



    // define our 5 minute trade bar consolidator. we can access

    // the 5 minute bar from the DataConsolidated events

    var fileMinuteConsolidator = 

        new TradeBarConsolidator(TimeSpan.FromMinutes(5));

            

    // attach our event handler. the event handler

    // is a function that will be called each time 

    // we produce a new consolidated piece of data.

    fiveMinuteConsolidator.DataConsolidated += FiveMinuteBarHandler;



    // this call adds our 5 minute consolidator to

    // the manager to receive updates from the engine

    SubscriptionManager

        .AddConsolidator(symbol, fiveMinuteConsolidator);

}

Then you move your logic to the new handler and remove it from OnData:

private void FiveMinuteBarHandler(object sender, TradeBar data)

{

    _wf.Update(data);

        	

    if (_wf.IsReady)

    {

        if (data.Price >= _wf.BarryUp)

	    {

		     SetHoldings(symbol, -1.0m);

	    }

		else if (data.Price <= _wf.BarryDown)

		{

			SetHoldings(symbol, 1.0m);

		}

    }

}



public void OnData(TradeBars bars)

{

    // we need to declare this method

}

John Leak

503 ,

Thanks Alexandre! This helps a lot, I'm very new to coding and it can be very confusing at times

Brett Spurrier

115 ,

Where is this `WilliamsFractals` class? Is it custom? Any change you care to share it? :-)

Alexandre Catarino

Hi Brett Spurrier ,

QuantConnect/Lean doesn't support Williams Fractals yet.
Let's hope John Leak will kindly share.

John Leak INVESTOR

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