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