Hello Community,
I am trying to consolidate 1-minute data into 5-minute bars and then use those to create a rolling window. to calculate swing high. I have read community posts on Consolidation but there is a gap in my understanding. I have implemented the following algo. Please comment if it is the right approach.
Thanks for your support.
Ninad.
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Here is code snippet.
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# region imports
from AlgorithmImports import *
# endregion
class PensiveFluorescentOrangeRhinoceros(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2018, 1, 1) # Set Start Date
self.SetEndDate(2019,1,1)
self.SetCash(100000) # Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
self.Consolidate("SPY",timedelta(minutes=5),self.OnDataConsolidated)
self.window = RollingWindow[TradeBar](5)
self.swinghigh=0
def OnData(self, data: Slice):
if not self.window.IsReady:return
if self.Portfolio.Invested:return
if self.window[0].High < self.window[2].High and self.window[1].High < self.window[2].High and self.window[3].High < self.window[2].High and self.window[4].High < self.window[2].High:
self.swinghigh=self.window[2].High
self.Log("Looking for Swing High")
self.Log("right side 1nd point >> {0}".format(self.window[0].High))
self.Log("right side 2nd point >> {0}".format(self.window[1].High))
self.Log("Middle point >> {0}".format(self.window[2].High))
self.Log("Left side 2nd point >> {0}".format(self.window[3].High))
self.Log("Left side 1st point >> {0}".format(self.window[4].High))
self.Log("Swing High >>{0}".format(self.swinghigh))
def OnDataConsolidated(self,tradeBar):
self.window.Add(tradeBar)
self.Log(f'{tradeBar.Time}: {tradeBar.Open} - {tradeBar.EndTime}: {tradeBar.Close}')
Your RollingWindow implementation looks correct to me.
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.
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