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The best way to decide the implementation of Heikin-Ashi consolidated data is based on how and when they will be used. A possible approach would be to create 5 minute data consolidators and create a custom Heikin-Ashi indicator.
In the sample code from Github the data for equities and forex is consolidated into 10 minute bars and there is a SMA indicator stored for the consolidated. This sample can be tailored from 10 minute bars to 5 minutes bars, and a custom indicator for Heiken-Ashi can be created and stored in SymbolData instead of the SMA indicator. The sample code below shows an implementation of a custom indicator and can also be abstracted for the Heikan-Ashi candles. Note that the the indicator needs to be registered and an update method for the indicator needs to be implemented, since this allows the indicator to be maintained.
Thank you, I will take a look at these. The 5 minute consolidated heiken ashi candles would be added to a rolling window to track them over time. So far that side if things is working well using the standard candles > heiken ashi indicator > rolling windows.
So now keen to make these new consolidated heikin ashi candles. Do you think it would be possible to send the 5 minute consolidated normal candles to the heiken ashi indicator??
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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