RENKO Brick Size ATR by MEHMET YILDIZ

MEHMET YILDIZ INVESTOR

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I am trying to set the brick size to ATR at Initilaze for Renko Consolidator but it is given Runtime Error: Attempted to divide by zero. (Open Stacktrace) ? How Cab I assign a ATR as brick size ?

#ATR NAS100USD
self.atrNAS = self.ATR("NAS100USD", 24, MovingAverageType.Simple,Resolution.Hour)
#RENKO NAS100USD
self.brickNAS = self.atrNAS.Current.Value//1
renkoCloseNAS = RenkoConsolidator(self.brickNAS)
renkoCloseNAS.DataConsolidated += self.HandleRenkoCloseNAS
self.SubscriptionManager.AddConsolidator("NAS100USD", renkoCloseNAS)

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MEHMET YILDIZ

Accepted Answer

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Gurumeher Sawhney

16.5k ,

The stacktrace was not actually linked, so determining the problem will be a little tougher. Is the algorithm warming up the indicator before it is being used? The problem could be that ATR's value is currently 0 at that time. Check the documentation on warming up an algorithm: it pumps data in from before the start date for priming technical indicators, or populating historical data arrays. This sample code warms up an EMA so that it can be using during the start of the algorithm.

Derek Rein

59 ,

    def subscribe_renko(self, symbol):

        if self.renkoInit is False:

            renkoATR = self.ATR(symbol, 14, MovingAverageType.Simple, Resolution.Hour)

            self.Log(str(renkoATR.Current.Value) + symbol)

            renkoClose = RenkoConsolidator(renkoATR.Current.Value)

            renkoClose.DataConsolidated += self.HandleRenkoClose

            self.SubscriptionManager.AddConsolidator(symbol, renkoClose)

            self.renkoInit = True

Subscribing to the renko consolidator after the init method by calling this function in OnData is a possible solution. I'm still fairly new to QC, it seems like its not possible to access historical data outside of OnData, even with a warmup period. Correct me if I'm wrong.

Gurumeher Sawhney

16.5k ,

Historical data can be accessed anywhere within the algorithm using the call self.History(), as long as the data being called has been subscribed. In this example, self.History() is called during Initialize() to manually feed data into the indicators.

Derek Rein

59 ,

atr = AverageTrueRange(14)



for index, tradeBar in tradeBarHistory.loc["BTCUSD"].iterrows():

    atr.Update(index, tradeBar["close"])

I'm using this setup to determine the renko brick size on init, the ATR indicator needs an IBaseDataBar from what I can tell, is there a good way to make that object fromt the rows of the historical dataframe?

MEHMET YILDIZ INVESTOR

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