Hi,
I would like to create constant volume bars (e.g. new bar after every 10,000 transactions / volume,...). I didn't find an implementation in python. Can you help me? I would first need it for the research environment and secondly for creating an algorithm.
thanks in advance.
There is no built-in way to create constant volume bars. All of QuantConnect's pricing data is associated with a period. In order to create constant-volume bars, higher resolution bars would need to be read in OnData() and for every 10,000 contracts, a TradeBar could be manually constructed. In the research environement, a dataframe could be read in the same manner. Here is QuantConnect's implementation of Renko bars that can provide a reference for creating the constant volume bars.
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