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.
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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.
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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