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I need some help please.
Here is the basic idea:
I'm trying to write a algo that uses ticks , heikin ashi and a rolling window as the data.
For this currently I'm running a consolidator set to 2 minutes, as I can't get the ticks work.
After the consolidator is set I add the heikin ashi indicator and then I add it to the rolling window.
This will enable me to compare the open value of the current bar with the open / close of the previous bars.
My questions are as follows:
1 - am i adding the indicator correctly, using the consolidated data, and how do i know the data being used is the data that was processed by the indicator?
2 - how do i change the consolidator to run on ticks instead of time?
2 - how can i add a candle stick graph / plot of this data (the consolidated, heikin ashi processed data) to the output?
Here is my current code that should be doing this.
ha = HeikinAshi
def Initialize(self):
self.window = RollingWindow[QuoteBar](2)
def OnData(self,slice):
consolidator = QuoteBarConsolidator(timedelta(minutes=2))
consolidator.DataConsolidated += self.OnDataConsolidated
self.SubscriptionManager.AddConsolidator(contract.Symbol, consolidator)
self.RegisterIndicator(contract.Symbol, self.HA, consolidator)
def OnDataConsolidated(self, sender, data):
if not (self.HA.IsReady): return
self.window.Add(data)
if(currBar.Close > pastBar.Close + 1):
#do some stuff 
Alexandre Catarino
Please share an algorithm (use the attach backtest button below) that shows the issue you are experiencing.
This procedure helps us, the community, to answer your questions quickly and effectively.
From the code snippet, I can see that you are not initializing the consolidator properly. In the docs, we can read:
"You set up the consolidator and bind to this event handler once from inside your Initialize() method."
Schalk wepener
Thank you for the comment. I re-evaluated the script and strated from stratch, in order to put it together step by step.
How do you add a particular future symbol? I want to trade ES and NQ specifically.
Alexandre Catarino
Thank you! The code in mainV1.pyp is almost perfect.
You just need to create a dictionary of symbols to save a HeikiAshi for each contract:
# In Initialize self.HA = dict() # In OnData self.HA[contract.Symbol] = HeikinAshi() self.RegisterIndicator(contract.Symbol, self.HA[contract.Symbol], consolidator)Schalk wepener
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