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.
var atr = new AverageTrueRange(14);
var weeklyConsolidator = new TradeBarConsolidator(TimeSpan.FromDays(7));
RegisterIndicator(Symbol, atr, weeklyConsolidator);
// define a window to hold 30 pieces of data
var window = new RollingWindow(30);
// since we want daily data in our window we'll need a consolidator to produce the daily data
var dailyConsolidator = new TradeBarConsolidator(TimeSpan.FromDays(1));
dailyConsolidator.DataConsolidated += (sender, consolidated) =>
{
// this is our event handler that will be called each time our 'dailyConsolidator'
// produces a new piece of data. we just want to save it off for later
// see: https://msdn.microsoft.com/en-us/library/ms366768.aspx for more information on C# events
window.Add(consolidated);
};
// this accesses the High from yesterday
window[0].High
// this accesses the Close from 6 days ago:
window[5].Close
var ma100high = SMA("SPY", 100, Resolution.Daily, x => ((TradeBar)x).High);
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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