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Hey All,
I'm trying to create some renko bars from S&P500Emini ticks. The renko consolidator seems broken? when I run the following backtest with an equity (SPY) the backtest logs some renko closes. when I run the same code with the ES it fails with
During the algorithm initialization, the following exception has occurred: ArgumentException : Please subscribe to this symbol before adding a consolidator for it. Symbol:
at QuantConnect.Data.SubscriptionManager.AddConsolidator (QuantConnect.Symbol symbol, QuantConnect.Data.Consolidators.IDataConsolidator consolidator) [0x00047] in <796a9fb122d841fdaad855535a8219c0>:0
at (wrapper managed-to-native) System.Reflection.MonoMethod.InternalInvoke(System.Reflection.MonoMethod,object,object[],System.Exception&)
at System.Reflection.MonoMethod.Invoke (System.Object obj, System.Reflection.BindingFlags invokeAttr, System.Reflection.Binder binder, System.Object[] parameters, System.Globalization.CultureInfo culture) [0x00032] in :0
at Initialize in main.py:line 35
ArgumentException : Please subscribe to this symbol before adding a consolidator for it. Symbol:
at QuantConnect.Data.SubscriptionManager.AddConsolidator (QuantConnect.Symbol symbol, QuantConnect.Data.Consolidators.IDataConsolidator consolidator) [0x00047] in <796a9fb122d841fdaad855535a8219c0>:0
at (wrapper managed-to-native) System.Reflection.MonoMethod.InternalInvoke(System.Reflection.MonoMethod,object,object[],System.Exception&)
at System.Reflection.MonoMethod.Invoke (System.Object obj, System.Reflection.BindingFlags invokeAttr, System.Reflection.Binder binder, System.Object[] parameters, System.Globalization.CultureInfo culture) [0x00032] in :0 the code I'm running.
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Data import *
from QuantConnect.Data.Market import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Securities import *
from QuantConnect.Data.Consolidators import *
from datetime import timedelta
class TestFuturesAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2013, 10, 7)
self.SetEndDate(2013, 10, 11)
self.SetCash(1000)
# spy_equity = self.AddSecurity(SecurityType.Equity, "SPY", Resolution.Tick).Symbol
es_future = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Tick)
es_future.SetFilter(timedelta(0), timedelta(182))
renkoClose = RenkoConsolidator(0.5, RenkoType.Wicked)
renkoClose.DataConsolidated += self.HandleRenkoClose
self.SubscriptionManager.AddConsolidator(Futures.Indices.SP500EMini, renkoClose)
# self.SubscriptionManager.AddConsolidator(spy_equity, renkoClose)
def OnData(self,slice):
pass
def HandleRenkoClose(self, sender, data):
'''This function is called by our renkoClose consolidator defined in Initialize()
Args:
data: The new renko bar produced by the consolidator'''
if not self.Portfolio.Invested:
self.SetHoldings(data.Symbol, 1)
self.Log(f"CLOSE - {data.Time} - {data.Open} {data.Close}")
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