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Demonstration algorithm from QC University - How do I make TradeBars?

We demonstrate using the QuantConnect consolidators to build TradeBars of any period.

Consolidators are a collection of classes for building merged TradeBars. They are used internally in the Lean Algorithmic Trading Engine but can be manually applied in your algorithm.

1. Create your consolidator object:
var _consolidator = new TradeBarConsolidator( TimeSpan.FromHours(4) ); 2. Add an event handler method for the data output:
_consolidator.DataConsolidated += SpyFourHours; 3. Add it to subscription manager so you get data updates:
SubscriptionManager.AddConsolidator("SPY", _consolidator); 4. Create your event handler method:
public void SpyFourHours(Object o, TradeBar bar)
{
//Do Work
}
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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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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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