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Hi everyone!
I'm in a bit of a pickle here, how do I determine if an indicator to be warmed up with tradebar or indicator data point? And, are there indicators that use quotebars?
Best regards
Cheng
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Well, here is more since you enjoy it.
Review this in lieu of code itself:
The mid-point of a QuoteBar is really a TradeBar afterall. So, OHLCV indicators can take both and they use the mid-point of QuoteBars. However, indicators could be specialized in QuoteBars and use Bid/Ask. Then they would necessitate QuoteBars for real since they would access Ask/Bid. So for instance, a specialized indie in Forex could use the spread given by Bid/Ask.
Fred
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Fred Painchaud
Hi Li,
The doc of the indicator would tell you. The constructor essentially, depending on what types of parameters it takes. If it is TradeBar, or more commonly (and better designed) IBaseDataBar, then it is TradeBar. If it takes time and value, it is indicator data points. Some can take both (many constructors).
Some indicators certainly work with QuotaBars but I don't have any in mind. I would look for indicators for Forex in the API.
Cheers,
Fred
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Cheng Li
Thanks Fred! The information you provided is gold!
When you're referring to the API, do you mean the documentation?
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.
Fred Painchaud
Hi Li,
Yes, an API (Application Programming Interface) is one type of documentation.
You could check this for instance:
Scanning it quickly, I don't see any with QuoteBar. But it was quick…
Checking the code, QuoteBar is also an IBaseDataBar. So I wrote that it is TradeBar, which is true, but not only. It is also QuoteBar. So IBaseDataBar is a bar, trade or quote. I won't comment too much here, not sure how much of all this you follow.
I don't see any built-in indicator that explicitly takes QuoteBar. They can take it as many accept IBaseDataBar but none I can see in Indicators want QuoteBar per say, to, for instance, use Bid/Ask. But you can implement one 😊.
🍻
Fred
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.
Cheng Li
Oh boy,
You're awesome Fred, thank you for all of your information and dedication to answering my question! I was really confused when the documentation mentioned that indicators could be updated with quote bar and trade bar, which made me wonder what indicators would need to be updated with quote bars, but I'll run through the docs to get more details myself!
Thanks Fred!
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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