How to make constant-volume bars?

There is no built-in way to create constant volume bars. All of QuantConnect's pricing data is associated with a period. In order to create constant-volume bars, higher resolution bars would need to be read in OnData() and for every 2000 contracts, a TradeBar could be manually constructed. 

Hi,

Late in the thread but here's my implementation of volume bar using a consolidator:

Nice! A big thanks for this. Recently learned about the value of tick bars and volume bars.  Excited to give this a go sometime. 

Also, i'm now following your repo on github. I'm looking forward to see what additional tools you come up with!

jordan lecourtois , you inspired me to look into Dollar bars, and in doing so I discovered an older post that discusses using the MLFinLab Library from Hudson and Thames to construct our volume bars and dollar bars…  in theory.

Check it out: 

• Post: https://www.quantconnect.com/forum/discussion/7313/tick-volume-and-dollar-bars 
• Library: https://mlfinlab.readthedocs.io/en/latest/index.html 

Hi Jordan and ekz

This can also be implemented as Renko bar of volume. Please check our demo algorithm in C# or python. It is possible to call a custom consolidator on Renko bar:

consolidator = RenkoConsolidator(100000, lambda x: x.Volume)

Best
Louis Szeto

Hi Louis Szeto , thank you for your answer. I tried to use the code snippet as

def Initialize(self):
		...
        equivolume_consolidator = RenkoConsolidator(100, lambda x: x.Volume)
        equivolume_consolidator.DataConsolidated += self.OnDataConsolidated
        self.SubscriptionManager.AddConsolidator(self.ticker, equivolume_consolidator)
        ...

but I am getting this error:

20220413 03:52:25.711 ERROR:: Engine.Run(): During the algorithm initialization, the following exception has occurred: TypeError : No constructor matches given arguments: (<class 'float'>, <class 'function'>)
  at Initialize
    equivolume_consolidator = RenkoConsolidator(100.0 in main.py: line 119
 TypeError : No constructor matches given arguments: (<class 'float'>, <class 'function'>)

Do you know why this might be happening? Is it a LEAN version issue?

@Jordan-lecourtois your code is great but doesn't work on Bars or Tick classes that inherit from Python data

Louis Szeto looks like `RenkoConsolidator` became `ClassicRenkoConsolidator`: 

Hi Nottakumasato

Yes. We've made this design change to make it clearer.

Best
Louis