Hi,
I am trying to get the high and low of the trading day on SPY just before trading ends at 3:30pm or 3:45pm. Therefore i thought that a consolidator could do the job.
I tried to modify the template consolidator algo to my porpose with no success after many iterations, many of them are still commented out.
I tried every 6 hours, 465min and other values.
I also tried to aggregate 15, 30 minutes consolidator but this did not work either.
I must be close, can someone help?
See code below.
Thanks
def Initialize(self):
self.SetStartDate(2015, 2, 1)
self.SetEndDate(2015, 2, 14)
self.SetCash(10000)
#self.AddEquity("SPY")
self.AddEquity("SPY", Resolution.Minute)
#self.AddEquity("SPY", Resolution.Hour)
#thirtyMinuteConsolidator = TradeBarConsolidator(timedelta(minutes=465))
thirtyMinuteConsolidator = TradeBarConsolidator(timedelta(hours=3))
#thirtyMinuteConsolidator = TradeBarConsolidator(TimeSpan.FromHours(6))
#thirtyMinuteConsolidator = TradeBarConsolidator(TimeSpan.FromMinutes(465))
thirtyMinuteConsolidator.DataConsolidated += self.ThirtyMinuteBarHandler
self.SubscriptionManager.AddConsolidator("SPY", thirtyMinuteConsolidator)
#========================================
oneDayConsolidator = TradeBarConsolidator(timedelta(minutes=30))
threeCountConsolidator = TradeBarConsolidator(15)
three_oneDayBar=SequentialConsolidator(oneDayConsolidator, threeCountConsolidator)
three_oneDayBar.DataConsolidated += self.ThreeDayBarConsolidatedHandler
self.SubscriptionManager.AddConsolidator("SPY", three_oneDayBar)
def ThirtyMinuteBarHandler(self, sender, bar):
'''This is our event handler for our 30-minute trade bar defined above in Initialize(). So each time the consolidator produces a new 30-minute bar, this function will be called automatically. The sender parameter will be the instance of the IDataConsolidator that invoked the event '''
#self.Debug(str(self.Time) + " " + str(bar))
def ThreeDayBarConsolidatedHandler(self, sender, consolidated):
self.Log(f"{consolidated.Time} >> Plotting!")
#self.Plot(consolidated.Symbol, "3HourBar", consolidated.Close)
self.Debug(str(self.Time) + " " + str(consolidated.Close))
def OnData(self, data):
self.data = data
Mathieu Robitaille
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