RenkoConsolidator.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/
 
using System;
using QuantConnect.Data.Market;
 
namespace QuantConnect.Data.Consolidators
{
    /// <summary>
    /// This consolidator can transform a stream of <see cref="BaseData"/> instances into a stream of <see cref="RenkoBar"/>
    /// with Renko type <see cref="RenkoType.Wicked"/>.
    /// </summary>
    /// <remarks>This implementation replaced the original implementation that was shown to have inaccuracies in its representation
    /// of Renko charts. The original implementation has been moved to <see cref="ClassicRenkoConsolidator"/>.</remarks>
    public class RenkoConsolidator : IDataConsolidator
    {
        private bool _firstTick = true;
        private RenkoBar _lastWicko;
        private DataConsolidatedHandler _dataConsolidatedHandler;
        private RenkoBar _currentBar;
        private IBaseData _consolidated;
        
        /// <summary>
        /// Time of consolidated close.
        /// </summary>
        /// <remarks>Protected for testing</remarks>
        protected DateTime CloseOn { get; set; }
 
        /// <summary>
        /// Value of consolidated close.
        /// </summary>
        /// <remarks>Protected for testing</remarks>
        protected decimal CloseRate { get; set; }
 
        /// <summary>
        /// Value of consolidated high.
        /// </summary>
        /// <remarks>Protected for testing</remarks>
        protected decimal HighRate { get; set; }
 
        /// <summary>
        /// Value of consolidated low.
        /// </summary>
        /// <remarks>Protected for testing</remarks>
        protected decimal LowRate { get; set; }
 
        /// <summary>
        /// Time of consolidated open.
        /// </summary>
        /// <remarks>Protected for testing</remarks>
        protected DateTime OpenOn { get; set; }
 
        /// <summary>
        /// Value of consolidate open.
        /// </summary>
        /// <remarks>Protected for testing</remarks>
        protected decimal OpenRate { get; set; }
 
        /// <summary>
        /// Size of the consolidated bar.
        /// </summary>
        /// <remarks>Protected for testing</remarks>
        protected decimal BarSize { get; set; }
 
        /// <summary>
        /// Gets the kind of the bar
        /// </summary>
        public RenkoType Type => RenkoType.Wicked;
 
        /// <summary>
        /// Gets a clone of the data being currently consolidated
        /// </summary>
        public IBaseData WorkingData => _currentBar?.Clone();
 
        /// <summary>
        /// Gets the type consumed by this consolidator
        /// </summary>
        public Type InputType => typeof(IBaseData);
 
        /// <summary>
        /// Gets <see cref="RenkoBar"/> which is the type emitted in the <see cref="IDataConsolidator.DataConsolidated"/> event.
        /// </summary>
        public Type OutputType => typeof(RenkoBar);
 
        /// <summary>
        /// Gets the most recently consolidated piece of data. This will be null if this consolidator
        /// has not produced any data yet.
        /// </summary>
        public IBaseData Consolidated
        {
            get { return _consolidated; }
            private set { _consolidated = value; }
        }
 
        /// <summary>
        /// Event handler that fires when a new piece of data is produced
        /// </summary>
        public event EventHandler<RenkoBar> DataConsolidated;
 
        /// <summary>
        /// Event handler that fires when a new piece of data is produced
        /// </summary>
        event DataConsolidatedHandler IDataConsolidator.DataConsolidated
        {
            add { _dataConsolidatedHandler += value; }
            remove { _dataConsolidatedHandler -= value; }
        }
 
        /// <summary>
        /// Initializes a new instance of the <see cref="RenkoConsolidator"/> class using the specified <paramref name="barSize"/>.
        /// </summary>
        /// <param name="barSize">The constant value size of each bar</param>
        public RenkoConsolidator(decimal barSize)
        {
            if (barSize <= 0)
            {
                throw new ArgumentException("Renko consolidator BarSize must be strictly greater than zero");
            }
 
            BarSize = barSize;
        }
 
        /// <summary>
        /// Updates this consolidator with the specified data
        /// </summary>
        /// <param name="data">The new data for the consolidator</param>
        public void Update(IBaseData data)
        {
            var rate = data.Price;
 
            if (_firstTick)
            {
                _firstTick = false;
 
                // Round our first rate to the same length as BarSize
                rate = GetClosestMultiple(rate, BarSize);
 
                OpenOn = data.Time;
                CloseOn = data.Time;
                OpenRate = rate;
                HighRate = rate;
                LowRate = rate;
                CloseRate = rate;
            }
            else
            {
                CloseOn = data.Time;
 
                if (rate > HighRate)
                {
                    HighRate = rate;
                }
 
                if (rate < LowRate)
                {
                    LowRate = rate;
                }
 
                CloseRate = rate;
 
                if (CloseRate > OpenRate)
                {
                    if (_lastWicko == null || _lastWicko.Direction == BarDirection.Rising)
                    {
                        Rising(data);
                        return;
                    }
 
                    var limit = _lastWicko.Open + BarSize;
 
                    if (CloseRate > limit)
                    {
                        var wicko = new RenkoBar(data.Symbol, OpenOn, CloseOn, BarSize, _lastWicko.Open, limit,
                            LowRate, limit);
 
                        _lastWicko = wicko;
 
                        OnDataConsolidated(wicko);
 
                        OpenOn = CloseOn;
                        OpenRate = limit;
                        LowRate = limit;
 
                        Rising(data);
                    }
                }
                else if (CloseRate < OpenRate)
                {
                    if (_lastWicko == null || _lastWicko.Direction == BarDirection.Falling)
                    {
                        Falling(data);
                        return;
                    }
 
                    var limit = _lastWicko.Open - BarSize;
 
                    if (CloseRate < limit)
                    {
                        var wicko = new RenkoBar(data.Symbol, OpenOn, CloseOn, BarSize, _lastWicko.Open, HighRate,
                            limit, limit);
 
                        _lastWicko = wicko;
 
                        OnDataConsolidated(wicko);
 
                        OpenOn = CloseOn;
                        OpenRate = limit;
                        HighRate = limit;
 
                        Falling(data);
                    }
                }
            }
        }
 
        /// <summary>
        /// Scans this consolidator to see if it should emit a bar due to time passing
        /// </summary>
        /// <param name="currentLocalTime">The current time in the local time zone (same as <see cref="BaseData.Time"/>)</param>
        public void Scan(DateTime currentLocalTime)
        {
        }
 
        /// <summary>Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.</summary>
        /// <filterpriority>2</filterpriority>
        public void Dispose()
        {
            DataConsolidated = null;
            _dataConsolidatedHandler = null;
        }
 
        /// <summary>
        /// Resets the consolidator
        /// </summary>
        public void Reset()
        {
            _firstTick = true;
            _lastWicko = null;
            _currentBar = null;
            _consolidated = null;
            CloseOn = default;
            CloseRate = default;
            HighRate = default;
            LowRate = default;
            OpenOn = default;
            OpenRate = default;
        }
 
        /// <summary>
        /// Event invocator for the DataConsolidated event. This should be invoked
        /// by derived classes when they have consolidated a new piece of data.
        /// </summary>
        /// <param name="consolidated">The newly consolidated data</param>
        protected void OnDataConsolidated(RenkoBar consolidated)
        {
            DataConsolidated?.Invoke(this, consolidated);
            _currentBar = consolidated;
            _dataConsolidatedHandler?.Invoke(this, consolidated);
            Consolidated = consolidated;
        }
 
        private void Rising(IBaseData data)
        {
            decimal limit;
 
            while (CloseRate > (limit = OpenRate + BarSize))
            {
                var wicko = new RenkoBar(data.Symbol, OpenOn, CloseOn, BarSize, OpenRate, limit, LowRate, limit);
 
                _lastWicko = wicko;
 
                OnDataConsolidated(wicko);
 
                OpenOn = CloseOn;
                OpenRate = limit;
                LowRate = limit;
            }
        }
 
        private void Falling(IBaseData data)
        {
            decimal limit;
 
            while (CloseRate < (limit = OpenRate - BarSize))
            {
                var wicko = new RenkoBar(data.Symbol, OpenOn, CloseOn, BarSize, OpenRate, HighRate, limit, limit);
 
                _lastWicko = wicko;
 
                OnDataConsolidated(wicko);
 
                OpenOn = CloseOn;
                OpenRate = limit;
                HighRate = limit;
            }
        }
 
        /// <summary>
        /// Gets the closest BarSize-Multiple to the price.
        /// </summary>
        /// <remarks>Based on: The Art of Computer Programming, Vol I, pag 39. Donald E. Knuth</remarks>
        /// <param name="price">Price to be rounded to the closest BarSize-Multiple</param>
        /// <param name="barSize">The size of the Renko bar</param>
        /// <returns>The closest BarSize-Multiple to the price</returns>
        public static decimal GetClosestMultiple(decimal price, decimal barSize)
        {
            if (barSize <= 0)
            {
                throw new ArgumentException("BarSize must be strictly greater than zero");
            }
 
            var modulus = price - barSize * Math.Floor(price / barSize);
            var round = Math.Round(modulus / barSize);
            return barSize * (Math.Floor(price / barSize) + round);
        }
    }
 
    /// <summary>
    /// Provides a type safe wrapper on the RenkoConsolidator class. This just allows us to define our selector functions with the real type they'll be receiving
    /// </summary>
    /// <typeparam name="TInput"></typeparam>
    public class RenkoConsolidator<TInput> : RenkoConsolidator
        where TInput : IBaseData
    {
        /// <summary>
        /// Initializes a new instance of the <see cref="RenkoConsolidator"/> class using the specified <paramref name="barSize"/>.
        /// </summary>
        /// <param name="barSize">The constant value size of each bar</param>
        public RenkoConsolidator(decimal barSize)
            : base(barSize)
        {
        }
 
        /// <summary>
        /// Updates this consolidator with the specified data.
        /// </summary>
        /// <remarks>
        /// Type safe shim method.
        /// </remarks>
        /// <param name="data">The new data for the consolidator</param>
        public void Update(TInput data)
        {
            base.Update(data);
        }
    }
 
    /// <summary>
    /// This consolidator can transform a stream of <see cref="BaseData"/> instances into a stream of <see cref="RenkoBar"/>
    /// with Renko type <see cref="RenkoType.Wicked"/>.
    /// /// </summary>
    /// <remarks>For backwards compatibility now that WickedRenkoConsolidators -> RenkoConsolidator</remarks>
    public class WickedRenkoConsolidator : RenkoConsolidator
    {
        /// <summary>
        /// Initializes a new instance of the <see cref="RenkoConsolidator"/> class using the specified <paramref name="barSize"/>.
        /// </summary>
        /// <param name="barSize">The constant value size of each bar</param>
        public WickedRenkoConsolidator(decimal barSize)
            : base(barSize)
        {
        }
    }
 
    /// <summary>
    /// This consolidator can transform a stream of <see cref="BaseData"/> instances into a stream of <see cref="RenkoBar"/>
    /// with Renko type <see cref="RenkoType.Wicked"/>.
    /// Provides a type safe wrapper on the WickedRenkoConsolidator class. This just allows us to define our selector functions with the real type they'll be receiving
    /// /// </summary>
    /// <remarks>For backwards compatibility now that WickedRenkoConsolidators -> RenkoConsolidator</remarks>
    public class WickedRenkoConsolidator<T> : RenkoConsolidator<T>
        where T : IBaseData
    {
        /// <summary>
        /// Initializes a new instance of the <see cref="RenkoConsolidator"/> class using the specified <paramref name="barSize"/>.
        /// </summary>
        /// <param name="barSize">The constant value size of each bar</param>
        public WickedRenkoConsolidator(decimal barSize)
            : base(barSize)
        {
        }
    }
}