Implements Calendar (Weekly/Monthly) Consolidator #3022
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AlexCatarino
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jaredbroad
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| @@ -88,6 +88,14 @@ def Initialize(self): | |||
| self.Consolidate("SPY", Resolution.Hour, self.HourBarHandler) | |||
| self.Consolidate("EURUSD", Resolution.Daily, self.DailyEurUsdBarHandler) | |||
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| # API convenience method for easily receiving weekly-consolidated data | |||
| self.WeeklyConsolidate("SPY", self.CalendarTradeBarHandler) | |||
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Let's see if we can find a way to call this without adding these period methods to the API; maybe something like:
self.Consolidate("SPY", Calendar.Monthly, self.HourBarHandler)
Or self.Consolidate("SPY", Func<>, self.HourBarHandler) which returns the endtime of the bar.
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Implements consolidators that group bars by a calendar unit (week or month).
Replaces Enum `CalendarType` for static class with the same name. This class defines two properties (`Weekly` and `Monthly`) that can be used to define the previous calendar date (Monday or 1st of current month) which will correspont to the `Time` of a `IBaseData` object. Refactor `PeriodCountConsolidatorBase` to define use `GetRoundedBarTime` based on a period specification that depends on the constructor overload: `integer`, `TimeSpan` or `Func<DateTime, CalendarInfo>`. The last one can be set with the `CalendarType` properties.
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jaredbroad
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Implements consolidators that group bars by a calendar unit (week or month).
Related Issue
Closes #3007 #3008
Motivation and Context
Weekly and monthly consolidator can be used to create a bar with one-week and one-month duration respectively.
Requires Documentation Change
Include examples of this consolidator.
How Has This Been Tested?
Unit tests
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>