{"action":"created","issue":{"url":"https://api.github.com/repos/QuantConnect/Lean/issues/546","repository_url":"https://api.github.com/repos/QuantConnect/Lean","labels_url":"https://api.github.com/repos/QuantConnect/Lean/issues/546/labels{/name}","comments_url":"https://api.github.com/repos/QuantConnect/Lean/issues/546/comments","events_url":"https://api.github.com/repos/QuantConnect/Lean/issues/546/events","html_url":"https://github.com/QuantConnect/Lean/pull/546","id":173613361,"number":546,"title":"WickoConsolidator looks ready to merge into master","user":{"login":"squideyes","id":4204316,"avatar_url":"https://avatars.githubusercontent.com/u/4204316?v=3","gravatar_id":"","url":"https://api.github.com/users/squideyes","html_url":"https://github.com/squideyes","followers_url":"https://api.github.com/users/squideyes/followers","following_url":"https://api.github.com/users/squideyes/following{/other_user}","gists_url":"https://api.github.com/users/squideyes/gists{/gist_id}","starred_url":"https://api.github.com/users/squideyes/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/squideyes/subscriptions","organizations_url":"https://api.github.com/users/squideyes/orgs","repos_url":"https://api.github.com/users/squideyes/repos","events_url":"https://api.github.com/users/squideyes/events{/privacy}","received_events_url":"https://api.github.com/users/squideyes/received_events","type":"User","site_admin":false},"labels":[],"state":"open","locked":false,"assignee":null,"assignees":[],"milestone":null,"comments":3,"created_at":"2016-08-27T20:13:40Z","updated_at":"2016-08-29T23:51:47Z","closed_at":null,"pull_request":{"url":"https://api.github.com/repos/QuantConnect/Lean/pulls/546","html_url":"https://github.com/QuantConnect/Lean/pull/546","diff_url":"https://github.com/QuantConnect/Lean/pull/546.diff","patch_url":"https://github.com/QuantConnect/Lean/pull/546.patch"},"body":"The WickoConsolidator is a \"Renko with Wicks\" consolidator, with 13 unit tests and a sample algorithm.  \r\n\r\nFor more info about Wickos, please check out https://squideyes.com/2016/08/18/dont-renko-wicko/.  Wicko's are Renko's with wicks (I know, my cleverness in naming knows no bounds!) The main reason I made an entirely new set of classes and tests is that I didn't want to jigger around with the somewhat-broken RenkoConsolidator (which doesn't handle multi-brick moves and reversals correctly!) since people may have taken a hard dependency on it.  The RenkoConsolidator is indeed broken, but depending on trading style brick size a trader may not notice or care!  Anyway, feel free to accept my PR, fix the existing consolidator or maybe merge them together."},"comment":{"url":"https://api.github.com/repos/QuantConnect/Lean/issues/comments/243292536","html_url":"https://github.com/QuantConnect/Lean/pull/546#issuecomment-243292536","issue_url":"https://api.github.com/repos/QuantConnect/Lean/issues/546","id":243292536,"user":{"login":"jaredbroad","id":2243225,"avatar_url":"https://avatars.githubusercontent.com/u/2243225?v=3","gravatar_id":"","url":"https://api.github.com/users/jaredbroad","html_url":"https://github.com/jaredbroad","followers_url":"https://api.github.com/users/jaredbroad/followers","following_url":"https://api.github.com/users/jaredbroad/following{/other_user}","gists_url":"https://api.github.com/users/jaredbroad/gists{/gist_id}","starred_url":"https://api.github.com/users/jaredbroad/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/jaredbroad/subscriptions","organizations_url":"https://api.github.com/users/jaredbroad/orgs","repos_url":"https://api.github.com/users/jaredbroad/repos","events_url":"https://api.github.com/users/jaredbroad/events{/privacy}","received_events_url":"https://api.github.com/users/jaredbroad/received_events","type":"User","site_admin":false},"created_at":"2016-08-29T23:51:47Z","updated_at":"2016-08-29T23:51:47Z","body":"> \"For instance, in the ThreeRisingGapWickos() unit test, the first tick is 10.0 and the second is 14.0; a very plausible scenario.  Given a 1.0 brick size, that means that three OnDataConsolidated events will need to be fired on that one tick.\"\r\nGreat explanation thank you, that makes perfect sense. Please be sure to put a detailed comment to explain this. I might have missed that comment :)\r\n\r\n> In terms updating the existing RenkoConsolidator to work as it should and getting rid of WickoConsolidator, that’s no problem.\r\nThank you this would be preferred thank you. \r\n\r\nSince the charting isn't block/candle specific we can include all the data in the \"model\" and then worry about charting it after. Later we could feasibly we could make a QCAlgorithm PlotRenko/PlotRenkoWicks helper methods to trim the candles."}}
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