Building a Range Consolidator from Tick Data

Summary

This small Lean algorithm example shows how to configure a range consolidator to receive tick-resolution data. It subclasses a shared range-consolidator algorithm, sets the range parameter to five, selects tick resolution, and limits the example run to a single date. The key idea is that range bars are formed using price movement criteria while the underlying feed arrives as individual ticks, rather than being pre-aggregated into time-based bars.

The document is an implementation example rather than a complete trading strategy. It depends on a separate base algorithm that supplies the consolidator behavior and does not explain how that component constructs bars, what asset is used, or how to trade signals derived from them. No performance evidence or comparison with other data resolutions is given. Its practical contribution is therefore narrow: it demonstrates where resolution and range settings are selected in a Lean algorithm, while leaving the mechanics and research implications to the referenced base implementation.

Key ideas

• The example configures a Lean range consolidator to use tick-resolution data.
• It sets the range parameter to five and schedules the run for one day.
• The algorithm inherits its consolidator behavior from a separate base class.
• The document illustrates configuration only and supplies no trading rules or performance results.

Tags

# RangeConsolidatorWithTickAlgorithm


# RangeConsolidatorWithTickAlgorithm









Example algorithm of how to use RangeConsolidator with Tick resolution

## Source (Apache-2.0)

```python
# 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.

from AlgorithmImports import *
from RangeConsolidatorAlgorithm import RangeConsolidatorAlgorithm

### <summary>
### Example algorithm of how to use RangeConsolidator with Tick resolution
### </summary>
class RangeConsolidatorWithTickAlgorithm(RangeConsolidatorAlgorithm):
    def get_range(self):
        return 5

    def get_resolution(self):
        return Resolution.TICK

    def set_start_and_end_dates(self):
        self.set_start_date(2013, 10, 7)
        self.set_end_date(2013, 10, 7)

```

Shown in full with attribution under the source's licence. Licence: Apache-2.0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.