Implement Range Bar Consolidator

[simonsonjack]

Expected Behavior

In a range bar, all price bars are of equal length. If you had a 10 pip range bar, and EURUSD was trading at 1.1000, then the range bar would close only when EURUSD crossed above 1.1010. Then, a new bar opens at 1.1010. Now, if EURUSD fell to 1.1005 and then closed at 1.1015, a second range bar is formed with the third range bar opening at 1.1015. Now, EURUSD rises to 1.1020 and then falls to 1.1010. A third range bar opens at 1.1020 and closes at 1.1010. Finally, EURUSD rises to 1.1015 and then falls to 1.1005. A fourth range bar opens at 1.1015 closing at 1.1005.

In essence, the close of a bar is always equal to the open of the next bar. The range is measured as a high and low and not close.

Potential Solution

Build new Consolidator.

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues

[aytacasan]

Is there any progress about this issue?

[gcaplan]

Are you going to implement this? Seems like a very basic feature for any serious platform, and relatively trivial to code. Disappointing that it's still not available after so many years.

I use Range Bars intensively so have been waiting for this feature before moving to QuantConnect.

[onebattleman]

It has been over a year. Has this been added?