Implement Reset() method

Common/Data/Consolidators/BaseTimelessConsolidator.cs

@@ -199,6 +199,11 @@ public virtual void Dispose()
             DataConsolidatedHandler = null;
         }
 
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public abstract void Reset();
+
         /// <summary>
         /// Scans this consolidator to see if it should emit a bar due to time passing
         /// </summary>

Common/Data/Consolidators/ClassicRenkoConsolidator.cs

@@ -119,6 +119,16 @@ public ClassicRenkoConsolidator(decimal barSize,
             _evenBars = evenBars;
         }
 
+        /// <summary>
+        /// Resets the ClassicRenkoConsolidator
+        /// </summary>
+        public override void Reset()
+        {
+            _lastCloseValue = null;
+            CurrentBar = null;
+            Consolidated = null;
+        }
+
         /// <summary>
         /// Updates the current RangeBar being created with the given data.
         /// Additionally, if it's the case, it consolidates the current RangeBar

Common/Data/Consolidators/DataConsolidator.cs

@@ -58,7 +58,7 @@ public void Update(IBaseData data)
         /// </summary>
         public IBaseData Consolidated
         {
-            get; private set;
+            get; protected set;
         }
 
         /// <summary>
@@ -108,6 +108,13 @@ protected virtual void OnDataConsolidated(IBaseData consolidated)
             Consolidated = consolidated;
         }
 
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public virtual void Reset()
+        {
+        }
+
         /// <summary>Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.</summary>
         /// <filterpriority>2</filterpriority>
         public void Dispose()

Common/Data/Consolidators/IDataConsolidator.cs

@@ -65,6 +65,11 @@ public interface IDataConsolidator : IDisposable
         /// <param name="currentLocalTime">The current time in the local time zone (same as <see cref="BaseData.Time"/>)</param>
         void Scan(DateTime currentLocalTime);
 
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        void Reset();
+
         /// <summary>
         /// Event handler that fires when a new piece of data is produced
         /// </summary>

Common/Data/Consolidators/IdentityDataConsolidator.cs

@@ -66,5 +66,14 @@ public override void Update(T data)
         public override void Scan(DateTime currentLocalTime)
         {
         }
+
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public override void Reset()
+        {
+            _last = default(T);
+            Consolidated = null;
+        }
     }
 }

Common/Data/Consolidators/MarketHourAwareConsolidator.cs

@@ -156,6 +156,17 @@ public void Dispose()
             Consolidator.Dispose();
         }
 
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public void Reset()
+        {
+            _useStrictEndTime = false;
+            ExchangeHours = null;
+            DataTimeZone = null;
+            Consolidator.Reset();
+        }
+
         /// <summary>
         /// Perform late initialization based on the datas symbol
         /// </summary>

Common/Data/Consolidators/PeriodCountConsolidatorBase.cs

@@ -255,6 +255,20 @@ public override void Scan(DateTime currentLocalTime)
             }
         }
 
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public override void Reset()
+        {
+            _securityIdentifier = null;
+            _securityIdentifierIsSet = false;
+            _currentCount = 0;
+            _workingBar = null;
+            _lastEmit = null;
+            _validateTimeSpan = false;
+            Consolidated = null;
+        }
+
         /// <summary>
         /// Returns true if this consolidator is time-based, false otherwise
         /// </summary>

Common/Data/Consolidators/RangeConsolidator.cs

@@ -96,6 +96,18 @@ public RangeConsolidator(int range,
             _firstTick = true;
         }
 
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public override void Reset()
+        {
+            CurrentBar = null;
+            Consolidated = null;
+            _firstTick = true;
+            _minimumPriceVariation = 0m;
+            RangeSize = 0m;
+        }
+
         /// <summary>
         /// Updates the current RangeBar being created with the given data.
         /// Additionally, if it's the case, it consolidates the current RangeBar

Common/Data/Consolidators/RenkoConsolidator.cs

@@ -241,6 +241,23 @@ public void Dispose()
             _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.

Common/Data/Consolidators/SequentialConsolidator.cs

@@ -141,5 +141,14 @@ public void Dispose()
             Second.Dispose();
             DataConsolidated = null;
         }
+
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public void Reset()
+        {
+            First.Reset();
+            Second.Reset();
+        }
     }
 }

Common/Data/Consolidators/VolumeRenkoConsolidator.cs

@@ -113,6 +113,15 @@ public override void Scan(DateTime currentLocalTime)
         {
         }
 
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public override void Reset()
+        {
+            _currentBar = null;
+            Consolidated = null;
+        }
+
         /// <summary>
         /// Event invocator for the DataConsolidated event. This should be invoked
         /// by derived classes when they have consolidated a new piece of data.

Common/Python/DataConsolidatorPythonWrapper.cs

@@ -109,5 +109,13 @@ public void Update(IBaseData data)
         public void Dispose()
         {
         }
+
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public void Reset()
+        {
+            InvokeMethod(nameof(Reset));
+        }
     }
 }

Common/Python/PythonConsolidator.cs

@@ -38,5 +38,12 @@ public void OnDataConsolidated(PyObject consolidator, IBaseData data)
         {
             DataConsolidated?.Invoke(consolidator, data);
         }
+
+        /// <summary>
+        /// Resets the consolidator
+        /// </summary>
+        public virtual void Reset()
+        {
+        }
     }
 }

Tests/Common/Data/BaseConsolidatorTests.cs

@@ -0,0 +1,98 @@
+/*
+ * 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 System.Collections.Generic;
+using Microsoft.FSharp.Core;
+using NUnit.Framework;
+using Python.Runtime;
+using QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Common.Data
+{
+    [TestFixture]
+    public abstract class BaseConsolidatorTests
+    {
+        protected abstract IDataConsolidator CreateConsolidator();
+
+        protected virtual void AssertConsolidator(IDataConsolidator consolidator, IDataConsolidator previousConsolidator = null)
+        {
+            if (previousConsolidator == null)
+            {
+                Assert.IsNull(consolidator.Consolidated);
+            }
+            else
+            {
+                Assert.AreEqual(previousConsolidator.Consolidated?.Value, consolidator.Consolidated?.Value);
+            }
+        }
+
+        protected virtual dynamic GetTestValues()
+        {
+            var time = new DateTime(2016, 1, 1);
+            return new List<IndicatorDataPoint>()
+            {
+                new IndicatorDataPoint(time, 1.38687m),
+                new IndicatorDataPoint(time.AddSeconds(1), 1.38687m),
+                new IndicatorDataPoint(time.AddSeconds(2), 1.38688m),
+                new IndicatorDataPoint(time.AddSeconds(3), 1.38687m),
+                new IndicatorDataPoint(time.AddSeconds(4), 1.38686m),
+                new IndicatorDataPoint(time.AddSeconds(5), 1.38685m),
+                new IndicatorDataPoint(time.AddSeconds(6), 1.38683m),
+                new IndicatorDataPoint(time.AddSeconds(7), 1.38682m),
+                new IndicatorDataPoint(time.AddSeconds(8), 1.38682m),
+                new IndicatorDataPoint(time.AddSeconds(9), 1.38684m),
+                new IndicatorDataPoint(time.AddSeconds(10), 1.38682m),
+                new IndicatorDataPoint(time.AddSeconds(11), 1.38680m),
+                new IndicatorDataPoint(time.AddSeconds(12), 1.38681m),
+                new IndicatorDataPoint(time.AddSeconds(13), 1.38686m),
+                new IndicatorDataPoint(time.AddSeconds(14), 1.38688m),
+            };
+        }
+
+        [Test]
+        public void ResetWorksAsExpected()
+        {
+            // Test Renko bar consistency amongst three consolidators starting at different times
+
+            var time = new DateTime(2016, 1, 1);
+            var testValues = GetTestValues();
+
+
+            var consolidator = CreateConsolidator();
+            foreach (var data in testValues)
+            {
+                consolidator.Update(data);
+            }
+
+            var beforeResetConsolidator = consolidator;
+
+            consolidator.Reset();
+            AssertConsolidator(consolidator);
+
+            foreach (var data in testValues)
+            {
+                consolidator.Update(data);
+            }
+
+            AssertConsolidator(consolidator, beforeResetConsolidator);
+
+            consolidator.Dispose();
+        }
+    }
+}

Tests/Common/Data/BaseDataConsolidatorTests.cs

@@ -15,6 +15,7 @@
 */
 
 using System;
+using System.Collections.Generic;
 using NUnit.Framework;
 using QuantConnect.Data.Consolidators;
 using QuantConnect.Data.Market;
@@ -23,7 +24,7 @@
 namespace QuantConnect.Tests.Common.Data
 {
     [TestFixture]
-    public class BaseDataConsolidatorTests
+    public class BaseDataConsolidatorTests: BaseConsolidatorTests
     {
         [Test]
         public void AggregatesTickToNewTradeBarProperly()
@@ -331,5 +332,29 @@ public void RegisterIndicator(IndicatorBase<IndicatorDataPoint> indicator, IData
                 indicator.Update(consolidated.EndTime, consolidated.Value);
             };
         }
+
+        protected override IDataConsolidator CreateConsolidator()
+        {
+            return new BaseDataConsolidator(4);
+        }
+
+        protected override dynamic GetTestValues()
+        {
+            var time = new DateTime(2015, 04, 13, 8, 31, 0);
+            return new List<TradeBar>()
+            {
+                new TradeBar(){ Time = time, Period = Time.OneMinute, Symbol = Symbols.SPY, High = 10 },
+                new TradeBar(){ Time = time.AddMinutes(1), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 12, Close = 5 },
+                new TradeBar(){ Time = time.AddMinutes(2), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 10, Close = 7  },
+                new TradeBar(){ Time = time.AddMinutes(3), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 5, Close = 2  },
+                new TradeBar(){ Time = time.AddMinutes(4), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 15 , Close = 2 },
+                new TradeBar(){ Time = time.AddMinutes(5), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 20 , Close = 2 },
+                new TradeBar(){ Time = time.AddMinutes(6), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 18 , Close = 8 },
+                new TradeBar(){ Time = time.AddMinutes(7), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 12 , Close = 4 },
+                new TradeBar(){ Time = time.AddMinutes(8), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 25 , Close = 5 },
+                new TradeBar(){ Time = time.AddMinutes(9), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 30 , Close = 4 },
+                new TradeBar(){ Time = time.AddMinutes(10), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 26 , Close = 7 },
+            };
+        }
     }
 }

Tests/Common/Data/ClassicRangeConsolidatorTests.cs

@@ -23,7 +23,7 @@ namespace QuantConnect.Tests.Common.Data
 {
     public class ClassicRangeConsolidatorTests : RangeConsolidatorTests
     {
-        protected override RangeConsolidator CreateConsolidator(int range)
+        protected override RangeConsolidator CreateRangeConsolidator(int range)
         {
             return new ClassicRangeConsolidator(range, x => x.Value, x => 10m);
         }

Tests/Common/Data/ClassicRenkoConsolidatorTests.cs

@@ -24,7 +24,7 @@
 namespace QuantConnect.Tests.Common.Data
 {
     [TestFixture]
-    public class ClassicRenkoConsolidatorTests
+    public class ClassicRenkoConsolidatorTests: BaseConsolidatorTests
     {
         [Test]
         public void ClassicOutputTypeIsRenkoBar()
@@ -279,5 +279,10 @@ def getConsolidator():
                 }
             }
         }
+
+        protected override IDataConsolidator CreateConsolidator()
+        {
+            return new ClassicRenkoConsolidator(0.0001m);
+        }
     }
 }