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Okay, so I am very new to this platform and I am trying to write an algorithm that uses consolidated quotebars for different timeframes (15m, 1h, 4h) to use with a rate of change indicator. I think I have a decent grasp on that part, however my issue comes when I am trying to load historical data for my indicator. I saw in this post that you are able to do this with Tradebars.
history = algorithm.History(symbol,14, Resolution.Daily).loc[symbol]
for idx, bar in history.iterrows():
tradeBar = TradeBar(idx, symbol, bar.open, bar.high, bar.low, bar.close, bar.volume)
self.consolidator.Update(tradeBar)
algorithm.Debug(tradeBar)I was wondering/hoping that something similar could be done with quotebars, but I can't seem to find documentation for a constructor anywhere. Any help would be greatly appreciated.
Regrads,
Braeden
Braeden Hall
For anyone interested here is the one I found.
Brian Christopher
Braeden Hall the link isn't working. I'm looking for this also.
Yuri Lopukhov
QuoteBar initializer has these arguments:
I suppose you need to provide bars to ask and bid parameters, for example like this:
Braeden Hall
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