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Hi all! I'm pretty new to QuantConnect and getting a little confused! I want to use an indicator in my Universe Selection. Specifically the standard deviation of the price, over the last 300 minutes.
My universe resolution is in minutes.
I am creating the indicator in a SelectionData class:
class SelectionData(object):
def __init__(self, symbol, period):
self.symbol = symbol
self.stddev = StandardDeviation(period)
def update(self, time, price):
self.stddev.Update()and have two questions:
1) How do I know what to pass into the Update() method? I the documentation here:
https://www.quantconnect.com/docs/algorithm-reference/indicators#indicator-standarddeviationI can't see what the Update method needs.
2) Will my universe selection have to run 300 times for this indicator to calculate, or, will it calculate the second time Universe Selection runs (1 day after start?)
Thanks for any help!
Christian Piene Gundersen
When you create create an indicator by using its constructor, as you do, you need to manually feed it with historical data ("warm it up"). This is described here in the documentation under the heading "History Request Warm-Up": https://www.quantconnect.com/docs/algorithm-reference/indicators#Indicators-Initializing-Indicators
The parameters for the Update method (and all other methods) are found in the LEAN documentation: https://www.quantconnect.com/lean/docs#topic100.html. In your case, search for StandardDeviation and look at the Update method.
I also recommend taking the Boot Camp "200-50 EMA Momentum Universe" lesson. It will teach you how to manually warm up indicators and use them in universe selections.
JumboFlan
Thanks Christian! I had seen the history requests, but as I was only looking for minutes of data, was happy to have the first day of the backtest have no universe selection occur, and the data be available the second day if that would work - but I guess I need the history request warm up. Thanks for the links to lean docs, I hadn't been through those yet.
JumboFlan
Ok - I've set up my history request, and it is returning securities from day 1, so I think it is working (somewhat). My next question: I have put the history request for the security in the __init__ of SelectionData, so it is only called when the SelectionData class is initialised for that symbol, and not every time the SelectionData is updated. But thinking about it, this is the wrong approach for me in this case? Every day I need to request the history for every symbol that Update() gets called because I want the last 300 minutes?
(If I was using a daily resolution, and a moving average, it might be fine to request history just once becuase each day Update() would only need to be called once to give all new data to the indicator?)
Shile Wen
Hi Brian,
If we are talking about Coarse/Fine Universe Selection, then the universe function is called daily, so a minute resolution indicator won't work. I'd suggest instead to put the warm up logic or SymbolData creation and the indicator logic inside OnSecuritiesChanged and update the indicators as well as filter by indicators inside OnData.
Best,
Shile Wen
Ruming Jiang
I had a similar question with JumboFlan, the search took me here. The link Christian mentioned above (https://www.quantconnect.com/lean/docs#topic100.html.) is no longer available. Where can I find it now?
A more general question is how to find right parameters for a method and right attributes/methods of an object. Copying examples works sometimes but not always. Is there any tool to find the definition of them?
Thanks
Varad Kabade
Hi Ruming Jiang,
The link Christian mentioned above (https://www.quantconnect.com/lean/docs#topic100.html.) is no longer available. Where can I find it now?
Refer to the following link for complete information about the StandardDeviation indicator.
A more general question is how to find right parameters for a method and right attributes/methods of an object. Copying examples works sometimes but not always. Is there any tool to find the definition of them?
You can refer to this link to get information about different methods and there parameters. Also, when developing code at QC IDE, we can refer to different classes and methods using the API tab on the right side of the screen.
Best,
Varad Kabade
Ruming Jiang
Hi Varad,
Thanks for the comment. I landed on same link by google search. It would have saved me some time if I saw your comment earlier or the link is updated in documentation.
The other similar question regarding references. The link to option security object on this page (Tutorials - API Tutorials - Using Options in QuantConnect - QuantConnect.com) seems to be missing as well. Google found the same link but the address was changed. I wasn't able to find it through the link above either.
Where to find reference to it? Thanks
Varad Kabade
Hi Ruming,
To see the tutorial on using options in QC, refer to this link. To access all the tutorials, follow the following link.
Best,
Varad Kabade
JumboFlan
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