Algorithmic Trading Course #7 | Rolling Windows & Consolidators

Hi Louis,

Thanks a lot for the amazing video series. I have a question on this chapter. Could you explain why you set up the SPY with a minute resolution in

self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol

while the consolidator that you created has a daily resolution?

 self.Consolidate(self.symbol, Resolution.Daily, self.CustomBarHandler)

Are you doing this so that you have minute data for SPY, but you want to add the minute data only once a day to the consolidator? If you used Resolution.Minute for the consolidator, would that mean that the customeBarHandler is called every minute? I assume if that is the case, you would still have the same results (2 one-minute bars in the rollingWindow) but you just call the custombarhandler every minute which is wasteful. Is that the right way to think about this? Thanks for your help.

Cheers,
Mitch

Hi Mitch,

Thanks for the question. I just used this as an example for how you can consolidate data to another resolution. Since we want the bot to open and close trades intraday, we need a resolution lower than daily (e.g. minutely), but to identify the gap up or down, we don't need to save all the minutely bars. Instead, we just need the closing price in daily resolution which is why I went with daily resolution here. I hope this makes sense. Otherwise, let me know.

Hi Mitch

The method CustomBarHandler will only be called once a bar is consolidated (EndTime), in this case, 09:31:00 since it is the next Slice data received not for the previous consolidated bar. So it would only be adding the consolidated tradebar (daily resolution one) into the self.rollingWindow once a day. By using Resolution.Minute, we can

• be using bid/ask data and minute data for precise signal and filling with minimal slippage and prevent stale price filling at the end of the day by daily bar.
• Run signal check every minute by OnData method since it's called whenever receiving a Slice data
• Allow scheduling events run at precise time intraday

but an equal or lower frequency (e.g. daily) is applicable to indicators.

Best
Louis Szeto

Thank you both for your replies and the explanations you have provided. 

Hi, I'm going through this video and QuantConnect keeps giving me this error. I can't find any documentation that shows me a different way to do this. Can someone point me in the right direction. Even the current documentation shows this implementation of RollingWindow. 

During the algorithm initialization, the following exception has occurred: cannot instantiate an open generic type
  at Initialize
    self.rw = RollingWindow(TradeBars)[2]
              ^^^^^^^^^^^^^^^^^^^^^^^^

# region imports
from AlgorithmImports import *
from QuantConnect.Indicators import RollingWindow
# endregion

class QCConsolidationRollingWindows(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 1, 1)
        self.SetStartDate(2021, 1, 1)
        self.SetCash(100000)
        self.spy = self.AddEquity("SPY", Resolution.MINUTE).Symbol
        self.rw = RollingWindow(TradeBar)[2]
        self.consolidate(self.spy, Resolution.DAILY, self.CustomBarHandler)

        self.schedule.on(self.DateRules.EveryDate(self.spy), 
                        self.time_rules.before_market_close(self.spy, 15),
                        self.ExitPositions)

    def OnData(self, data: Slice):
        if not self.rw.IsReady:
            return
            
        if not (self.time.hour == 9 and self.time.minute == 31):
            return

        if data[self.spy].Open >= 1.01 * self.rw[0].Close:
            self.set_holdings(self.spy, -1)
        elif data[self.spy].Open <= 0.99 * self.rw[0].Close:
            self.set_holdings(self.spy, 1)

    def CustomBarHandler(self, bar):
        self.rw.Add(bar)

    def ExitPositions(self):
        self.liquidate(self.spy)

Hey Chad Castanheiro 

You need to use:

self.rw = RollingWindow[TradeBar](2)

Attached backtest for reference.