How to manually update Awesome Oscillator indicator?

Did another round of research and testing.

To manually update the awesome oscillator, there is only one step missing from the above code.

In one of the error messages in my backtest results, I think I found a piece of clue telling me that I need to update the awesome oscillator with TradeBar data. Also, as stated in historic data document, the history API returns a DataFrame. So the missing part would be how to transform a DataFrame into a TradeBar object. 

Thanks to the post here, you simply need to add one line of code before we update/warmup the awesome_osc_indicator object:

tradebar = TradeBar(bar.Index, symbol, bar.open, bar.high, bar.low, bar.close, bar.volume)

By adding this code, I would be able to run my algo without error. Still checking if there's anything I missed.

Hope this help those who have the same question as I do.

Hi Michael Hsia,
You are correct about the part of using TradeBar to update the given indicator. After looking at the code snippet we recommend following changes:
 

for x in self._changes.AddedSecurities:
            symbol = x.Symbol            if symbol not in self.awesome_osc_indicator:
                self.awesome_osc_indicator[symbol] = self.AO(
                    symbol,
                    5,
                    34,
                    MovingAverageType.Simple,
                    Resolution.Daily
                )                warmUpData = self.History(symbol, 40, Resolution.Daily)
                for bar in warmUpData.loc[symbol, :].itertuples():
                    tradebar = TradeBar(bar.Index, symbol, bar.open, bar.high, bar.low, bar.close, bar.volume)
                    self.awesome_osc_indicator[symbol].Update(tradebar)

Moving the above code to OnSecuritiesChanges event handeler instead of OnData method. Also we need to remove
 

self.AddEquity(symbol, Resolution.Daily)

from OnData method as UniverseSelection automatically subscribes to the securities selected by the universe.
Best,
Varad Kabade

Varad kabade,

I am interested in your approach to the problem, but my attempts 

to assemble your recommendations were unsuccessful.

Can you attach a backtest with your recommendations?

@Varad kabade

Thanks for the suggestion. Actually I'm thinking to move those codes into the ScheduleOn function to calculate the indicators whenever I need them. And you're right, I will remove the AddEquity() part.

Hi Vladimir and Michael,

Vladimir, I have implemented a simple algorithm where we subscribe to single security using universe selection and create an indicator in OnSecuritiesChanged event handler. Refer to the attached backtest.

Micheal, using a Schedule event seems like a good approach. Moving forward, as you are using dynamic universe algorithm is creating indicator subscriptions for every security added to the universe, but it never removes them. This can slow down you're backtesting considerably. To resolve the issue, we should: 

1. 1.Use the full indicator name (AwesomeOscillator) instead of the short-cut method (self.AO).
2. 2.Create a consolidator to update the indicator automatically
3. 3.Remove the consolidator when the security is removed from the universe.

Refer to this related thread for an example of this process.Best,Varad Kabade