HELP: Indicator Extenions.Minus

Hi Tate,

When I use the Identity indicator, I register it with the function self.RegisterIndicator to feed it with the desired data. The identity is just needs to be updated (manually or by registering it), like so: 

        # Add the assets to be fed into the algorithm and save the symbol objects (to be referred later)
        self.ewc_symbol = self.AddEquity('EWC', Resolution.Daily).Symbol
        self.ewa_symbol = self.AddEquity('EWA', Resolution.Daily).Symbol
        
        # Create two identity indicators (a indicator that repeats the value without any processing)
        self.ewc_identity = Identity("My_EWC")
        self.ewa_identity = Identity("My_EWA")

        # Set these indicators to receive the data from EWC and EWA        
        self.RegisterIndicator(self.ewc_symbol, self.ewc_identity, Resolution.Daily)
        self.RegisterIndicator(self.ewa_symbol, self.ewa_identity, Resolution.Daily)

Take a look at the backtest I attached in the following discussion:

Tate Linzel

You can get the difference between the stock price and the vwap without 
Indicator Extenions.Minus

Hi Valadimir, 

I was looking to use the IndicatorExtension in the "initialize" section in order to calculate a moving average and other indicators using this “difference” value as a data source. This is not possible when you do it in the “Ondata” section. Is it possible to do it in the “Initialize” section without the "identity" setup? what does this not work “self.Diff = IndicatorExtensions.Minus(self.SecondMA, self.Vwap)” if the self.SecondMA is a 1 minute SMA of the symbol hence giving you the latest stock price?

Tate Linzel,

My backtests conform there is a bug in   IndicatorExtensions.Minus()

No problem with  self.Vwap = self.VWAP(self.stock)  # OK

I tried three ways to get current price 

price = data[self.stock].Value        # OK
self.PriceMA = SimpleMovingAverage(1) # OK
self.PriceID = Identity("stock")      # OK

They match perfectly.

Until the bug is fixed you have at least 3 ways to achieve your goal 
without using IndicatorExtensions.Minus()

       diff = float(price - wvap)       # OK
       diff_ID = float(priceID - wvap)  # OK
       diff_MA = float(priceMA - wvap)  # OK

Thank you for the update Vladimir, is there a GitHub page for this bug so I know when it is fixed or when do you think this bug will be fixed?

Thank you for your efforts. 

Tate

Another test shows that IndicatorExtensions.Minus works correctly with two simple moving averages, but not with self.VWAP.

So the bug is that IndicactorExtensions.Minus does not like using self.VWAP. I have tested it with it being self.Diff = IndicatorExtensions.Minus(self.Vwap, 2) and this works. 

Is there any timeline for when this might get fixed?

Hi Tate, Vladimir

Thank you for reporting this issue. We're able to reproduce this problem and will fix as soon as possible. Please subscribed to this GH issue to follow our progress

Best
Louis Szeto