rolling window should just be a list of tradebars, and high and low should be floats, so I have no idea why this doesn't run properly?
in on data
for symbol, data in self.symbolData.items():
price = self.Securities[symbol].Price
stdbarDelta = (2 * (np.std(list([(x.High - x.Low) for x in data.windowonedayTradeBar]))))
#self.Debug(f'{symbol} {stdbarDelta} test')
class SymbolData:
def __init__(self, algorithm, symbol):
#ten minute bars for window
tenMinuteConsolidator = TradeBarConsolidator(timedelta(minutes=10))
self.subscribe = algorithm.SubscriptionManager.AddConsolidator(symbol, tenMinuteConsolidator)
#window for 39 ten minute bars of consolidated minute data
self.windowonedayTradeBar = RollingWindow[TradeBar](39)
tenMinuteConsolidator.DataConsolidated += self.barHandler10min
def barHandler10min(self, sender, updated):
pass
Vladimir
Victoria Butler
You can try to get the standard deviation of the difference between the high and low as follows.
If you are satisfied with my answer, please accept it and don't forget to like it.
Victoria Butler
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