How to construct Assets List for Equities, CFD, cryptos?

Not sure I fully understand the question, but why not just loop over it like you are already doing:

def Initialize(self):
    self.Universe = { 'Equity' : ['AAPL','TSLA'], 'Crypto' : ['BTCUSD'] } #etc
    for asset_class, tickers in self.Universe.items():
        if asset_class == 'Equity':
            for ticker in tickers:
                self.AddEquity(ticker, #args)
        elif asset_class == 'Crypto':
            for ticker in tickers:
                self.AddCrypto(ticker, #args)

Wow… that's a great help… but how do i assess to the ticker.Symbol, ticker,rsi for the def OnData below?

You can just store all of those things in another dictionary, like:

def Initialize(self):

	# This is our tradable universe
    self.Universe = { 'Equity' : ['AAPL','TSLA'], 'Crypto' : ['BTCUSD'] }
    
    # This will contain various data/etc about each symbol
    self.symbolData = {}
    

    for asset_class, tickers in self.Universe.items():
    
        # Subscribe to market data
        if asset_class == 'Equity':
            for ticker in tickers:
                self.AddEquity(ticker, #args)
        elif asset_class == 'Crypto':
            for ticker in tickers:
                self.AddCrypto(ticker, #args)
                
        # Add Indicators, etc
        for ticker in tickers:
            self.symbolData['ticker']['RSI'] = self.RSI(self.Symbol(ticker), #args)
            self.symbolData['ticker']['highestPrice'] = 0.
            
def OnData(self, data):

     # If you want to loop over all assets
     for ticker in self.symbolData.keys():
        # blah blah blah
     
     # If we want RSI for 'AAPL' for example
     self.symbolData['AAPL']['RSI'].Current.Value
     
     # if we want Symbol objects you can just convert the ticker
     self.Symbol('AAPL')

self.Universe seems like a reserved word… Im having errors declaring self.Universe = { 'Equity' : ['AAPL','TSLA'], 'Crypto' : ['BTCUSD'] }

Ah probably - maybe better to change it to `self.MyUniverse` or something.

Hi,

It is already a method in QCAlgorithm.

https://lean-api-docs.netlify.app/classQuantConnect_1_1Algorithm_1_1QCAlgorithm.html#aefbc329edad228ad3ae3b1e87fcf6df8

So you are trying to make Universe point to something else. It would need to be a callable. Plus, LEAN will break. Use another name.

You'll also get a key error on

self.symbolData['ticker']['RSI'] = self.RSI(self.Symbol(ticker), #args)

You need to first define something for

self.symbolData['ticker'] = …

Usually, a SymbolData instance. And you would rather have:

self.symbolData[ticker] = …

Fred

Good points - typed that up very quickly so hopefully not too confusing @piggyinu. 

You can create some class to store the data as Fred suggested, manually populate the elements of `symbolData` as a dict of dicts, or use defaultdict:

# One way to do this

import numpy as np

self.MyUniverse = { 'Equity' : ['AAPL','TSLA'], 'Crypto' : ['BTCUSD'] }
allTickers = np.ravel(list(self.MyUniverse.values())) # This becomes ['AAPL','TSLA','BTCUSD',...]
self.symbolData = { ticker: {} for ticker in allTickers }

# ---- 

# Another way to do this

from collections import defaultdict

self.MyUniverse = { 'Equity' : ['AAPL','TSLA'], 'Crypto' : ['BTCUSD'] }
self.symbolData = defaultdict(lambda: defaultdict(int))

Make sure you change the for-loop part to `self.symbolData[ticker]['RSI']` not `self.symbolData['ticker']['RSI']` as Fred pointed out.

Piggyinu

--> but how do i assess to the ticker.Symbol, ticker, rsi for the def OnData?

Try “RSI for equities and cryptos”.

If you are satisfied with my answer, please accept it and don't forget to like it

#region imports
from AlgorithmImports import *
#endregion
#endregion
# RSI for equities and cryptos
# ----------------------------------------------------------------
EQUITIES = ['AAPL','TSLA']; CRYPTOS = ['BTCUSD', 'ETHUSD']; CFDS = ['WTICOUSD']; RSI_PERIOD = 14;
# ----------------------------------------------------------------

class IndicatorForEquitiesAndCryptos(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 1) #Set Start Date
        self.SetEndDate(2022, 2, 1) #Set End Date
        self.SetCash(100000)
        self.equities = [self.AddEquity(ticker, Resolution.Daily).Symbol for ticker in EQUITIES]
        self.cryptos = [self.AddCrypto(ticker, Resolution.Daily, Market.Bitfinex).Symbol for ticker in CRYPTOS]
        self.cfds = [self.AddCfd(ticker, Resolution.Daily, Market.Oanda).Symbol for ticker in CFDS]
        self.assets =  self.equities + self.cryptos + self.cfds
        self.rsi = {}
        self.current = {}
        self.entry_price = {}
        self.highestPrice = {}
        for sec in self.assets:
            self.rsi[sec] = self.RSI(sec, RSI_PERIOD, MovingAverageType.Simple, Resolution.Daily)
            self.current[sec] = None
            self.entry_price[sec] = None
            self.highestPrice[sec] = 0
        self.SetWarmUp(RSI_PERIOD + 1, Resolution.Daily)
        

    def OnData(self, data):
        if self.IsWarmingUp: return
        # self.Log(self.assets)
        
        for sec in self.assets:
            #self.Plot("RSI", sec, self.rsi[sec].Current.Value)
            self.current[sec] = self.Securities[sec].Close

            if self.current[sec] == None: continue

            #trading conditions, only when we are not invested
            if self.rsi[sec].Current.Value > 60:
                self.Debug("RSI is more than 60")
                if not self.Securities[sec].Invested:
                    self.SetHoldings(sec, 0.1) #invested 10% of our capital
                    self.entry_price[sec] = self.current[sec]
                    self.Debug(str(sec) + " Entry at: " +str(self.entry_price[sec]))
            
            #exit conditions, only if we are invested
            if self.Securities[sec].Invested:
                if self.current[sec] <= self.entry_price[sec] - (self.entry_price[sec] * 0.05): #cut loss at 5%
                    self.Liquidate(sec, "stop-loss")
                    self.Debug(str(sec) + " stopped out at: " + str(self.current[sec]))
                elif self.current[sec] >= self.entry_price[sec] + (self.entry_price[sec]*0.1): # set tp > 10%
                    self.Liquidate(sec, "take-profit")
                    self.Debug(str(sec) + " Tp at: "+ str(self.current[sec]))

Woo! Thank you so much! 😊seems like its getting some where… but there should be a logic error somewhere coz im having too much unrealised profits