Problem with using 2 rolling windows simultaneously

I would recommend keeping a list of symbol tickers, and a dictionary of separate RollingWindows for each symbol like:

def Initialize(self):

    # Let's say we want rolling windows for these two symbols
    self.symbols = ['USDZAR', 'AUDCHF']
    
    # This is a dict mapping each ticker to their own RollingWindow
    self.prevPrices = { symbol : RollingWindow[TradeBar](2) for symbol in self.symbols }
    
def OnData(self, data):

    # Add data to rolling windows
    for symbol in self.symbols:
        if data.ContainsKey(symbol):
            self.prevPrices[symbol].Add( data[symbol] )

    # Check if all windows ready
    if not all([ window.IsReady for window in self.prevPrices.values() ]):
        return
        
    # Now if you want closing prices for USDZAR 1 and 2 days ago
    USDZAR_window = self.prevPrices['USDZAR']
    USDZAR_2D = USDZAR_window[USDZAR_window.Count-1].Close
    USDZAR_1D = USDZAR_window[1].Close
    
    # etc (or put into a for-loop over `self.symbols` if many symbols)
    AUDCHF_window = self.prevPrices['AUDCHF']

Hi Adam,

Thank you very much for your recommendation, the code looks much cleaner indeed ! 

I applied your suggestions, however the code is still not working. It doesn't even print the “debug” statement from lines 49 and 55. Do you know what could be the reason of it? I think I followed your advices correctly, but did I miss something?

Also, could you please help me in understanding why before and after currency Tickers you typed single apostrophes ' instead of double ‘’ ? I thought that double apostrophes indicate which security we are referring to. I apologise if it is a dumb question but as I mentioned, I have recently started my journey with this environment :) 

# region imports
from AlgorithmImports import *
# endregion

class CustomIndexStrategy(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 2, 3) 
        self.SetCash(100000)  
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)
        self.AUDCHF = self.AddForex("AUDCHF", Resolution.Daily, Market.Oanda)
        self.USDZAR = self.AddForex("USDZAR", Resolution.Daily, Market.Oanda)
        self.SetBenchmark("SPY")
        self.symbols = ['USDZAR', 'AUDCHF']
        self.prevPrices = { symbol : RollingWindow[TradeBar](2) for symbol in self.symbols }


def OnData(self,data):
    
    for symbol in self.symbols:
        if data.ContainsKey(symbol):
            self.prevPrices[symbol].Add( data[symbol] )

    # Check if all windows ready
    if not all([ window.IsReady for window in self.prevPrices.values() ]):
        return
        
    # Now if you want closing prices for USDZAR 1 and 2 days ago
    USDZAR_window = self.prevPrices['USDZAR']
    USDZAR_2D = USDZAR_window[USDZAR_window.Count-1].Close
    USDZAR_1D = USDZAR_window[1].Close
    
    # etc (or put into a for-loop over `self.symbols` if many symbols)
    AUDCHF_window = self.prevPrices['AUDCHF']
    AUDCHF_2D = AUDCHF_window[AUDCHF_window.Count-1].Close
    AUDCHF_1D = AUDCHF_window[1].Close    

    # sum of prices 2 days ago and 1 day ago
    Sum2D = USDZAR_2D + AUDCHF_2D
    Sum1D = USDZAR_1D + AUDCHF_1D

    # check if we have any open positions
    if self.Portfolio.Invested:
        return
    
    #trading rule 1: if sum of closing prices from 1 day ago is lower than from 2 days ago: 
    if not self.Portfolio.Invested:
        if Sum1D > Sum2D:
            self.Debug(" Sum1D > Sum2D") 
            self.MarketOrder(self.AUDCHF, -2000, 0.95*self.Securities["AUDCHF"].Close)
            self.MarketOrder(self.USDZAR, 2000, 0.95*self.Securities["USDZAR"].Close)
   
    #trading rule 2: if sum of closing prices from 1 day ago is higher than from 2 days ago: 
        if Sum1D < Sum2D:
            self.Debug(" Sum1D < Sum2D") 
            self.MarketOrder(self.AUDCHF, 2000, 0.95*self.Securities["AUDCHF"].Close)
            self.MarketOrder(self.USDZAR, -2000, 0.95*self.Securities["USDZAR"].Close)


    
    pass

No problem and welcome to QC!

I think it may be that there's some server maintenance going on. (I just tried running a simple buy and hold and that didn't work either, so maybe try again in a few hours). 

One thing I noticed is the order logic - the arguments for MarketOrder should be (symbol, quantity, True/False for asychronous orders). Did you mean to do LimitOrder instead? Also since it's forex, you might want to consider using automatic position sizing via `SetHoldings` (e.g. `self.SetHoldings(self.AUDCHF, -0.5)` or manually compute the quantity if the logic here is supposed to represent equal positions in AUDCHF and USDZAR.

The single/double apostrophes in Python just denote a string, and are equivalent. I just prefer the single one because I don't have to press an extra shift 😊

I just tried to run a simple strategy and it worked, so I think the maintenance is not the issue in my case…

And thanks for pointing out my mistake in the MarketOrder. I deleted the unnecessary part. I also tried to check if the problem is somehow related to position sizing of Forex securities so I changed everywhere securities in the code from AUDCHF and USDZAR into SPY and QQQ. Unfortunately, still nothing happens..

Any more ideas/suggestions what could be the problem in my code? Seems like everything should work correctly.

# region imports
from AlgorithmImports import *
# endregion

class CustomIndexStrategy(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 2, 3) 
        self.SetCash(100000)  
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)
        self.AUDCHF = self.AddEquity ("SPY", Resolution.Daily).Symbol
        self.USDZAR = self.AddEquity("QQQ", Resolution.Daily).Symbol
        self.SetBenchmark("SPY")
        self.symbols = ["SPY", "QQQ"]
        self.prevPrices = { symbol : RollingWindow[TradeBar](2) for symbol in self.symbols }


def OnData(self,data):
    
    for symbol in self.symbols:
        if data.ContainsKey(symbol):
            self.prevPrices[symbol].Add( data[symbol] )

    # Check if all windows ready
    if not all([ window.IsReady for window in self.prevPrices.values() ]):
        return
        
    # Now if you want closing prices for USDZAR 1 and 2 days ago
    USDZAR_window = self.prevPrices["SPY"]
    USDZAR_2D = USDZAR_window[USDZAR_window.Count-1].Close
    USDZAR_1D = USDZAR_window[1].Close
    
    # etc (or put into a for-loop over `self.symbols` if many symbols)
    AUDCHF_window = self.prevPrices["QQQ"]
    AUDCHF_2D = AUDCHF_window[AUDCHF_window.Count-1].Close
    AUDCHF_1D = AUDCHF_window[1].Close    

    # sum of prices 2 days ago and 1 day ago
    Sum2D = USDZAR_2D + AUDCHF_2D
    Sum1D = USDZAR_1D + AUDCHF_1D

    # check if we have any open positions
    if self.Portfolio.Invested:
        return
    
    #trading rule 1: if sum of closing prices from 1 day ago is lower than from 2 days ago: 
    if not self.Portfolio.Invested:
        if Sum1D > Sum2D:
            self.Debug(" Sum1D > Sum2D") 
            self.MarketOrder(self.AUDCHF -1)
            self.MarketOrder(self.USDZAR, 1)
   
    #trading rule 2: if sum of closing prices from 1 day ago is higher than from 2 days ago: 
        if Sum1D < Sum2D:
            self.Debug(" Sum1D < Sum2D") 
            self.MarketOrder(self.AUDCHF, 1)
            self.MarketOrder(self.USDZAR, -1)

    
    pass

I ran your code and caught some other minor issues I had missed initially - here's a working version

Thank you very much Adam, I really appreciate your help! 

I also implemented your suggestions regarding Stop Loss, it all works fine! The only thing I am still struggling with is the concept of setting a SL and TP on a sum of 2 securities. I do understand how to set up limits on single securities, but how can I do this on a value, which is a sum of 2 assets? It should work like this:

• check if the sum of prices in day 2 is higher than in day 1 (this part is done)
• if it is, set a specific SL and TP based on the sum of these securities, not on prices of single assets. 

I have been trying to find the solution, but don't know which area I should be focusing on. Do you think that maybe a synthetic asset indicator could solve this problem?

Hmm well one way to do that would be to:

1. Change the algorithm data resolution to Minute or higher (you will see why)
2. Consolidate the data into Daily, and update the daily rolling windows inside the daily event handler
3. Inside OnData (this is now called every minute), add a check based on the sum of some assets
4. Liquidate portfolio or specific assets if the check is true
    

Take a look at some of the docs/examples, and let me know if you have any questions. This would be good practice for getting familiar with how events and data flows through LEAN as well. 

Thanks, I will definitely have a look! 

In the meantime I wanted to create a very simple rule, which closes a position 3 days after its opening date. 

I found a similar question on forum: 

However, the response was related to minutes timeframes instead of daily, as in my case. Despite this, I implemented Derek's response into my code, but it does not work. 

I guess that the problem is with line 54. I am confused on how to solve it. I adjusted the first part, so self.ticket.Time into days, by adding “ .day " at the end, and by changing minutes into days in the timedelta function. 

Unfortunately, the error which I receive is as follows:

Trying to perform a summation, subtraction, multiplication or division between 'int' and 'datetime.timedelta' objects throws a TypeError exception. To prevent the exception, ensure that both values share the same type.
  at OnData
    elif self.UtcTime >= self.ticket.Time.day + timedelta(days = 3): line 54

By any chance, do you have any idea on how to solve this issue? I know this question is not directly related to the topic of this post, therefore if you think it would be better for me to post this issue by adding a new question on forum, I would be more than happy to do so :) 

# region imports
from AlgorithmImports import *
# endregion

class CustomIndexStrategy(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 2, 3) 
        self.SetEndDate(2019,6,3)
        self.SetCash(100000)  
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)
        self.AUDCHF = self.AddForex("EURSEK", Resolution.Daily, Market.Oanda)
        self.USDZAR = self.AddForex("GBPSGD", Resolution.Daily, Market.Oanda)
        self.SetBenchmark("SPY")
        self.symbols = ['GBPSGD', 'EURSEK']
        self.prevPrices = { symbol : RollingWindow[QuoteBar](3) for symbol in self.symbols }
        
        self.ticket = None 


    def OnData(self,data):
        
        # Add data to rolling windows
        for symbol in self.symbols:
            if data.ContainsKey(symbol):
                self.prevPrices[symbol].Add( data[symbol] )

        # Check if all windows ready
        if not all([ window.IsReady for window in self.prevPrices.values() ]):
            return
            
        # Now if you want closing prices for GBPSGD 1 and 2 days ago
        USDZAR_window = self.prevPrices['GBPSGD']
        USDZAR_2D = USDZAR_window[2].Close
        USDZAR_1D = USDZAR_window[1].Close

        # etc (or put into a for-loop over `self.symbols` if many symbols)
        AUDCHF_window = self.prevPrices['EURSEK']
        AUDCHF_2D = AUDCHF_window[2].Close
        AUDCHF_1D = AUDCHF_window[1].Close

        # sum of prices 2 days ago and 1 day ago
        Sum2D = USDZAR_2D + AUDCHF_2D
        Sum1D = USDZAR_1D + AUDCHF_1D
        self.Log((Sum2D, Sum1D))


        #  If no positions and sum of closing prices from 1 day ago is lower than from 2 days ago:
        if self.ticket is None and Sum1D > Sum2D:
            self.Log(" Sum1D > Sum2D") 
            self.ticket = self.StopMarketOrder("EURSEK", -200, 0.95 * self.Securities["EURSEK"].Close) #save reference to the order
            


            
        elif self.UtcTime >= self.ticket.Time.day + timedelta(days = 3): # check if at least 3 days since filling the posion
            self.Liquidate()
            self.ticket = None
        

Hey sebul 

Didnt look trough the whole Code but the problem might be this:

self.ticket.Time.day

change it to:

self.ticket.Time

Hi Nico, 

I tried typing this before, but then I receive this error: 

'NoneType' object has no attribute 'Time'
  at OnData
    elif self.UtcTime >= self.ticket.Time + timedelta(days = 3):

Hey @sebul 

I think you might need to change a line of code.

This:

elif self.UtcTime >= self.ticket.Time + timedelta(days = 3):

To this:

if self.ticket is not None and self.UtcTime >= self.ticket.Time + timedelta(days=3):

Yes it works now, thank you for your help Nico Xenox and Adam W  !