Average pip size using rolling window

Hey sebul 

So I'm not sure if that is just a part of the code because copy pasting the code has more than just that error and is structured differently. Anyways that error occurs because the average calculation happens before Pair values get any data from the rolling windows.

Guessing your average calculation is outside of the for loop, you could add an if statement and either check if the window is ready before doing the calculation or make a bool statement.

bool statement:

#Initialize
self.added_rw = False

#After the list of adding rolling windows to variables
self.added_rw = True

#If statement before average calculation
if self.added_rw is True:
	AvgPair1_Variation = ...

Hi Nico Xenox 

I've just implemented your advice and the error no longer pops up, thank you! 

Unfortunately another error doesn't allow me to continue coding. I have been looking for the solution for a while but can't get my head around this. The error looks like this:

'QuoteBar' object has no attribute 'MinimumPriceVariation'
  at OnData
    Pair1_6D = Pair1_Variation[6].MinimumPriceVariation
   at Python.Runtime.PythonException.ThrowLastAsClrException()
   at Python.Runtime.PyObject.Invoke(PyTuple args in main.py: line 36

If I understand correctly, as FX products use QuoteBars, I'm not able to immediately get minium price variation values from historical quotes.

I looked at documentation https://www.quantconnect.com/docs/v2/writing-algorithms/trading-and-orders/key-concepts
and based on their guidance I added lines 21 and 22, which were supposed to get symbol properties from the FX pair which I am using:

        symbol_properties = self.Securities[self.Pair_1].SymbolProperties
        MinimumPriceVariation = symbol_properties.MinimumPriceVariation

Unfortunately, this doesn't help. Do you have any idea on how to solve this error? Am I missing something?
Here is my code: 

#region imports
from AlgorithmImports import *
#endregion

class CarryTrading(QCAlgorithm):

    def Initialize(self):

        self.Pair_1 = "USDDKK"
        self.Pair_2 = "USDPLN"
        self.SetStartDate (2000, 3, 3) 
        self.SetEndDate(2022,5,24)
        self.SetCash(1000000)  
        self.SetBrokerageModel(BrokerageName.OandaBrokerage)
        self.EURSEK = self.AddForex(self.Pair_1, Resolution.Daily, Market.Oanda)
        self.GBPSGD = self.AddForex(self.Pair_2, Resolution.Daily, Market.Oanda)
        self.symbols = [self.Pair_1, self.Pair_2]
        self.prevMinPriceVariation = { symbol : RollingWindow[QuoteBar](20) for symbol in self.symbols }
        #added bool statement:
        self.added_rw = False
        symbol_properties = self.Securities[self.Pair_1].SymbolProperties
        MinimumPriceVariation = symbol_properties.MinimumPriceVariation
        
    def OnData(self,data):

        for symbol in self.symbols:
            if data.ContainsKey(symbol):
                self.prevMinPriceVariation[symbol].Add( data[symbol] )
        
        if not all([ window.IsReady for window in self.prevMinPriceVariation.values() ]):
            return   

        Pair1_Variation = self.prevMinPriceVariation[self.Pair_1]
        Pair1_6D = Pair1_Variation[6].MinimumPriceVariation
        Pair1_5D = Pair1_variation[5].MinimumPriceVariation
        Pair1_4D = Pair1_Variation[4].MinimumPriceVariation
        Pair1_3D = Pair1_Variation[3].MinimumPriceVariation        
        Pair1_2D = Pair1_Variation[2].MinimumPriceVariation
        Pair1_1D = Pair1_Variation[1].MinimumPriceVariation
        Pair1_0D = Pair1_Variation[0].MinimumPriceVariation

        Pair2_Variation = self.prevMinPriceVariation[self.Pair_2]
        Pair2_6D = Pair1_Variation[6].MinimumPriceVariation
        Pair2_5D = Pair1_Variation[5].MinimumPriceVariation
        Pair2_4D = Pair1_Variation[4].MinimumPriceVariation
        Pair2_3D = Pair1_Variation[3].MinimumPriceVariation        
        Pair2_2D = Pair1_Variation[2].MinimumPriceVariation
        Pair2_1D = Pair1_Variation[1].MinimumPriceVariation
        Pair2_0D = Pair1_Variation[0].MinimumPriceVariation

        self.added_rw = True

        AvgPair1_Variation = (Pair1_0D + Pair1_1D + Pair1_2D + Pair1_3D + Pair1_4D +Pair1_5D + Pair1_6D) / 7
        AvgPair2_Variation = (Pair2_0D + Pair2_1D + Pair2_2D + Pair2_3D + Pair2_4D +Pair2_5D + Pair2_6D) / 7

        if self.added_rw is True: 
            self.Log( str+(AvgPair1_Variation))

Hi Sebul,

The algorithm above is trying to access a MinimumPriceVariation property of QuoteBar objects, which doesn't exist. We can't exactly calculate the pip range of each bar since we don't have TradeBar objects with Forex. One way we could approximate the pip range with QuoteBar data is with 

range = quote_bar.Ask.High - quote_bar.Bid.Low

See the attached backtest for reference.

Best,
Derek Melchin

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Hi Derek Melchin 

Oh now I understand, thank you !