Hi!

I've managed to attach custom data to my code using csv from google drive. It works correctly in a simple Buy and Hold strategy. Unfortunately, when I want to add rolling window to my data, I get this error:

  1. Runtime Error: Trying to dynamically access a method that does not exist throws a TypeError exception. To prevent the exception, ensure each parameter type matches those required by the 'converter.Data'>) method. Please checkout the API documentation.
  2.   at OnData
  3.     self.prevPrices[symbol].Add( data[symbol] )
  4.    at Python.Runtime.PythonException.ThrowLastAsClrException()
  5.    at Python.Runtime.PyObject.Invoke(PyTuple args in main.py: line 56

Do you have any idea what could be causing this and how to solve this issue? I found out that this type of error has been mentioned before: https://www.quantconnect.com/forum/discussion/11553/rolling-window-not-working-lean-locally/p1 but without any final solution.
 

  1. # region imports
  2. from AlgorithmImports import *
  3. class MyCustomDataType(PythonData):
  5.     def GetSource(self,
  6.          config: SubscriptionDataConfig,
  7.          date: datetime,
  8.          isLive: bool) -> SubscriptionDataSource:
  9.         return SubscriptionDataSource("http//link=csv", SubscriptionTransportMedium.RemoteFile)
  11.     def Reader(self,
  12.          config: SubscriptionDataConfig,
  13.          line: str,
  14.          date: datetime,
  15.          isLive: bool) -> BaseData:
  17.         if not (line.strip()):
  18.             return None
  20.         index = MyCustomDataType()
  21.         index.Symbol = config.Symbol
  23.         try:
  24.             data = line.split(',')
  25.             index.Time = datetime.strptime(data[0], "%Y%m%d %H:%M")
  26.             print (index.Time)
  27.             index.EndTime = index.Time + timedelta(days=1)
  28.             index.Value = float (data[4])
  29.             index["open"] = float(data[1])
  30.             index["close"] = float(data[6])
  32.         except ValueError as a:
  33.             print (a)
  34.             # Do nothing
  35.             return None
  37.         return index
  39. class CustomIndexStrategy(QCAlgorithm):
  41.     def Initialize(self):
  43.         self.Pair_1 = self.AddData(MyCustomDataType, "EURSEK_DAILY", Resolution.Daily).Symbol
  44.         self.holdingDays = 1
  45.         self.SetStartDate (2020, 1, 1) 
  46.         self.SetEndDate(2022,7,1)
  47.         self.SetCash(10000)  
  48.         self.symbols = [self.Pair_1]
  49.         self.prevPrices = { symbol : RollingWindow[QuoteBar](7) for symbol in self.symbols }
  50.         self.ticketPair1 = None 
  51.         self.ticketPair2 = None
  53.     def OnData(self,data):
  54.         
  55.         for symbol in self.symbols:
  56.             if data.ContainsKey(symbol):
  57.                 self.prevPrices[symbol].Add( data[symbol] )
  59.         if not all([ window.IsReady for window in self.prevPrices.values() ]):
  60.             return
  61.             
  62.         Pair1_window = self.prevPrices[self.Pair_1]
  63.         Pair1_1D = Pair1_window[1].Close
  64.         Pair1_0D = Pair1_window[0].Close
  66.         #if self.ticketPair1 is None and self.Securities[self.Pair_1].Exchange.ExchangeOpen is True and Pair1_0D < Pair1_1D < Pair1_2D < Pair1_3D < Pair1_4D < Pair1_5D < Pair1_6D :            
  68.         if not self.Portfolio.Invested and Pair1_0D < Pair1_1D < Pair1_2D < Pair1_3D:
  69.             self.MarketOrder(self.Pair_1, 1)
+ Expand

Author

Sebastian Wozniczka

September 2022