Hello, this call in backtesting:
history = self.History(cur_contract.Symbol, 10, Resolution.Minute) # cur_contract.Symbol is "ES17H17"
returns this dataframe:
so the index here is (expiry, symbol, time).
I only want time in index, so I am dropping other columns from index and resample:
history = history.droplevel([0, 1]).resample(Timeframe).agg({'open': 'first', 'high': 'max', 'low': 'min', 'close': 'last'})
However, on live with IBKR data this code raises an exception:
Too many levels: Index has only 1 level, not 2.
So I am guessing, it only has one column in index on live? Why is it different?
Also, on a side note, can you please tell me how to choose the symbol-related line in dataframe? Neither history.loc[cur_contract.Symbol] nor history.loc[cur_contract.Symbol.Value] work:
basically, I need to know how to match history lines to symbol, but I can't find a proper way….
Derek Melchin
Hi Yuri,
For issues with live algorithms, contact support@quantconnect.com.
Best,
Derek Melchin
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Yuri Lopukhov
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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