Lets say I have the following. How would I best go about being able to keep track of rolling windows for multiple stocks? Ultimately I want to be able to check from a list of stocks, if a stock's price is higher than it was in the past 30 and 180 days
from QuantConnect.Data.Market import TradeBar
class RollingWindowAlgorithm(QCAlgorithm):
'''Example on how to use Rolling Window with bar and indicator'''
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2013,10,1) #Set Start Date
self.SetEndDate(2013,11,1) #Set End Date
self.SetCash(100000) #Set Strategy Cash
# Find more symbols here: http://quantconnect.com/data
self.AddEquity("SPY", Resolution.Daily)
# Creates a Rolling Window indicator to keep the 2 TradeBar
self.window = RollingWindow[TradeBar](2) # For other security types, use QuoteBar
# Creates an indicator and adds to a rolling window when it is updated
self.SMA("SPY", 5).Updated += self.SmaUpdated
self.smaWin = RollingWindow[IndicatorDataPoint](5)
def SmaUpdated(self, sender, updated):
'''Adds updated values to rolling window'''
self.smaWin.Add(updated)
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.'''
# Add SPY TradeBar in rollling window
self.window.Add(data["SPY"])
# Wait for windows to be ready.
if not (self.window.IsReady and self.smaWin.IsReady): return
currBar = self.window[0] # Current bar had index zero.
pastBar = self.window[1] # Past bar has index one.
self.Log("Price: {0} -> {1} ... {2} -> {3}".format(pastBar.Time, pastBar.Close, currBar.Time, currBar.Close))
currSma = self.smaWin[0] # Current SMA had index zero.
pastSma = self.smaWin[self.smaWin.Count-1] # Oldest SMA has index of window count minus 1.
self.Log("SMA: {0} -> {1} ... {2} -> {3}".format(pastSma.Time, pastSma.Value, currSma.Time, currSma.Value))
if not self.Portfolio.Invested and currSma.Value > pastSma.Value:
self.SetHoldings("SPY", 1)
Axist
First attempt at this is throwing an error:
Runtime Error: 'SimpleMovingAverage' object has no attribute 'Symbol'
at SmaUpdated
self.window[sender.symbol].Add(updated)
Axist
And solved it:
Axist
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