I understand we can use Data Consolidators to pipe data to indicators. It seems that we can only pipe one custom data to one indicator.
I may have missed something in the documentation. Can we create two custom datafeed (sourced from quandl) and consolidate both of them into a single custom indicator?
I'm experimenting with creating a (VIX-VXV) contango indicator using daily close prices of VIX and VXV from quandl.
Thanks!
Jared Broad
RegisterIndicator("BTC", _rsiCustom, bitcoinIdentityConsolidator, x => x.Value); RegisterIndicator("SPY", _rsiCustom, new IdentityDataConsolidator(), x => x.Value);
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Michael H
// the functional indicator takes as arguments two functions, // the first is a ComputeNextValue function // the second is an IsReady function ratio_VXV_VIX = new FunctionalIndicator("ratio",
point => RatioIndicator_ComputeNextValue(point, smaVXV, smaVIX),
ratioIndicator => RatioIndicator_IsReady(ratioIndicator, smaVXV, smaVIX)
);
Defined lower in Main.csprivate decimal RatioIndicator_ComputeNextValue(IndicatorDataPoint data, IndicatorBase vxv,
IndicatorBase vix)
{
return vxv / vix;
}
private bool RatioIndicator_IsReady(IndicatorBase functionalIndicator,
IndicatorBase vxv,
IndicatorBase vix)
{
return vxv.IsReady && vix.IsReady;
}
Let me know if this works for you!Adrian Tang
Nate Wine
Would someone be willing to provide an example of this in Python?
JohnCunningham
I'd also appreciate an example in python.
Wally Tung
Same here. I am looking forward with an example in Python. Thanks in advance!
Jing Wu
Hi All,
As custom data Yahoo VIX and VXV is not available in this algorithm, we've updated this algorithm with the quandl data and simplify the algorithm with Indicator Extensions. This is the C# example
Jing Wu
This is the Python example
Nate Wine
Thank you Jing!
Huy Hoang
Thanks, Jing Wu ! Really appreciate the python example you put forward.
Adrian Tang
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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