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Hi,
How would I go about getting past minute or second data for certian stocks? I keep getting errors saying minute is not defined and I was also wondering how would I define that?
import numpy as np
from datetime import datetime
import pandas as pd
import math
class VolTrading(QCAlgorithm):
def __init__(self):
self.previous = None
self.position = None
def Initialize(self):
self.SetStartDate(2007,1,1) #Set Start Date
#self.SetEndDate(2018,10,29) #Set End Date
self.SetCash(10000) #Set Strategy Cash
self.AddSecurity(SecurityType.Equity, "x", Resolution.Minute)
self.AddSecurity(SecurityType.Equity, "y", Resolution.Minute)
self.SetWarmUp(440)
self.History("x","y",-1, Minute)
def OnData(self, data):
self.xPercent = math.log((self.Identity(x").Current.Value)/
(History(x",-1, Resolution.Minute)))
self.yPercent = math.log((self.Identity("y").Current.Value)/
(History("y",-1, Resolution.Minute)))
Jing Wu
You can get the previous bar with the RollingWindow.
class BasicAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2018,1,1) #Set Start Date self.SetStartDate(2018,1,4) #Set Start Date self.SetCash(10000) #Set Strategy Cash self.AddEquity("IBM", Resolution.Minute) self.window = RollingWindow[TradeBar](2) def OnData(self, data): if data.Bars.ContainsKey("IBM"): self.window.Add(data["IBM"]) if self.window.IsReady: # current bar close current_close = self.window[0].Close # previous bar close previous_close = self.window[1].CloseAlternatively, you can request the minute history.
history = self.History(["IBM"], 2, Resolution.Minute) returns a multi-index data frame with open/high/low/close instead of decimal value. To get the closing price of last minute, you need to retrieve the value with
history = self.History(["IBM"], 2, Resolution.Minute) last_minute_close = history.loc["IBM"]["close"][-2]Please see the documentation
Ken Hampel
Thank you very much for getting back to me. I also had another question, I keep getting an error message saying VIXY is not in the index. Is there a way to go about fixing this? Thank you again.
import numpy as np
from datetime import datetime
import pandas as pd
import math
class VolTrading(QCAlgorithm):
def __init__(self):
self.previous = None
self.position = None
def Initialize(self):
self.SetStartDate(2007,1,1) #Set Start Date
#self.SetEndDate(2018,10,29) #Set End Date
self.SetCash(10000) #Set Strategy Cash
self.AddEquity("SPY", Resolution.Minute)
self.AddEquity("VIXY", Resolution.Minute)
self.SetWarmUp(440)
def OnData(self, data):
history_s = self.History(["SPY"], 2, Resolution.Minute)
last_minute_close_s = history_s.loc["SPY"]["close"][-2]
history_v = self.History(["VIXY"], 2, Resolution.Minute)
last_minute_close_v = history_v.loc["VIXY"]["close"][-2]
self.SPercent = math.log((self.Identity("SPY").Current.Value)/
(last_minute_close_s))
self.VPercent = math.log((self.Identity("VIXY").Current.Value)/
(last_minute_close_v))
if self.IsWarmingUp:
return
if SPercent <= -.01:
if self.position == None:
self.SetHoldings("VIXY", 1)
elif self.position == "SPY":
self.Liquidate("SPY")
self.SetHoldings("VIXY", 1)
self.position = "VIXY"
elif VPercent <= -.01:
if self.position == None:
self.SetHoldings("SPY", 1)
elif self.position == "VIXY":
self.Liquidate("VIXY")
self.SetHoldings("SPY", 1)
self.position = "SPY"
Jing Wu
Please add an empty data frame check before retrieving the value with the symbol index.
You can obtain the current price with self.Securities["SPY"].Price instead of "self.Identity("SPY")".
(If you have further questions, please share an algorithm with the "attach backtest" button below to demonstrate the issue instead of copying and pasting the non-formatted code. Python is structured with indentation. This procedure helps us, the community, to answer your questions quickly and effectively.)
Ken Hampel
Thank you very much for the response, I will make some changes and get back to you if anymore issues arise. Thanks.
Ken Hampel
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