I am trying to add multiple time consolidators to the multiple symbol consolidation algorithm. I want to use both 5 and 15 minute time frames. The problem is the algorithm is only trading the last symbol in the equity list but Im not sure where the problem is. Any help would be appriciated.
Michael Manus
for symbol in self.Data.keys(): symbolData = self.Data[symbol] you loop through and safe only the last one? maybe its this line
Jack Simonson
Hi Eric,
Looks like Michael found the right spot. Given the way the for-loops in the OnData section are currently written, the algorithm will only trade the last equity in the list. Instead, if I understand the general idea of the code correctly, the algorithm should evaluate the trade logic inside the for-loop rather than outside of it. Take a look at the code snippet below and this should solve the problem.
def OnData(self,data): # Loop through symbols. Since symbols are ordered for both dictionaries, # 'symbol' with properly access both self.Data and self.Data15 for symbol in self.Data.keys(): symbolData = self.Data[symbol] symbolData15 = self.Data15[symbol] ## Keep trade logic inside for-loop to enrue all assets are traded if not self.Portfolio[symbol].Invested and symbolData15.MACD15.Current.Value > symbolData15.MACD15.Signal.Current.Value and symbolData.MACD.Current.Value > 0 : self.SetHoldings(symbol, self.PositionSize) if self.Portfolio[symbol].Invested and symbolData.MACD.Current.Value < 0 : self.Liquidate(symbol)
Eric Kirk
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