So, i have been trying to code mcclellan oscillator in quantconnect. Here is what the formula looks like, but i dont know why does quant connect show discrepancy in data. Is it that i can intrepreting advancing and declining stocks incorrect?

In my initialization section:

if MO_QC500: self.SetUniverseSelection(QC500UniverseSelectionModel()) else: self.AddUniverse(self.CoarseSelectionFunction,self.FineSelectionFunction)

I made the following code on OnData section.

if self.Time.microsecond == 0 and self.Time.second == 0: # Update McClellan Oscillator self.OnDataMO(slice)def OnDataMO(self, slice): """Event handler for new McClellan Oscillator data.""" # Loop through universe and count advances/declines up = 0 down = 0 # Loop through all stocks in universe for stock in slice.Keys: # Use try/except block to handle possible future data in slice try: if slice.Bars[stock].Close > slice.Bars[stock].Open: up += 1 elif slice.Bars[stock].Close < slice.Bars[stock].Open: down += 1 else: up += .5 down += .5 # if self.Time.microsecond == 0 and self.Time.minute == 0 and 'AAPL' in str(stock): # self.Debug('{} {} O:{} C:{} up:{} down:{}'.format(str(self.Time),str(stock),slice.Bars[stock].Open,slice.Bars[stock].Close,up,down)) except: continue # Check for invalid calculation. When writing this comment, each minute would contain # at least 490 stocks. However, if the market does not produce an uptick or downtick # we would have to terminate MO calculation. if up + down < 10: #self.Log('invalid MO calculation') return # Calculate if valid calculation elif up != 0 or down != 0: # Calculate ad and append it to list net_advances = up-down

The only reason i did add .5 to unchanged tick stocks is to test different concepts downstream. Then i calculated EMA 19 and EMA 39 - something like as follows:

if self.ad_fast_ema: prev_ema = self.ad_fast_ema multiplier = 2.0 / (AD_FAST + 1) self.ad_fast_ema = (net_advances - prev_ema) * multiplier + prev_ema # Check for enough data for first calculation elif len(self.ad_list) >= AD_FAST: self.ad_fast_ema = self.ad_list[-1] / AD_FAST

The part i am questioning is up ticks vs down ticks calculation.

I have been comparing upticks vs downticks with TOS,QC500 and QCNYSE.  Here is Advance Decline [ $ADVN ] $DECN in TOS, 1 min data from 26th of July.

TOSTOS Advances Declines Net Advances 19-day EMA 39-day EMA McClellan Oscillator Excel Calculation TOS Actual Values 1 1649 583 1066 2 1679 621 1058 3 1721 638 1083 4 1707 703 1004 5 1730 721 1009 6 1713 778 935 7 1693 813 880 8 1667 854 813 9 1598 928 670 10 1596 935 661 11 1647 889 758 12 1699 845 854 13 1729 823 906 14 1747 817 930 15 1718 852 866 16 1674 903 771 17 1641 934 707 18 1672 909 763 19 1690 896 794 870 20 1708 882 826 866 21 1732 870 862 865 22 1772 842 930 872 23 1793 827 966 881 24 1810 815 995 892 25 1811 813 998 903 26 1790 836 954 908 27 1781 847 934 911 28 1781 847 934 913 29 1767 871 896 911 30 1777 863 914 912 31 1761 885 876 908 32 1774 885 889 906 33 1742 924 818 897 34 1714 944 770 885 35 1737 919 818 878 36 1733 920 813 871 37 1713 961 752 859 38 1711 960 751 849 39 1722 947 775 841 872 -30 -43 40 1721 951 770 834 867 -33 -41

 


Each entries correspond from 9:30 AM EST Market Open, 1 minute data.In QC however, i am seeing bunch of stocks with no change in ticks.Here is what QC NYSE version looks like when .5 is added to advance and declines for unchanged issues: QC NYSE Advances Declines Net Advances 19-day EMA 39-day EMA McClellan Oscillator 1 1165 1102 63 2 1151.5 1144.5 7 3 1177.5 1137.5 40 4 1158 1181 -23 5 1197 1155 42 6 1079 1294 -215 7 1208 1169 39 8 998.5 1379.5 -381 9 933.5 1445.5 -512 10 1267 1116 151 11 1426 959 467 12 1278.5 1111.5 167 13 1253.5 1136.5 117 14 1178 1212 -34 15 976 1416 -440 16 985.5 1408.5 -423 17 1114 1282 -168 18 1410 990 420 19 1240 1161 79 -32 20 1208.5 1192.5 16 -27 21 1363 1039 324 8 22 1356.5 1045.5 311 38 23 1278 1125 153 50 24 1250.5 1153.5 97 55 25 1187.5 1216.5 -29 46 26 1088 1317 -229 19 27 1151 1254 -103 7 28 1147 1259 -112 -5 29 1091.5 1315.5 -224 -27 30 1265 1143 122 -12 31 1114 1295 -181 -29 32 1269.5 1140.5 129 -13 33 1019.5 1391.5 -372 -49 34 1147 1264 -117 -56 35 1266 1145 121 -38 36 1229.5 1181.5 48 -30 37 1042.5 1369.5 -327 -59 38 1215 1197 18 -52 39 1166.5 1245.5 -79 -54 -27 -28 40 1283.5 1128.5 155 -33 -18 -16 41 1342 1070 272 -3 -3 0 42 1163.5 1248.5 -85 -11 -7 -4

It is my understanding that slice.Bars[stock].Close > slice.Bars[stock].Open captures close and open prices 

for the bar. Could this be a data related issue or the way i intrepret slice.Bars object?

self.UniverseSettings.Resolution = Resolution.Minute is what i have set in program. 

Any help would be greatly appreciated.