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How to include more than 1 symbol in the algo?

I would like to test my algo on a basket of 5 symbols but do not know how to.

Must I create an array variable or something similar?

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person upvoted this people upvoted this

Nicholas Caffrey

| |

Accepted Answer

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Michael Handschuh

50.5k ,

If you'd like to add more than one symbol, you'll need multiple calls to the 'AddSecurity' method. This can be accomplished using an array/list and a loop, or just with 5 individual calls:

// with a list
var symbols = new List{"SPY","AAPL","GOOG","MSFT","IBM"};
foreach (var symbol in symbols)
{
    AddSecurity(SecurityType.Equity, symbol);
}

// with individual calls:
AddSecurity(SecurityType.Equity, "SPY");
AddSecurity(SecurityType.Equity, "AAPL");
AddSecurity(SecurityType.Equity, "GOOG");
AddSecurity(SecurityType.Equity, "MSFT");
AddSecurity(SecurityType.Equity, "ABM");

I tend to prefer the list style, it makes it easier to add/remove symbols.

Nicholas Caffrey

1.3k ,

How do I use the list style with the RegisterIndicator method; I do not know what to put in for the "symbol" parameter slot in the call syntax.

Michael Handschuh

50.5k ,

RegisterIndicator only accepts single symbols. Please attach a backtest/project so I can be of more help. There are numerous examples in the forums and the QC University showing usages of the RegisterIndicator method. Also, it's hard to help without knowing what you're trying to accomplish. Are you trying to create indicators for each symbol in your list? A foreach loop may be your friend here :)

Nicholas Caffrey

1.3k ,

I am trying to create a MovingAverage based strategy that runs on MovingAverage based criteria (e.g. if "10 EMA crosses above 20 EMA" buy). Within the entry criteria also exists "lookback" conditions where I use rollingwindow histories to check things such as "Has the 10 EMA been above the 20 EMA for 3 bars or longer?" A foreach loop to create and register indicators for each symbol in my list would most definitely be my friend.

Michael Handschuh

50.5k ,

Do you have an algorithm that you could attach and share? I could help more if you share :)

Nicholas Caffrey

1.3k ,

Is there a way to privately share algorithms? If not, I can share a necessary altered portion of my code.

Michael Handschuh

50.5k ,

Please share a subset of the code that demonstrates where you're having difficulty. It's much easier for myself and community members to help if we have code to look at :)

Nicholas Caffrey

1.3k ,

Here you go: If you could demonstrate to me how to make this algorithm functionally intact while multi-symbol, I would be very grateful. If you could also adjust the position management using holdings or whatever necessary to achieve the goal of proper entry / exit / sizing (no more than 20% of capital put into one trade, no more than one position of maximum 20% capital allocation in each symbol) I would be evermore grateful. Thanks in advance. EDIT: how unfortunate that I accidentally uploaded the full algorithm by accident. Oh well.

Nicholas Caffrey

1.3k ,

Edit: it is also the wrong algorithm in the sense that this version doesn't have the "symbols" foreach loop you demonstrated, my apologies

Michael Handschuh

50.5k ,

Hey @Nicholas, apologies on the delay on this one, was on vacation in California :) Here's something I threw together that demonstrates the technique I would use. The algo you shared seemed a little too complicated for an example. Also have a peak at this example algo on another thread. Also have a read through the various example algorithms available in github.

Pradeep Lakshmanan

157 ,

Hello,

I want to add multiple Equity Symbols in one Algo and want to get price of each symbol on OnData() to run our logic for long or short.

I referred this forum and other forums as follows.

What I found is there is no foreach loop supported in QC as per QC documentation.

I am attaching my code, in which I am trying to give multiple symbols and want to fetch prices for each symbols respectively. I am getting only last symbol price from the list i.e. UBER.

class Module45LongShort(QCAlgorithm):

def Initialize(self):

self.SetStartDate(2021, 12, 1) # Set Start Date
self.SetEndDate(2021, 12, 22) # Set End Date
self.SetCash(10000) # Set Strategy Cash

################## User Inputs ########################

#self.scriptName = "PEP"
self.scriptNameList = ["PEP","AAPL","TWTR","UBER"]
self.timeFrame = Resolution.Hour # Should be Hour / Minute

############## Long Inputs
self.ExecuteMod45Long = "Yes" # should be Yes/No
self.Mod4ActualTradesLong = "No" # should be Yes/No

self.Mod4Long_MAX = 1 # Order Qty = MAX
self.Mod5ActualTradesLong = "Yes" # should be Yes/No
self.Mod4TradeCountLong = 1 #

############## Short Inputs
self.ExecuteMod45Short = "No" # should be Yes/No
self.Mod4ActualTradesShort = "No" # should be Yes/No

self.Mod5ActualTradesShort = "Yes" # should be Yes/No
self.Mod4TradeCountShort = 1 #

################## User Inputs ########################

self.entryPrice = 0
self.Mod4BoughtCount = 0
self.previousPrice = 0

self.entryPriceShort = 0
self.Mod4SoldCount = 0
self.previousPriceShort = 0

#symb = self.AddEquity(self.scriptName, self.timeFrame , Market.USA)
#symb.SetDataNormalizationMode(DataNormalizationMode.Raw)

for scriptName in self.scriptNameList:
self.symb = self.AddEquity(scriptName, self.timeFrame , Market.USA).Symbol

self.Log("stockSymbolxxx = @" + str(self.symb))

def OnData(self, data):
if not data.Bars.ContainsKey(self.symb):
self.Log("No Data found for Symbol "+str(self.symb))
return

if not self.symb in data:
return

# price = data.Bars[self.spy].Close
#price = data[self.symb].Close
# price = self.Securities[self.spy].Close

tBars = data.Bars
symbTBars = tBars[self.symb]
price = symbTBars.Close

#prices = self.Securities[self.symb].Price
self.Log("Symbol "+str(self.symb)+" Price= "+str(price))

Vladimir

94.7k ,

Pradeep Lakshmanan,
Try this way.

Nicholas Caffrey INVESTOR

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