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Can someone show me best way to pass variables from my "alpha" model to my "exec" model
I was taking the approach of
in main class __init__ file
declaring the variable with a default value
self.spread = None
then in the Update function of my Alpha model , which has a reference to the calling file as "algorithm", setting this
variable as such
def Update(self, algorithm, data):
for security in algorithm.Securities:
if self.DataEventOccured(data, security.Key):
insights = []
return insights
algorithm.spread = self.pair[1].Price - self.pair[0].Price
When I use the debugger code to iterate through the program , it recognizes "algorithm.spread" as the correct value of the difference of these two pairs, but when it has completed the AlphaModel and I try to reference the variable using "self.spread" I go back to the intially assined default "None" value.
What should I be doing differently?
Thanks
LukeI
Once you "return insights" your algorithm is done with the update function and it doesn't go on to the next line. This also means when you are iterating through your securities it stops after the first iteration. See code below for how it probably should look like.
def Update(self, algorithm, data): insights = [] for security in algorithm.Securities: if self.DataEventOccured(data, security.Key): algorithm.spread = self.pair[1].Price - self.pair[0].Price return insightsThis code still won't work though because algorithm.spread is a single variable that will be overwritten each security in your loop, you'd need it to be a dictionary keyed by security for it to work the way you want. For example:
algorithm.spread = {}
for pair in algorithm.pairs:
algorithm.spread[pair] = pair[1].Price - pair[0].Price
you'd need to have pair be a list with two securities in it and spread to be a dictionary keyed by the lists
Serge d'Adesky
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