Derek Melchin gave me the following code as example:

class MyAlphaModel(AlphaModel): def __init__(self, algorithm): fastPeriod = 20 slowPeriod = 60 self._tolerance = 1 + 0.001 self.IsUpTrend = False self.IsDownTrend = False symbol = algorithm.AddEquity("SPY", Resolution.Daily).Symbol self._fast = algorithm.EMA(symbol, fastPeriod, Resolution.Daily) self._slow = algorithm.EMA(symbol, slowPeriod, Resolution.Daily) # Warm up history history = algorithm.History(symbol, slowPeriod, Resolution.Daily).loc[symbol] for idx, row in history.iterrows(): self._fast.Update(idx, row.close) self._slow.Update(idx, row.close) def Update(self, algorithm, slice): if not (algorithm.UtcTime.hour == 16 and algorithm.UtcTime.minute == 0 and algorithm.UtcTime.second == 0): return [] insights = [] for symbol in slice.Keys: if symbol.SecurityType != SecurityType.Future: continue insights.append(Insight.Price(symbol, timedelta(minutes=59), InsightDirection.Up)) return insights

and I want to adjust it to IBS indicator.

So I have written the following:

class MyAlphaModel(AlphaModel): def __init__(self, algorithm): symbol = algorithm.AddEquity("SPY", Resolution.Daily).Symbol symbolsIBS = dict() # Warm up history history = algorithm.History(symbol, 1, Resolution.Daily).loc[symbol] for idx, row in history.iterrows(): c = row.close h = row.high l = row.low o = row.open hilo = h - l if o * hilo != 0: symbolsIBS[symbol] = (c - l)/hilo self.Update(idx, symbolsIBS) def Update(self, algorithm, slice): if not (algorithm.UtcTime.hour == 16 and algorithm.UtcTime.minute == 0 and algorithm.UtcTime.second == 0): return [] insights = [] for symbol in slice.Keys: if symbol.SecurityType != SecurityType.Future: continue insights.append(Insight.Price(symbol, timedelta(minutes=59), InsightDirection.Up)) return insights

unfortunatelly this code fails with the following error:

During the algorithm initialization, the following exception has occurred: AttributeError : 'Timestamp' object has no attribute 'UtcTime' at Initialize in main.py:line 39 :: self.SetAlpha(MyAlphaModel(self)) at __init__ in main.py:line 79 at Update in main.py:line 82 :: if not (algorithm.UtcTime.hour == 16 and algorithm.UtcTime.minute == 0 and algorithm.UtcTime.second == 0): AttributeError : 'Timestamp' object has no attribute 'UtcTime'

any hint on how to write such custom AlphaModel?

Author

Islander

July 2020