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Hi all,
I have found that SetWarmUP is NOT working for my consolidated bar Indicators. Instead, I would like to try warming them up with a history request but cant seem to make that work either. I have not been abloe to find a way in the documentation to implement a history request for consolidated bars. Any help appreciated...
thirtyMinuteConsolidator = TradeBarConsolidator(timedelta(minutes=30))
thirtyMinuteConsolidator.DataConsolidated += self.ThirtyMinuteHandler
self.SubscriptionManager.AddConsolidator(symbol, thirtyMinuteConsolidator)
self.short_ema = ExponentialMovingAverage(10)
self.RegisterIndicator(symbol, self.short_ema, thirtyMinuteConsolidator)
history = self.History(symbol, 10*30, Resolution.Minute).loc[symbol]
.... How do I update my thirtyMinuteConsolidator with the history?
... Which I believe will automatically update my registered indicators, no?
Mark Reeve
CORRECTION: I can make the WarmUp request work... but how would I achieve the samething with History?
Cole S
self.WarmupIndicator() will do this for you. There are multiple overloads, I'm not sure if it's documented or not, but I have used it before. You can see it in the source in QCAlgorithm.Indicators.cs
Shile Wen
Hi Mark,
To warm up our algorithm with consolidated bars, we can construct TradeBars from the historical data and pass them through our conslidator's Update method. I've shown this in the attached backtest. Note: the try-except is necessary for this issue.
Best,
Shile Wen
Victor Goujon
Hi Shile Wen,
I also have this problem but can't find your backtest?
Best,
Victor
Mark Reeve
Hi Shile,
That sounds ideal but I can't see any backtest attached?
Additionally I am trying to create a rolling window of 15minute bars within the SymbolData class. I am having the same issue - trying to populate the rolling window with historical data so it is ready to use on algo start up.
Thanks Shile Wen
class SymbolData: def __init__(self, symbol, algorithm): self.algorithm = algorithm self.symbol = symbol self.m15_open = 0 self.m15_high = 0 self.m15_low = 0 self.m15_close = 0 # Build our 15min consolidator and pre-populate the RollingWindow with TradeBar data self.m15_window = RollingWindow[TradeBar](2) fifteenMinuteConsolidator = TradeBarConsolidator(timedelta(minutes=15)) fifteenMinuteConsolidator.DataConsolidated += self.FifteenMinuteHandler algorithm.SubscriptionManager.AddConsolidator(self.symbol, fifteenMinuteConsolidator) self.fifteenMinuteBarUpdated = False def FifteenMinuteHandler(self, sender, consolidated): self.m15_open = consolidated.Open self.m15_high = consolidated.High self.m15_low = consolidated.Low self.m15_close = consolidated.Close self.fifteenMinuteBarUpdated = TrueShile Wen
Hi Victor and Mark,
Sorry about that, I've updated my previous comment to include the backtest. Furthermore, here I've attached another backtest which also includes the RollingWindow.
Best,
Shile Wen
Victor Goujon
Thank you Shile !
What about for multi symbols? Activating line 63 yields an error, deactivating it doesn't update the consolidator with the history;
Best,
Victor
Shile Wen
Hi Victor,
The issue is we need to access the DataFrame with .loc[symbol] before iterating over it to create TradeBars.
I've shown this fix in the attached backtest.
Best,
Shile Wen
Mark Reeve
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