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Algorithm Reference

Rolling Window

Demonstration Algorithm

RollingWindowAlgorithm.py Python CustomVolatilityModelAlgorithm.py Python MultipleSymbolConsolidationAlgorithm.py Python RollingWindowAlgorithm.cs C# MultipleSymbolConsolidationAlgorithm.cs C#

Introduction

RollingWindow is an array of data that allows for reverse list access semantics, where the object with index [0] refers to the most recent item in the window, and index [Length-1] refers to the last item in the window, where Length is the number of elements in the window.

We can store any type of object in a RollingWindow, since it is a generic type with a given max length:

	closeWindow = new RollingWindow<decimal>(4);
	tradeBarWindow = new RollingWindow<TradeBar>(2);
	quoteBarWindow = new RollingWindow<QuoteBar>(2);

	self.closeWindow = RollingWindow[float](4)
	self.tradeBarWindow = RollingWindow[TradeBar](2)
	self.quoteBarWindow = RollingWindow[QuoteBar](2)

These rolling arrays are updated by adding a new element of its type with the Add method:

	closeWindow.Add(data["SPY"].Close);
	tradeBarWindow.Add(data["SPY"]);
	quoteBarWindow.Add(data["EURUSD"]);

	self.closeWindow.Add(data["SPY"].Close)
	self.tradeBarWindow.Add(data["SPY"])
	self.quoteBarWindow.Add(data["EURUSD"])

The most recent element, the previous, and the last item for the decimal case are:

	var currentClose = closeWindow[0];
	var previousClose = closeWindow[1];
	var oldestClose = closeWindow[closeWindow.Count-1];

	currentClose = self.closeWindow[0]
	previousClose = self.closeWindow[1]
	oldestClose = self.closeWindow[self.closeWindow.Count-1]

We recommend using RollingWindows to hold periods of data instead of making multiple Historical Data Requests. It is much more efficient as we just need to update the RollingWindow with the latest data point, while a History call fetches the whole requested period and synchronizes the data.

// In Initialize, create the rolling windows
public override void Initialize()
{
    // Create a Rolling Window to keep the 4 decimal
    closeWindow = new RollingWindow<decimal>(4);
    // Create a Rolling Window to keep the 2 TradeBar
    tradeBarWindow = new RollingWindow<TradeBar>(2);
    // Create a Rolling Window to keep the 2 QuoteBar
    quoteBarWindow = new RollingWindow<QuoteBar>(2);
}

// In OnData, update the rolling windows
 public override void OnData(Slice data)
{
    if(data.ContainsKey("SPY")) {
        // Add SPY bar close in the rolling window
        closeWindow.Add(data["SPY"].Close);
        // Add SPY TradeBar in rolling window
        tradeBarWindow.Add(data["SPY"]);
    }
    if(data.ContainsKey("EURUSD")) {
        // Add EURUSD QuoteBar in rolling window
        quoteBarWindow.Add(data["EURUSD"]);
    }
}

# In Initialize, create the rolling windows
def Initialize(self):
    # Create a Rolling Window to keep the 4 decimal
    self.closeWindow = RollingWindow[float](4)
    # Create a Rolling Window to keep the 2 TradeBar
    self.tradeBarWindow = RollingWindow[TradeBar](2)
    # Create a Rolling Window to keep the 2 QuoteBar
    self.quoteBarWindow = RollingWindow[QuoteBar](2)

# In OnData, update the rolling windows
 def OnData(self, data):
    if data.ContainsKey("SPY"):
        # Add SPY bar close in the rolling window
        self.closeWindow.Add(data["SPY"].Close)
        # Add SPY TradeBar in rolling window
        self.tradeBarWindow.Add(data["SPY"])
    if data.ContainsKey("EURUSD"):
        # Add EURUSD QuoteBar in rolling window
        self.quoteBarWindow.Add(data["EURUSD"])

Combining with Indicators

A particularly common and helpful use of the RollingWindow class is to store past indicator values. The following examples create an indicator and add its values to a rolling window when the indicator is updated.

// In Initialize, create the rolling windows
public override void Initialize()
{
    // Creates an indicator and adds to a rolling window when it is updated
   smaWindow = new RollingWindow<IndicatorDataPoint>(5);
   SMA("SPY", 5).Updated += (sender, updated) => smaWindow.Add(updated);
}

# In Initialize, create the rolling windows
def Initialize(self):
    # Creates an indicator and adds to a rolling window when it is updated
    self.SMA("SPY", 5).Updated += self.SmaUpdated
    self.smaWindow = RollingWindow[IndicatorDataPoint](5)

# Adds updated values to rolling window
def SmaUpdated(self, sender, updated):
    self.smaWindow.Add(updated)

Indicators emit an Updated event after they have been updated. To create a rolling window of indicator points, we attach an event handler function to Updated, which adds the last value of the indicator to the rolling window. The value is an IndicatorDataPoint object that represents a piece of data at a specific time.

The current (most recent) addition is stored at index 0, the previous addition to a window is at index 1, and so on until the length of the window:

	var currentSma = smaWin[0];
	var previousSma = smaWin[1];
	var oldestSma = smaWin[ smaWin.Count - 1 ];

	currentSma = self.smaWin[0]
	previousSma = self.smaWin[1]
	oldestSma = self.smaWin[ smaWin.Count - 1 ]

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