Writing Algorithms

API Reference

Introduction

QCAlgorithm

class QuantConnect.Algorithm.QCAlgorithm[source]

QC Algorithm Base Class - Handle the basic requirements of a trading algorithm, allowing user to focus on event methods. The QCAlgorithm class implements Portfolio, Securities, Transactions and Data Subscription Management.

QCAlgorithm

class QuantConnect.Algorithm.QCAlgorithm[source]

QC Algorithm Base Class - Handle the basic requirements of a trading algorithm, allowing user to focus on event methods. The QCAlgorithm class implements Portfolio, Securities, Transactions and Data Subscription Management.

Adding Data

Adding Data

add_cfd(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0)[source]

Creates and adds a new Cfd security to the algorithm

Parameters:
  • ticker (str) — The currency pair
  • resolution (Resolution, optional)
  • market (str, optional)
  • fill_forward (bool, optional)
  • leverage (float, optional)
Returns:

The new Cfd security

Return type:

Cfd

AddCfd(ticker, resolution=None, market=None, fillForward=True, leverage=0.0)[source]

Creates and adds a new Cfd security to the algorithm

Parameters:
  • ticker (string) — The currency pair
  • resolution (Resolution, optional)
  • market (string, optional)
  • fillForward (bool, optional)
  • leverage (decimal, optional)
Returns:

The new Cfd security

Return type:

Cfd

add_crypto(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0)[source]

Creates and adds a new Crypto security to the algorithm

Parameters:
  • ticker (str) — The currency pair
  • resolution (Resolution, optional)
  • market (str, optional)
  • fill_forward (bool, optional)
  • leverage (float, optional)
Returns:

The new Crypto security

Return type:

Crypto

AddCrypto(ticker, resolution=None, market=None, fillForward=True, leverage=0.0)[source]

Creates and adds a new Crypto security to the algorithm

Parameters:
  • ticker (string) — The currency pair
  • resolution (Resolution, optional)
  • market (string, optional)
  • fillForward (bool, optional)
  • leverage (decimal, optional)
Returns:

The new Crypto security

Return type:

Crypto

add_crypto_future(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0)[source]

Creates and adds a new CryptoFuture security to the algorithm

Parameters:
  • ticker (str) — The currency pair
  • resolution (Resolution, optional)
  • market (str, optional)
  • fill_forward (bool, optional)
  • leverage (float, optional)
Returns:

The new CryptoFuture security

Return type:

CryptoFuture

AddCryptoFuture(ticker, resolution=None, market=None, fillForward=True, leverage=0.0)[source]

Creates and adds a new CryptoFuture security to the algorithm

Parameters:
  • ticker (string) — The currency pair
  • resolution (Resolution, optional)
  • market (string, optional)
  • fillForward (bool, optional)
  • leverage (decimal, optional)
Returns:

The new CryptoFuture security

Return type:

CryptoFuture

add_data(type, ticker, properties, exchange_hours, resolution, fill_forward, leverage=1.0)[source]

AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)

Parameters:
  • type (PyObject) — Data source type
  • ticker (str) — KeyTicker for data
  • properties (SymbolProperties) — The properties of this new custom data
  • exchange_hours (SecurityExchangeHours) — The Exchange hours of this symbol
  • resolution (Optional[Resolution]) — Resolution of the Data Required
  • fill_forward (bool) — When no data available on a tradebar, return the last data that was generated
  • leverage (float, optional) — Custom leverage per security
Returns:

The new Security

Return type:

Security

add_data(type, ticker, resolution, time_zone, fill_forward, leverage=1.0)[source]

AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)

Parameters:
  • type (PyObject) — Data source type
  • ticker (str) — KeyTicker for data
  • resolution (Optional[Resolution]) — Resolution of the Data Required
  • time_zone (datetimeZone) — Specifies the time zone of the raw data
  • fill_forward (bool) — When no data available on a tradebar, return the last data that was generated
  • leverage (float, optional) — Custom leverage per security
Returns:

The new Security

Return type:

Security

add_data(type, underlying, resolution, time_zone, fill_forward, leverage=1.0)[source]

AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)

Parameters:
  • type (PyObject) — Data source type
  • underlying (Symbol) — The underlying symbol for the custom data
  • resolution (Optional[Resolution]) — Resolution of the Data Required
  • time_zone (datetimeZone) — Specifies the time zone of the raw data
  • fill_forward (bool) — When no data available on a tradebar, return the last data that was generated
  • leverage (float, optional) — Custom leverage per security
Returns:

The new Security

Return type:

Security

add_data(data_type, ticker, resolution, time_zone, fill_forward, leverage=1.0)[source]

AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)

Parameters:
  • data_type (Type) — Data source type
  • ticker (str) — KeyTicker for data
  • resolution (Optional[Resolution]) — Resolution of the Data Required
  • time_zone (datetimeZone) — Specifies the time zone of the raw data
  • fill_forward (bool) — When no data available on a tradebar, return the last data that was generated
  • leverage (float, optional) — Custom leverage per security
Returns:

The new Security

Return type:

Security

add_data(data_type, underlying, resolution, time_zone, fill_forward, leverage=1.0)[source]

AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)

Parameters:
  • data_type (Type) — Data source type
  • underlying (Symbol)
  • resolution (Optional[Resolution]) — Resolution of the Data Required
  • time_zone (datetimeZone) — Specifies the time zone of the raw data
  • fill_forward (bool) — When no data available on a tradebar, return the last data that was generated
  • leverage (float, optional) — Custom leverage per security
Returns:

The new Security

Return type:

Security

AddData(type, ticker, properties, exchangeHours, resolution, fillForward, leverage=1.0)[source]

AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)

Parameters:
  • type (PyObject) — Data source type
  • ticker (string) — KeyTicker for data
  • properties (SymbolProperties) — The properties of this new custom data
  • exchangeHours (SecurityExchangeHours) — The Exchange hours of this symbol
  • resolution (Nullable[Resolution]) — Resolution of the Data Required
  • fillForward (Boolean) — When no data available on a tradebar, return the last data that was generated
  • leverage (decimal, optional) — Custom leverage per security
Returns:

The new Security

Return type:

Security

AddData(type, ticker, resolution, timeZone, fillForward, leverage=1.0)[source]

AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)

Parameters:
  • type (PyObject) — Data source type
  • ticker (string) — KeyTicker for data
  • resolution (Nullable[Resolution]) — Resolution of the Data Required
  • timeZone (DateTimeZone) — Specifies the time zone of the raw data
  • fillForward (Boolean) — When no data available on a tradebar, return the last data that was generated
  • leverage (decimal, optional) — Custom leverage per security
Returns:

The new Security

Return type:

Security

AddData(type, underlying, resolution, timeZone, fillForward, leverage=1.0)[source]

AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)

Parameters:
  • type (PyObject) — Data source type
  • underlying (Symbol) — The underlying symbol for the custom data
  • resolution (Nullable[Resolution]) — Resolution of the Data Required
  • timeZone (DateTimeZone) — Specifies the time zone of the raw data
  • fillForward (Boolean) — When no data available on a tradebar, return the last data that was generated
  • leverage (decimal, optional) — Custom leverage per security
Returns:

The new Security

Return type:

Security

AddData(dataType, ticker, resolution, timeZone, fillForward, leverage=1.0)[source]

AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)

Parameters:
  • dataType (Type) — Data source type
  • ticker (string) — KeyTicker for data
  • resolution (Nullable[Resolution]) — Resolution of the Data Required
  • timeZone (DateTimeZone) — Specifies the time zone of the raw data
  • fillForward (Boolean) — When no data available on a tradebar, return the last data that was generated
  • leverage (decimal, optional) — Custom leverage per security
Returns:

The new Security

Return type:

Security

AddData(dataType, underlying, resolution, timeZone, fillForward, leverage=1.0)[source]

AddDataT a new user defined data source, requiring only the minimum config options. The data is added with a default time zone of NewYork (Eastern Daylight Savings Time)

Parameters:
  • dataType (Type) — Data source type
  • underlying (Symbol)
  • resolution (Nullable[Resolution]) — Resolution of the Data Required
  • timeZone (DateTimeZone) — Specifies the time zone of the raw data
  • fillForward (Boolean) — When no data available on a tradebar, return the last data that was generated
  • leverage (decimal, optional) — Custom leverage per security
Returns:

The new Security

Return type:

Security

add_equity(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0, extended_market_hours=False, data_normalization_mode=None)[source]

Creates and adds a new Equity security to the algorithm

Parameters:
  • ticker (str) — The equity ticker symbol
  • resolution (Resolution, optional)
  • market (str, optional)
  • fill_forward (bool, optional)
  • leverage (float, optional)
  • extended_market_hours (bool, optional)
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the equity
Returns:

The new Equity security

Return type:

Equity

AddEquity(ticker, resolution=None, market=None, fillForward=True, leverage=0.0, extendedMarketHours=False, dataNormalizationMode=None)[source]

Creates and adds a new Equity security to the algorithm

Parameters:
  • ticker (string) — The equity ticker symbol
  • resolution (Resolution, optional)
  • market (string, optional)
  • fillForward (bool, optional)
  • leverage (decimal, optional)
  • extendedMarketHours (bool, optional)
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the equity
Returns:

The new Equity security

Return type:

Equity

add_forex(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0)[source]

Creates and adds a new Forex security to the algorithm

Parameters:
  • ticker (str) — The currency pair
  • resolution (Resolution, optional)
  • market (str, optional)
  • fill_forward (bool, optional)
  • leverage (float, optional)
Returns:

The new Forex security

Return type:

Forex

AddForex(ticker, resolution=None, market=None, fillForward=True, leverage=0.0)[source]

Creates and adds a new Forex security to the algorithm

Parameters:
  • ticker (string) — The currency pair
  • resolution (Resolution, optional)
  • market (string, optional)
  • fillForward (bool, optional)
  • leverage (decimal, optional)
Returns:

The new Forex security

Return type:

Forex

add_future(ticker, resolution=None, market=None, fill_forward=True, leverage=0.0, extended_market_hours=False, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=0)[source]

Creates and adds a new Future security to the algorithm

Parameters:
  • ticker (str) — The future ticker
  • resolution (Resolution, optional)
  • market (str, optional)
  • fill_forward (bool, optional)
  • leverage (float, optional)
  • extended_market_hours (bool, optional) — Use extended market hours data
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the continuous future contract
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the continuous future contract
  • contract_depth_offset (int, optional) — The continuous future contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract
Returns:

The new Future security

Return type:

Future

AddFuture(ticker, resolution=None, market=None, fillForward=True, leverage=0.0, extendedMarketHours=False, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=0)[source]

Creates and adds a new Future security to the algorithm

Parameters:
  • ticker (string) — The future ticker
  • resolution (Resolution, optional)
  • market (string, optional)
  • fillForward (bool, optional)
  • leverage (decimal, optional)
  • extendedMarketHours (bool, optional) — Use extended market hours data
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the continuous future contract
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the continuous future contract
  • contractDepthOffset (Int32, optional) — The continuous future contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract
Returns:

The new Future security

Return type:

Future

add_future_contract(symbol, resolution=None, fill_forward=True, leverage=0.0, extended_market_hours=False)[source]

Creates and adds a new single Future contract to the algorithm

Parameters:
  • symbol (Symbol) — The futures contract symbol
  • resolution (Resolution, optional)
  • fill_forward (bool, optional)
  • leverage (float, optional)
  • extended_market_hours (bool, optional) — Use extended market hours data
Returns:

The new Future security

Return type:

Future

AddFutureContract(symbol, resolution=None, fillForward=True, leverage=0.0, extendedMarketHours=False)[source]

Creates and adds a new single Future contract to the algorithm

Parameters:
  • symbol (Symbol) — The futures contract symbol
  • resolution (Resolution, optional)
  • fillForward (bool, optional)
  • leverage (decimal, optional)
  • extendedMarketHours (bool, optional) — Use extended market hours data
Returns:

The new Future security

Return type:

Future

add_future_option(future_symbol, option_filter)[source]

Creates and adds a new Future Option contract to the algorithm.

Parameters:
  • future_symbol (Symbol) — )
  • option_filter (PyObject) — Filter to apply to option contracts loaded as part of the universe
add_future_option(symbol, option_filter=None)[source]

Creates and adds a new Future Option contract to the algorithm.

Parameters:
  • symbol (Symbol) — )
  • option_filter (Callable[OptionFilterUniverse, OptionFilterUniverse], optional) — Filter to apply to option contracts loaded as part of the universe
AddFutureOption(futureSymbol, optionFilter)[source]

Creates and adds a new Future Option contract to the algorithm.

Parameters:
  • futureSymbol (Symbol) — )
  • optionFilter (PyObject) — Filter to apply to option contracts loaded as part of the universe
AddFutureOption(symbol, optionFilter=None)[source]

Creates and adds a new Future Option contract to the algorithm.

Parameters:
  • symbol (Symbol) — )
  • optionFilter (Func<OptionFilterUniverse, OptionFilterUniverse>, optional) — Filter to apply to option contracts loaded as part of the universe
add_future_option_contract(symbol, resolution=None, fill_forward=True, leverage=0.0, extended_market_hours=False)[source]

Adds a future option contract to the algorithm.

Parameters:
  • symbol (Symbol) — Option contract Symbol
  • resolution (Resolution, optional) — Resolution of the option contract, i.e. the granularity of the data
  • fill_forward (bool, optional) — If true, this will fill in missing data points with the previous data point
  • leverage (float, optional) — The leverage to apply to the option contract
  • extended_market_hours (bool, optional) — Use extended market hours data
Returns:

Option security

Return type:

Option

AddFutureOptionContract(symbol, resolution=None, fillForward=True, leverage=0.0, extendedMarketHours=False)[source]

Adds a future option contract to the algorithm.

Parameters:
  • symbol (Symbol) — Option contract Symbol
  • resolution (Resolution, optional) — Resolution of the option contract, i.e. the granularity of the data
  • fillForward (bool, optional) — If true, this will fill in missing data points with the previous data point
  • leverage (decimal, optional) — The leverage to apply to the option contract
  • extendedMarketHours (bool, optional) — Use extended market hours data
Returns:

Option security

Return type:

Option

add_index(ticker, resolution=None, market=None, fill_forward=True)[source]

Creates and adds index options to the algorithm.

Parameters:
  • ticker (str) — The currency pair
  • resolution (Resolution, optional)
  • market (str, optional)
  • fill_forward (bool, optional)
Returns:

The new Index security

Return type:

Index

AddIndex(ticker, resolution=None, market=None, fillForward=True)[source]

Creates and adds index options to the algorithm.

Parameters:
  • ticker (string) — The currency pair
  • resolution (Resolution, optional)
  • market (string, optional)
  • fillForward (bool, optional)
Returns:

The new Index security

Return type:

Index

add_index_option(ticker, resolution=None, market=usa, fill_forward=True)[source]

Creates and adds index options to the algorithm.

Parameters:
  • ticker (str) — The ticker of the Index Option
  • resolution (Resolution, optional) — Resolution of the index option contracts, i.e. the granularity of the data
  • market (str, optional)
  • fill_forward (bool, optional) — If true, this will fill in missing data points with the previous data point
Returns:

Canonical Option security

Return type:

Option

add_index_option(symbol, target_option, resolution=None, fill_forward=True)[source]

Creates and adds index options to the algorithm.

Parameters:
  • symbol (Symbol)
  • target_option (str) — The target option ticker. This is useful when the option ticker does not match the underlying, e.g. SPX index and the SPXW weekly option. If null is provided will use underlying
  • resolution (Resolution, optional) — Resolution of the index option contracts, i.e. the granularity of the data
  • fill_forward (bool, optional) — If true, this will fill in missing data points with the previous data point
Returns:

Canonical Option security

Return type:

Option

AddIndexOption(ticker, resolution=None, market=usa, fillForward=True)[source]

Creates and adds index options to the algorithm.

Parameters:
  • ticker (string) — The ticker of the Index Option
  • resolution (Resolution, optional) — Resolution of the index option contracts, i.e. the granularity of the data
  • market (string, optional)
  • fillForward (bool, optional) — If true, this will fill in missing data points with the previous data point
Returns:

Canonical Option security

Return type:

Option

AddIndexOption(symbol, targetOption, resolution=None, fillForward=True)[source]

Creates and adds index options to the algorithm.

Parameters:
  • symbol (Symbol)
  • targetOption (string) — The target option ticker. This is useful when the option ticker does not match the underlying, e.g. SPX index and the SPXW weekly option. If null is provided will use underlying
  • resolution (Resolution, optional) — Resolution of the index option contracts, i.e. the granularity of the data
  • fillForward (bool, optional) — If true, this will fill in missing data points with the previous data point
Returns:

Canonical Option security

Return type:

Option

add_index_option_contract(symbol, resolution=None, fill_forward=True)[source]

Adds an index option contract to the algorithm.

Parameters:
  • symbol (Symbol) — Symbol of the index option contract
  • resolution (Resolution, optional) — Resolution of the index option contract, i.e. the granularity of the data
  • fill_forward (bool, optional) — If true, this will fill in missing data points with the previous data point
Returns:

Index Option Contract

Return type:

Option

AddIndexOptionContract(symbol, resolution=None, fillForward=True)[source]

Adds an index option contract to the algorithm.

Parameters:
  • symbol (Symbol) — Symbol of the index option contract
  • resolution (Resolution, optional) — Resolution of the index option contract, i.e. the granularity of the data
  • fillForward (bool, optional) — If true, this will fill in missing data points with the previous data point
Returns:

Index Option Contract

Return type:

Option

add_option(underlying, target_option, resolution=None, market=None, fill_forward=True, leverage=0.0)[source]

Creates and adds a new equity Option security to the algorithm

Parameters:
  • underlying (Symbol | str) — Underlying asset Symbol to use as the option's underlying
  • target_option (str) — The target option ticker. This is useful when the option ticker does not match the underlying, e.g. SPX index and the SPXW weekly option. If null is provided will use underlying
  • resolution (Resolution, optional)
  • market (str, optional)
  • fill_forward (bool, optional) — If true, data will be provided to the algorithm every Second, Minute, Hour, or Day, while the asset is open and depending on the Resolution this option was configured to use.
  • leverage (float, optional) — The requested leverage for the
Returns:

The new option security instance

Return type:

Option

AddOption(underlying, targetOption, resolution=None, market=None, fillForward=True, leverage=0.0)[source]

Creates and adds a new equity Option security to the algorithm

Parameters:
  • underlying (String | Symbol) — Underlying asset Symbol to use as the option's underlying
  • targetOption (string) — The target option ticker. This is useful when the option ticker does not match the underlying, e.g. SPX index and the SPXW weekly option. If null is provided will use underlying
  • resolution (Resolution, optional)
  • market (string, optional)
  • fillForward (bool, optional) — If true, data will be provided to the algorithm every Second, Minute, Hour, or Day, while the asset is open and depending on the Resolution this option was configured to use.
  • leverage (decimal, optional) — The requested leverage for the
Returns:

The new option security instance

Return type:

Option

add_option_contract(symbol, resolution=None, fill_forward=True, leverage=0.0, extended_market_hours=False)[source]

Creates and adds a new single Option contract to the algorithm

Parameters:
  • symbol (Symbol) — The option contract symbol
  • resolution (Resolution, optional)
  • fill_forward (bool, optional)
  • leverage (float, optional)
  • extended_market_hours (bool, optional) — Use extended market hours data
Returns:

The new Option security

Return type:

Option

AddOptionContract(symbol, resolution=None, fillForward=True, leverage=0.0, extendedMarketHours=False)[source]

Creates and adds a new single Option contract to the algorithm

Parameters:
  • symbol (Symbol) — The option contract symbol
  • resolution (Resolution, optional)
  • fillForward (bool, optional)
  • leverage (decimal, optional)
  • extendedMarketHours (bool, optional) — Use extended market hours data
Returns:

The new Option security

Return type:

Option

add_security(security_type, ticker, resolution, market, fill_forward, leverage, extended_market_hours, data_mapping_mode=None, data_normalization_mode=None)[source]

Add specified data to our data subscriptions. QuantConnect will funnel this data to the handle data routine.

Parameters:
  • security_type (SecurityType) — MarketType Type: Equity, Commodity, Future, FOREX or Crypto
  • ticker (str) — The security ticker, e.g. AAPL
  • resolution (Optional[Resolution]) — Resolution of the MarketType required: MarketData, Second or Minute
  • market (str) — The market the requested security belongs to, such as 'usa' or 'fxcm'
  • fill_forward (bool) — If true, returns the last available data even if none in that timeslice.
  • leverage (float) — leverage for this security
  • extended_market_hours (bool) — Use extended market hours data
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the security
Return type:

Security

add_security(symbol, resolution=None, fill_forward=True, leverage=0.0, extended_market_hours=False, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=0)[source]

Add specified data to our data subscriptions. QuantConnect will funnel this data to the handle data routine.

Parameters:
  • symbol (Symbol) — The security Symbol
  • resolution (Resolution, optional) — Resolution of the MarketType required: MarketData, Second or Minute
  • fill_forward (bool, optional) — If true, returns the last available data even if none in that timeslice.
  • leverage (float, optional) — leverage for this security
  • extended_market_hours (bool, optional) — Use extended market hours data
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the security
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract
Returns:

The new Security that was added to the algorithm

Return type:

Security

AddSecurity(securityType, ticker, resolution, market, fillForward, leverage, extendedMarketHours, dataMappingMode=None, dataNormalizationMode=None)[source]

Add specified data to our data subscriptions. QuantConnect will funnel this data to the handle data routine.

Parameters:
  • securityType (SecurityType) — MarketType Type: Equity, Commodity, Future, FOREX or Crypto
  • ticker (string) — The security ticker, e.g. AAPL
  • resolution (Nullable[Resolution]) — Resolution of the MarketType required: MarketData, Second or Minute
  • market (string) — The market the requested security belongs to, such as 'usa' or 'fxcm'
  • fillForward (Boolean) — If true, returns the last available data even if none in that timeslice.
  • leverage (decimal) — leverage for this security
  • extendedMarketHours (Boolean) — Use extended market hours data
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the security
Return type:

Security

AddSecurity(symbol, resolution=None, fillForward=True, leverage=0.0, extendedMarketHours=False, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=0)[source]

Add specified data to our data subscriptions. QuantConnect will funnel this data to the handle data routine.

Parameters:
  • symbol (Symbol) — The security Symbol
  • resolution (Resolution, optional) — Resolution of the MarketType required: MarketData, Second or Minute
  • fillForward (bool, optional) — If true, returns the last available data even if none in that timeslice.
  • leverage (decimal, optional) — leverage for this security
  • extendedMarketHours (bool, optional) — Use extended market hours data
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the security
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 (default) will use the front month, 1 will use the back month contract
Returns:

The new Security that was added to the algorithm

Return type:

Security

download(address, headers, user_name, password)[source]

Downloads the requested resource as a String. The resource to download is specified as a String containing the URI.

Parameters:
  • address (str) — A string containing the URI to download
  • headers (PyObject | Dict[str, str]) — Defines header values to add to the request
  • user_name (str) — The user name associated with the credentials
  • password (str) — The password for the user name associated with the credentials
Returns:

The requested resource as a string

Return type:

str

Download(address, headers, userName, password)[source]

Downloads the requested resource as a String. The resource to download is specified as a String containing the URI.

Parameters:
  • address (string) — A string containing the URI to download
  • headers (PyObject | KeyValuePair[String, String]) — Defines header values to add to the request
  • userName (string) — The user name associated with the credentials
  • password (string) — The password for the user name associated with the credentials
Returns:

The requested resource as a string

Return type:

String

get_last_known_prices(security)[source]

Yields data to warmup a security for all it's subscribed data types

Parameters:
  • security (Security) — object for which to retrieve historical data
Returns:

Securities historical data

Return type:

List[BaseData]

get_last_known_prices(symbol)[source]

Yields data to warmup a security for all it's subscribed data types

Parameters:
  • symbol (Symbol) — The symbol we want to get seed data for
Returns:

Securities historical data

Return type:

List[BaseData]

GetLastKnownPrices(security)[source]

Yields data to warmup a security for all it's subscribed data types

Parameters:
  • security (Security) — object for which to retrieve historical data
Returns:

Securities historical data

Return type:

IEnumerable[BaseData]

GetLastKnownPrices(symbol)[source]

Yields data to warmup a security for all it's subscribed data types

Parameters:
  • symbol (Symbol) — The symbol we want to get seed data for
Returns:

Securities historical data

Return type:

IEnumerable[BaseData]

on_securities_changed(changes)[source]

Event fired each time the we add/remove securities from the data feed

Parameters:
  • changes (SecurityChanges) — Security additionsremovals for this time step
OnSecuritiesChanged(changes)[source]

Event fired each time the we add/remove securities from the data feed

Parameters:
  • changes (SecurityChanges) — Security additionsremovals for this time step
remove_option_contract(symbol)[source]

Removes the security with the specified symbol. This will cancel all open orders and then liquidate any existing holdings

Parameters:
  • symbol (Symbol) — The symbol of the security to be removed
Return type:

bool

RemoveOptionContract(symbol)[source]

Removes the security with the specified symbol. This will cancel all open orders and then liquidate any existing holdings

Parameters:
  • symbol (Symbol) — The symbol of the security to be removed
Return type:

Boolean

remove_security(symbol)[source]

Removes the security with the specified symbol. This will cancel all open orders and then liquidate any existing holdings

Parameters:
  • symbol (Symbol) — The symbol of the security to be removed
Return type:

bool

RemoveSecurity(symbol)[source]

Removes the security with the specified symbol. This will cancel all open orders and then liquidate any existing holdings

Parameters:
  • symbol (Symbol) — The symbol of the security to be removed
Return type:

Boolean

set_future_chain_provider(future_chain_provider)[source]

Sets the future chain provider, used to get the list of future contracts for an underlying symbol

Parameters:
  • future_chain_provider (IFutureChainProvider) — The future chain provider
SetFutureChainProvider(futureChainProvider)[source]

Sets the future chain provider, used to get the list of future contracts for an underlying symbol

Parameters:
  • futureChainProvider (IFutureChainProvider) — The future chain provider
set_option_chain_provider(option_chain_provider)[source]

Sets the option chain provider, used to get the list of option contracts for an underlying symbol

Parameters:
  • option_chain_provider (IOptionChainProvider) — The option chain provider
SetOptionChainProvider(optionChainProvider)[source]

Sets the option chain provider, used to get the list of option contracts for an underlying symbol

Parameters:
  • optionChainProvider (IOptionChainProvider) — The option chain provider
set_security_initializer(security_initializer)[source]

Sets the security initializer, used to initialize/configure securities after creation. The initializer will be applied to all universes and manually added securities.

Parameters:
  • security_initializer (PyObject | Action[Security] | ISecurityInitializer) — The security initializer function or class
SetSecurityInitializer(securityInitializer)[source]

Sets the security initializer, used to initialize/configure securities after creation. The initializer will be applied to all universes and manually added securities.

Parameters:
  • securityInitializer (PyObject | Action[Security] | ISecurityInitializer) — The security initializer function or class
symbol(ticker)[source]

Converts the string 'ticker' symbol into a full String) object This requires that the string 'ticker' has been added to the algorithm

Parameters:
  • ticker (str) — The ticker symbol. This should be the ticker symbol as it was added to the algorithm
Returns:

The symbol object mapped to the specified ticker

Return type:

Symbol

Symbol(ticker)[source]

Converts the string 'ticker' symbol into a full String) object This requires that the string 'ticker' has been added to the algorithm

Parameters:
  • ticker (string) — The ticker symbol. This should be the ticker symbol as it was added to the algorithm
Returns:

The symbol object mapped to the specified ticker

Return type:

Symbol

ticker(symbol)[source]

For the given symbol will resolve the ticker it used at the current algorithm date

Parameters:
  • symbol (Symbol) — The symbol to get the ticker for
Returns:

The mapped ticker for a symbol

Return type:

str

Ticker(symbol)[source]

For the given symbol will resolve the ticker it used at the current algorithm date

Parameters:
  • symbol (Symbol) — The symbol to get the ticker for
Returns:

The mapped ticker for a symbol

Return type:

String

property future_chain_provider[source]

Gets the future chain provider, used to get the list of future contracts for an underlying symbol

Returns:

Gets the future chain provider, used to get the list of future contracts for an underlying symbol

Return type:

IFutureChainProvider

property FutureChainProvider[source]

Gets the future chain provider, used to get the list of future contracts for an underlying symbol

Returns:

Gets the future chain provider, used to get the list of future contracts for an underlying symbol

Return type:

IFutureChainProvider

property option_chain_provider[source]

Gets the option chain provider, used to get the list of option contracts for an underlying symbol

Returns:

Gets the option chain provider, used to get the list of option contracts for an underlying symbol

Return type:

IOptionChainProvider

property OptionChainProvider[source]

Gets the option chain provider, used to get the list of option contracts for an underlying symbol

Returns:

Gets the option chain provider, used to get the list of option contracts for an underlying symbol

Return type:

IOptionChainProvider

property security_initializer[source]

Gets an instance that is to be used to initialize newly created securities.

Returns:

Gets an instance that is to be used to initialize newly created securities.

Return type:

ISecurityInitializer

property SecurityInitializer[source]

Gets an instance that is to be used to initialize newly created securities.

Returns:

Gets an instance that is to be used to initialize newly created securities.

Return type:

ISecurityInitializer

Algorithm Framework

Algorithm Framework

add_alpha(alpha)[source]

Adds a new alpha model

Parameters:
  • alpha (PyObject | IAlphaModel) — Model that generates alpha to add
AddAlpha(alpha)[source]

Adds a new alpha model

Parameters:
  • alpha (PyObject | IAlphaModel) — Model that generates alpha to add
add_risk_management(risk_management)[source]

Adds a new risk management model

Parameters:
  • risk_management (PyObject | IRiskManagementModel) — Model defining how risk is managed to add
AddRiskManagement(riskManagement)[source]

Adds a new risk management model

Parameters:
  • riskManagement (PyObject | IRiskManagementModel) — Model defining how risk is managed to add
add_universe_selection(universe_selection)[source]

Adds a new universe selection model

Parameters:
  • universe_selection (PyObject | IUniverseSelectionModel) — Model defining universes for the algorithm to add
AddUniverseSelection(universeSelection)[source]

Adds a new universe selection model

Parameters:
  • universeSelection (PyObject | IUniverseSelectionModel) — Model defining universes for the algorithm to add
emit_insights(insights)[source]

Manually emit insights from an algorithm. This is typically invoked before calls to submit orders in algorithms written against QCAlgorithm that have been ported into the algorithm framework.

Parameters:
  • insights (Insight[]) — The array of insights to be emitted
emit_insights(insight)[source]

Manually emit insights from an algorithm. This is typically invoked before calls to submit orders in algorithms written against QCAlgorithm that have been ported into the algorithm framework.

Parameters:
  • insight (Insight) — The insight to be emitted
EmitInsights(insights)[source]

Manually emit insights from an algorithm. This is typically invoked before calls to submit orders in algorithms written against QCAlgorithm that have been ported into the algorithm framework.

Parameters:
  • insights (Insight[]) — The array of insights to be emitted
EmitInsights(insight)[source]

Manually emit insights from an algorithm. This is typically invoked before calls to submit orders in algorithms written against QCAlgorithm that have been ported into the algorithm framework.

Parameters:
  • insight (Insight) — The insight to be emitted
framework_post_initialize()[source]

Called by setup handlers after Initialize and allows the algorithm a chance to organize the data gather in the Initialize method

FrameworkPostInitialize()[source]

Called by setup handlers after Initialize and allows the algorithm a chance to organize the data gather in the Initialize method

get_locked()[source]

Gets whether or not this algorithm has been locked and fully initialized

Return type:

bool

GetLocked()[source]

Gets whether or not this algorithm has been locked and fully initialized

Return type:

Boolean

initialize()[source]

Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.

Initialize()[source]

Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.

on_framework_data(slice)[source]

Used to send data updates to algorithm framework models

Parameters:
  • slice (Slice) — The current data slice
OnFrameworkData(slice)[source]

Used to send data updates to algorithm framework models

Parameters:
  • slice (Slice) — The current data slice
on_framework_securities_changed(changes)[source]

Used to send security changes to algorithm framework models

Parameters:
  • changes (SecurityChanges) — Security additionsremovals for this time step
OnFrameworkSecuritiesChanged(changes)[source]

Used to send security changes to algorithm framework models

Parameters:
  • changes (SecurityChanges) — Security additionsremovals for this time step
post_initialize()[source]

Called by setup handlers after Initialize and allows the algorithm a chance to organize the data gather in the Initialize method

PostInitialize()[source]

Called by setup handlers after Initialize and allows the algorithm a chance to organize the data gather in the Initialize method

set_alpha(alpha)[source]

Sets the alpha model

Parameters:
  • alpha (PyObject | IAlphaModel) — Model that generates alpha
SetAlpha(alpha)[source]

Sets the alpha model

Parameters:
  • alpha (PyObject | IAlphaModel) — Model that generates alpha
set_execution(execution)[source]

Sets the execution model

Parameters:
  • execution (PyObject | IExecutionModel) — Model defining how to execute trades to reach a portfolio target
SetExecution(execution)[source]

Sets the execution model

Parameters:
  • execution (PyObject | IExecutionModel) — Model defining how to execute trades to reach a portfolio target
set_locked()[source]

Lock the algorithm initialization to avoid user modifiying cash and data stream subscriptions

SetLocked()[source]

Lock the algorithm initialization to avoid user modifiying cash and data stream subscriptions

set_portfolio_construction(portfolio_construction)[source]

Sets the portfolio construction model

Parameters:
  • portfolio_construction (PyObject | IPortfolioConstructionModel) — Model defining how to build a portfolio from insights
SetPortfolioConstruction(portfolioConstruction)[source]

Sets the portfolio construction model

Parameters:
  • portfolioConstruction (PyObject | IPortfolioConstructionModel) — Model defining how to build a portfolio from insights
set_risk_management(risk_management)[source]

Sets the risk management model

Parameters:
  • risk_management (PyObject | IRiskManagementModel) — Model defining how risk is managed
SetRiskManagement(riskManagement)[source]

Sets the risk management model

Parameters:
  • riskManagement (PyObject | IRiskManagementModel) — Model defining how risk is managed
set_universe_selection(universe_selection)[source]

Sets the universe selection model

Parameters:
  • universe_selection (PyObject | IUniverseSelectionModel) — Model defining universes for the algorithm
SetUniverseSelection(universeSelection)[source]

Sets the universe selection model

Parameters:
  • universeSelection (PyObject | IUniverseSelectionModel) — Model defining universes for the algorithm
property alpha[source]

Gets or sets the alpha model

Returns:

Gets or sets the alpha model

Return type:

IAlphaModel

property Alpha[source]

Gets or sets the alpha model

Returns:

Gets or sets the alpha model

Return type:

IAlphaModel

property execution[source]

Gets or sets the execution model

Returns:

Gets or sets the execution model

Return type:

IExecutionModel

property Execution[source]

Gets or sets the execution model

Returns:

Gets or sets the execution model

Return type:

IExecutionModel

property insights[source]

Gets the insight manager

Returns:

Gets the insight manager

Return type:

InsightManager

property Insights[source]

Gets the insight manager

Returns:

Gets the insight manager

Return type:

InsightManager

property portfolio_construction[source]

Gets or sets the portfolio construction model

Returns:

Gets or sets the portfolio construction model

Return type:

IPortfolioConstructionModel

property PortfolioConstruction[source]

Gets or sets the portfolio construction model

Returns:

Gets or sets the portfolio construction model

Return type:

IPortfolioConstructionModel

property risk_management[source]

Gets or sets the risk management model

Returns:

Gets or sets the risk management model

Return type:

IRiskManagementModel

property RiskManagement[source]

Gets or sets the risk management model

Returns:

Gets or sets the risk management model

Return type:

IRiskManagementModel

property universe_selection[source]

Gets or sets the universe selection model.

Returns:

Gets or sets the universe selection model.

Return type:

IUniverseSelectionModel

property UniverseSelection[source]

Gets or sets the universe selection model.

Returns:

Gets or sets the universe selection model.

Return type:

IUniverseSelectionModel

Charting

Charting

add_chart(chart)[source]

Add a Chart object to algorithm collection

Parameters:
  • chart (Chart) — Chart object to add to collection.
AddChart(chart)[source]

Add a Chart object to algorithm collection

Parameters:
  • chart (Chart) — Chart object to add to collection.
add_series(chart, series, series_type, unit=$)[source]

Add a series object for charting. This is useful when initializing charts with series other than type = line. If a series exists in the chart with the same name, then it is replaced.

Parameters:
  • chart (str) — The chart name
  • series (str) — The series name
  • series_type (SeriesType) — The type of series, i.e, Scatter
  • unit (str, optional) — The unit of the y axis, usually $
AddSeries(chart, series, seriesType, unit=$)[source]

Add a series object for charting. This is useful when initializing charts with series other than type = line. If a series exists in the chart with the same name, then it is replaced.

Parameters:
  • chart (string) — The chart name
  • series (string) — The series name
  • seriesType (SeriesType) — The type of series, i.e, Scatter
  • unit (string, optional) — The unit of the y axis, usually $
get_chart_updates(clear_chart_data=False)[source]

Get the chart updates by fetch the recent points added and return for dynamic Charting.

Parameters:
  • clear_chart_data (bool, optional)
Returns:

List of chart updates since the last request

Return type:

List[Chart]

GetChartUpdates(clearChartData=False)[source]

Get the chart updates by fetch the recent points added and return for dynamic Charting.

Parameters:
  • clearChartData (bool, optional)
Returns:

List of chart updates since the last request

Return type:

IEnumerable[Chart]

plot(chart, series, open, high, low, close)[source]

Plot a chart using string series name, with value.

Parameters:
  • chart (str) — Chart name
  • series (str) — Series name
  • open (int | float) — The candlestick open value
  • high (int | float) — The candlestick high value
  • low (int | float) — The candlestick low value
  • close (int | float) — The candlestick close value
plot(chart, first, second=None, third=None, fourth=None)[source]

Plot a chart using string series name, with value.

Parameters:
plot(chart, series, value)[source]

Plot a chart using string series name, with value.

Parameters:
  • chart (str)
  • series (str)
  • value (int | float)
plot(chart, series, bar)[source]

Plot a chart using string series name, with value.

Parameters:
  • chart (str) — Chart name
  • series (str) — Name of the plot series
  • bar (TradeBar) — The trade bar to be plotted to the candlestick series
plot(series, py_object)[source]

Plot a chart using string series name, with value.

Parameters:
  • series (str) — Name of the plot series
  • py_object (PyObject) — PyObject with the value to plot
plot(chart, indicators)[source]

Plot a chart using string series name, with value.

Parameters:
  • chart (str) — The chart's name
  • indicators (IndicatorBase[]) — The indicators to plot
Plot(chart, series, open, high, low, close)[source]

Plot a chart using string series name, with value.

Parameters:
  • chart (string) — Chart name
  • series (string) — Series name
  • open (Int32 | Double | Single | Decimal) — The candlestick open value
  • high (Int32 | Double | Single | Decimal) — The candlestick high value
  • low (Int32 | Double | Single | Decimal) — The candlestick low value
  • close (Int32 | Double | Single | Decimal) — The candlestick close value
Plot(chart, first, second=None, third=None, fourth=None)[source]

Plot a chart using string series name, with value.

Parameters:
Plot(chart, series, value)[source]

Plot a chart using string series name, with value.

Parameters:
  • chart (string)
  • series (string)
  • value (Int32 | Double | Single | Decimal)
Plot(chart, series, bar)[source]

Plot a chart using string series name, with value.

Parameters:
  • chart (string) — Chart name
  • series (string) — Name of the plot series
  • bar (TradeBar) — The trade bar to be plotted to the candlestick series
Plot(series, pyObject)[source]

Plot a chart using string series name, with value.

Parameters:
  • series (string) — Name of the plot series
  • pyObject (PyObject) — PyObject with the value to plot
Plot(chart, indicators)[source]

Plot a chart using string series name, with value.

Parameters:
  • chart (string) — The chart's name
  • indicators (IndicatorBase[]) — The indicators to plot
plot_indicator(chart, wait_for_ready, first, second=None, third=None, fourth=None)[source]

Automatically plots each indicator when a new value is available

Parameters:
  • chart (str)
  • wait_for_ready (bool)
  • first (PyObject)
  • second (PyObject, optional)
  • third (PyObject, optional)
  • fourth (PyObject, optional)
plot_indicator(chart, wait_for_ready, indicators)[source]

Automatically plots each indicator when a new value is available

Parameters:
PlotIndicator(chart, waitForReady, first, second=None, third=None, fourth=None)[source]

Automatically plots each indicator when a new value is available

Parameters:
  • chart (string)
  • waitForReady (bool)
  • first (PyObject)
  • second (PyObject, optional)
  • third (PyObject, optional)
  • fourth (PyObject, optional)
PlotIndicator(chart, waitForReady, indicators)[source]

Automatically plots each indicator when a new value is available

Parameters:
record(series, value)[source]

Plot a chart using string series name, with int value. Alias of Plot();

Parameters:
  • series (str)
  • value (int | float)
Record(series, value)[source]

Plot a chart using string series name, with int value. Alias of Plot();

Parameters:
  • series (string)
  • value (Int32 | Double | Decimal)
set_runtime_statistic(name, value)[source]

Set a runtime statistic for the algorithm. Runtime statistics are shown in the top banner of a live algorithm GUI.

Parameters:
  • name (str) — Name of your runtime statistic
  • value (str | int | float) — String value of your runtime statistic
SetRuntimeStatistic(name, value)[source]

Set a runtime statistic for the algorithm. Runtime statistics are shown in the top banner of a live algorithm GUI.

Parameters:
  • name (string) — Name of your runtime statistic
  • value (Int32 | Double | String | Decimal) — String value of your runtime statistic
property runtime_statistics[source]

Access to the runtime statistics property. User provided statistics.

Returns:

Access to the runtime statistics property. User provided statistics.

Return type:

Dict[str, str]

property RuntimeStatistics[source]

Access to the runtime statistics property. User provided statistics.

Returns:

Access to the runtime statistics property. User provided statistics.

Return type:

ConcurrentDictionary<String, String>

Consolidating Data

Consolidating Data

consolidate(symbol, period, tick_type, handler)[source]

Registers the handler to receive consolidated data for the specified symbol

Parameters:
  • symbol (Symbol) — The symbol who's data is to be consolidated
  • period (timedelta | Resolution) — The symbol who's data is to be consolidated
  • tick_type (TickType) — The consolidation period
  • handler (PyObject | None | Action[TradeBar] | Action[QuoteBar]) — The tick type of subscription used as data source for consolidator. Specify null to use first subscription found.
Returns:

A new consolidator matching the requested parameters with the handler already registered

Return type:

IDataConsolidator

consolidate(symbol, calendar, tick_type, handler)[source]

Registers the handler to receive consolidated data for the specified symbol

Parameters:
  • symbol (Symbol) — The symbol who's data is to be consolidated
  • calendar (Callable[datetime, CalendarInfo]) — The symbol who's data is to be consolidated
  • tick_type (TickType) — The consolidation calendar
  • handler (PyObject | None | Action[TradeBar] | Action[QuoteBar]) — The tick type of subscription used as data source for consolidator. Specify null to use first subscription found.
Returns:

A new consolidator matching the requested parameters with the handler already registered

Return type:

IDataConsolidator

Consolidate(symbol, period, tickType, handler)[source]

Registers the handler to receive consolidated data for the specified symbol

Parameters:
  • symbol (Symbol) — The symbol who's data is to be consolidated
  • period (TimeSpan | Resolution) — The symbol who's data is to be consolidated
  • tickType (TickType) — The consolidation period
  • handler (PyObject | None | Action[TradeBar] | Action[QuoteBar]) — The tick type of subscription used as data source for consolidator. Specify null to use first subscription found.
Returns:

A new consolidator matching the requested parameters with the handler already registered

Return type:

IDataConsolidator

Consolidate(symbol, calendar, tickType, handler)[source]

Registers the handler to receive consolidated data for the specified symbol

Parameters:
  • symbol (Symbol) — The symbol who's data is to be consolidated
  • calendar (Func<DateTime, CalendarInfo>) — The symbol who's data is to be consolidated
  • tickType (TickType) — The consolidation calendar
  • handler (PyObject | None | Action[TradeBar] | Action[QuoteBar]) — The tick type of subscription used as data source for consolidator. Specify null to use first subscription found.
Returns:

A new consolidator matching the requested parameters with the handler already registered

Return type:

IDataConsolidator

deregister_indicator(indicator)[source]

Will deregister an indicator and it's associated consolidator instance so they stop receiving data updates

Parameters:
  • indicator (IndicatorBase) — The indicator instance to deregister
DeregisterIndicator(indicator)[source]

Will deregister an indicator and it's associated consolidator instance so they stop receiving data updates

Parameters:
  • indicator (IndicatorBase) — The indicator instance to deregister
resolve_consolidator(symbol, resolution, data_type=None)[source]

Gets the default consolidator for the specified symbol and resolution

Parameters:
  • symbol (Symbol) — The symbol whose data is to be consolidated
  • resolution (Resolution) — The resolution for the consolidator, if null, uses the resolution from subscription
  • data_type (Type, optional) — The data type for this consolidator, if null, uses TradeBar over QuoteBar if present
Returns:

The new default consolidator

Return type:

IDataConsolidator

resolve_consolidator(symbol, time_span, data_type=None)[source]

Gets the default consolidator for the specified symbol and resolution

Parameters:
  • symbol (Symbol) — The symbol whose data is to be consolidated
  • time_span (timedelta) — The requested time span for the consolidator, if null, uses the resolution from subscription
  • data_type (Type, optional) — The data type for this consolidator, if null, uses TradeBar over QuoteBar if present
Returns:

The new default consolidator

Return type:

IDataConsolidator

ResolveConsolidator(symbol, resolution, dataType=None)[source]

Gets the default consolidator for the specified symbol and resolution

Parameters:
  • symbol (Symbol) — The symbol whose data is to be consolidated
  • resolution (Resolution) — The resolution for the consolidator, if null, uses the resolution from subscription
  • dataType (Type, optional) — The data type for this consolidator, if null, uses TradeBar over QuoteBar if present
Returns:

The new default consolidator

Return type:

IDataConsolidator

ResolveConsolidator(symbol, timeSpan, dataType=None)[source]

Gets the default consolidator for the specified symbol and resolution

Parameters:
  • symbol (Symbol) — The symbol whose data is to be consolidated
  • timeSpan (TimeSpan) — The requested time span for the consolidator, if null, uses the resolution from subscription
  • dataType (Type, optional) — The data type for this consolidator, if null, uses TradeBar over QuoteBar if present
Returns:

The new default consolidator

Return type:

IDataConsolidator

unregister_indicator(indicator)[source]

Will unregister an indicator and it's associated consolidator instance so they stop receiving data updates

Parameters:
  • indicator (IndicatorBase) — The indicator instance to unregister
UnregisterIndicator(indicator)[source]

Will unregister an indicator and it's associated consolidator instance so they stop receiving data updates

Parameters:
  • indicator (IndicatorBase) — The indicator instance to unregister

Handling Data

Handling Data

cik(symbol)[source]

Converts a CIK identifier into String) array

Parameters:
Returns:

CIK corresponding to the Symbol. If no matching CIK is found, returns null.

Return type:

Optional[int]

cik(cik, trading_date=None)[source]

Converts a CIK identifier into String) array

Parameters:
  • cik (int) — The CIK identifier of an asset
  • trading_date (datetime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Returns:

Symbols corresponding to the CIK. If no Symbol with a matching CIK was found, returns empty array.

Return type:

Symbol[]

CIK(symbol)[source]

Converts a CIK identifier into String) array

Parameters:
Returns:

CIK corresponding to the Symbol. If no matching CIK is found, returns null.

Return type:

Nullable[Int32]

CIK(cik, tradingDate=None)[source]

Converts a CIK identifier into String) array

Parameters:
  • cik (Int32) — The CIK identifier of an asset
  • tradingDate (DateTime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Returns:

Symbols corresponding to the CIK. If no Symbol with a matching CIK was found, returns empty array.

Return type:

Symbol[]

composite_figi(composite_figi, trading_date=None)[source]

Converts a composite FIGI identifier into a String)

Parameters:
  • composite_figi (str) — The composite Financial Instrument Global Identifier (FIGI) of an asset
  • trading_date (datetime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Returns:

Symbol corresponding to the composite FIGI. If no Symbol with a matching composite FIGI was found, returns null.

Return type:

Symbol

composite_figi(symbol)[source]

Converts a composite FIGI identifier into a String)

Parameters:
Returns:

Composite FIGI corresponding to the Symbol. If no matching composite FIGI is found, returns null.

Return type:

str

cusip(cusip, trading_date=None)[source]

Converts a CUSIP identifier into a String)

Parameters:
  • cusip (str) — The CUSIP number of an asset
  • trading_date (datetime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Returns:

Symbol corresponding to the CUSIP. If no Symbol with a matching CUSIP was found, returns null.

Return type:

Symbol

cusip(symbol)[source]

Converts a CUSIP identifier into a String)

Parameters:
Returns:

CUSIP corresponding to the Symbol. If no matching CUSIP is found, returns null.

Return type:

str

CUSIP(cusip, tradingDate=None)[source]

Converts a CUSIP identifier into a String)

Parameters:
  • cusip (string) — The CUSIP number of an asset
  • tradingDate (DateTime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Returns:

Symbol corresponding to the CUSIP. If no Symbol with a matching CUSIP was found, returns null.

Return type:

Symbol

CUSIP(symbol)[source]

Converts a CUSIP identifier into a String)

Parameters:
Returns:

CUSIP corresponding to the Symbol. If no matching CUSIP is found, returns null.

Return type:

String

fundamentals(symbol)[source]

Get the fundamental data for the requested symbol at the current time

Parameters:
Returns:

The fundamental data for the Symbol

Return type:

Fundamental

fundamentals(symbols)[source]

Get the fundamental data for the requested symbol at the current time

Parameters:
  • symbols (List[Symbol])
Returns:

The fundamental data for the symbols

Return type:

List[Fundamental]

Fundamentals(symbol)[source]

Get the fundamental data for the requested symbol at the current time

Parameters:
Returns:

The fundamental data for the Symbol

Return type:

Fundamental

Fundamentals(symbols)[source]

Get the fundamental data for the requested symbol at the current time

Parameters:
  • symbols (List<Symbol>)
Returns:

The fundamental data for the symbols

Return type:

List[Fundamental]

isin(isin, trading_date=None)[source]

Converts an ISIN identifier into a String)

Parameters:
  • isin (str) — The International Securities Identification Number (ISIN) of an asset
  • trading_date (datetime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Returns:

Symbol corresponding to the ISIN. If no Symbol with a matching ISIN was found, returns null.

Return type:

Symbol

isin(symbol)[source]

Converts an ISIN identifier into a String)

Parameters:
Returns:

ISIN corresponding to the Symbol. If no matching ISIN is found, returns null.

Return type:

str

ISIN(isin, tradingDate=None)[source]

Converts an ISIN identifier into a String)

Parameters:
  • isin (string) — The International Securities Identification Number (ISIN) of an asset
  • tradingDate (DateTime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Returns:

Symbol corresponding to the ISIN. If no Symbol with a matching ISIN was found, returns null.

Return type:

Symbol

ISIN(symbol)[source]

Converts an ISIN identifier into a String)

Parameters:
Returns:

ISIN corresponding to the Symbol. If no matching ISIN is found, returns null.

Return type:

String

on_data(slice)[source]

Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event

Parameters:
  • slice (Slice) — The current slice of data keyed by symbol string
OnData(slice)[source]

Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event

Parameters:
  • slice (Slice) — The current slice of data keyed by symbol string
on_delistings(delistings)[source]

Event handler to be called when there's been a delistings event

Parameters:
  • delistings (Delistings) — The current time slice delistings
OnDelistings(delistings)[source]

Event handler to be called when there's been a delistings event

Parameters:
  • delistings (Delistings) — The current time slice delistings
on_dividends(dividends)[source]

Event handler to be called when there's been a dividend event

Parameters:
  • dividends (Dividends) — The current time slice dividends
OnDividends(dividends)[source]

Event handler to be called when there's been a dividend event

Parameters:
  • dividends (Dividends) — The current time slice dividends
on_end_of_algorithm()[source]

End of algorithm run event handler. This method is called at the end of a backtest or live trading operation. Intended for closing out logs.

OnEndOfAlgorithm()[source]

End of algorithm run event handler. This method is called at the end of a backtest or live trading operation. Intended for closing out logs.

on_end_of_day(symbol)[source]

End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).

Parameters:
  • symbol (Symbol | str) — Asset symbol for this end of day event. Forex and equities have different closing hours.
OnEndOfDay(symbol)[source]

End of a trading day event handler. This method is called at the end of the algorithm day (or multiple times if trading multiple assets).

Parameters:
  • symbol (String | Symbol) — Asset symbol for this end of day event. Forex and equities have different closing hours.
on_end_of_time_step()[source]

Invoked at the end of every time step. This allows the algorithm to process events before advancing to the next time step.

OnEndOfTimeStep()[source]

Invoked at the end of every time step. This allows the algorithm to process events before advancing to the next time step.

on_splits(splits)[source]

Event handler to be called when there's been a split event

Parameters:
  • splits (Splits) — The current time slice splits
OnSplits(splits)[source]

Event handler to be called when there's been a split event

Parameters:
  • splits (Splits) — The current time slice splits
on_symbol_changed_events(symbols_changed)[source]

Event handler to be called when there's been a symbol changed event

Parameters:
OnSymbolChangedEvents(symbolsChanged)[source]

Event handler to be called when there's been a symbol changed event

Parameters:
on_warmup_finished()[source]

Called when the algorithm has completed initialization and warm up.

OnWarmupFinished()[source]

Called when the algorithm has completed initialization and warm up.

sedol(sedol, trading_date=None)[source]

Converts a SEDOL identifier into a String)

Parameters:
  • sedol (str) — The SEDOL identifier of an asset
  • trading_date (datetime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Returns:

Symbol corresponding to the SEDOL. If no Symbol with a matching SEDOL was found, returns null.

Return type:

Symbol

sedol(symbol)[source]

Converts a SEDOL identifier into a String)

Parameters:
Returns:

SEDOL corresponding to the Symbol. If no matching SEDOL is found, returns null.

Return type:

str

SEDOL(sedol, tradingDate=None)[source]

Converts a SEDOL identifier into a String)

Parameters:
  • sedol (string) — The SEDOL identifier of an asset
  • tradingDate (DateTime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Returns:

Symbol corresponding to the SEDOL. If no Symbol with a matching SEDOL was found, returns null.

Return type:

Symbol

SEDOL(symbol)[source]

Converts a SEDOL identifier into a String)

Parameters:
Returns:

SEDOL corresponding to the Symbol. If no matching SEDOL is found, returns null.

Return type:

String

set_algorithm_id(algorithm_id)[source]

Set the algorithm id (backtestId or live deployId for the algorithm).

Parameters:
  • algorithm_id (str) — String Algorithm Id
SetAlgorithmId(algorithmId)[source]

Set the algorithm id (backtestId or live deployId for the algorithm).

Parameters:
  • algorithmId (string) — String Algorithm Id
set_api(api)[source]

Provide the API for the algorithm.

Parameters:
  • api (IApi) — Initiated API
SetApi(api)[source]

Provide the API for the algorithm.

Parameters:
  • api (IApi) — Initiated API
set_available_data_types(available_data_types)[source]

Set the available data feeds in the SecurityManager

Parameters:
  • available_data_types (Dict[SecurityType, List[TickType]]) — supports
SetAvailableDataTypes(availableDataTypes)[source]

Set the available data feeds in the SecurityManager

Parameters:
  • availableDataTypes (Dictionary<SecurityType, List<TickType>>) — supports
set_current_slice(slice)[source]

Sets the current slice

Parameters:
  • slice (Slice) — The Slice object
SetCurrentSlice(slice)[source]

Sets the current slice

Parameters:
  • slice (Slice) — The Slice object
set_date_time(frontier)[source]

Update the internal algorithm time frontier.

Parameters:
  • frontier (datetime) — Current utc datetime.
SetDateTime(frontier)[source]

Update the internal algorithm time frontier.

Parameters:
  • frontier (DateTime) — Current utc datetime.
set_end_date(year, month, day)[source]

Set the end date for a backtest run

Parameters:
  • year (int) — Int end date 1-30
  • month (int) — Int month end date
  • day (int) — Int year end date
set_end_date(end)[source]

Set the end date for a backtest run

Parameters:
  • end (datetime) — Datetime value for end date
SetEndDate(year, month, day)[source]

Set the end date for a backtest run

Parameters:
  • year (Int32) — Int end date 1-30
  • month (Int32) — Int month end date
  • day (Int32) — Int year end date
SetEndDate(end)[source]

Set the end date for a backtest run

Parameters:
  • end (DateTime) — Datetime value for end date
set_object_store(object_store)[source]

Sets the object store

Parameters:
  • object_store (IObjectStore) — The object store
SetObjectStore(objectStore)[source]

Sets the object store

Parameters:
  • objectStore (IObjectStore) — The object store
set_run_time_error(exception)[source]

Set the runtime error

Parameters:
  • exception (Exception) — Represents error that occur during execution
SetRunTimeError(exception)[source]

Set the runtime error

Parameters:
  • exception (Exception) — Represents error that occur during execution
set_start_date(year, month, day)[source]

Set the start date for backtest.

Parameters:
  • year (int) — Int starting date 1-30
  • month (int) — Int month starting date
  • day (int) — Int year starting date
set_start_date(start)[source]

Set the start date for backtest.

Parameters:
  • start (datetime) — Datetime Start date for backtest
SetStartDate(year, month, day)[source]

Set the start date for backtest.

Parameters:
  • year (Int32) — Int starting date 1-30
  • month (Int32) — Int month starting date
  • day (Int32) — Int year starting date
SetStartDate(start)[source]

Set the start date for backtest.

Parameters:
  • start (DateTime) — Datetime Start date for backtest
set_time_zone(time_zone)[source]

Sets the time zone of the Time property in the algorithm

Parameters:
  • time_zone (datetimeZone | str) — The desired time zone
SetTimeZone(timeZone)[source]

Sets the time zone of the Time property in the algorithm

Parameters:
  • timeZone (String | DateTimeZone) — The desired time zone
property algorithm_id[source]

Algorithm Id for this backtest or live algorithm.

Returns:

Algorithm Id for this backtest or live algorithm.

Return type:

str

property AlgorithmId[source]

Algorithm Id for this backtest or live algorithm.

Returns:

Algorithm Id for this backtest or live algorithm.

Return type:

string

property current_slice[source]

Returns the current Slice object

Returns:

Returns the current Slice object

Return type:

Slice

property CurrentSlice[source]

Returns the current Slice object

Returns:

Returns the current Slice object

Return type:

Slice

property end_date[source]

Value of the user set start-date from the backtest. Controls the period of the backtest.

Returns:

Value of the user set start-date from the backtest. Controls the period of the backtest.

Return type:

datetime

property EndDate[source]

Value of the user set start-date from the backtest. Controls the period of the backtest.

Returns:

Value of the user set start-date from the backtest. Controls the period of the backtest.

Return type:

DateTime

property name[source]

Public name for the algorithm as automatically generated by the IDE. Intended for helping distinguish logs by noting the algorithm-id.

Returns:

Public name for the algorithm as automatically generated by the IDE. Intended for helping distinguish logs by noting the algorithm-id.

Return type:

str

property Name[source]

Public name for the algorithm as automatically generated by the IDE. Intended for helping distinguish logs by noting the algorithm-id.

Returns:

Public name for the algorithm as automatically generated by the IDE. Intended for helping distinguish logs by noting the algorithm-id.

Return type:

string

property object_store[source]

Gets the object store, used for persistence

Returns:

Gets the object store, used for persistence

Return type:

ObjectStore

property ObjectStore[source]

Gets the object store, used for persistence

Returns:

Gets the object store, used for persistence

Return type:

ObjectStore

property settings[source]

Gets the user settings for the algorithm

Returns:

Gets the user settings for the algorithm

Return type:

IAlgorithmSettings

property Settings[source]

Gets the user settings for the algorithm

Returns:

Gets the user settings for the algorithm

Return type:

IAlgorithmSettings

property start_date[source]

Value of the user set start-date from the backtest.

Returns:

Value of the user set start-date from the backtest.

Return type:

datetime

property StartDate[source]

Value of the user set start-date from the backtest.

Returns:

Value of the user set start-date from the backtest.

Return type:

DateTime

property status[source]

Gets or sets the current status of the algorithm

Returns:

Gets or sets the current status of the algorithm

Return type:

AlgorithmStatus

property Status[source]

Gets or sets the current status of the algorithm

Returns:

Gets or sets the current status of the algorithm

Return type:

AlgorithmStatus

property subscription_manager[source]

Generic Data Manager - Required for compiling all data feeds in order, and passing them into algorithm event methods. The subscription manager contains a list of the data feed's we're subscribed to and properties of each data feed.

Returns:

Generic Data Manager - Required for compiling all data feeds in order, and passing them into algorithm event methods. The subscription manager contains a list of the data feed's we're subscribed to and properties of each data feed.

Return type:

SubscriptionManager

property SubscriptionManager[source]

Generic Data Manager - Required for compiling all data feeds in order, and passing them into algorithm event methods. The subscription manager contains a list of the data feed's we're subscribed to and properties of each data feed.

Returns:

Generic Data Manager - Required for compiling all data feeds in order, and passing them into algorithm event methods. The subscription manager contains a list of the data feed's we're subscribed to and properties of each data feed.

Return type:

SubscriptionManager

property tags[source]

A list of tags associated with the algorithm or the backtest, useful for categorization

Returns:

A list of tags associated with the algorithm or the backtest, useful for categorization

Return type:

HashSet[str]

property Tags[source]

A list of tags associated with the algorithm or the backtest, useful for categorization

Returns:

A list of tags associated with the algorithm or the backtest, useful for categorization

Return type:

HashSet<String>

property time[source]

Read-only value for current time frontier of the algorithm in terms of the TimeZone

Returns:

Read-only value for current time frontier of the algorithm in terms of the TimeZone

Return type:

datetime

property Time[source]

Read-only value for current time frontier of the algorithm in terms of the TimeZone

Returns:

Read-only value for current time frontier of the algorithm in terms of the TimeZone

Return type:

DateTime

property time_zone[source]

Gets the time zone used for the Time property. The default value is NewYork

Returns:

Gets the time zone used for the Time property. The default value is NewYork

Return type:

datetimeZone

property TimeZone[source]

Gets the time zone used for the Time property. The default value is NewYork

Returns:

Gets the time zone used for the Time property. The default value is NewYork

Return type:

DateTimeZone

property utc_time[source]

Current date/time in UTC.

Returns:

Current date/time in UTC.

Return type:

datetime

property UtcTime[source]

Current date/time in UTC.

Returns:

Current date/time in UTC.

Return type:

DateTime

CompositeFIGI(compositeFigi, tradingDate=None)[source]

Converts a composite FIGI identifier into a String)

Parameters:
  • compositeFigi (string) — The composite Financial Instrument Global Identifier (FIGI) of an asset
  • tradingDate (DateTime, optional) — The date that the stock being looked up iswas traded at. The date is used to create a Symbol with the ticker set to the ticker the asset traded under on the trading date.
Returns:

Symbol corresponding to the composite FIGI. If no Symbol with a matching composite FIGI was found, returns null.

Return type:

Symbol

CompositeFIGI(symbol)[source]

Converts a composite FIGI identifier into a String)

Parameters:
Returns:

Composite FIGI corresponding to the Symbol. If no matching composite FIGI is found, returns null.

Return type:

String

Historical Data

Historical Data

history(universe, start, end, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • universe (Universe) — The universe to fetch the data for
  • start (datetime) — The start time in the algorithm's time zone
  • end (datetime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

List[BaseDataCollection]

history(universe, periods, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • universe (Universe) — The universe to fetch the data for
  • periods (int) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing data over the most recent span for all configured securities

Return type:

List[BaseDataCollection]

history(universe, span, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • universe (Universe) — The universe to fetch the data for
  • span (timedelta) — The span over which to request data. This is a calendar span, so take into consideration weekends and such
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

List[BaseDataCollection]

history(symbols, start, end, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List[Symbol]) — The symbols to retrieve historical data for
  • start (datetime) — The start time in the algorithm's time zone
  • end (datetime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
history(symbols, span, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List[Symbol]) — The symbols to retrieve historical data for
  • span (timedelta) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
history(symbols, periods, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List[Symbol]) — The symbols to retrieve historical data for
  • periods (int) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
history(symbols, start, end, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List[Symbol]) — The symbols to retrieve historical data for
  • start (datetime) — The start time in the algorithm's time zone
  • end (datetime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

List[Slice]

history(symbols, span, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List[Symbol]) — The symbols to retrieve historical data for
  • span (timedelta) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

List[Slice]

history(symbols, periods, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List[Symbol]) — The symbols to retrieve historical data for
  • periods (int) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

List[Slice]

history(request)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
Returns:

An enumerable of slice satisfying the specified history request

Return type:

List[Slice]

history(requests)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • requests (List[HistoryRequest]) — the history requests to execute
Returns:

An enumerable of slice satisfying the specified history request

Return type:

List[Slice]

history(symbol, start, end, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • start (datetime) — The start time in the algorithm's time zone
  • end (datetime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
history(symbol, periods, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • periods (int) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
history(symbol, span, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • span (timedelta) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
history(symbol, start, end, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • start (datetime) — The start time in the algorithm's time zone
  • end (datetime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

List[TradeBar]

history(symbol, span, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • span (timedelta) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

List[TradeBar]

history(symbol, periods, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • periods (int) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

List[TradeBar]

history(type, tickers, start, end, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • tickers (PyObject) — The symbols to retrieve historical data for
  • start (datetime) — The start time in the algorithm's time zone
  • end (datetime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

history(type, symbol, start, end, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • symbol (Symbol) — The symbol to retrieve historical data for
  • start (datetime) — The start time in the algorithm's time zone
  • end (datetime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

history(type, tickers, periods, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • tickers (PyObject) — The symbols to retrieve historical data for
  • periods (int) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

history(type, tickers, span, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • tickers (PyObject) — The symbols to retrieve historical data for
  • span (timedelta) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

history(type, symbol, periods, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • symbol (Symbol) — The symbol to retrieve historical data for
  • periods (int) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

history(type, symbol, span, resolution=None, fill_forward=None, extended_market_hours=None, data_mapping_mode=None, data_normalization_mode=None, contract_depth_offset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • symbol (Symbol) — The symbol to retrieve historical data for
  • span (timedelta) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fill_forward (bool, optional) — True to fill forward missing data, false otherwise
  • extended_market_hours (bool, optional) — True to include extended market hours data, false otherwise
  • data_mapping_mode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • data_normalization_mode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contract_depth_offset (int, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

History(universe, start, end, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • universe (Universe) — The universe to fetch the data for
  • start (DateTime) — The start time in the algorithm's time zone
  • end (DateTime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

IEnumerable[BaseDataCollection]

History(universe, periods, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • universe (Universe) — The universe to fetch the data for
  • periods (Int32) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing data over the most recent span for all configured securities

Return type:

IEnumerable[BaseDataCollection]

History(universe, span, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • universe (Universe) — The universe to fetch the data for
  • span (TimeSpan) — The span over which to request data. This is a calendar span, so take into consideration weekends and such
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

IEnumerable[BaseDataCollection]

History(symbols, start, end, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List<Symbol>) — The symbols to retrieve historical data for
  • start (DateTime) — The start time in the algorithm's time zone
  • end (DateTime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
History(symbols, span, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List<Symbol>) — The symbols to retrieve historical data for
  • span (TimeSpan) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
History(symbols, periods, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List<Symbol>) — The symbols to retrieve historical data for
  • periods (Int32) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
History(symbols, start, end, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List<Symbol>) — The symbols to retrieve historical data for
  • start (DateTime) — The start time in the algorithm's time zone
  • end (DateTime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

IEnumerable[Slice]

History(symbols, span, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List<Symbol>) — The symbols to retrieve historical data for
  • span (TimeSpan) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

IEnumerable[Slice]

History(symbols, periods, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbols (List<Symbol>) — The symbols to retrieve historical data for
  • periods (Int32) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

IEnumerable[Slice]

History(request)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
Returns:

An enumerable of slice satisfying the specified history request

Return type:

IEnumerable[Slice]

History(requests)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • requests (List<HistoryRequest>) — the history requests to execute
Returns:

An enumerable of slice satisfying the specified history request

Return type:

IEnumerable[Slice]

History(symbol, start, end, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • start (DateTime) — The start time in the algorithm's time zone
  • end (DateTime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
History(symbol, periods, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • periods (Int32) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
History(symbol, span, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • span (TimeSpan) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
History(symbol, start, end, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • start (DateTime) — The start time in the algorithm's time zone
  • end (DateTime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

IEnumerable[TradeBar]

History(symbol, span, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • span (TimeSpan) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

IEnumerable[TradeBar]

History(symbol, periods, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • symbol (Symbol) — The symbol to retrieve historical data for
  • periods (Int32) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

An enumerable of slice containing the requested historical data

Return type:

IEnumerable[TradeBar]

History(type, tickers, start, end, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • tickers (PyObject) — The symbols to retrieve historical data for
  • start (DateTime) — The start time in the algorithm's time zone
  • end (DateTime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

History(type, symbol, start, end, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • symbol (Symbol) — The symbol to retrieve historical data for
  • start (DateTime) — The start time in the algorithm's time zone
  • end (DateTime) — The end time in the algorithm's time zone
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

History(type, tickers, periods, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • tickers (PyObject) — The symbols to retrieve historical data for
  • periods (Int32) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

History(type, tickers, span, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • tickers (PyObject) — The symbols to retrieve historical data for
  • span (TimeSpan) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

History(type, symbol, periods, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • symbol (Symbol) — The symbol to retrieve historical data for
  • periods (Int32) — The number of bars to request
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

History(type, symbol, span, resolution=None, fillForward=None, extendedMarketHours=None, dataMappingMode=None, dataNormalizationMode=None, contractDepthOffset=None)[source]

Get the history for all configured securities over the requested span. This will use the resolution and other subscription settings for each security. The symbols must exist in the Securities collection.

Parameters:
  • type (PyObject) — The data type of the symbols
  • symbol (Symbol) — The symbol to retrieve historical data for
  • span (TimeSpan) — The span over which to retrieve recent historical data
  • resolution (Resolution, optional) — The resolution to request
  • fillForward (Boolean, optional) — True to fill forward missing data, false otherwise
  • extendedMarketHours (Boolean, optional) — True to include extended market hours data, false otherwise
  • dataMappingMode (DataMappingMode, optional) — The contract mapping mode to use for the security history request
  • dataNormalizationMode (DataNormalizationMode, optional) — The price scaling mode to use for the securities history
  • contractDepthOffset (Int32, optional) — The continuous contract desired offset from the current front month. For example, 0 will use the front month, 1 will use the back month contract
Returns:

pandas.DataFrame containing the requested historical data

Return type:

PyObject

set_finished_warming_up()[source]

Sets IsWarmingUp to false to indicate this algorithm has finished its warm up

SetFinishedWarmingUp()[source]

Sets IsWarmingUp to false to indicate this algorithm has finished its warm up

set_history_provider(history_provider)[source]

Set the historical data provider

Parameters:
  • history_provider (IHistoryProvider) — Historical data provider
SetHistoryProvider(historyProvider)[source]

Set the historical data provider

Parameters:
  • historyProvider (IHistoryProvider) — Historical data provider
set_warm_up(time_span, resolution)[source]

Sets the warm up period to the specified value

Parameters:
  • time_span (timedelta) — The amount of time to warm up, this does not take into account market hoursweekends
  • resolution (Resolution) — The resolution to request
set_warm_up(bar_count, resolution)[source]

Sets the warm up period to the specified value

Parameters:
  • bar_count (int) — The number of data points requested for warm up
  • resolution (Resolution) — The resolution to request
SetWarmUp(timeSpan, resolution)[source]

Sets the warm up period to the specified value

Parameters:
  • timeSpan (TimeSpan) — The amount of time to warm up, this does not take into account market hoursweekends
  • resolution (Resolution) — The resolution to request
SetWarmUp(barCount, resolution)[source]

Sets the warm up period to the specified value

Parameters:
  • barCount (Int32) — The number of data points requested for warm up
  • resolution (Resolution) — The resolution to request
set_warmup(time_span, resolution)[source]

Sets the warm up period to the specified value

Parameters:
  • time_span (timedelta) — The amount of time to warm up, this does not take into account market hoursweekends
  • resolution (Resolution) — The resolution to request
set_warmup(bar_count, resolution)[source]

Sets the warm up period to the specified value

Parameters:
  • bar_count (int) — The number of data points requested for warm up
  • resolution (Resolution) — The resolution to request
SetWarmup(timeSpan, resolution)[source]

Sets the warm up period to the specified value

Parameters:
  • timeSpan (TimeSpan) — The amount of time to warm up, this does not take into account market hoursweekends
  • resolution (Resolution) — The resolution to request
SetWarmup(barCount, resolution)[source]

Sets the warm up period to the specified value

Parameters:
  • barCount (Int32) — The number of data points requested for warm up
  • resolution (Resolution) — The resolution to request
property is_warming_up[source]

Gets whether or not this algorithm is still warming up

Returns:

Gets whether or not this algorithm is still warming up

Return type:

bool

property IsWarmingUp[source]

Gets whether or not this algorithm is still warming up

Returns:

Gets whether or not this algorithm is still warming up

Return type:

bool

Indicators

Indicators

a(target, reference, alpha_period=1, beta_period=252, resolution=None, risk_free_rate=None, selector=None)[source]

Adds a tag to the algorithm

Parameters:
  • target (Symbol) — The target symbol whose Alpha value we want
  • reference (Symbol) — The reference symbol to compare with the target symbol
  • alpha_period (int, optional) — The period of the Alpha indicator
  • beta_period (int, optional) — The period of the Beta indicator
  • resolution (Resolution, optional) — The resolution
  • risk_free_rate (float, optional) — The risk free rate
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Alpha indicator for the given parameters

Return type:

Alpha

A(target, reference, alphaPeriod=1, betaPeriod=252, resolution=None, riskFreeRate=None, selector=None)[source]

Adds a tag to the algorithm

Parameters:
  • target (Symbol) — The target symbol whose Alpha value we want
  • reference (Symbol) — The reference symbol to compare with the target symbol
  • alphaPeriod (Int32, optional) — The period of the Alpha indicator
  • betaPeriod (Int32, optional) — The period of the Beta indicator
  • resolution (Resolution, optional) — The resolution
  • riskFreeRate (decimal, optional) — The risk free rate
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Alpha indicator for the given parameters

Return type:

Alpha

abands(symbol, period, width=4.0, moving_average_type=0, resolution=None, selector=None)[source]

Creates a new Acceleration Bands indicator.

Parameters:
  • symbol (Symbol) — The symbol whose Acceleration Bands we want.
  • period (int) — The period of the three moving average (middle, upper and lower band).
  • width (float, optional) — A coefficient specifying the distance between the middle band and upper or lower bands.
  • moving_average_type (MovingAverageType, optional) — Type of the moving average.
  • resolution (Resolution, optional) — The resolution.
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.
Return type:

AccelerationBands

ABANDS(symbol, period, width=4.0, movingAverageType=0, resolution=None, selector=None)[source]

Creates a new Acceleration Bands indicator.

Parameters:
  • symbol (Symbol) — The symbol whose Acceleration Bands we want.
  • period (Int32) — The period of the three moving average (middle, upper and lower band).
  • width (decimal, optional) — A coefficient specifying the distance between the middle band and upper or lower bands.
  • movingAverageType (MovingAverageType, optional) — Type of the moving average.
  • resolution (Resolution, optional) — The resolution.
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.
Return type:

AccelerationBands

ad(symbol, resolution=None, selector=None)[source]

Creates a new AccumulationDistribution indicator.

Parameters:
  • symbol (Symbol) — The symbol whose AD we want
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — x.Value)
Returns:

The AccumulationDistribution indicator for the requested symbol over the specified period

Return type:

AccumulationDistribution

AD(symbol, resolution=None, selector=None)[source]

Creates a new AccumulationDistribution indicator.

Parameters:
  • symbol (Symbol) — The symbol whose AD we want
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — x.Value)
Returns:

The AccumulationDistribution indicator for the requested symbol over the specified period

Return type:

AccumulationDistribution

addiff(symbols, resolution=None, selector=None)[source]

Creates a new Advance/Decline Difference indicator

Parameters:
  • symbols (List[Symbol]) — The symbols whose AD Difference we want
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The AdvanceDecline Difference indicator for the requested symbol over the specified period

Return type:

AdvanceDeclineDifference

ADDIFF(symbols, resolution=None, selector=None)[source]

Creates a new Advance/Decline Difference indicator

Parameters:
  • symbols (List<Symbol>) — The symbols whose AD Difference we want
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The AdvanceDecline Difference indicator for the requested symbol over the specified period

Return type:

AdvanceDeclineDifference

adosc(symbol, fast_period, slow_period, resolution=None, selector=None)[source]

Creates a new AccumulationDistributionOscillator indicator.

Parameters:
  • symbol (Symbol) — The symbol whose ADOSC we want
  • fast_period (int) — The fast moving average period
  • slow_period (int) — The slow moving average period
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — x.Value)
Returns:

The AccumulationDistributionOscillator indicator for the requested symbol over the specified period

Return type:

AccumulationDistributionOscillator

ADOSC(symbol, fastPeriod, slowPeriod, resolution=None, selector=None)[source]

Creates a new AccumulationDistributionOscillator indicator.

Parameters:
  • symbol (Symbol) — The symbol whose ADOSC we want
  • fastPeriod (Int32) — The fast moving average period
  • slowPeriod (Int32) — The slow moving average period
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — x.Value)
Returns:

The AccumulationDistributionOscillator indicator for the requested symbol over the specified period

Return type:

AccumulationDistributionOscillator

adr(symbols, resolution=None, selector=None)[source]

Creates a new Advance/Decline Ratio indicator

Parameters:
  • symbols (List[Symbol]) — The symbols whose AD Ratio we want
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The AdvanceDecline Ratio indicator for the requested symbol over the specified period

Return type:

AdvanceDeclineRatio

ADR(symbols, resolution=None, selector=None)[source]

Creates a new Advance/Decline Ratio indicator

Parameters:
  • symbols (List<Symbol>) — The symbols whose AD Ratio we want
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The AdvanceDecline Ratio indicator for the requested symbol over the specified period

Return type:

AdvanceDeclineRatio

advr(symbols, resolution=None, selector=None)[source]

Creates a new Advance/Decline Volume Ratio indicator

Parameters:
  • symbols (List[Symbol]) — The symbol whose AD Volume Rate we want
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The AdvanceDecline Volume Ratio indicator for the requested symbol over the specified period

Return type:

AdvanceDeclineVolumeRatio

ADVR(symbols, resolution=None, selector=None)[source]

Creates a new Advance/Decline Volume Ratio indicator

Parameters:
  • symbols (List<Symbol>) — The symbol whose AD Volume Rate we want
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The AdvanceDecline Volume Ratio indicator for the requested symbol over the specified period

Return type:

AdvanceDeclineVolumeRatio

adx(symbol, period, resolution=None, selector=None)[source]

Creates a new Average Directional Index indicator. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose Average Directional Index we seek
  • period (int) — The resolution.
  • resolution (Resolution, optional) — The period over which to compute the Average Directional Index
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Average Directional Index indicator for the requested symbol.

Return type:

AverageDirectionalIndex

ADX(symbol, period, resolution=None, selector=None)[source]

Creates a new Average Directional Index indicator. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose Average Directional Index we seek
  • period (Int32) — The resolution.
  • resolution (Resolution, optional) — The period over which to compute the Average Directional Index
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Average Directional Index indicator for the requested symbol.

Return type:

AverageDirectionalIndex

adxr(symbol, period, resolution=None, selector=None)[source]

Creates a new AverageDirectionalMovementIndexRating indicator.

Parameters:
  • symbol (Symbol) — The symbol whose ADXR we want
  • period (int) — The period over which to compute the ADXR
  • resolution (Resolution, optional) — The resolution.
  • selector (Callable[IBaseData, IBaseDataBar], optional) — x.Value)
Returns:

The AverageDirectionalMovementIndexRating indicator for the requested symbol over the specified period

Return type:

AverageDirectionalMovementIndexRating

ADXR(symbol, period, resolution=None, selector=None)[source]

Creates a new AverageDirectionalMovementIndexRating indicator.

Parameters:
  • symbol (Symbol) — The symbol whose ADXR we want
  • period (Int32) — The period over which to compute the ADXR
  • resolution (Resolution, optional) — The resolution.
  • selector (Func<IBaseData, IBaseDataBar>, optional) — x.Value)
Returns:

The AverageDirectionalMovementIndexRating indicator for the requested symbol over the specified period

Return type:

AverageDirectionalMovementIndexRating

alma(symbol, period, sigma=6, offset=0.85, resolution=None, selector=None)[source]

Creates a new ArnaudLegouxMovingAverage indicator.

Parameters:
  • symbol (Symbol) — The symbol whose ALMA we want
  • period (int) — int - the number of periods to calculate the ALMA
  • sigma (int, optional) — int - this parameter is responsible for the shape of the curve coefficients.
  • offset (float, optional) — decimal - This parameter allows regulating the smoothness and high sensitivity of the Moving Average. The range for this parameter is [0, 1].
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

The ArnaudLegouxMovingAverage indicator for the requested symbol over the specified period

Return type:

ArnaudLegouxMovingAverage

ALMA(symbol, period, sigma=6, offset=0.85, resolution=None, selector=None)[source]

Creates a new ArnaudLegouxMovingAverage indicator.

Parameters:
  • symbol (Symbol) — The symbol whose ALMA we want
  • period (Int32) — int - the number of periods to calculate the ALMA
  • sigma (Int32, optional) — int - this parameter is responsible for the shape of the curve coefficients.
  • offset (decimal, optional) — decimal - This parameter allows regulating the smoothness and high sensitivity of the Moving Average. The range for this parameter is [0, 1].
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

The ArnaudLegouxMovingAverage indicator for the requested symbol over the specified period

Return type:

ArnaudLegouxMovingAverage

ao(symbol, slow_period, fast_period, type, resolution=None, selector=None)[source]

Creates a new Awesome Oscillator from the specified periods.

Parameters:
  • symbol (Symbol) — The symbol whose Awesome Oscillator we seek
  • slow_period (int) — The resolution.
  • fast_period (int) — The period of the fast moving average associated with the AO
  • type (MovingAverageType) — The period of the slow moving average associated with the AO
  • resolution (Resolution, optional) — The type of moving average used when computing the fast and slow term. Defaults to simple moving average.
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Return type:

AwesomeOscillator

AO(symbol, slowPeriod, fastPeriod, type, resolution=None, selector=None)[source]

Creates a new Awesome Oscillator from the specified periods.

Parameters:
  • symbol (Symbol) — The symbol whose Awesome Oscillator we seek
  • slowPeriod (Int32) — The resolution.
  • fastPeriod (Int32) — The period of the fast moving average associated with the AO
  • type (MovingAverageType) — The period of the slow moving average associated with the AO
  • resolution (Resolution, optional) — The type of moving average used when computing the fast and slow term. Defaults to simple moving average.
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Return type:

AwesomeOscillator

apo(symbol, fast_period, slow_period, moving_average_type, resolution=None, selector=None)[source]

Creates a new AbsolutePriceOscillator indicator.

Parameters:
  • symbol (Symbol) — The symbol whose APO we want
  • fast_period (int) — The fast moving average period
  • slow_period (int) — The slow moving average period
  • moving_average_type (MovingAverageType) — The type of moving average to use
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

The AbsolutePriceOscillator indicator for the requested symbol over the specified period

Return type:

AbsolutePriceOscillator

APO(symbol, fastPeriod, slowPeriod, movingAverageType, resolution=None, selector=None)[source]

Creates a new AbsolutePriceOscillator indicator.

Parameters:
  • symbol (Symbol) — The symbol whose APO we want
  • fastPeriod (Int32) — The fast moving average period
  • slowPeriod (Int32) — The slow moving average period
  • movingAverageType (MovingAverageType) — The type of moving average to use
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

The AbsolutePriceOscillator indicator for the requested symbol over the specified period

Return type:

AbsolutePriceOscillator

aps(symbol, period=3, resolution=None, selector=None)[source]

Creates an AugenPriceSpike indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose APS we want
  • period (int, optional) — The period of the APS
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

The AugenPriceSpike indicator for the given parameters

Return type:

AugenPriceSpike

APS(symbol, period=3, resolution=None, selector=None)[source]

Creates an AugenPriceSpike indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose APS we want
  • period (Int32, optional) — The period of the APS
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

The AugenPriceSpike indicator for the given parameters

Return type:

AugenPriceSpike

arima(symbol, ar_order, diff_order, ma_order, period, resolution=None, selector=None)[source]

Creates a new ARIMA indicator.

Parameters:
  • symbol (Symbol) — The symbol whose ARIMA indicator we want
  • ar_order (int) — AR order (p) -- defines the number of past values to consider in the AR component of the model.
  • diff_order (int) — Difference order (d) -- defines how many times to difference the model before fitting parameters.
  • ma_order (int) — MA order (q) -- defines the number of past values to consider in the MA component of the model.
  • period (int) — Size of the rolling series to fit onto
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

The ARIMA indicator for the requested symbol over the specified period

Return type:

AutoRegressiveIntegratedMovingAverage

ARIMA(symbol, arOrder, diffOrder, maOrder, period, resolution=None, selector=None)[source]

Creates a new ARIMA indicator.

Parameters:
  • symbol (Symbol) — The symbol whose ARIMA indicator we want
  • arOrder (Int32) — AR order (p) -- defines the number of past values to consider in the AR component of the model.
  • diffOrder (Int32) — Difference order (d) -- defines how many times to difference the model before fitting parameters.
  • maOrder (Int32) — MA order (q) -- defines the number of past values to consider in the MA component of the model.
  • period (Int32) — Size of the rolling series to fit onto
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

The ARIMA indicator for the requested symbol over the specified period

Return type:

AutoRegressiveIntegratedMovingAverage

aroon(symbol, up_period, down_period, resolution=None, selector=None)[source]

Creates a new AroonOscillator indicator which will compute the AroonUp and AroonDown (as well as the delta)

Parameters:
  • symbol (Symbol) — The symbol whose Aroon we seek
  • up_period (int) — The look back period for computing number of periods since maximum
  • down_period (int) — The look back period for computing number of periods since minimum
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

An AroonOscillator configured with the specified periods

Return type:

AroonOscillator

aroon(symbol, period, resolution=None, selector=None)[source]

Creates a new AroonOscillator indicator which will compute the AroonUp and AroonDown (as well as the delta)

Parameters:
  • symbol (Symbol) — The symbol whose Aroon we seek
  • period (int) — The look back period for computing number of periods since maximum and minimum
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

An AroonOscillator configured with the specified periods

Return type:

AroonOscillator

AROON(symbol, upPeriod, downPeriod, resolution=None, selector=None)[source]

Creates a new AroonOscillator indicator which will compute the AroonUp and AroonDown (as well as the delta)

Parameters:
  • symbol (Symbol) — The symbol whose Aroon we seek
  • upPeriod (Int32) — The look back period for computing number of periods since maximum
  • downPeriod (Int32) — The look back period for computing number of periods since minimum
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

An AroonOscillator configured with the specified periods

Return type:

AroonOscillator

AROON(symbol, period, resolution=None, selector=None)[source]

Creates a new AroonOscillator indicator which will compute the AroonUp and AroonDown (as well as the delta)

Parameters:
  • symbol (Symbol) — The symbol whose Aroon we seek
  • period (Int32) — The look back period for computing number of periods since maximum and minimum
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

An AroonOscillator configured with the specified periods

Return type:

AroonOscillator

asi(symbol, limit_move, resolution=4, selector=None)[source]

Creates a Wilder Accumulative Swing Index (ASI) indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose ASI we want
  • limit_move (float) — The maximum daily change in price for the ASI
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The WilderAccumulativeSwingIndex for the given parameters

Return type:

WilderAccumulativeSwingIndex

ASI(symbol, limitMove, resolution=4, selector=None)[source]

Creates a Wilder Accumulative Swing Index (ASI) indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose ASI we want
  • limitMove (decimal) — The maximum daily change in price for the ASI
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The WilderAccumulativeSwingIndex for the given parameters

Return type:

WilderAccumulativeSwingIndex

atr(symbol, period, type=0, resolution=None, selector=None)[source]

Creates a new AverageTrueRange indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose ATR we want
  • period (int) — The smoothing period used to smooth the computed TrueRange values
  • type (MovingAverageType, optional) — The type of smoothing to use
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

A new AverageTrueRange indicator with the specified smoothing type and period

Return type:

AverageTrueRange

ATR(symbol, period, type=0, resolution=None, selector=None)[source]

Creates a new AverageTrueRange indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose ATR we want
  • period (Int32) — The smoothing period used to smooth the computed TrueRange values
  • type (MovingAverageType, optional) — The type of smoothing to use
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

A new AverageTrueRange indicator with the specified smoothing type and period

Return type:

AverageTrueRange

b(target, reference, period, resolution=None, selector=None)[source]

Creates a new BollingerBands indicator which will compute the MiddleBand, UpperBand, LowerBand, and StandardDeviation

Parameters:
  • target (Symbol) — The target symbol whose Beta value we want
  • reference (Symbol) — The reference symbol to compare with the target symbol
  • period (int) — The period of the Beta indicator
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Beta indicator for the given parameters

Return type:

Beta

B(target, reference, period, resolution=None, selector=None)[source]

Creates a new BollingerBands indicator which will compute the MiddleBand, UpperBand, LowerBand, and StandardDeviation

Parameters:
  • target (Symbol) — The target symbol whose Beta value we want
  • reference (Symbol) — The reference symbol to compare with the target symbol
  • period (Int32) — The period of the Beta indicator
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Beta indicator for the given parameters

Return type:

Beta

bb(symbol, period, k, moving_average_type=0, resolution=None, selector=None)[source]

Creates a new BollingerBands indicator which will compute the MiddleBand, UpperBand, LowerBand, and StandardDeviation

Parameters:
  • symbol (Symbol) — The symbol whose BollingerBands we seek
  • period (int) — The period of the standard deviation and moving average (middle band)
  • k (float) — The number of standard deviations specifying the distance between the middle band and upper or lower bands
  • moving_average_type (MovingAverageType, optional) — The type of moving average to be used
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

A BollingerBands configured with the specified period

Return type:

BollingerBands

BB(symbol, period, k, movingAverageType=0, resolution=None, selector=None)[source]

Creates a new BollingerBands indicator which will compute the MiddleBand, UpperBand, LowerBand, and StandardDeviation

Parameters:
  • symbol (Symbol) — The symbol whose BollingerBands we seek
  • period (Int32) — The period of the standard deviation and moving average (middle band)
  • k (decimal) — The number of standard deviations specifying the distance between the middle band and upper or lower bands
  • movingAverageType (MovingAverageType, optional) — The type of moving average to be used
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

A BollingerBands configured with the specified period

Return type:

BollingerBands

bop(symbol, resolution=None, selector=None)[source]

Creates a new Balance Of Power indicator. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose Balance Of Power we seek
  • resolution (Resolution, optional) — The resolution.
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Balance Of Power indicator for the requested symbol.

Return type:

BalanceOfPower

BOP(symbol, resolution=None, selector=None)[source]

Creates a new Balance Of Power indicator. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose Balance Of Power we seek
  • resolution (Resolution, optional) — The resolution.
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Balance Of Power indicator for the requested symbol.

Return type:

BalanceOfPower

c(target, reference, period, correlation_type=0, resolution=None, selector=None)[source]

Converts a composite FIGI identifier into a String)

Parameters:
  • target (Symbol) — The target symbol of this indicator
  • reference (Symbol) — The reference symbol of this indicator
  • period (int) — The period of this indicator
  • correlation_type (CorrelationType, optional) — Correlation type
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Correlation indicator for the given parameters

Return type:

Correlation

C(target, reference, period, correlationType=0, resolution=None, selector=None)[source]

Converts a composite FIGI identifier into a String)

Parameters:
  • target (Symbol) — The target symbol of this indicator
  • reference (Symbol) — The reference symbol of this indicator
  • period (Int32) — The period of this indicator
  • correlationType (CorrelationType, optional) — Correlation type
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Correlation indicator for the given parameters

Return type:

Correlation

cc(symbol, short_roc_period=11, long_roc_period=14, lwma_period=10, resolution=None, selector=None)[source]

Initializes a new instance of the CoppockCurve indicator

Parameters:
  • symbol (Symbol) — The symbol whose Coppock Curve we want
  • short_roc_period (int, optional) — The period for the short ROC
  • long_roc_period (int, optional) — The period for the long ROC
  • lwma_period (int, optional) — The period for the LWMA
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Coppock Curve indicator for the requested symbol over the specified period

Return type:

CoppockCurve

CC(symbol, shortRocPeriod=11, longRocPeriod=14, lwmaPeriod=10, resolution=None, selector=None)[source]

Initializes a new instance of the CoppockCurve indicator

Parameters:
  • symbol (Symbol) — The symbol whose Coppock Curve we want
  • shortRocPeriod (Int32, optional) — The period for the short ROC
  • longRocPeriod (Int32, optional) — The period for the long ROC
  • lwmaPeriod (Int32, optional) — The period for the LWMA
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Coppock Curve indicator for the requested symbol over the specified period

Return type:

CoppockCurve

cci(symbol, period, moving_average_type=0, resolution=None, selector=None)[source]

Creates a new CommodityChannelIndex indicator. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose CCI we want
  • period (int) — The period over which to compute the CCI
  • moving_average_type (MovingAverageType, optional) — The type of moving average to use in computing the typical price average
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The CommodityChannelIndex indicator for the requested symbol over the specified period

Return type:

CommodityChannelIndex

CCI(symbol, period, movingAverageType=0, resolution=None, selector=None)[source]

Creates a new CommodityChannelIndex indicator. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose CCI we want
  • period (Int32) — The period over which to compute the CCI
  • movingAverageType (MovingAverageType, optional) — The type of moving average to use in computing the typical price average
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The CommodityChannelIndex indicator for the requested symbol over the specified period

Return type:

CommodityChannelIndex

cmf(symbol, period, resolution=None, selector=None)[source]

Creates a new ChaikinMoneyFlow indicator.

Parameters:
  • symbol (Symbol) — The symbol whose CMF we want
  • period (int) — The period over which to compute the CMF
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The ChaikinMoneyFlow indicator for the requested symbol over the specified period

Return type:

ChaikinMoneyFlow

CMF(symbol, period, resolution=None, selector=None)[source]

Creates a new ChaikinMoneyFlow indicator.

Parameters:
  • symbol (Symbol) — The symbol whose CMF we want
  • period (Int32) — The period over which to compute the CMF
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The ChaikinMoneyFlow indicator for the requested symbol over the specified period

Return type:

ChaikinMoneyFlow

cmo(symbol, period, resolution=None, selector=None)[source]

Creates a new ChandeMomentumOscillator indicator.

Parameters:
  • symbol (Symbol) — The symbol whose CMO we want
  • period (int) — The period over which to compute the CMO
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

The ChandeMomentumOscillator indicator for the requested symbol over the specified period

Return type:

ChandeMomentumOscillator

CMO(symbol, period, resolution=None, selector=None)[source]

Creates a new ChandeMomentumOscillator indicator.

Parameters:
  • symbol (Symbol) — The symbol whose CMO we want
  • period (Int32) — The period over which to compute the CMO
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

The ChandeMomentumOscillator indicator for the requested symbol over the specified period

Return type:

ChandeMomentumOscillator

create_indicator_name(symbol, type, resolution)[source]

Creates a new name for an indicator created with the convenience functions (SMA, EMA, ect...)

Parameters:
  • symbol (Symbol) — The symbol this indicator is registered to
  • type (Formattablestr | str) — The indicator type, for example, 'SMA(5)'
  • resolution (Resolution) — The resolution requested
Returns:

A unique for the given parameters

Return type:

str

CreateIndicatorName(symbol, type, resolution)[source]

Creates a new name for an indicator created with the convenience functions (SMA, EMA, ect...)

Parameters:
  • symbol (Symbol) — The symbol this indicator is registered to
  • type (String | FormattableString) — The indicator type, for example, 'SMA(5)'
  • resolution (Resolution) — The resolution requested
Returns:

A unique for the given parameters

Return type:

String

d(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, iv_model=None, resolution=None)[source]

Send a debug message to the web console:

Parameters:
  • symbol (Symbol) — The option symbol whose values we want as an indicator
  • mirror_option (Symbol, optional) — The mirror option for parity calculation
  • risk_free_rate (float, optional) — The risk free rate
  • dividend_yield (float, optional) — The dividend yield
  • option_model (OptionPricingModelType, optional) — The option pricing model used to estimate Delta
  • iv_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
  • resolution (Resolution, optional) — The desired resolution of the data
Returns:

A new Delta indicator for the specified symbol

Return type:

Delta

D(symbol, mirrorOption=None, riskFreeRate=None, dividendYield=None, optionModel=0, ivModel=None, resolution=None)[source]

Send a debug message to the web console:

Parameters:
  • symbol (Symbol) — The option symbol whose values we want as an indicator
  • mirrorOption (Symbol, optional) — The mirror option for parity calculation
  • riskFreeRate (decimal, optional) — The risk free rate
  • dividendYield (decimal, optional) — The dividend yield
  • optionModel (OptionPricingModelType, optional) — The option pricing model used to estimate Delta
  • ivModel (OptionPricingModelType, optional) — The option pricing model used to estimate IV
  • resolution (Resolution, optional) — The desired resolution of the data
Returns:

A new Delta indicator for the specified symbol

Return type:

Delta

dch(symbol, upper_period, lower_period, resolution=None, selector=None)[source]

Creates a new Donchian Channel indicator which will compute the Upper Band and Lower Band. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose Donchian Channel we seek.
  • upper_period (int) — The period over which to compute the upper Donchian Channel.
  • lower_period (int) — The period over which to compute the lower Donchian Channel.
  • resolution (Resolution, optional) — The resolution.
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Donchian Channel indicator for the requested symbol.

Return type:

DonchianChannel

dch(symbol, period, resolution=None, selector=None)[source]

Creates a new Donchian Channel indicator which will compute the Upper Band and Lower Band. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose Donchian Channel we seek.
  • period (int) — The period over which to compute the Donchian Channel.
  • resolution (Resolution, optional) — The resolution.
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Donchian Channel indicator for the requested symbol.

Return type:

DonchianChannel

DCH(symbol, upperPeriod, lowerPeriod, resolution=None, selector=None)[source]

Creates a new Donchian Channel indicator which will compute the Upper Band and Lower Band. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose Donchian Channel we seek.
  • upperPeriod (Int32) — The period over which to compute the upper Donchian Channel.
  • lowerPeriod (Int32) — The period over which to compute the lower Donchian Channel.
  • resolution (Resolution, optional) — The resolution.
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Donchian Channel indicator for the requested symbol.

Return type:

DonchianChannel

DCH(symbol, period, resolution=None, selector=None)[source]

Creates a new Donchian Channel indicator which will compute the Upper Band and Lower Band. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose Donchian Channel we seek.
  • period (Int32) — The period over which to compute the Donchian Channel.
  • resolution (Resolution, optional) — The resolution.
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Donchian Channel indicator for the requested symbol.

Return type:

DonchianChannel

dem(symbol, period, type, resolution=None, selector=None)[source]

Creates a new DeMarker Indicator (DEM), an oscillator-type indicator measuring changes in terms of an asset's High and Low tradebar values.

Parameters:
  • symbol (Symbol) — The symbol whose DEM we seek.
  • period (int) — The period of the moving average implemented
  • type (MovingAverageType) — Specifies the type of moving average to be used
  • resolution (Resolution, optional) — The resolution.
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The DeMarker indicator for the requested symbol.

Return type:

DeMarkerIndicator

DEM(symbol, period, type, resolution=None, selector=None)[source]

Creates a new DeMarker Indicator (DEM), an oscillator-type indicator measuring changes in terms of an asset's High and Low tradebar values.

Parameters:
  • symbol (Symbol) — The symbol whose DEM we seek.
  • period (Int32) — The period of the moving average implemented
  • type (MovingAverageType) — Specifies the type of moving average to be used
  • resolution (Resolution, optional) — The resolution.
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The DeMarker indicator for the requested symbol.

Return type:

DeMarkerIndicator

dema(symbol, period, resolution=None, selector=None)[source]

Creates a new DoubleExponentialMovingAverage indicator.

Parameters:
  • symbol (Symbol) — The symbol whose DEMA we want
  • period (int) — The period over which to compute the DEMA
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

The DoubleExponentialMovingAverage indicator for the requested symbol over the specified period

Return type:

floatExponentialMovingAverage

DEMA(symbol, period, resolution=None, selector=None)[source]

Creates a new DoubleExponentialMovingAverage indicator.

Parameters:
  • symbol (Symbol) — The symbol whose DEMA we want
  • period (Int32) — The period over which to compute the DEMA
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

The DoubleExponentialMovingAverage indicator for the requested symbol over the specified period

Return type:

DoubleExponentialMovingAverage

do(symbol, rsi_period, smoothing_rsi_period, double_smoothing_rsi_period, signal_line_period, resolution=None, selector=None)[source]

Creates a new DerivativeOscillator indicator.

Parameters:
  • symbol (Symbol) — The symbol whose DO we want
  • rsi_period (int) — The period over which to compute the RSI
  • smoothing_rsi_period (int) — The period over which to compute the smoothing RSI
  • double_smoothing_rsi_period (int) — The period over which to compute the double smoothing RSI
  • signal_line_period (int) — The period over which to compute the signal line
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
Returns:

The DerivativeOscillator indicator for the requested symbol over the specified period

Return type:

DerivativeOscillator

DO(symbol, rsiPeriod, smoothingRsiPeriod, doubleSmoothingRsiPeriod, signalLinePeriod, resolution=None, selector=None)[source]

Creates a new DerivativeOscillator indicator.

Parameters:
  • symbol (Symbol) — The symbol whose DO we want
  • rsiPeriod (Int32) — The period over which to compute the RSI
  • smoothingRsiPeriod (Int32) — The period over which to compute the smoothing RSI
  • doubleSmoothingRsiPeriod (Int32) — The period over which to compute the double smoothing RSI
  • signalLinePeriod (Int32) — The period over which to compute the signal line
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to the Value property of BaseData (x => x.Value)
Returns:

The DerivativeOscillator indicator for the requested symbol over the specified period

Return type:

DerivativeOscillator

dpo(symbol, period, resolution=None, selector=None)[source]

Creates a new DetrendedPriceOscillator indicator.

Parameters:
  • symbol (Symbol) — The symbol whose DPO we want
  • period (int) — The period over which to compute the DPO
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

A new registered DetrendedPriceOscillator indicator for the requested symbol over the specified period

Return type:

DetrendedPriceOscillator

DPO(symbol, period, resolution=None, selector=None)[source]

Creates a new DetrendedPriceOscillator indicator.

Parameters:
  • symbol (Symbol) — The symbol whose DPO we want
  • period (Int32) — The period over which to compute the DPO
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

A new registered DetrendedPriceOscillator indicator for the requested symbol over the specified period

Return type:

DetrendedPriceOscillator

ema(symbol, period, smoothing_factor, resolution=None, selector=None)[source]

Creates an ExponentialMovingAverage indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose EMA we want
  • period (int) — The period of the EMA
  • smoothing_factor (float) — The percentage of data from the previous value to be carried into the next value
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

The ExponentialMovingAverage for the given parameters

Return type:

ExponentialMovingAverage

EMA(symbol, period, smoothingFactor, resolution=None, selector=None)[source]

Creates an ExponentialMovingAverage indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose EMA we want
  • period (Int32) — The period of the EMA
  • smoothingFactor (decimal) — The percentage of data from the previous value to be carried into the next value
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

The ExponentialMovingAverage for the given parameters

Return type:

ExponentialMovingAverage

emv(symbol, period=1, scale=10000, resolution=None, selector=None)[source]

Creates an EaseOfMovementValue indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose EMV we want
  • period (int, optional) — The period of the EMV
  • scale (int, optional) — The length of the outputed value
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The EaseOfMovementValue indicator for the given parameters

Return type:

EaseOfMovementValue

EMV(symbol, period=1, scale=10000, resolution=None, selector=None)[source]

Creates an EaseOfMovementValue indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose EMV we want
  • period (Int32, optional) — The period of the EMV
  • scale (Int32, optional) — The length of the outputed value
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The EaseOfMovementValue indicator for the given parameters

Return type:

EaseOfMovementValue

filtered_identity(symbol, resolution, selector=None, filter=None, field_name=None)[source]

Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution

Parameters:
  • symbol (Symbol) — The symbol whose values we want as an indicator
  • resolution (timedelta | Resolution) — The desired resolution of the data
  • selector (PyObject | Callable[IBaseData, IBaseDataBar], optional) — x.Value)
  • filter (PyObject | Callable[IBaseData, bool], optional) — true) which means no filter
  • field_name (str, optional) — The name of the field being selected
Returns:

A new FilteredIdentity indicator for the specified symbol and selector

Return type:

FilteredIdentity

FilteredIdentity(symbol, resolution, selector=None, filter=None, fieldName=None)[source]

Creates a new FilteredIdentity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution

Parameters:
  • symbol (Symbol) — The symbol whose values we want as an indicator
  • resolution (TimeSpan | Resolution) — The desired resolution of the data
  • selector (PyObject | Func[IBaseData, IBaseDataBar], optional) — x.Value)
  • filter (PyObject | Func[IBaseData, Boolean], optional) — true) which means no filter
  • fieldName (string, optional) — The name of the field being selected
Returns:

A new FilteredIdentity indicator for the specified symbol and selector

Return type:

FilteredIdentity

fish(symbol, period, resolution=None, selector=None)[source]

Creates an FisherTransform indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose FisherTransform we want
  • period (int) — The period of the FisherTransform
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The FisherTransform for the given parameters

Return type:

FisherTransform

FISH(symbol, period, resolution=None, selector=None)[source]

Creates an FisherTransform indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose FisherTransform we want
  • period (Int32) — The period of the FisherTransform
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The FisherTransform for the given parameters

Return type:

FisherTransform

frama(symbol, period, long_period=198, resolution=None, selector=None)[source]

Creates an FractalAdaptiveMovingAverage (FRAMA) indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose FRAMA we want
  • period (int) — The period of the FRAMA
  • long_period (int, optional) — The long period of the FRAMA
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The FRAMA for the given parameters

Return type:

FractalAdaptiveMovingAverage

FRAMA(symbol, period, longPeriod=198, resolution=None, selector=None)[source]

Creates an FractalAdaptiveMovingAverage (FRAMA) indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose FRAMA we want
  • period (Int32) — The period of the FRAMA
  • longPeriod (Int32, optional) — The long period of the FRAMA
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The FRAMA for the given parameters

Return type:

FractalAdaptiveMovingAverage

g(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, iv_model=None, resolution=None)[source]

Gets the parameter with the specified name. If a parameter with the specified name does not exist, the given default value is returned if any, else null

Parameters:
  • symbol (Symbol) — The option symbol whose values we want as an indicator
  • mirror_option (Symbol, optional) — The mirror option for parity calculation
  • risk_free_rate (float, optional) — The risk free rate
  • dividend_yield (float, optional) — The dividend yield
  • option_model (OptionPricingModelType, optional) — The option pricing model used to estimate Gamma
  • iv_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
  • resolution (Resolution, optional) — The desired resolution of the data
Returns:

A new Gamma indicator for the specified symbol

Return type:

Gamma

G(symbol, mirrorOption=None, riskFreeRate=None, dividendYield=None, optionModel=0, ivModel=None, resolution=None)[source]

Gets the parameter with the specified name. If a parameter with the specified name does not exist, the given default value is returned if any, else null

Parameters:
  • symbol (Symbol) — The option symbol whose values we want as an indicator
  • mirrorOption (Symbol, optional) — The mirror option for parity calculation
  • riskFreeRate (decimal, optional) — The risk free rate
  • dividendYield (decimal, optional) — The dividend yield
  • optionModel (OptionPricingModelType, optional) — The option pricing model used to estimate Gamma
  • ivModel (OptionPricingModelType, optional) — The option pricing model used to estimate IV
  • resolution (Resolution, optional) — The desired resolution of the data
Returns:

A new Gamma indicator for the specified symbol

Return type:

Gamma

heikin_ashi(symbol, resolution=None, selector=None)[source]

Creates a new Heikin-Ashi indicator.

Parameters:
  • symbol (Symbol) — The symbol whose Heikin-Ashi we want
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Heikin-Ashi indicator for the requested symbol over the specified period

Return type:

HeikinAshi

HeikinAshi(symbol, resolution=None, selector=None)[source]

Creates a new Heikin-Ashi indicator.

Parameters:
  • symbol (Symbol) — The symbol whose Heikin-Ashi we want
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Heikin-Ashi indicator for the requested symbol over the specified period

Return type:

HeikinAshi

hma(symbol, period, resolution=None, selector=None)[source]

Creates a new HullMovingAverage indicator. The Hull moving average is a series of nested weighted moving averages, is fast and smooth.

Parameters:
  • symbol (Symbol) — The symbol whose Hull moving average we want
  • period (int) — The period over which to compute the Hull moving average
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Return type:

HullMovingAverage

HMA(symbol, period, resolution=None, selector=None)[source]

Creates a new HullMovingAverage indicator. The Hull moving average is a series of nested weighted moving averages, is fast and smooth.

Parameters:
  • symbol (Symbol) — The symbol whose Hull moving average we want
  • period (Int32) — The period over which to compute the Hull moving average
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Return type:

HullMovingAverage

ht(symbol, length, in_phase_multiplication_factor, quadrature_multiplication_factor, resolution=None, selector=None)[source]

Creates a new Hilbert Transform indicator

Parameters:
  • symbol (Symbol) — The symbol whose Hilbert transform we want
  • length (int) — The length of the FIR filter used in the calculation of the Hilbert Transform. This parameter determines the number of filter coefficients in the FIR filter.
  • in_phase_multiplication_factor (float) — The multiplication factor used in the calculation of the in-phase component of the Hilbert Transform. This parameter adjusts the sensitivity and responsiveness of the transform to changes in the input signal.
  • quadrature_multiplication_factor (float) — The multiplication factor used in the calculation of the quadrature component of the Hilbert Transform. This parameter also adjusts the sensitivity and responsiveness of the transform to changes in the input signal.
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Return type:

HilbertTransform

HT(symbol, length, inPhaseMultiplicationFactor, quadratureMultiplicationFactor, resolution=None, selector=None)[source]

Creates a new Hilbert Transform indicator

Parameters:
  • symbol (Symbol) — The symbol whose Hilbert transform we want
  • length (Int32) — The length of the FIR filter used in the calculation of the Hilbert Transform. This parameter determines the number of filter coefficients in the FIR filter.
  • inPhaseMultiplicationFactor (decimal) — The multiplication factor used in the calculation of the in-phase component of the Hilbert Transform. This parameter adjusts the sensitivity and responsiveness of the transform to changes in the input signal.
  • quadratureMultiplicationFactor (decimal) — The multiplication factor used in the calculation of the quadrature component of the Hilbert Transform. This parameter also adjusts the sensitivity and responsiveness of the transform to changes in the input signal.
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Return type:

HilbertTransform

ichimoku(symbol, tenkan_period, kijun_period, senkou_a_period, senkou_b_period, senkou_a_delay_period, senkou_b_delay_period, resolution=None, selector=None)[source]

Creates a new IchimokuKinkoHyo indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose ICHIMOKU we want
  • tenkan_period (int) — The period to calculate the Tenkan-sen period
  • kijun_period (int) — The period to calculate the Kijun-sen period
  • senkou_a_period (int) — The period to calculate the Tenkan-sen period
  • senkou_b_period (int) — The period to calculate the Tenkan-sen period
  • senkou_a_delay_period (int) — The period to calculate the Tenkan-sen period
  • senkou_b_delay_period (int) — The period to calculate the Tenkan-sen period
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, TradeBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

A new IchimokuKinkoHyo indicator with the specified periods and delays

Return type:

IchimokuKinkoHyo

ICHIMOKU(symbol, tenkanPeriod, kijunPeriod, senkouAPeriod, senkouBPeriod, senkouADelayPeriod, senkouBDelayPeriod, resolution=None, selector=None)[source]

Creates a new IchimokuKinkoHyo indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose ICHIMOKU we want
  • tenkanPeriod (Int32) — The period to calculate the Tenkan-sen period
  • kijunPeriod (Int32) — The period to calculate the Kijun-sen period
  • senkouAPeriod (Int32) — The period to calculate the Tenkan-sen period
  • senkouBPeriod (Int32) — The period to calculate the Tenkan-sen period
  • senkouADelayPeriod (Int32) — The period to calculate the Tenkan-sen period
  • senkouBDelayPeriod (Int32) — The period to calculate the Tenkan-sen period
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, TradeBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

A new IchimokuKinkoHyo indicator with the specified periods and delays

Return type:

IchimokuKinkoHyo

identity(symbol, resolution, selector=None, field_name=None)[source]

Creates a new Identity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution

Parameters:
  • symbol (Symbol) — The symbol whose values we want as an indicator
  • resolution (timedelta | Resolution) — The desired resolution of the data
  • selector (Callable[IBaseData, float], optional) — x.Value)
  • field_name (str, optional) — The name of the field being selected
Returns:

A new Identity indicator for the specified symbol and selector

Return type:

Identity

Identity(symbol, resolution, selector=None, fieldName=None)[source]

Creates a new Identity indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution

Parameters:
  • symbol (Symbol) — The symbol whose values we want as an indicator
  • resolution (TimeSpan | Resolution) — The desired resolution of the data
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
  • fieldName (string, optional) — The name of the field being selected
Returns:

A new Identity indicator for the specified symbol and selector

Return type:

Identity

iv(symbol, mirror_option=None, risk_free_rate=None, dividend_yield=None, option_model=0, period=252, resolution=None)[source]

Creates a new ImpliedVolatility indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution

Parameters:
  • symbol (Symbol) — The option symbol whose values we want as an indicator
  • mirror_option (Symbol, optional) — The mirror option contract used for parity type calculation
  • risk_free_rate (float, optional) — The risk free rate
  • dividend_yield (float, optional) — The dividend yield
  • option_model (OptionPricingModelType, optional) — The option pricing model used to estimate IV
  • period (int, optional) — The lookback period of historical volatility
  • resolution (Resolution, optional) — The desired resolution of the data
Returns:

A new ImpliedVolatility indicator for the specified symbol

Return type:

ImpliedVolatility

IV(symbol, mirrorOption=None, riskFreeRate=None, dividendYield=None, optionModel=0, period=252, resolution=None)[source]

Creates a new ImpliedVolatility indicator for the symbol The indicator will be automatically updated on the symbol's subscription resolution

Parameters:
  • symbol (Symbol) — The option symbol whose values we want as an indicator
  • mirrorOption (Symbol, optional) — The mirror option contract used for parity type calculation
  • riskFreeRate (decimal, optional) — The risk free rate
  • dividendYield (decimal, optional) — The dividend yield
  • optionModel (OptionPricingModelType, optional) — The option pricing model used to estimate IV
  • period (Int32, optional) — The lookback period of historical volatility
  • resolution (Resolution, optional) — The desired resolution of the data
Returns:

A new ImpliedVolatility indicator for the specified symbol

Return type:

ImpliedVolatility

kama(symbol, period, fast_ema_period, slow_ema_period, resolution=None, selector=None)[source]

Creates a new KaufmanAdaptiveMovingAverage indicator.

Parameters:
  • symbol (Symbol) — The symbol whose KAMA we want
  • period (int) — The period of the Efficiency Ratio (ER)
  • fast_ema_period (int) — The period of the fast EMA used to calculate the Smoothing Constant (SC)
  • slow_ema_period (int) — The period of the slow EMA used to calculate the Smoothing Constant (SC)
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

The KaufmanAdaptiveMovingAverage indicator for the requested symbol over the specified period

Return type:

KaufmanAdaptiveMovingAverage

KAMA(symbol, period, fastEmaPeriod, slowEmaPeriod, resolution=None, selector=None)[source]

Creates a new KaufmanAdaptiveMovingAverage indicator.

Parameters:
  • symbol (Symbol) — The symbol whose KAMA we want
  • period (Int32) — The period of the Efficiency Ratio (ER)
  • fastEmaPeriod (Int32) — The period of the fast EMA used to calculate the Smoothing Constant (SC)
  • slowEmaPeriod (Int32) — The period of the slow EMA used to calculate the Smoothing Constant (SC)
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

The KaufmanAdaptiveMovingAverage indicator for the requested symbol over the specified period

Return type:

KaufmanAdaptiveMovingAverage

kch(symbol, period, k, moving_average_type=0, resolution=None, selector=None)[source]

Creates a new Keltner Channels indicator. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose Keltner Channel we seek
  • period (int) — The period over which to compute the Keltner Channels
  • k (float) — from the middle band of the Keltner Channels
  • moving_average_type (MovingAverageType, optional) — Specifies the type of moving average to be used as the middle line of the Keltner Channel
  • resolution (Resolution, optional) — The resolution.
  • selector (Callable[IBaseData, IBaseDataBar], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Keltner Channel indicator for the requested symbol.

Return type:

KeltnerChannels

KCH(symbol, period, k, movingAverageType=0, resolution=None, selector=None)[source]

Creates a new Keltner Channels indicator. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose Keltner Channel we seek
  • period (Int32) — The period over which to compute the Keltner Channels
  • k (decimal) — from the middle band of the Keltner Channels
  • movingAverageType (MovingAverageType, optional) — Specifies the type of moving average to be used as the middle line of the Keltner Channel
  • resolution (Resolution, optional) — The resolution.
  • selector (Func<IBaseData, IBaseDataBar>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar
Returns:

The Keltner Channel indicator for the requested symbol.

Return type:

KeltnerChannels

ker(symbol, period=2, resolution=None, selector=None)[source]

Creates an KaufmanEfficiencyRatio indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose EF we want
  • period (int, optional) — The period of the EF
  • resolution (Resolution, optional) — The resolution
  • selector (Callable[IBaseData, float], optional) — x.Value)
Returns:

The KaufmanEfficiencyRatio indicator for the given parameters

Return type:

KaufmanEfficiencyRatio

KER(symbol, period=2, resolution=None, selector=None)[source]

Creates an KaufmanEfficiencyRatio indicator for the symbol. The indicator will be automatically updated on the given resolution.

Parameters:
  • symbol (Symbol) — The symbol whose EF we want
  • period (Int32, optional) — The period of the EF
  • resolution (Resolution, optional) — The resolution
  • selector (Func<IBaseData, Decimal>, optional) — x.Value)
Returns:

The KaufmanEfficiencyRatio indicator for the given parameters

Return type:

KaufmanEfficiencyRatio

logr(symbol, period, resolution=None, selector=None)[source]

Creates a new LogReturn indicator.

Parameters:
  • symbol (Symbol) — The symbol whose log return we seek
  • period (int) — The period of the log return.
  • resolution (Resolution, optional) — The resolution.
  • selector (Callable[IBaseData, float], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.
Returns:

log return indicator for the requested symbol.

Return type:

LogReturn

LOGR(symbol, period, resolution=None, selector=None)[source]

Creates a new LogReturn indicator.

Parameters:
  • symbol (Symbol) — The symbol whose log return we seek
  • period (Int32) — The period of the log return.
  • resolution (Resolution, optional) — The resolution.
  • selector (Func<IBaseData, Decimal>, optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.
Returns:

log return indicator for the requested symbol.

Return type:

LogReturn

lsma(symbol, period, resolution=None, selector=None)[source]

Creates and registers a new Least Squares Moving Average instance.

Parameters:
  • symbol (Symbol) — The symbol whose LSMA we seek.
  • period (int) — The LSMA period. Normally 14.
  • resolution (Resolution, optional) — The resolution.
  • selector (Callable[IBaseData, float], optional) — Selects a value from the BaseData to send into the indicator, if null defaults to casting the input value to a TradeBar.
Returns:

A LeastSquaredMovingAverage configured with the speci