Indicator Reference

Auto Regressive Integrated Moving Average

Introduction

An Autoregressive Intergrated Moving Average (ARIMA) is a time series model which can be used to describe a set of data. In particular,with Xₜ representing the series, the model assumes the data are of form (after differencing times): Xₜ = c + εₜ + ΣᵢφᵢXₜ₋ᵢ + Σᵢθᵢεₜ₋ᵢ where the first sum has an upper limit of and the second .

Create Manual Indicators

You can manually create a AutoRegressiveIntegratedMovingAverage indicator, so it doesn’t automatically update. Manual indicators let you update their values with any data you choose. The following reference table describes the AutoRegressiveIntegratedMovingAverage constructor.

AutoRegressiveIntegratedMovingAverage()1/2

            AutoRegressiveIntegratedMovingAverage QuantConnect.Indicators.AutoRegressiveIntegratedMovingAverage (
   )
        

This particular constructor fits the model by means of TwoStepFit for a specified name.

AutoRegressiveIntegratedMovingAverage()2/2

            AutoRegressiveIntegratedMovingAverage QuantConnect.Indicators.AutoRegressiveIntegratedMovingAverage (
   )
        

This particular constructor fits the model by means of TwoStepFit using ordinary least squares.

Update Manual Indicators

You can update the indicator automatically or manually.

Automatic Update

To register a manual indicator for automatic updates with the security data, call the RegisterIndicator method.


private AutoRegressiveIntegratedMovingAverage _arima;

// In Initialize()
_arima = new AutoRegressiveIntegratedMovingAverage(name, arOrder, diffOrder, maOrder, period, intercept);
_arima.Updated += IndicatorUpdateMethod;

RegisterIndicator(symbol, _arima, Resolution.Daily);

// In IndicatorUpdateMethod()
if (_arima.IsReady)
{
    var indicatorValue = _arima.Current.Value;
}
    
# In Initialize()
self.arima = AutoRegressiveIntegratedMovingAverage(name, arOrder, diffOrder, maOrder, period, intercept)
self.arima.Updated += self.IndicatorUpdateMethod

self.RegisterIndicator(symbol, self.arima, Resolution.Daily)

# In IndicatorUpdateMethod()
if self.arima.IsReady:
    indicator_value = self.arima.Current.Value

To customize the data that automatically updates the indicator, see Custom Indicator Periods and Custom Indicator Values.

Manual Update

Updating your indicator manually enables you to control when the indicator is updated and what data you use to update it. To manually update the indicator, call the Update method with time/decimal pair. The indicator will only be ready after you prime it with enough data.

    
private AutoRegressiveIntegratedMovingAverage _arima;
private Symbol symbol;

// In Initialize()
_arima = new AutoRegressiveIntegratedMovingAverage(arOrder, diffOrder, maOrder, period, intercept);
symbol = AddEquity("SPY").Symbol;

// In OnData()
if (data.ContainsKey(_symbol))
{
    _arima.Update(data[symbol].EndTime, data[symbol].High);
}
if (_arima.IsReady)
{
    var indicatorValue = _arima.Current.Value;
}
    
# In Initialize()
self.arima = AutoRegressiveIntegratedMovingAverage(arOrder, diffOrder, maOrder, period, intercept)
self.symbol = self.AddEquity("SPY").Symbol

# In OnData()
if data.ContainsKey(self.symbol):
    self.arima.Update(data[self.symbol].EndTime, data[self.symbol].High)
if self.arima.IsReady:
    indicator_value = self.arima.Current.Value

Create Automatic Indicators

The ARIMA method creates an AutoRegressiveIntegratedMovingAverage indicator, sets up a consolidator to update the indicator, and then returns the indicator so you can use it in your algorithm.

The following reference table describes the ARIMA method:

ARIMA()1/1

            AutoRegressiveIntegratedMovingAverage QuantConnect.Algorithm.QCAlgorithm.ARIMA (
    Symbol                       symbol,
    Int32                        arOrder,
    Int32                        diffOrder,
    Int32                        maOrder,
    Int32                        period,
    *Nullable<Resolution>  resolution
   )
        

Creates a new ARIMA indicator.


If you don't provide a resolution, it defauls to the security resolution. If you provide a resolution, it must be greater than or equal to the resolution of the security. For instance, if you subscribe to hourly data for a security, you should update its indicator with data that spans 1 hour or longer.

For more information about the selector argument, see Alternative Price Fields.

Get Indicator Values

To get the value of the indicator, use its Current.Value attribute.

private AutoRegressiveIntegratedMovingAverage _arima;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_arima = ARIMA(symbol, arOrder, diffOrder, maOrder, period);

// In OnData()
if (_arima.IsReady)
{
    var arResidualError = _arima.ArResidualError.Current.Value;
    var maResidualError = _arima.MaResidualError.Current.Value;
    var current = _arima.Current.Value;
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.arima = self.ARIMA(symbol, arOrder, diffOrder, maOrder, period)

# In OnData()
if self.arima.IsReady:
    ar_residual_error = self.arima.ArResidualError.Current.Value
    ma_residual_error = self.arima.MaResidualError.Current.Value
    current = self.arima.Current.Value

Visualization

To plot indicator values, in the OnData event handler, call the Plot method.

private AutoRegressiveIntegratedMovingAverage _arima;

// In Initialize()
var symbol = AddEquity("SPY").Symbol;
_arima = ARIMA(symbol, arOrder, diffOrder, maOrder, period);

// In OnData()
if (_arima.IsReady)
{
    Plot("My Indicators", "arresidualerror", _arima.ArResidualError);
    Plot("My Indicators", "maresidualerror", _arima.MaResidualError);
    Plot("My Indicators", "autoregressiveintegratedmovingaverage", _arima.Current);
}
# In Initialize()
symbol = self.AddEquity("SPY").Symbol
self.arima = self.ARIMA(symbol, arOrder, diffOrder, maOrder, period)

# In OnData()
if self.arima.IsReady:
    self.Plot("My Indicators", "arresidualerror", self.arima.ArResidualError)
    self.Plot("My Indicators", "maresidualerror", self.arima.MaResidualError)
    self.Plot("My Indicators", "autoregressiveintegratedmovingaverage", self.arima.Current)

For more information about plotting indicators, see Plotting Indicators.

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