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New to the platform and been a few years so coding is rusty; thanks in advance for your patience. I'm looking to run at minute resolution and compare the highs and lows of the last 3 bars. My searching has told me rolling windows is the best option for this, however it seems like I'm not getting the correct data or using them incorrectly. When I run my code, I get a variabled referenced before assignment error. I copied my code through the variable assignment below, I would assume the if statement is not being satisfied but am not sure why. Any advice would be appreciated.
def Initialize(self):
self.SetStartDate(2021, 1, 1) #Starts Jan 1 2020
self.SetEndDate(2021,2,3) #Ends Today
self.SetCash(1000) #Thousand dollar balance
self.spy = self.AddEquity("SPY", Resolution.Minute) #Add SPY Minute Data
self.spy.SetDataNormalizationMode(DataNormalizationMode.Raw) #Set Data Normalization Mode
self.SetWarmup(3)
self.window = RollingWindow[TradeBar](3)
self.lowWindow = RollingWindow[float](3)
self.highWindow = RollingWindow[float](3)
def OnData(self, data):
self.lowWindow.Add(data["SPY"].Low)
self.highWindow.Add(data["SPY"].High)
if self.highWindow.IsReady and self.lowWindow.IsReady:
High = self.highWindow[0]
Low = self.lowWindow[0]
LastHigh = self.highWindow[1]
LastLow = self.lowWindow[1]
OldHigh = self.highWindow[2]
OldLow = self.lowWindow[2]
Crypto Cam
Have been troubleshooting and have worked myself to this point, but still not getting any data. Open to any advice or suggestions, at this point it's still early so I'm considering just trying a different platform.
self.spy = self.AddEquity("SPY", Resolution.Minute) #Add SPY Minute Data
self.spy.SetDataNormalizationMode(DataNormalizationMode.Raw) #Set Data Normalization Mode
self.UniverseSettings.Resolution = Resolution.Minute
self.window = RollingWindow[TradeBar](2)
self.lowWindow = RollingWindow[float](2)
self.highWindow = RollingWindow[float](2)
self.SetWarmUp(5)
def OnData(self, data):
self.lowWindow.Add(data["SPY"].Low)
self.highWindow.Add(data["SPY"].High)
if self.highWindow.IsReady and self.lowWindow.IsReady:
High = self.highWindow[0]
Low = self.lowWindow[0]
LastHigh = self.highWindow[1]
LastLow = self.lowWindow[1]
OldHigh = self.highWindow[2]
OldLow = self.lowWindow[2]
else:
return
Crypto Cam
I was very close with the last code I pasted. Needed to make the rolling window a size of 3 rather than 2. This is now working for me, hopefully this can help someone else too!
Crypto Cam
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