Rolling Window inside a Universe

Hi Chad

I would suggest your create a dictionary in your backtest algo class, and a class SymbolData to store the rolling window for each selected symbol. So when OnSecuritiesChanged method you can create a dict key of the symbol and value as the SymbolClass object which contains rolling window to use, yet you would still need to call history data at the rolling window creation to fill up the empty window.

Simple example:

class youralgo(QCAlgorithm):
		def initialize(self):
				self.AddUniverse(youruniverse)
				self.Data = {}
	
		def OnSecuritiesChanged(self, changes):
				for change in changes.AddedSecurities:
						self.Data[change.Symbol] = SymbolData(change.Symbol, timedelta(minutes=1), 200)		# barPeriod and windowSize
		
				for change in changes.RemovedSecurities:
						if change.Symbol in self.Data:
								del self.Data[change.Symbol]
	
		def OnData(self, data):
				for symbol in self.Data.keys():
            			symbolData = self.Data[symbol]
            			if symbolData.IsReady() and symbolData.WasJustUpdated(self.Time):	
            					pass		# your actions
	
class SymbolData(object):
    
    	def __init__(self, symbol, barPeriod, windowSize):
        		self.Symbol = symbol
        		self.BarPeriod = barPeriod
        		self.Bars = RollingWindow[IBaseDataBar](windowSize)
        		# also call history data to fill it up if you need
        
   		def IsReady(self):
        		return self.Bars.IsReady

    	def WasJustUpdated(self, current):
        		return self.Bars.Count > 0 and self.Bars[0].Time == current - self.BarPeriod                                  

Cheers
Louis

Thanks Louis,

I will give it a try and see how I make out with building a dictionary in my backtest.

Would I access the data the same I do now (eg. self.Bars[0].Close) ?

Chad

Hi Chad

Nope, self.Bars would only be accessible in SymbolData class. In OnData method in youralgo class, you would call self.Data[symbol].Bars[0].Close. In the above example, since the dictionary value has been called as a variable, you can call symbolData.Bars[0].Close in the line that I hashtaged # your actions

Cheers
Louis

Thanks again Louis,

I will try and get it to work.

Chad