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Hi all,
As part of a test strategy, I am trying to use to On Balance Volume to confirm a breakout using a rolling window to check if the previous days OBV is either greater or lower than the current OBV. This results in:
Runtime Error: TypeError : Cannot get managed object at Update sd.obvWindow[1] < sd.obv.Current.Value: === at Python.Runtime.PyObject.Invoke(PyTuple args in Alpha6.py:line 31 TypeError : Cannot get managed objec
Am I using this indicator correctly? I don't understand why it cannot retrieve the value when I've implemented it in the same way as my other indicators. Code it below
Thanks!
class Donchian6(AlphaModel):
def __init__(self, lowerBand = 55, upperBand = 55, emaPeriod = 100, resolution = Resolution.Daily):
self.lowerBand = lowerBand
self.upperBand = upperBand
self.resolution = resolution
self.emaPeriod = emaPeriod
self.insightPeriod = Time.Multiply(Extensions.ToTimeSpan(resolution), upperBand)
self.symbolData = {}
resolutionString = Extensions.GetEnumString(resolution, Resolution)
self.Name = '{}({},{},{})'.format(self.__class__.__name__, lowerBand, upperBand, resolutionString)
def Update(self, algorithm, data):
insights = []
for key, sd in self.symbolData.items():
if sd.donchian.IsReady and \
sd.donchianWindow.IsReady and \
sd._donchian["UpperBand"].IsReady and \
sd._donchian["LowerBand"].IsReady and \
sd.obv.IsReady and\
sd.obvWindow.IsReady:
if sd._donchian["UpperBand"][1] < sd.Security.Close and \
sd.Security.Close > sd.ema.Current.Value and \
sd.obvWindow[1] < sd.obv.Current.Value:
insights.append(Insight.Price(sd.Security.Symbol, self.insightPeriod, InsightDirection.Up))
if sd._donchian["LowerBand"][1] > sd.Security.Close and \
sd.Security.Close < sd.ema.Current.Value and \
sd.obvWindow[1] > sd.obv.Current.Value:
insights.append(Insight.Price(sd.Security.Symbol, self.insightPeriod, InsightDirection.Down))
return insights
def OnSecuritiesChanged(self, algorithm, changes):
for added in changes.AddedSecurities:
self.symbolData[added.Symbol] = SymbolData(algorithm, added, self.upperBand, self.lowerBand, self.emaPeriod, self.resolution)
for removed in changes.RemovedSecurities:
data = self.symbolData.pop(removed.Symbol, None)
if data is not None:
algorithm.SubscriptionManager.RemoveConsolidator(removed.Symbol, data.Consolidator)
class SymbolData:
def __init__(self, algorithm, security, lowerBand, upperBand, emaPeriod, resolution):
self.Security = security
self.donchian = DonchianChannel(upperBand, lowerBand)
self._donchian = {}
self.Consolidator = algorithm.ResolveConsolidator(security.Symbol, resolution)
algorithm.RegisterIndicator(security.Symbol, self.donchian, self.Consolidator)
self.donchian.Updated += self.DonchianUpdated
self.donchianWindow = RollingWindow[IndicatorDataPoint](2)
self._donchian["UpperBand"] = RollingWindow[float](2)
self._donchian["LowerBand"] = RollingWindow[float](2)
self.ema = ExponentialMovingAverage(emaPeriod)
self.ConsolidatorEMA = algorithm.ResolveConsolidator(security.Symbol, resolution)
algorithm.RegisterIndicator(security.Symbol, self.ema, self.ConsolidatorEMA)
self.obv = OnBalanceVolume()
self.ConsolidatorOBV = algorithm.ResolveConsolidator(security.Symbol, resolution)
algorithm.RegisterIndicator(security.Symbol, self.obv, self.ConsolidatorOBV)
self.obv.Updated += self.OBVUpdated
self.obvWindow = RollingWindow[IndicatorDataPoint](2)
def DonchianUpdated(self, sender, updated):
self.donchianWindow.Add(updated)
self._donchian["UpperBand"].Add(self.donchian.UpperBand.Current.Value)
self._donchian["LowerBand"].Add(self.donchian.LowerBand.Current.Value)
def OBVUpdated(self, sender, updated):
self.obvWindow.Add(updated)
Alexandre Catarino
Hi Nicholas Fitzgerald ,
Could you please apply the following changes?
The TypeError occurs because the algorithm is comparing an IndicatorDataPoint object (sd.obvWindow[1]) with a floating-point number (sd.obv.Current.Value)
Best regards,
Alex
P.S.: Please share the full backtest instead of code snippets. It helps the Community to help you. If the algorithm doesn't create a backtest because of the error, you can comment out the code that generates the bug and tell the Community the changes that need to be made to reproduce the bug.
Nicholas Fitzgerald
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