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I am exploring the research environment, and want to plot some graph. I just copy most of the code from docs, but there is still something wrong.
qb = QuantBook()
es = qb.AddFuture("ES")
es.SetFilter(timedelta(0), timedelta(90))
start_date = datetime(2014, 7, 1, 9, 30)
end_date = datetime(2014, 7, 3, 23, 59)
future_history = qb.GetFutureHistory(es.Symbol, start_date, end_date, Resolution.Minute)
future_history.GetAllData()
history = future_history.GetAllData()
# drop expiry and symbols
history.reset_index(level = 0, drop = True, inplace=True)
history.reset_index(level = 0, drop = True, inplace=True)
# consolidate to 5 min bars
close_prices = history["close"]
offset = '5T'
df_5min_ohlc = close_prices.resample(offset).ohlc()
# I copied the below code, but still have an error
# manually update the indicator
bb = BollingerBands(30, 2)
bb_values = {'time': [], 'upperband': [], 'middleband': [], 'lowerband': []}
for row in df_5min_ohlc.itertuples():
time = row.Index
close = row.close
bb.Update(time, close)
if bb.IsReady:
bb_values['time'].append(time) # Save timestamps to create index for dataframe
bb_values['upperband'].append(bb.UpperBand.Current.Value)
bb_values['middleband'].append(bb.MiddleBand.Current.Value)
bb_values['lowerband'].append(bb.LowerBand.Current.Value)
consolidated_bbdf = pd.DataFrame(bb_values, columns=['time', 'upperband', 'middleband', 'lowerband'])
consolidated_bbdf = consolidated_bb.set_index('time') TypeError: No method matches given arguments for Update: (<class 'pandas._libs.tslibs.timestamps.Timestamp'>, <class 'float'>)
Error related Code:
bb.Update(time, close)So what should I pass instead?
Thx in advance
Varad Kabade
Hi Will Chau,
The above issue occurs because some of the close prices are NaN in the data frame. To resolve this, we recommend checking if the current close is NaN or not before making the indicator update:
Refer to the attached backtest.
Best,
Varad Kabade
Will Chau
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