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Hi all;
What I want to do is after the warm up completes, I then test all of my rolling windows & indicators to verify that they are ready. So I figured I could do this in OnWarmupFinished() and then no need to test them every time I access them.
However, OnWarmupFinished() is called before my universe coarse/fine selection is called, and therefore, before I create the data for each symbol I'm tracking including their rolling windows & indicators.
Is there a method that will be called after warmup is run on my universe?
thanks - dave
Fred Painchaud
Hi David,
Universe Selection does not support warm up (the automatic one)… that's why currently, during your warm up, your Universe Selection is not executed.
Fred
David Thielen
Hi;
Ok, so what I am doing is creating a Universe. And then when the Universe is created it calls OnSecuritiesChanged().
In OnSecuritiesChanged() I create indicators and rolling windows for each equity. And I then get the history for that equity and call Update() passing in the history day by day to the indicators and rolling windows.
So… this means I never need to run WarmUp - correct? And by definition after this all completes, everything should be IsReady???
And…
If instead of getting the history and explicitly calling Update(), I instead just created the indicators/rolling windows and did not initialize them. And then set a warm up period. Would it then run them all for the warm up, and then call OnWarmupFinished() again?
Or does defining a Universe preclude having a warm up?
thanks - dave
Fred Painchaud
Hi David,
Using history calls for Universe Selection is the way to go. Your indicators will be ready iff you feed them enough data. If so, yes, they will be ready afterwards.
The warm up algorithm (routine) does not process Universes. A Universe is a dynamic asset selector and subscriber. Warm up is a one shot data feeder from selected/subscribed assets (from Add*()). As-is, you simply cannot use the warm up routine to feed your indicators attached to your universe selections. To some extent, we could say that warm up is not part of the Algorithm Framework. IT IS there, but it is not, as it is linked to manual self.Add*() calls - which CAN still be used while using the Algo Framework. So it is there, but it is not 😊
Fred
David Thielen
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