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Hello All,
I have a universe selection algorithm already successfully stores OHLC (Open, High, Low, Close) data into rolling windows and prepopulates those windows with historical data. I would like add another rolling window that stores the timestamps associated with those OHLC entries, but I am not sure how query the timestamps from historical pandas dataframe. Can anyone offer some guidance? The last line of the block of code below is where I am trying to query the timestamp.
def OnSecuritiesChanged(self, algorithm, changes):
# clean up data for removed securities
symbols = [ x.Symbol for x in changes.RemovedSecurities ]
if len(symbols) > 0:
for subscription in algorithm.SubscriptionManager.Subscriptions:
if subscription.Symbol in symbols:
self.symbolDataBySymbol.pop(subscription.Symbol, None)
subscription.Consolidators.Clear()
# initialize data for added securities
addedSymbols = [ x.Symbol for x in changes.AddedSecurities if x.Symbol not in self.symbolDataBySymbol]
if len(addedSymbols) == 0: return
self.windowLength = max(self.strategyLookback + 90,self.volatilityLookback)
history = algorithm.History(addedSymbols, self.windowLength, self.resolution)
for symbol in addedSymbols:
self.openWindows[symbol] = RollingWindow[float](self.windowLength)
self.highWindows[symbol] = RollingWindow[float](self.windowLength)
self.lowWindows[symbol] = RollingWindow[float](self.windowLength)
self.closeWindows[symbol] = RollingWindow[float](self.windowLength)
self.timestampWindows[symbol] = RollingWindow[float](self.windowLength)
for tuple in history.loc[symbol].itertuples():
self.openWindows[symbol].Add(tuple.open)
self.highWindows[symbol].Add(tuple.high)
self.lowWindows[symbol].Add(tuple.low)
self.closeWindows[symbol].Add(tuple.close)
self.timestampWindows[symbol].Add(tuple.time)
Adam W
The DataFrame returned by `.History` has MultiIndex (symbol, time), so you can just take the index of the second level. Also might be cleaner to just put everything into one RollingWindow, like
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Varad Kabade
Hi Garrett,
Thank you, Adam, for your answer.
We recommend using a single RollingWindow which stores TradeBar objects so it would contain OHCLV data along with the time stamp.
To create TradeBar objects from rows of the historical data refer to the following snippet:
Best,
Varad Kabade
Garrett Grow
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