Runtime Error: self.CurrentSlice is None

Chase Feng 

I could not find how you define 

          self.ClosePositions(symbol) 

So I decided to recreate your algorithm using QuantConnect indicators and their extensions. 

If you are satisfied with my answer, please accept it and don't forget to like it.

Thanks for your response, Vladimir! My mistake for not including the rest of the code – OnData(self, slice) just updates the standard deviation with the new slice, and ClosePositions(symbol) just liquidates all holdings of the given symbol. The rest of the code is attached now.

I really appreciate your solution, but for this project, I was hoping to get it working using my original approach. Specifically, if possible, I'd like to figure out where I am going wrong in my code because I fear I am missing something in my understanding.

from AlgorithmImports import *

class FadingTheGap(QCAlgorithm):
    def Initialize(self):
        # Set start date, end date, and cash amount
        self.SetStartDate(2018, 7, 1)
        self.SetEndDate(2021, 7, 1)
        self.SetCash(100000) 

        # PARAMETERS
        SYMBOLS = ["AAPL"]
        NUM_DEVIATIONS = -3 # Standard deviations to warrant a "significant dip"

        # Subscribe to data for our stocks, schedule event handlers, and create
        # data containers
        self.symbolData = {}
        for symbol in SYMBOLS:
            self.AddEquity(symbol, Resolution.Minute)
            self.symbolData[symbol] = SymbolData(symbol)
            self.Schedule.On(self.DateRules.EveryDay(), 
                            self.TimeRules.BeforeMarketClose(symbol, 0),
                            self.ClosingBar(symbol)) 
            self.Schedule.On(self.DateRules.EveryDay(),
                            self.TimeRules.AfterMarketOpen(symbol, 1),
                            self.OpeningBar(symbol, NUM_DEVIATIONS))
            self.Schedule.On(self.DateRules.EveryDay(),
                            self.TimeRules.AfterMarketOpen(symbol, 60),
                            self.ClosePositions(symbol)) 



    def OnData(self, slice):
        # Updates standard deviation indicator for each new data slice
        for symbol, data in symbolData:
           data.UpdateStandardDeviation(self.Time, slice)
    

    # Record the market open price and trade if a significant dip has occured
    # Parameters
    #   k: Number of standard deviations for a significant dip
    def OpeningBar(self, symbol, k):
        if self.CurrentSlice is None:
            return

        data = self.symbolData[symbol]
        data.UpdateWindow(self.CurrentSlice)

        if not data.IsReady():
            return

        if data.CalculateDeviations() < k:
            self.SetHoldings(symbol, 1)

    # Record the market close price at the end of the day
    def ClosingBar(self, symbol):
        if self.CurrentSlice is None:
            return
        self.symbolData[symbol].UpdateWindow(self.CurrentSlice)
        
    # Close all positions after the volatile period has ended
    def ClosePositions(self, symbol):
        self.Liquidate(symbol)
        


class SymbolData(Object):
    def __init__(self, symbol):
        self.symbol = symbol
        self.window = RollingWindow[TradeBar](2)
        self.volatility = StandardDeviation(self.symbol, 100)

    def UpdateWindow(self, slice):
        if self.symbol in slice.Bars:
            self.window.Add(slice[symbol])

    def UpdateStandarDeviation(self, time, slice):
        if slice[self.symbol] is not None:
            self.volatility.Update(self.Time, slice[self.symbol].Close)

    def CalculateDeviations(self):
        delta = self.window[0].Open - self.window[1].Close
        deviations = delta / self.volatility.Current.Value
        return deviations

    def IsReady(self):
        return self.window.IsReady and self.volatility.IsReady

Chase Feng you are missing the big point that in scheduled function third argument has to be a function, not a result of a function call. You were getting this error, because those functions were called immediately in the Initialize, when there is no data yet. 

I.e. you should not use parenthesis and you definitely should not use a cycle over all symbols like that. You could cycle over symbols inside scheduled functions instead. You could also transfer indicator's code from Vladimir's solution to make it simpler.

Chase Feng

Here is another working version of the code very similar to yours.

If you are satisfied with my answer, please accept it and don't forget to like it.